The effects of simultaneous shocks on capital ratios of the largest Icelandic banks
The FME has calculated the effects of simultaneous shocks on capital ratios of the largest Icelandic banks as described in Rules No 530/2004, with later amendments. The shocks implies that a financial undertaking must be in a position to take on certain setbacks that simultaneously may lead to changes in the value of shares, market bonds, non-performing/impaired loans and appropriated assets and the Icelandic krona without having its capital adequacy ratio drop below 8%.
The effects of aforementioned simultaneous shocks on capital ratio are following:
|
|
Kaupthing- banki hf. |
Glitnir banki hf. |
Lands- banki hf. |
Straumur Burdarás hf. |
|
Capital Ratio (CR) |
12.1% |
13.7% |
15.1% |
31.7% |
|
Thereof Tier 1 ratio |
8.7% |
9.1% |
12.9% |
30.2% |
|
Capital Ratio (CR) after stress test |
9.2% |
12.5% |
12.7% |
24.0% |
For further information contact: Ragnar Haflidason
The criteria used in the stress tests is available under this link.