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Erscheinung:17.12.2008 | Topic Compliance Announcement with respect to Circular 1/2004 (VA) part A.

Amendment of the parameters for conducting BaFin stress tests from 2009 (Circular 1/2004)

In accordance with Circular 1/2004 (VA) BaFin hereby announces an amendment to the parameters for conducting stress tests stipulated in part A of the circular.

Please note:Ger­man ver­sion is bind­ing

This translation is furnished for information purposes only and may refer to an older version of the text. The original German text is binding in all respects.

As from 31 December 2008, the stress test scenarios A 35, RA 25 and AI 30 stipulated in Circular 1/2004 (VA) (see announcement in BaFinJournal Januar 2008) will be amended to the following scenarios:

  • Equities-only scenario: a fall in share prices based on the index calibration at 31 December 2008.
  • Mixed bonds/equities scenario: a fall in share prices based on the index calibration at 31 December 2008 and a 5% drop in the price of fixed-income securities.
  • Mixed property/equities scenario: a fall in share prices based on the index calibration at 31 December 2008 and a 10% drop in the market value of properties.

Stress test scenario R 10 remains unchanged.

The discounts applied to equities, based on the calibration of the EuroStoxx50 price index at 31 December 2008, are as follows:

Level of EuroStoxx 50 (price index)Stress factor in % (equities-only scenario)Stress factor in % (mixed scenarios)
from 5246 to 5435 or above4525
from 5056 to 5245 4525
from 4866 to 5055 4525
from 4676 to 4865 4525
from 4486 to 4675 4424
from 4296 to 4485 4122
from 4106 to 4295 3821
from 3916 to 4105 3520
from 3726 to 3915 3219
from 3536 to 3725 2918
from 3346 to 3535 2717
from 3156 to 3345 2416
from 2966 to 3155 2215
from 2776 to 2965 2014
from 2586 to 2775 1813
from 2396 to 2585 1612
from 2206 to 2395 1412
from 2016 to 2205 1311
from 1826 to 2015 1111
up to 1825 1010

In addition, the credit risk discounts for fixed-income investments and loans must be incorporated in every stress test scenario in accordance with Circular 1/2004 part A.

The other stipulations of Circular 1/2004 remain unchanged.

Additional information

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