European Banking Supervisors (CEBS).
This implies that the tests ignored the majority of banks’ holdings of sovereign debt. The tests also assessed the impact of a four-step credit rating downgrade on securitised debt products, a 20% slump in European equities in both 2010 and 2011 and 50 other macroeconomic parameters, including a drop in the EU’s GDP over two years. At the same time, regulators tested portfolios of sovereign five-year bonds, assuming a loss of 23.1% on Greek debt, 12.3% on Spanish bonds, 14% on Portuguese bonds and 4.7% on German state debt.
Tracking The World Economy... - 26/07/2010
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