FI has now decided on the stress test methodology that will be used for determining the capital planning buffer for the largest Swedish bank companies. The methodology, which is described in more detail it in a new memorandum, is based on the proposal that FI published on the 9 May.
The stress test methodology that FI has selected can be broken down into two parts, an overarching methodology, that is formally adopted in the memorandum, and the specific calibration of risk factors for individual types of risk.
The overarching methodology includes the following parts:
The specific calibration of risk factors will not be formally adopted, but rather can change on a year-by-year basis. Ten firms are currently considered to belong the group of the largest companies.
FI will carry out the stress test as part of its Supervisory Review and Evaluation Process (SREP), starting in 2016. The test will normally be carried out on an annual basis. FI will publish its determination of the size of the capital planning buffer as part of its quarterly publication of the firms' capital needs. FI will publish ex-post the specific calibration of risk factors that was applied.