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39

Table 7. Slovak Republic: Summary Results of the Liquidity Stress Tests

(Based on the data of September 30, 2006)

Test

Median

Lower quartile Upper quartile

Liquidity risk Depreciation of government bonds by 10 percent Decline in client deposits by 20 percent Outflow of short-term capital from the banking sector by 90 percent

13.2

1.1

41.8

158.4

51.5

243.4

122.7

19.2

255.0

Impact on of quick liquidity (in %) 1/

Depreciation of government bonds by 10 percent Decline in client deposits by 20 percent Outflow of short-term capital from the banking sector by 90 percent

9.2

3.2

26.5

97.1

58.1

164.3

61.3

2.2

156.4

Impact on liquidity up to 7 days (in %) 1/

Depreciation of government bonds by 10 percent Decline in client deposits by 20 percent

Outflow of short-term capital from the banking sector by 90 pe

Memorandum items: Average monthly absolute change of ratio of quick liquidity Average monthly absolute change of liquidity up to 7 days Average monthly absolute change of liquidity up to 3 months

rcent

9.2

5.1

22.7

46.1

17.5

121.1

1.3

0.0

88.8

18.4

14.8

25.6

19.5

14.4

36.7

16.4

11.7

32.6

Impact on liquidity up to 3 months (in %) 1/

1/ Impact on liquidity ratios is measured by comparing two values: (i) the percentage change in the value of the liquidity ratio under different shocks and (ii) the average monthly percentage change in the value of the same ratio during the January-September 2006. Calculated including branches of foreign banks except Banco Mais.

Table 8. Slovak Republic: Summary Results of the Stress Tests, 2004–06

(Losses in percent of Tier I capital)

n.a.

17.2

19.5

1.7

3.1

3.1

n.a.

29.4

26.8

Test

Parallel upward shift in the SKK yield curve by 500 bp Depreciation of the SKK against all currencies by 20 percent Increase in NPLs by 100 percent

Dec-2004

Jun-2005

Dec-2005

Sep-06

23.2 0.8 21.2

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