2014 EU-wide Stress Test Summary for CY - Co-operative Central Bank Ltd
Core Information
Bank Name: CY - Co-operative Central Bank Ltd
LEI Code: 5493007F6CE5P22TJ731
Test Type: EU-wide Stress Test
Reporting Period: 2013 - 2016
Thresholds:
Common EU-wide CET1 Threshold: 5.5% (Adverse Scenario) and 8.0% (Baseline Scenario)
Key Financial Metrics
Actual Figures as of 31 December 2013
Metric
Value (min EUR)
Operating profit before impairments
278
Impairment losses on financial and non-financial assets in the banking book
1,982
Common Equity Tier 1 capital
-322
Total Risk Exposure
8,667
Common Equity Tier 1 ratio, %
-3.7%
Outcome of the Adverse Scenario as of 31 December 2016
Metric
Value (min EUR)
3 yr cumulative operating profit before impairments
257
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
671
3 yr cumulative losses from the stress in the trading book
0
Valuation losses due to sovereign shock after tax and prudential filters
0
Common Equity Tier 1 capital
-692
Total Risk Exposure
8,667
Common Equity Tier 1 ratio, %
-8.0%
Outcome of the Baseline Scenario as of 31 December 2016
Metric
Value (min EUR)
3 yr cumulative operating profit before impairments
785
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
266
3 yr cumulative losses from the stress in the trading book
0
Common Equity Tier 1 capital
42
Total Risk Exposure
8,667
Common Equity Tier 1 ratio, %
0.5%
Summary of Risk Exposure and Value Adjustments
Exposure Values (as of 31 December 2013)
Category
F-IRB Non-defaulted
F-IRB Defaulted
A-IRB Non-defaulted
A-IRB Defaulted
STA Non-defaulted
STA Defaulted
Central banks and central governments
0
0
0
0
3,204
160
Institutions
0
0
0
0
142
5
Corporates
0
0
0
0
472
389
Corporates - Of Which: Specialised Lending
0
0
0
0
0
0
Corporates - Of Which: SME
0
0
0
0
314
194
Retail
0
0
0
0
5,941
2,984
Retail - Secured on real estate property
47.0%
0
0
0
2,626
727
Retail - Secured on real estate property - Of Which: SME
52.0%
0
0
0
184
75
Retail - Secured on real estate property - Of Which: non-SME
46.0%
0
0
0
2,441
651
Retail - Qualifying Revolving
0
0
0
0
232
123
Retail - Other Retail
0
0
0
0
3,083
2,135
Retail - Other Retail - Of Which: SME
0
0
0
0
367
270
Retail - Other Retail - Of Which: non-SME
0
0
0
0
2,716
1,864
Equity
0
0
0
0
0
0
Securitisation
0
0
0
0
0
0
Other non-credit obligation assets
0
0
0
0
1,072
0
TOTAL
0
0
0
0
10,831
3,538
Risk Exposure Amounts (as of 31 December 2013)
Category
F-IRB Non-defaulted
F-IRB Defaulted
A-IRB Non-defaulted
A-IRB Defaulted
STA Non-defaulted
STA Defaulted
Central banks and central governments
0
0
0
0
3,204
160
Institutions
0
0
0
0
142
5
Corporates
0
0
0
0
472
389
Corporates - Of Which: Specialised Lending
0
0
0
0
0
0
Corporates - Of Which: SME
0
0
0
0
314
194
Retail
0
0
0
0
5,941
2,984
Retail - Secured on real estate property
0
0
0
0
2,626
727
Retail - Secured on real estate property - Of Which: SME
0
0
0
0
184
75
Retail - Secured on real estate property - Of Which: non-SME
0
0
0
0
2,441
651
Retail - Qualifying Revolving
0
0
0
0
232
123
Retail - Other Retail
0
0
0
0
3,083
2,135
Retail - Other Retail - Of Which: SME
0
0
0
0
367
270
Retail - Other Retail - Of Which: non-SME
0
0
0
0
2,716
1,864
Equity
0
0
0
0
0
0
Securitisation
0
0
0
0
0
0
Other non-credit obligation assets
0
0
0
0
1,072
0
TOTAL
0
0
0
0
10,831
3,538
Value Adjustments and Provisions (as of 31 December 2013)
Category
F-IRB Non-defaulted
F-IRB Defaulted
A-IRB Non-defaulted
A-IRB Defaulted
STA Non-defaulted
STA Defaulted
Central banks and central governments
0
0
0
0
3,204
160
Institutions
0
0
0
0
142
5
Corporates
0
0
0
0
472
389
Corporates - Of Which: Specialised Lending
0
0
0
0
0
0
Corporates - Of Which: SME
0
0
0
0
314
194
Retail
0
0
0
0
5,941
2,984
Retail - Secured on real estate property
0
0
0
0
2,626
727
Retail - Secured on real estate property - Of Which: SME
0
0
0
0
184
75
Retail - Secured on real estate property - Of Which: non-SME
0
0
0
0
2,441
651
Retail - Qualifying Revolving
0
0
0
0
232
123
Retail - Other Retail
0
0
0
0
3,083
2,135
Retail - Other Retail - Of Which: SME
0
0
0
0
367
270
Retail - Other Retail - Of Which: non-SME
0
0
0
0
2,716
1,864
Equity
0
0
0
0
0
0
Securitisation
0
0
0
0
0
0
Other non-credit obligation assets
0
0
0
0
1,072
0
TOTAL
0
0
0
0
10,831
3,538
Notes
Securitisation and re-securitisations positions deducted from capital: 0 min EUR
CET1 Thresholds:
Adverse Scenario: 5.5%
Baseline Scenario: 8.0%
Summary of Impairment Rates and Provisions
Baseline Scenario
Year
Impairment Rate
Stock of Provisions
Coverage Ratio - Default Stock
2014
0.14%
19
6.72%
2015
4.59%
14
53.55%
2016
3.20%
23
58.07%
Adverse Scenario
Year
Impairment Rate
Stock of Provisions
Coverage Ratio - Default Stock
2014
2.59%
113
24.37%
2015
2.72%
192
28.30%
2016
2.87%
269
30.40%
Key Observations
The bank experienced a significant decline in Common Equity Tier 1 (CET1) capital under the adverse scenario, reaching -8.0% by 2016, compared to -3.7% in the baseline scenario.
Impairment losses decreased over time in the baseline scenario, indicating a more stable financial position.
The adverse scenario led to higher impairment rates and increased provisions, which negatively impacted the CET1 ratio.
No valuation losses were recorded in either scenario due to sovereign shocks.
The bank's risk exposure remained consistent across both scenarios, at 8,667 min EUR.
There were no mandatory conversions or eligible instruments for CET1 capital conversion in the 2014-2016 period.
