2014 EU-wide Stress Test Summary for DE - Aareal Bank AG
Core Information
Bank Name: DE - Aareal Bank AG
LEI Code: EZKODONU5TYHW4PP1R34
Reporting Authority: European Banking Authority (EBA)
Test Period: 2014 EU-wide Stress Test
Focus Areas: Baseline and Adverse Scenarios
Key Financial Metrics
Actual Figures as of 31 December 2013
Metric
Value (in EUR, %)
Operating profit before impairments
311
Impairment losses on financial and non-financial assets in the banking book
113
Common Equity Tier 1 (CET1) capital
2,187
Total Risk Exposure
13,344
CET1 ratio
16.4%
Outcome of the Adverse Scenario as of 31 December 2016
Metric
Value (in EUR, %)
3-year cumulative operating profit before impairments
672
3-year cumulative impairment losses on financial and non-financial assets in the banking book
331
3-year cumulative losses from the stress in the trading book
42
Valuation losses due to sovereign shock after tax and prudential filters
25
CET1 capital
2,105
Total Risk Exposure
17,782
CET1 ratio
11.8%
Outcome of the Baseline Scenario as of 31 December 2016
Metric
Value (in EUR, %)
3-year cumulative operating profit before impairments
783
3-year cumulative impairment losses on financial and non-financial assets in the banking book
188
3-year cumulative losses from the stress in the trading book
14
CET1 capital
2,296
Total Risk Exposure
13,882
CET1 ratio
16.5%
Memorandum Items
Item
Value (in EUR)
Common EU-wide CET1 Threshold (5.5%)
978
Total amount of instruments with mandatory conversion into ordinary shares (2014-2016)
0
Total Additional Tier 1 and Tier 2 instruments eligible for regulatory capital (CRR provisions)
0
Of which: eligible instruments with trigger above CET1 ratio in adverse scenario
0
Scenario Analysis
Baseline Scenario (2014-2016)
Year
Impairment Rate
Stock of Provisions
Coverage Ratio - Default Stock
2014
0.01%
0
10.18%
2015
0.01%
1
13.49%
2016
0.01%
1
15.57%
Adverse Scenario (2014-2016)
Year
Impairment Rate
Stock of Provisions
Coverage Ratio - Default Stock
2014
0.01%
1
16.30%
2015
0.01%
2
21.19%
2016
0.01%
3
23.49%
Exposure and Risk Analysis
Baseline Scenario (as of 31/12/2013)
Asset Type
Exposure Values (F-IRB, A-IRB, STA)
Risk Exposure Amounts (F-IRB, A-IRB, STA)
Value Adjustments and Provisions (F-IRB, A-IRB, STA)
Non-defaulted
210, 29,656, 14,284
602, 7,929, 915
0, 51, 418
Defaulted
0, 1,118, 571
0, 2,270, 282
0, 10, 4
Corporates
0, 25,414, 257
0, 6,831, 134
0, 26, 239
SME
0, 14,522, 257
0, 4,194, 134
0, 26, 120
Retail
0, 0, 28
0, 0, 5
0, 0, 0
Secured on real estate property
59.6%, 101.9%, 58.4%
0, 0, 13
0, 0, 3
Other Retail
0, 0, 15
0, 0, 6
0, 0, 2
Non-SME
0, 14,522, 15
0, 4,194, 6
0, 1, 1
Equity
210, 0, 266
602, 0, 162
0, 0, 0
Securitisation
0, 22, 124
0, 0, 0
0, 0, 0
Other non-credit obligation assets
0, 404, 0
0, 404, 0
0, 0, 0
Total
210, 29,656, 14,284
602, 7,929, 915
0, 51, 418
Adverse Scenario (as of 31/12/2013)
Asset Type
Exposure Values (F-IRB, A-IRB, STA)
Risk Exposure Amounts (F-IRB, A-IRB, STA)
Value Adjustments and Provisions (F-IRB, A-IRB, STA)
Non-defaulted
0, 5,142, 8,289
0, 1,282, 418
0, 4, 5
Defaulted
0, 1,118, 571
0, 2,270, 282
0, 10, 4
Corporates
0, 2,713, 1,590
0, 1,720, 984
0, 0, 0
SME
0, 1,590, 415
0, 984, 681
0, 0, 0
Retail
0, 0, 0
0, 0, 0
0, 0, 0
Secured on real estate property
23.3%, 0.0%, 23.3%
0, 0, 0
0, 0, 0
Other Retail
0, 0, 0
0, 0, 0
0, 0, 0
Equity
0, 0, 0
0, 0, 0
0, 0, 0
Securitisation
0, 0, 0
0, 0, 0
0, 0, 0
Other non-credit obligation assets
0, 103, 0
0, 103, 0
0, 0, 0
Total
0, 2,916, 533
0, 1,840, 1,311
0, 17, 21
Key Observations
CET1 Capital: The CET1 capital decreased from 2,187 (2013) to 2,105 (2016) under the adverse scenario, while it increased slightly to 2,296 under the baseline scenario.
Total Risk Exposure: Increased significantly from 13,344 (2013) to 17,782 (2016) under the adverse scenario, but remained relatively stable at 13,882 (2016) under the baseline scenario.
CET1 Ratio: Dropped from 16.4% (2013) to 11.8% (2016) under the adverse scenario, while it remained at 16.5% (2016) under the baseline scenario.
Impairment Losses: Increased under the adverse scenario, with cumulative losses reaching 331 (2016) compared to 113 (2013), whereas under the baseline scenario, the cumulative impairment losses were 188 (2016) compared to 113 (2013).
Trading Book Losses: Under the adverse scenario, the bank experienced losses of 42 (2016) in the trading book, while the baseline scenario showed losses of 14 (2016).
Sovereign Shock Impact: The adverse scenario included valuation losses due to sovereign shocks, which reached 25 (2016) after tax and prudential filters.
Mandatory Conversions and Eligible Instruments: No mandatory conversions or eligible instruments were reported for the period 2014-2016, and none of the instruments had a trigger above the CET1 ratio in the adverse scenario.
Summary of Scenarios
Baseline Scenario: Reflects the bank's performance under normal conditions, with relatively stable CET1 capital and a slightly higher CET1 ratio compared to 2013.
Adverse Scenario: Simulates a more severe economic environment, leading to a decline in CET1 capital and a drop in the CET1 ratio, with increased impairment losses and trading book losses.
