2014 EU-wide Stress Test Summary for IT - Credito Emiliano S.p.A.
Core Information
Bank Name: IT - Credito Emiliano S.p.A.
LEI Code: 8156004B244AA70DE787
Reporting Date: 31 December 2013
Test Period: 2014 - 2016
Common EU-wide CET1 Threshold: 5.5% (Adverse Scenario) and 8.0% (Baseline Scenario)
Actual Figures as of 31 December 2013
Metric
Value (min EUR)
Operating profit before impairments
314
Impairment losses on financial and non-financial assets in the banking book
152
Common Equity Tier 1 (CET1) capital
1,756
Total Risk Exposure
16,158
CET1 ratio (%)
10.9%
Outcome of the Adverse Scenario as of 31 December 2016
Metric
Value (min EUR)
3 yr cumulative operating profit before impairments
404
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
558
3 yr cumulative losses from the stress in the trading book
61
Valuation losses due to sovereign shock after tax and prudential filters
51
CET1 capital
1,571
Total Risk Exposure
17,678
CET1 ratio (%)
8.9%
Outcome of the Baseline Scenario as of 31 December 2016
Metric
Value (min EUR)
3 yr cumulative operating profit before impairments
549
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
314
3 yr cumulative losses from the stress in the trading book
23
CET1 capital
1,837
Total Risk Exposure
16,670
CET1 ratio (%)
11.0%
Memorandum Items
Item
Value (min EUR)
Common EU-wide CET1 Threshold (5.5%)
972
Total amount of instruments with mandatory conversion into ordinary shares in 2014-2016
0
Total Additional Tier 1 and Tier 2 instruments eligible for regulatory capital conversion
0
Eligible instruments whose trigger is above CET1 capital ratio in adverse scenario
0
Summary of Baseline Scenario (Exposure and Risk Data)
Category
Exposure Values (F-IRB)
Exposure Values (A-IRB)
Exposure Values (STA)
Risk Exposure Amounts (F-IRB)
Risk Exposure Amounts (A-IRB)
Risk Exposure Amounts (STA)
Value Adjustments and Provisions (F-IRB)
Value Adjustments and Provisions (A-IRB)
Value Adjustments and Provisions (STA)
Retail
0
0
0
0
0
0
0
0
0
Retail - Secured on real estate property
80.8%
0
0
0
0
0
0
0
0
Retail - Secured on real estate property - Of Which: SME
63.7%
0
0
0
0
0
0
0
0
Retail - Secured on real estate property - Of Which: non-SME
81.9%
0
0
0
0
0
0
0
0
Retail - Qualifying Revolving
82.1%
0
0
0
0
0
0
0
0
Retail - Other Retail
82.1%
0
0
0
0
0
0
0
0
Retail - Other Retail - Of Which: SME
82.1%
0
0
0
0
0
0
0
0
Retail - Other Retail - Of Which: non-SME
82.1%
0
0
0
0
0
0
0
0
Equity
81.14%
0
0
0
0
0
0
0
0
Securitisation
81.14%
0
0
0
0
0
0
0
0
Other non-credit obligation assets
81.14%
0
0
0
0
0
0
0
0
TOTAL
81.14%
452
0
19,426
553
6,150
26
199
0
Summary of Adverse Scenario (Exposure and Risk Data)
Category
Exposure Values (F-IRB)
Exposure Values (A-IRB)
Exposure Values (STA)
Risk Exposure Amounts (F-IRB)
Risk Exposure Amounts (A-IRB)
Risk Exposure Amounts (STA)
Value Adjustments and Provisions (F-IRB)
Value Adjustments and Provisions (A-IRB)
Value Adjustments and Provisions (STA)
Retail
0
0
0
0
0
0
0
0
0
Retail - Secured on real estate property
80.6%
0
0
0
0
0
0
0
0
Retail - Secured on real estate property - Of Which: SME
63.7%
0
0
0
0
0
0
0
0
Retail - Secured on real estate property - Of Which: non-SME
81.9%
0
0
0
0
0
0
0
0
Retail - Qualifying Revolving
82.1%
0
0
0
0
0
0
0
0
Retail - Other Retail
82.1%
0
0
0
0
0
0
0
0
Retail - Other Retail - Of Which: SME
82.1%
0
0
0
0
0
0
0
0
Retail - Other Retail - Of Which: non-SME
82.1%
0
0
0
0
0
0
0
0
Equity
81.14%
0
0
0
0
0
0
0
0
Securitisation
81.14%
0
0
0
0
0
0
0
0
Other non-credit obligation assets
81.14%
0
0
0
0
0
0
0
0
TOTAL
81.14%
8,108
452
16,994
553
7,106
26
199
0
Summary of Baseline Scenario (Impairment Rates and Provisions)
Year
Impairment Rate (%)
Stock of Provisions (min EUR)
Coverage Ratio (%)
2014
0.09%
0
33.78%
2015
0.09%
1
36.52%
2016
0.09%
1
37.58%
Summary of Adverse Scenario (Impairment Rates and Provisions)
Year
Impairment Rate (%)
Stock of Provisions (min EUR)
Coverage Ratio (%)
2014
0.70%
2
38.99%
2015
0.70%
4
39.48%
2016
0.70%
6
39.65%
Key Observations
The Common Equity Tier 1 (CET1) ratio for IT - Credito Emiliano S.p.A. decreased from 10.9% (as of 31 December 2013) to 8.9% under the adverse scenario by 31 December 2016, indicating a significant stress impact.
Under the baseline scenario, the CET1 ratio increased slightly to 11.0% by 31 December 2016, suggesting better resilience under normal conditions.
Impairment losses increased under the adverse scenario, with cumulative losses reaching 558 million EUR by 2016, compared to 314 million EUR under the baseline.
The operating profit before impairments was 404 million EUR in the adverse scenario and 549 million EUR in the baseline.
Sovereign shock valuation losses were reported as 51 million EUR under the adverse scenario.
The total risk exposure increased from 16,158 million EUR (2013) to 17,678 million EUR (2016) under the adverse scenario, while it remained relatively stable at 16,670 million EUR under the baseline.
There were no instruments with mandatory conversion or eligible instruments for regulatory capital conversion in either scenario.
The securitisation and re-securitisation positions were deducted from capital and not included in risk-weighted assets (RWA) in both scenarios.
