EBA欧洲银行-BE_6B2PBRV1FCJDMR45RZ53_16页_3mb

2014 EU-wide Stress Test Summary for BE-KBC Group NV

Core Information

• Bank Name: BE - KBC Group NV
• LEI Code: 6B2PBRV1FCJDMR45RZ53

Summary: Adverse Scenario

Actual Figures as of 31 December 2013

• Operating profit before impairments: 3,013 million EUR
• Impairment losses on financial and non-financial assets in the banking book: 2,277 million EUR
• Common Equity Tier 1 (CET1) capital: 11,777 million EUR
• Total Risk Exposure: 92,873 million EUR
• CET1 ratio: 12.7%

Outcome as of 31 December 2016

• 3-year cumulative operating profit before impairments: 3,259 million EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 4,654 million EUR
• 3-year cumulative losses from the stress in the trading book: 1,353 million EUR
• Valuation losses due to sovereign shock after tax and prudential filters: 112 million EUR
• CET1 capital: 8,490 million EUR
• Total Risk Exposure: 102,697 million EUR
• CET1 ratio: 8.3%

Memorandum Items

• Common EU-wide CET1 Threshold (5.5%): 5,648 million EUR
• Total amount of instruments with mandatory conversion into ordinary shares (2014-2016): 0 million EUR
• Additional Tier 1 and Tier 2 instruments eligible for regulatory capital: 725 million EUR
• Of which: trigger above CET1 ratio in adverse scenario: 0 million EUR

Summary: Baseline Scenario

Actual Figures as of 31 December 2013

• Operating profit before impairments: 3,013 million EUR
• Impairment losses on financial and non-financial assets in the banking book: 2,277 million EUR
• CET1 capital: 11,777 million EUR
• Total Risk Exposure: 92,873 million EUR
• CET1 ratio: 12.7%

Outcome as of 31 December 2016

• 3-year cumulative operating profit before impairments: 4,953 million EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 1,934 million EUR
• 3-year cumulative losses from the stress in the trading book: 945 million EUR
• CET1 capital: 11,635 million EUR
• Total Risk Exposure: 93,636 million EUR
• CET1 ratio: 12.4%

Memorandum Items

• Common EU-wide CET1 Threshold (8.0%): 7,491 million EUR

Exposure and Risk Analysis

LTV % (as of 31/12/2013)

• Central banks and central governments: 61.5%
• Institutions: 61.5%
• Corporates: 61.5%
• Corporates - Of Which: Specialised Lending: 61.5%
• Corporates - Of Which: SME: 61.5%
• Retail: 61.5%
• Retail - Secured on real estate property: 59.2%
• Retail - Other Retail: 61.5%
• Retail - Other Retail - Of Which: SME: 61.5%
• Retail - Other Retail - Of Which: non-SME: 61.5%
• Equity: 61.5%

Exposure Values (as of 31/12/2013)

Risk Exposure Amounts (as of 31/12/2013)

Value Adjustments and Provisions (as of 31/12/2013)

Securitisation and Re-securitisations Deducted from Capital

• 0 million EUR

Key Insights

• CET1 Capital: Under the adverse scenario, CET1 capital decreased from 11,777 million EUR (as of 31/12/2013) to 8,490 million EUR (as of 31/12/2016), resulting in a CET1 ratio of 8.3%, which is below the EU-wide threshold of 5.5%.
• Baseline Scenario: The CET1 capital remained relatively stable at 11,635 million EUR (as of 31/12/2016), with a CET1 ratio of 12.4%, above the threshold of 8.0%.
• Impairment Losses: In the adverse scenario, impairment losses increased significantly from 2,277 million EUR to 4,654 million EUR over three years, indicating a higher risk of loan defaults.
• Trading Book Losses: The adverse scenario also led to cumulative losses from the trading book of 1,353 million EUR, which could impact profitability.
• Sovereign Shock: Valuation losses due to sovereign shock were recorded at 112 million EUR, highlighting the impact of government-related risks.
• Risk Exposure: The total risk exposure increased from 92,873 million EUR to 102,697 million EUR, showing a rise in the bank's exposure to various risk categories.
• Provisions and Coverage Ratios: The coverage ratio of default stock was generally lower in the adverse scenario, indicating a weaker capacity to absorb losses.