2014 EU-wide Stress Test Summary for IT - UniCredit S.p.A.
Core Information
Bank Name: IT - UniCredit S.p.A.
LEI Code: 549300TRUWO2CD2G5692
Reported by: European Banking Authority (EBA)
Key Figures (As of 31 December 2013)
Metric
Value (in EUR)
Percentage
Operating profit before impairments
9,119
-
Impairment losses on financial and non-financial assets in the banking book
24,294
-
Common Equity Tier 1 (CET1) capital
39,164
-
Total Risk Exposure
408,904
-
CET1 ratio
9.6%
-
Adverse Scenario Outcomes (As of 31 December 2016)
Metric
Value (in EUR)
Percentage
3 yr cumulative operating profit before impairments
15,678
-
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
25,199
-
3 yr cumulative losses from the stress in the trading book
2,096
-
Valuation losses due to sovereign shock after tax and prudential filters
830
-
CET1 capital
29,419
-
Total Risk Exposure
433,431
-
CET1 ratio
6.8%
-
Baseline Scenario Outcomes (As of 31 December 2016)
Metric
Value (in EUR)
Percentage
3 yr cumulative operating profit before impairments
18,529
-
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
12,187
-
3 yr cumulative losses from the stress in the trading book
1,609
-
CET1 capital
39,764
-
Total Risk Exposure
413,825
-
CET1 ratio
9.6%
-
Memorandum Items
Common EU-wide CET1 Threshold (5.5%): 23,839 EUR
Total amount of instruments with mandatory conversion into ordinary shares (2014-2016): 0 EUR
Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital under CRR: 0 EUR
Eligible instruments whose trigger is above CET1 ratio in adverse scenario: 0 EUR
Baseline Scenario Details (Exposure and Risk Exposure)
Category
F-IRB Non-defaulted
F-IRB Defaulted
A-IRB Non-defaulted
A-IRB Defaulted
STA Non-defaulted
STA Defaulted
F-IRB Non-defaulted
F-IRB Defaulted
A-IRB Non-defaulted
A-IRB Defaulted
STA Non-defaulted
STA Defaulted
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
379
1
76,951
50
0
0
52
0
18,792
80
Institutions
463
2
7,325
2
6,264
154
308
0
2,305
0
11,075
35
Corporates
8
0
66,945
26,552
47,079
0
6
0
4,798
0
6,277
20
Corporates - Of Which: Specialised Lending
0
0
2,190
99
53
0
0
0
1,005
0
517
5
Corporates - Of Which: SME
0
0
18,630
13,318
8,246
912
0
0
4,798
13,318
8,246
912
Retail
0
0
43,651
11,674
8,082
346
0
0
11,157
517
7,220
144
Retail - Secured on real estate property
0
0
43,206
7,172
15,107
234
0
0
5,528
11,157
7,220
144
Retail - Secured on real estate property - Of Which: SME
0
0
21,086
13,318
11,528
975
0
0
6,277
4,798
8,246
912
Retail - Secured on real estate property - Of Which: non-SME
0
0
12,407
1,134
26,985
2,286
0
0
4,798
4,798
19,924
2,319
Retail - Qualifying Revolving
0
0
94
1
1,858
64
0
0
33
0
1,434
78
Retail - Other Retail
0
0
21,983
13,776
28,170
3,231
0
0
5,679
11,075
10,495
1,826
Retail - Other Retail - Of Which: SME
0
0
18,682
13,063
11,528
975
0
0
4,798
4,798
8,246
912
Retail - Other Retail - Of Which: non-SME
0
0
3,302
713
26,985
2,286
0
0
4,798
4,798
19,924
2,319
Equity
64
0
0
0
7,395
439
3,151
0
0
0
12,146
546
Securitisation
1,693
0
0
257
0
842
0
2,296
0
389
0
16,864
74
Other non-credit obligation assets
0
0
0
0
0
0
180
0
830
0
16,864
74
TOTAL
2,228
2
140,377
47,844
140,400
6,464
625
0
60,927
0
76,328
7,566
Adverse Scenario Details (Exposure and Risk Exposure)
Category
F-IRB Non-defaulted
F-IRB Defaulted
A-IRB Non-defaulted
A-IRB Defaulted
STA Non-defaulted
STA Defaulted
F-IRB Non-defaulted
F-IRB Defaulted
A-IRB Non-defaulted
A-IRB Defaulted
STA Non-defaulted
STA Defaulted
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
0
0
0
0
0
0
0
0
Institutions
463
2
7,325
2
6,264
154
308
0
709
0
4,778
168
Corporates
8
0
66,945
26,552
47,079
0
6
0
19,450
8
2,591
656
Corporates - Of Which: Specialised Lending
0
0
2,190
299
53
0
0
0
3,951
0
0
0
Corporates - Of Which: SME
0
0
17,009
1,066
2,235
46
10
0
4,047
3
868
32
Retail
0
0
29,229
897
1,989
31
0
0
5,721
4
1,302
26
Retail - Secured on real estate property
0
0
20,928
505
534
0
0
0
3,314
2
212
0
Retail - Secured on real estate property - Of Which: SME
0
0
101
9
26
0
0
0
22
0
10
0
Retail - Secured on real estate property - Of Which: non-SME
0
0
20,827
496
508
0
0
0
3,292
2
202
0
Retail - Qualifying Revolving
0
0
2,634
35
81
1
0
0
378
0
61
1
Retail - Other Retail
0
0
5,666
356
1,374
30
0
0
2,028
1
1,030
25
Retail - Other Retail - Of Which: SME
0
0
1,395
77
123
9
0
0
481
1
84
7
Retail - Other Retail - Of Which: non-SME
0
0
4,271
279
1,251
20
0
0
1,547
1
946
17
Equity
64
0
0
0
219
219
139
0
0
0
8,003
222
Securitisation
1,693
0
0
0
0
0
0
0
2,296
0
0
0
Other non-credit obligation assets
0
0
0
0
0
0
0
0
0
0
0
0
TOTAL
2,228
2
140,377
47,844
140,400
6,464
625
0
60,927
0
76,328
7,566
Key Observations
CET1 Ratio: The CET1 ratio decreased from 9.6% in 2013 to 6.8% under the adverse scenario by 2016, but remained at 9.6% under the baseline scenario.
Impairment Losses: Impairment losses increased significantly under the adverse scenario, reaching 25,199 EUR over three years, compared to 12,187 EUR under the baseline.
Risk Exposure: The total risk exposure rose from 408,904 EUR in 2013 to 433,431 EUR under the adverse scenario by 2016.
Impact of Stress: The adverse scenario showed a more pronounced impact on the bank's financial health, with higher cumulative losses and a lower CET1 ratio, indicating a greater risk of insolvency compared to the baseline scenario.
Provisions and Coverage Ratio: The baseline scenario showed consistent provisions and coverage ratios, while the adverse scenario showed variations, suggesting more volatile financial conditions.
