EBA欧洲银行-IT_815600D79C96B9661149_16页_3mb

2014 EU-wide Stress Test Summary for IT - Iccrea Holding S.p.A

Core Information

• Bank Name: IT - Iccrea Holding S.p.A
• LEI Code: 815600D79C96B9661149
• Test Type: EU-wide Stress Test
• Reporting Date: 31 December 2016
• Reported Metrics: Operating profit, impairment losses, CET1 capital, Total Risk Exposure, CET1 ratio

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Summary of Actual Figures (as of 31 December 2013)

Metric	Value (min EUR)	%
Operating profit before impairments	292	-
Impairment losses on financial and non-financial assets in the banking book	297	-
Common Equity Tier 1 capital (CET1)	1,437	-
Total Risk Exposure	13,480	-
Common Equity Tier 1 ratio	10.7%	-

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Summary of Adverse Scenario Outcomes (as of 31 December 2016)

Metric	Value (min EUR)	%
3 yr cumulative operating profit before impairments	671	-
3 yr cumulative impairment losses on financial and non-financial assets in the banking book	1,271	-
3 yr cumulative losses from the stress in the trading book	20	-
Valuation losses due to sovereign shock after tax and prudential filters	12	-
Common Equity Tier 1 capital (CET1)	1,013	-
Total Risk Exposure	13,764	-
Common Equity Tier 1 ratio	7.4%	-

CET1 Threshold (Adverse Scenario): 5.5% (value: 757 min EUR)

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Summary of Baseline Scenario Outcomes (as of 31 December 2016)

Metric	Value (min EUR)	%
3 yr cumulative operating profit before impairments	556	-
3 yr cumulative impairment losses on financial and non-financial assets in the banking book	423	-
3 yr cumulative losses from the stress in the trading book	10	-
Common Equity Tier 1 capital (CET1)	1,530	-
Total Risk Exposure	13,648	-
Common Equity Tier 1 ratio	11.2%	-

CET1 Threshold (Baseline Scenario): 8.0% (value: 1,092 min EUR)

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Key Findings

• CET1 Ratio Trends:

  • As of 31 December 2013, the CET1 ratio was 10.7%.
  • In the Baseline Scenario as of 31 December 2016, the CET1 ratio improved to 11.2%.
  • In the Adverse Scenario as of 31 December 2016, the CET1 ratio decreased to 7.4%, below the 5.5% threshold.

• Operating Profit:

  • In the Baseline Scenario, cumulative operating profit over 3 years increased from 292 to 556 min EUR.
  • In the Adverse Scenario, cumulative operating profit over 3 years increased from 292 to 671 min EUR.

• Impairment Losses:

  • In the Baseline Scenario, cumulative impairment losses over 3 years increased from 297 to 423 min EUR.
  • In the Adverse Scenario, cumulative impairment losses over 3 years increased from 297 to 1,271 min EUR.

• Trading Book Losses:

  • The Baseline Scenario reported a cumulative trading book loss of 10 min EUR.
  • The Adverse Scenario reported a cumulative trading book loss of 20 min EUR.

• Valuation Losses:

  • The Adverse Scenario included valuation losses due to sovereign shock of 12 min EUR after tax and prudential filters.

• Capital and Risk Exposure:

  • CET1 capital decreased from 1,437 to 1,013 min EUR in the Adverse Scenario.
  • Total Risk Exposure increased slightly from 13,480 to 13,764 min EUR in the Adverse Scenario.

• Mandatory Conversions:

  • No instruments with mandatory conversion into ordinary shares were reported in the 2014-2016 period.
  • No Additional Tier 1 or Tier 2 instruments were eligible for conversion into CET1 or written down in the adverse scenario.

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Risk Exposure by Sector (as of 31 December 2013)

Sector	Exposure (F-IRB)	Exposure (A-IRB)	Exposure (STA)	Risk Exposure (F-IRB)	Risk Exposure (A-IRB)	Risk Exposure (STA)	Value Adjustments and Provisions (F-IRB)	Value Adjustments and Provisions (A-IRB)	Value Adjustments and Provisions (STA)
Central banks and central governments	0	0	0	31,396	0	0	781	0	0
Institutions	0	0	0	3,340	136	0	1,806	146	0
Corporates	0	0	0	6,229	691	0	5,508	828	0
Corporates - SME	0	0	0	4,439	548	0	3,747	652	0
Retail	0	0	0	3,376	679	0	1,925	765	0
Retail - Secured on real estate property	79.2%	0	0	1,198	124	0	534	133	0
Retail - Secured on real estate property - SME	81.7%	0	0	1,033	115	0	470	125	0
Retail - Secured on real estate property - non-SME	63.4%	0	0	165	9	0	65	9	0
Retail - Other Retail	0	0	0	2,178	555	0	1,390	632	0
Retail - Other Retail - SME	0	0	0	1,382	482	0	793	543	0
Retail - Other Retail - non-SME	0	0	0	796	73	0	597	88	0
Equity	0	0	0	61	0	0	148	0	0
Securitisation	0	0	0	0	0	0	0	0	0
Other non-credit obligation assets	0	0	0	541	0	0	281	0	0
TOTAL	0	0	0	44,942	1,505	0	10,447	1,739	0

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Additional Notes

• Securitisation Deductions: Securitisation and re-securitisation positions were deducted from capital and not included in Risk Weighted Assets (RWA).
• Coverage Ratios: The coverage ratio for default stock in the Baseline Scenario increased over the 3 years, indicating improved capital adequacy.
• Impairment Rates: Impairment rates and stock of provisions varied across different sectors, with some showing significant increases in the adverse scenario.
• LTV Ratios: LTV ratios were reported for certain sectors, such as Retail - Secured on real estate property, which varied between 63.4% and 81.7%.