2014 EU-wide Stress Test Summary for DK - Jyske Bank
Core Information
Bank Name: DK - Jyske Bank
LEI Code: 3M5E1GQGKL17HI6CPN30
Stress Test Period: 2014 EU-wide Stress Test
Summary of Key Figures
Actual Figures as of 31 December 2013
Indicator
Value (min EUR, %)
Operating profit before impairments
459
Impairment losses on financial and non-financial assets in the banking book
215
Common Equity Tier 1 capital (CET1)
2,264
Total Risk Exposure
15,235
Common Equity Tier 1 ratio
14.9%
Outcome of the Adverse Scenario as of 31 December 2016
Indicator
Value (min EUR, %)
3 yr cumulative operating profit before impairments
958
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
855
3 yr cumulative losses from the stress in the trading book
264
Valuation losses due to sovereign shock after tax and prudential filters
0
Common Equity Tier 1 capital (CET1)
2,313
Total Risk Exposure
17,046
Common Equity Tier 1 ratio
13.6%
Outcome of the Baseline Scenario as of 31 December 2016
Indicator
Value (min EUR, %)
3 yr cumulative operating profit before impairments
1,205
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
364
3 yr cumulative losses from the stress in the trading book
120
Common Equity Tier 1 capital (CET1)
2,858
Total Risk Exposure
15,355
Common Equity Tier 1 ratio
18.6%
Memorandum Items
Adverse Scenario
Item
Value (min EUR)
Common EU wide CET1 Threshold (5.5%)
938
Total amount of instruments with mandatory conversion into ordinary shares in the 2014 -2016 period (cumulative conversions)
0
Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital under the CRR provisions that convert into Common Equity Tier 1 or are written down upon a trigger event
0
Of which: eligible instruments whose trigger is above CET1 capital ratio in the adverse scenario
0
Baseline Scenario
Item
Value (min EUR)
Common EU wide CET1 Threshold (8.0%)
1,228
Exposure and Risk Analysis
Baseline Scenario (as of 31/12/2013)
Exposure Type
F-IRB (Non-defaulted)
F-IRB (Defaulted)
A-IRB (Non-defaulted)
A-IRB (Defaulted)
STA (Non-defaulted)
STA (Defaulted)
Corporates
0
0
12,804
839
542
63
Corporates - Of Which: Specialised Lending
0
0
14
8
0
0
Corporates - Of Which: SME
0
0
6,261
805
317
62
Retail
0
0
7,168
237
927
162
Retail - Secured on real estate property
74.5%
0
3,183
114
498
95
Retail - Secured on real estate property - Of Which: SME
96.4%
0
918
58
140
26
Retail - Secured on real estate property - Of Which: non-SME
66.6%
0
2,264
56
359
69
Retail - Qualifying Revolving
0
0
1,178
19
81
1
Retail - Other Retail
0
0
2,807
105
347
66
Retail - Other Retail - Of Which: SME
0
0
1,196
54
86
5
Retail - Other Retail - Of Which: non-SME
0
0
1,612
47
262
61
Equity
0
0
0
0
440
0
Securitisation
169
0
78
0
0
0
Other non-credit obligation assets
0
0
522
0
0
0
Total
169
0
20,494
1,076
7,694
225
Securitisation and re-securitisations positions deducted from capital
0
0
0
0
0
0
Adverse Scenario (as of 31/12/2013)
Exposure Type
F-IRB (Non-defaulted)
F-IRB (Defaulted)
A-IRB (Non-defaulted)
A-IRB (Defaulted)
STA (Non-defaulted)
STA (Defaulted)
Corporates
0
0
10,674
829
437
27
Corporates - Of Which: Specialised Lending
0
0
14
58
0
0
Corporates - Of Which: SME
0
0
1,189
53
86
5
Retail
0
0
2,738
101
1,166
19
Retail - Secured on real estate property
80.2%
0
3,132
108
912
58
Retail - Secured on real estate property - Of Which: SME
92.6%
0
534
109
274
43
Retail - Secured on real estate property - Of Which: non-SME
75.7%
0
263
40
2,220
50
Retail - Qualifying Revolving
0
0
1,166
18
1,178
1
Retail - Other Retail
0
0
946
81
2,738
101
Retail - Other Retail - Of Which: SME
0
0
408
50
1,196
54
Retail - Other Retail - Of Which: non-SME
0
0
547
34
1,612
47
Equity
0
0
0
0
0
0
Securitisation
69
0
0
0
0
0
Other non-credit obligation assets
0
0
0
0
0
0
Total
69
0
18,211
1,056
6,253
48
Securitisation and re-securitisations positions deducted from capital
0
0
0
0
0
0
Summary of Key Observations
CET1 Ratio: In the baseline scenario, the CET1 ratio increased from 14.9% (2013) to 18.6% (2016), while in the adverse scenario, it decreased slightly to 13.6% (2016), remaining above the EU threshold of 5.5%.
Risk Exposure: The total risk exposure increased in both scenarios, with the adverse scenario showing a higher exposure of 17,046 (min EUR) compared to the baseline scenario's 15,355 (min EUR).
Impairment Losses: The cumulative impairment losses in the adverse scenario were higher than in the baseline scenario, indicating greater financial stress under the adverse conditions.
Trading Book Losses: The adverse scenario reported higher losses from the stress in the trading book compared to the baseline scenario, highlighting the impact of market conditions on the bank's performance.
Value Adjustments and Provisions: These were minimal in both scenarios, with no valuation losses due to sovereign shock in the adverse scenario after tax and prudential filters.
