EBA欧洲银行-FR_9695005MSX1OYEMGDF46_16页_3mb

2014 EU-wide Stress Test Summary for FR - Groupe BPCE

Core Content

The 2014 EU-wide Stress Test evaluates the financial resilience of FR - Groupe BPCE under two scenarios: Baseline and Adverse. These tests are designed to assess the bank's ability to withstand economic downturns and ensure compliance with capital requirements.

Baseline Scenario

• Actual figures as of 31 December 2013:

  • Operating profit before impairments: 6,200 million EUR
  • Impairment losses on financial and non-financial assets in the banking book: 3,530 million EUR
  • Common Equity Tier 1 (CET1) capital: 41,199 million EUR
  • Total Risk Exposure: 410,521 million EUR
  • CET1 ratio: 10.0%

• Outcome as of 31 December 2016:

  • 3-year cumulative operating profit before impairments: 12,387 million EUR
  • 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 5,968 million EUR
  • 3-year cumulative losses from the stress in the trading book: 1,195 million EUR
  • CET1 capital: 42,935 million EUR
  • Total Risk Exposure: 423,903 million EUR
  • CET1 ratio: 10.1%

• CET1 Threshold (8.0%): 33,912 million EUR

Adverse Scenario

• Actual figures as of 31 December 2013:

  • Operating profit before impairments: 6,200 million EUR
  • Impairment losses on financial and non-financial assets in the banking book: 3,530 million EUR
  • CET1 capital: 41,199 million EUR
  • Total Risk Exposure: 410,521 million EUR
  • CET1 ratio: 10.0%

• Outcome as of 31 December 2016:

  • 3-year cumulative operating profit before impairments: 6,679 million EUR
  • 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 14,309 million EUR
  • 3-year cumulative losses from the stress in the trading book: 2,215 million EUR
  • Valuation losses due to sovereign shock after tax and prudential filters: 776 million EUR
  • CET1 capital: 32,058 million EUR
  • Total Risk Exposure: 458,147 million EUR
  • CET1 ratio: 7.0%

• CET1 Threshold (5.5%): 25,198 million EUR

Key Information

Capital and Risk Exposure

• CET1 capital decreases in the Adverse Scenario, from 41,199 million EUR in 2013 to 32,058 million EUR in 2016, indicating a significant capital erosion under adverse conditions.
• Total Risk Exposure increases in the Adverse Scenario, from 410,521 million EUR in 2013 to 458,147 million EUR in 2016, showing higher risk exposure under stress.
• CET1 ratio drops from 10.0% in 2013 to 7.0% in 2016 in the Adverse Scenario, which is below the threshold of 5.5%, highlighting potential capital shortfalls.

Risk Exposure by Sector

• Central banks and central governments:
  • Exposure values under F-IRB and A-IRB are relatively stable, with minimal default risk.
  • Risk exposure amounts are high, indicating a significant portion of the bank's portfolio is exposed to these entities.
• Institutions:
  • Exposure values and risk exposure amounts are moderate, with some default risk.
• Corporates:
  • High exposure values, with notable default risk.
  • Specialised Lending and SME segments show varying degrees of risk, with SMEs having higher default risk.
• Retail:
  • High exposure, particularly in the trading book, with some losses recorded in the Adverse Scenario.
  • Secured on real estate property has a significant portion of the portfolio, with higher risk in the adverse environment.

Impairment and Coverage Ratios

• Impairment rates and Stock of Provisions increase over time in both scenarios, indicating a rise in credit risk.
• Coverage Ratios decrease in both scenarios, suggesting a reduced ability to cover potential losses, especially in the Adverse Scenario.

Memorandum Items

• Mandatory conversions of instruments into ordinary shares are not considered for CET1 computation in the 2014–2016 period.
• Eligible instruments that convert into CET1 or are written down upon a trigger event are not applicable in this case.
• Securitisation positions are deducted from capital and not included in Risk Weighted Assets (RWA) in the adverse scenario.

Main Points

• The bank's CET1 ratio under the Adverse Scenario falls below the EU threshold of 5.5%, indicating a potential capital shortfall.
• Impairment losses and operating profit show a decline in the Adverse Scenario, reflecting the impact of economic stress.
• Risk exposure increases significantly in the Adverse Scenario, particularly in the trading book and corporate segments.
• The Baseline Scenario shows a more stable trend, with a CET1 ratio of 10.1% in 2016, slightly above the 8.0% threshold.
• The risk profile is more pronounced in the Adverse Scenario, with higher losses and lower capital ratios.

Summary of Outcomes

• Baseline Scenario:

  • Maintains a CET1 ratio above the required threshold.
  • Shows relatively stable impairment rates and coverage ratios.

• Adverse Scenario:

  • Results in a CET1 ratio of 7.0%, which is below the 5.5% threshold.
  • Leads to higher impairment losses and greater risk exposure, especially in the trading book and corporate sectors.

This analysis underscores the importance of stress testing in evaluating the resilience of financial institutions under different economic conditions and highlights the need for adequate capital buffers and risk management practices.