EBA欧洲银行-GR_5299009N55YRQC69CN08_16页_3mb

2014 EU-wide Stress Test Summary: GR - Alpha Bank, S.A.

Core Information

• Bank Name: GR - Alpha Bank, S.A.
• LEI Code: 5299009N55YRQC69CN08

Summary of Adverse Scenario (as of 31 December 2016)

• 3-year cumulative operating profit before impairments: 2,366 EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 5,029 EUR
• 3-year cumulative losses from the stress in the trading book: 207 EUR
• Valuation losses due to sovereign shock after tax and prudential filters: -48 EUR
• Common Equity Tier 1 (CET1) capital: 4,189 EUR
• Total Risk Exposure: 51,918 EUR
• CET1 ratio: 8.1%

Summary of Baseline Scenario (as of 31 December 2016)

• 3-year cumulative operating profit before impairments: 3,000 EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 2,346 EUR
• 3-year cumulative losses from the stress in the trading book: 112 EUR
• Common Equity Tier 1 (CET1) capital: 7,216 EUR
• Total Risk Exposure: 52,261 EUR
• CET1 ratio: 13.8%

Memorandum Items

• Common EU-wide CET1 Threshold (5.5%): 2,856 EUR
• Total amount of instruments with mandatory conversion into ordinary shares (2014-2016): 0 EUR
• Total Additional Tier 1 and Tier 2 instruments eligible for regulatory capital: 0 EUR
• Eligible instruments whose trigger is above CET1 ratio in adverse scenario: 0 EUR

Summary of Baseline Scenario (as of 31 December 2013)

• Operating profit before impairments: 1,070 EUR
• Impairment losses on financial and non-financial assets in the banking book: 3,168 EUR
• CET1 capital: 7,269 EUR
• Total Risk Exposure: 51,754 EUR
• CET1 ratio: 14.0%

Summary of Adverse Scenario (as of 31 December 2013)

• Valuation losses due to sovereign shock after tax and prudential filters: -48 EUR
• CET1 capital: 4,189 EUR
• Total Risk Exposure: 51,918 EUR
• CET1 ratio: 8.1%

Key Observations

• CET1 ratio: Under the adverse scenario, the CET1 ratio drops significantly from 14.0% to 8.1%, indicating a substantial decline in capital adequacy.
• Impairment losses: In the adverse scenario, the cumulative impairment losses increase from 3,168 EUR to 5,029 EUR over three years, showing a greater impact on the bank's financial health.
• Operating profit: The operating profit before impairments increases from 1,070 EUR to 2,366 EUR in the adverse scenario, suggesting a potential recovery in operational performance despite higher impairment losses.
• Trading book losses: The adverse scenario shows higher cumulative losses in the trading book compared to the baseline scenario, indicating more severe market stress.
• Sovereign shock impact: The valuation losses due to sovereign shock are negative, showing the bank's exposure to sovereign debt risks.
• Risk exposure: The total risk exposure remains relatively stable across both scenarios, with a slight increase in the adverse scenario.

Detailed Breakdown by Asset Type

Baseline Scenario (as of 31 December 2013)

• LTV %: Varies across different asset types, with the highest for Retail - Secured on real estate property at 76.0%
• Exposure values:
  • F-IRB: 65,223 EUR (Non-defaulted) and 10,238 EUR (Defaulted)
  • A-IRB: 38,393 EUR (Non-defaulted) and 9,041 EUR (Defaulted)
  • STA: 1,694 EUR (Non-defaulted) and 9,411 EUR (Defaulted)
• Risk exposure amounts:
  • F-IRB: 331 EUR (Non-defaulted) and 0 EUR (Defaulted)
  • A-IRB: 331 EUR (Non-defaulted) and 0 EUR (Defaulted)
  • STA: 234 EUR (Non-defaulted) and 0 EUR (Defaulted)
• Value adjustments and provisions:
  • F-IRB: 183 EUR (Non-defaulted) and 1.505 EUR (Defaulted)
  • A-IRB: 183 EUR (Non-defaulted) and 1.505 EUR (Defaulted)
  • STA: 183 EUR (Non-defaulted) and 1.505 EUR (Defaulted)

Adverse Scenario (as of 31 December 2013)

• LTV %: Varies across different asset types, with the highest for Retail - Secured on real estate property at 78.8%
• Exposure values:
  • F-IRB: 65,223 EUR (Non-defaulted) and 10,238 EUR (Defaulted)
  • A-IRB: 38,393 EUR (Non-defaulted) and 9,041 EUR (Defaulted)
  • STA: 1,694 EUR (Non-defaulted) and 9,411 EUR (Defaulted)
• Risk exposure amounts:
  • F-IRB: 331 EUR (Non-defaulted) and 0 EUR (Defaulted)
  • A-IRB: 331 EUR (Non-defaulted) and 0 EUR (Defaulted)
  • STA: 234 EUR (Non-defaulted) and 0 EUR (Defaulted)
• Value adjustments and provisions:
  • F-IRB: 183 EUR (Non-defaulted) and 1.505 EUR (Defaulted)
  • A-IRB: 183 EUR (Non-defaulted) and 1.505 EUR (Defaulted)
  • STA: 183 EUR (Non-defaulted) and 1.505 EUR (Defaulted)

Summary of Impairment Rates and Provisions

Baseline Scenario

• Impairment rate: 2.72% (2014), 2.91% (2015), 3.14% (2016)
• Stock of Provisions: 64 (2014), 120 (2015), 176 (2016)
• Coverage Ratio - Default Stock: 43.03% (2014), 41.53% (2015), 41.02% (2016)

Adverse Scenario

• Impairment rate: 4.78% (2014), 5.43% (2015), 6.29% (2016)
• Stock of Provisions: 107 (2014), 205 (2015), 303 (2016)
• Coverage Ratio - Default Stock: 41.74% (2014), 40.86% (2015), 40.56% (2016)

Additional Notes

• Securitisation and re-securitisations positions deducted from capital: 0 EUR in both scenarios
• Impact of stress scenarios: The adverse scenario results in a more significant decline in CET1 ratio and an increase in impairment losses, suggesting higher vulnerability to economic stress.