EBA欧洲银行-DE_VDYMYTQGZZ6DU0912C88_16页_3mb
报告摘要
2014 EU-wide Stress Test Summary for DE - Bayerische Landesbank
Core Information
- Bank Name: DE - Bayerische Landesbank
- LEI Code: VDMYTQGZZ6DU0912C88
- Test Type: EU-wide Stress Test
- Reporting Period: 2014 - 2016
- Regulatory Framework: CRR/CRD4
Summary of Adverse Scenario
Actual Figures as of 31 December 2013
- Operating profit before impairments: 793 mln EUR
- Impairment losses on financial and non-financial assets in the banking book: 1,320 mln EUR
- Common Equity Tier 1 (CET1) capital: 12,360 mln EUR
- Total Risk Exposure: 93,669 mln EUR
- CET1 ratio: 13.2%
Outcome as of 31 December 2016
- 3 yr cumulative operating profit before impairments: 1,985 mln EUR
- 3 yr cumulative impairment losses on financial and non-financial assets in the banking book: 2,542 mln EUR
- 3 yr cumulative losses from the stress in the trading book: 493 mln EUR
- Valuation losses due to sovereign shock after tax and prudential filters: 138 mln EUR
- CET1 capital: 10,905 mln EUR
- Total Risk Exposure: 116,413 mln EUR
- CET1 ratio: 9.4%
Memorandum Items
- Common EU-wide CET1 Threshold (5.5%): 6,403 mln EUR
- Total amount of instruments with mandatory conversion into ordinary shares (cumulative conversions): 0 mln EUR
- Total Additional Tier 1 and Tier 2 instruments eligible for regulatory capital: 0 mln EUR
- Of which: eligible instruments whose trigger is above CET1 capital ratio in the adverse scenario: 0 mln EUR
Summary of Baseline Scenario
Actual Figures as of 31 December 2013
- Operating profit before impairments: 793 mln EUR
- Impairment losses on financial and non-financial assets in the banking book: 1,320 mln EUR
- CET1 capital: 12,360 mln EUR
- Total Risk Exposure: 93,669 mln EUR
- CET1 ratio: 13.2%
Outcome as of 31 December 2016
- 3 yr cumulative operating profit before impairments: 2,580 mln EUR
- 3 yr cumulative impairment losses on financial and non-financial assets in the banking book: 1,123 mln EUR
- 3 yr cumulative losses from the stress in the trading book: 160 mln EUR
- CET1 capital: 11,699 mln EUR
- Total Risk Exposure: 94,296 mln EUR
- CET1 ratio: 12.4%
Memorandum Items
- Common EU-wide CET1 Threshold (8.0%): 7,544 mln EUR
Exposure and Risk Breakdown
LTV % and Exposure Values (as of 31/12/2013)
| Category |
LTV % |
F-IRB Non-defaulted |
F-IRB Defaulted |
A-IRB Non-defaulted |
A-IRB Defaulted |
STA Non-defaulted |
STA Defaulted |
| Central banks and central governments |
- |
49,187 |
0 |
0 |
0 |
13,597 |
0 |
| Institutions |
- |
34,439 |
664 |
0 |
0 |
39,099 |
0 |
| Corporates |
- |
93,435 |
2,855 |
0 |
0 |
48,906 |
0 |
| Corporates - Of Which: Specialised Lending |
- |
21,328 |
1,290 |
0 |
0 |
12,543 |
0 |
| Corporates - Of Which: SME |
- |
25,999 |
714 |
0 |
0 |
16,500 |
0 |
| Retail |
- |
0 |
0 |
15,098 |
676 |
4,706 |
354 |
| Retail - Secured on real estate property |
80.6% |
0 |
0 |
0 |
0 |
0 |
0 |
| Retail - Secured on real estate property - Of Which: SME |
- |
0 |
0 |
0 |
0 |
0 |
0 |
| Retail - Secured on real estate property - Of Which: non-SME |
- |
0 |
0 |
0 |
0 |
0 |
0 |
| Retail - Qualifying Revolving |
- |
0 |
0 |
3,450 |
7 |
0 |
1 |
| Retail - Other Retail |
- |
0 |
0 |
1,571 |
114 |
1,737 |
191 |
| Retail - Other Retail - Of Which: SME |
- |
0 |
0 |
267 |
4 |
67 |
0 |
| Retail - Other Retail - Of Which: non-SME |
- |
0 |
0 |
1,304 |
110 |
1,670 |
191 |
| Equity |
- |
301 |
0 |
0 |
0 |
0 |
0 |
| Securitisation |
- |
186 |
0 |
2,034 |
81 |
3,410 |
0 |
| Other non-credit obligation assets |
- |
697 |
0 |
0 |
0 |
551 |
0 |
| TOTAL |
- |
178,246 |
3,519 |
17,132 |
757 |
66,392 |
817 |
Risk Exposure Amounts (as of 31/12/2013)
| Category |
F-IRB Non-defaulted |
F-IRB Defaulted |
A-IRB Non-defaulted |
A-IRB Defaulted |
STA Non-defaulted |
STA Defaulted |
| Central banks and central governments |
1,004 |
0 |
9,701 |
0 |
4,607 |
533 |
| Institutions |
0 |
0 |
0 |
0 |
0 |
0 |
| Corporates |
0 |
0 |
0 |
0 |
0 |
0 |
| Corporates - Of Which: Specialised Lending |
0 |
0 |
0 |
0 |
0 |
0 |
| Corporates - Of Which: SME |
0 |
0 |
0 |
0 |
0 |
0 |
| Retail |
0 |
0 |
0 |
0 |
0 |
0 |
| Retail - Secured on real estate property |
0 |
0 |
0 |
0 |
0 |
0 |
| Retail - Secured on real estate property - Of Which: SME |
0 |
0 |
0 |
0 |
0 |
0 |
| Retail - Secured on real estate property - Of Which: non-SME |
0 |
0 |
0 |
0 |
0 |
0 |
| Retail - Qualifying Revolving |
0 |
0 |
0 |
0 |
0 |
0 |
| Retail - Other Retail |
0 |
0 |
0 |
0 |
0 |
0 |
| Retail - Other Retail - Of Which: SME |
0 |
0 |
0 |
0 |
0 |
0 |
| Retail - Other Retail - Of Which: non-SME |
0 |
0 |
0 |
0 |
0 |
0 |
| Equity |
0 |
0 |
0 |
0 |
0 |
0 |
| Securitisation |
0 |
0 |
0 |
0 |
0 |
0 |
| Other non-credit obligation assets |
0 |
0 |
0 |
0 |
0 |
0 |
| TOTAL |
5,277 |
533 |
14,296 |
962 |
123 |
1,244 |
Value Adjustments and Provisions (as of 31/12/2013)
| Category |
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 |
| Institutions |
0 |
0 |
0 |
0 |
0 |
0 |
| Corporates |
0 |
0 |
0 |
0 |
0 |
0 |
| Corporates - Of Which: Specialised Lending |
0 |
0 |
0 |
0 |
0 |
0 |
| Corporates - Of Which: SME |
0 |
0 |
0 |
0 |
0 |
0 |
| Retail |
0 |
0 |
0 |
0 |
0 |
0 |
| Retail - Secured on real estate property |
0 |
0 |
0 |
0 |
0 |
0 |
| Retail - Secured on real estate property - Of Which: SME |
0 |
0 |
0 |
0 |
0 |
0 |
| Retail - Secured on real estate property - Of Which: non-SME |
0 |
0 |
0 |
0 |
0 |
0 |
| Retail - Qualifying Revolving |
0 |
0 |
0 |
0 |
0 |
0 |
| Retail - Other Retail |
0 |
0 |
0 |
0 |
0 |
0 |
| Retail - Other Retail - Of Which: SME |
0 |
0 |
0 |
0 |
0 |
0 |
| Retail - Other Retail - Of Which: non-SME |
0 |
0 |
0 |
0 |
0 |
0 |
| Equity |
0 |
0 |
0 |
0 |
0 |
0 |
| Securitisation |
0 |
0 |
0 |
0 |
0 |
0 |
| Other non-credit obligation assets |
0 |
0 |
0 |
0 |
0 |
0 |
| TOTAL |
7 |
343 |
154 |
832 |
0 |
0 |
Impairment Rate and Coverage Ratio
Adverse Scenario
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.01% |
7 |
27.07% |
| 2015 |
0.01% |
10 |
26.21% |
| 2016 |
0.01% |
14 |
25.80% |
Baseline Scenario
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.00% |
1 |
25.80% |
| 2015 |
0.00% |
1 |
25.80% |
| 2016 |
0.00% |
1 |
25.80% |
Additional Notes
- Securitisation and re-securitisations positions deducted from capital: These positions are not included in Risk Weighted Assets (RWA).
- The bank's CET1 ratio decreased from 13.2% to 9.4% under the adverse scenario, indicating a significant capital erosion.
- Under the baseline scenario, the CET1 ratio decreased slightly from 13.2% to 12.4%, suggesting a more moderate impact on capital.
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