EBA欧洲银行-GR_M6AD1Y1KW32H8THQ6F76_16页_3mb

报告摘要

2014 EU-wide Stress Test Summary for GR - Piraeus Bank, S.A.

Core Content Overview

The 2014 EU-wide Stress Test provides an assessment of the financial resilience of GR - Piraeus Bank, S.A. under two scenarios: Baseline and Adverse. The test evaluates the bank's performance based on key financial indicators such as operating profit, impairment losses, and capital ratios over a three-year period.

Key Financial Indicators

Actual Figures as of 31 December 2013

Operating profit before impairments: 4,245 min EUR
Impairment losses on financial and non-financial assets in the banking book: 5,194 min EUR
Common Equity Tier 1 (CET1) capital: 5,959 min EUR
Total Risk Exposure: 59,715 min EUR
CET1 ratio: 10.0%

Outcome of the Adverse Scenario as of 31 December 2016

3-year cumulative operating profit before impairments: 1,054 min EUR
3-year cumulative impairment losses on financial and non-financial assets in the banking book: 4,202 min EUR
3-year cumulative losses from the stress in the trading book: 228 min EUR
Valuation losses due to sovereign shock after tax and prudential filters: -8 min EUR
CET1 capital: 2,624 min EUR
Total Risk Exposure: 59,715 min EUR
CET1 ratio: 4.4%

Outcome of the Baseline Scenario as of 31 December 2016

3-year cumulative operating profit before impairments: 2,468 min EUR
3-year cumulative impairment losses on financial and non-financial assets in the banking book: 2,040 min EUR
3-year cumulative losses from the stress in the trading book: 148 min EUR
CET1 capital: 5,395 min EUR
Total Risk Exposure: 59,715 min EUR
CET1 ratio: 9.0%

Memorandum Items

Adverse Scenario

Common EU-wide CET1 Threshold (5.5%): 3,284 min EUR
Total amount of instruments with mandatory conversion into ordinary shares (cumulative conversions): 0 min EUR
Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital under CRR provisions: 0 min EUR
Of which: eligible instruments whose trigger is above CET1 capital ratio in the adverse scenario: 0 min EUR

Baseline Scenario

Common EU-wide CET1 Threshold (8.0%): 4,777 min EUR

Risk Exposure and Value Adjustments

Exposure Values (as of 31 December 2013)

F-IRB (Non-defaulted): 0 min EUR
F-IRB (Defaulted): 0 min EUR
A-IRB (Non-defaulted): 0 min EUR
A-IRB (Defaulted): 0 min EUR
STA (Non-defaulted): 0 min EUR
STA (Defaulted): 0 min EUR

Risk Exposure Amounts (as of 31 December 2013)

F-IRB (Non-defaulted): 0 min EUR
F-IRB (Defaulted): 0 min EUR
A-IRB (Non-defaulted): 0 min EUR
A-IRB (Defaulted): 0 min EUR
STA (Non-defaulted): 0 min EUR
STA (Defaulted): 0 min EUR

Value Adjustments and Provisions (as of 31 December 2013)

F-IRB (Non-defaulted): 0 min EUR
F-IRB (Defaulted): 0 min EUR
A-IRB (Non-defaulted): 0 min EUR
A-IRB (Defaulted): 0 min EUR
STA (Non-defaulted): 0 min EUR
STA (Defaulted): 0 min EUR

Summary of Key Risk Segments

Central banks and central governments

Impairment rate (Baseline): 1.13% (2014), 1.12% (2015), 1.12% (2016)
Stock of Provisions (Baseline): 56 (2014), 111 (2015), 165 (2016)
Coverage Ratio - Default Stock (Baseline): 249.55% (2014), 343.84% (2015), 402.25% (2016)

Institutions

Impairment rate (Baseline): 0.01% (2014), 0.01% (2015), 0.01% (2016)
Stock of Provisions (Baseline): 431 (2014), 432 (2015), 434 (2016)
Coverage Ratio - Default Stock (Baseline): 48.62% (2014), 48.70% (2015), 48.80% (2016)

Corporates

Impairment rate (Baseline): 1.79% (2014), 1.38% (2015), 1.11% (2016)
Stock of Provisions (Baseline): 10,941 (2014), 11,223 (2015), 11,438 (2016)
Coverage Ratio - Default Stock (Baseline): 40.49% (2014), 39.53% (2015), 38.88% (2016)

Retail

Impairment rate (Baseline): 1.28% (2014), 1.27% (2015), 1.36% (2016)
Stock of Provisions (Baseline): 5,946 (2014), 6,094 (2015), 6,341 (2016)
Coverage Ratio - Default Stock (Baseline): 38.73% (2014), 37.42% (2015), 36.41% (2016)

Retail - Secured on Real Estate Property

LTV %: 72.0%
Impairment rate (Baseline): 1.21% (2014), 1.20% (2015), 1.19% (2016)
Stock of Provisions (Baseline): 63 (2014), 123 (2015), 183 (2016)
Coverage Ratio - Default Stock (Baseline): 187.51% (2014), 242.26% (2015), 273.80% (2016)

Retail - Secured on Real Estate Property - Of Which: SME

LTV %: 68.7%
Impairment rate (Baseline): 1.06% (2014), 0.94% (2015), 0.82% (2016)
Stock of Provisions (Baseline): 2,141 (2014), 2,291 (2015), 2,396 (2016)
Coverage Ratio - Default Stock (Baseline): 23.41% (2014), 22.75% (2015), 22.14% (2016)

Retail - Secured on Real Estate Property - Of Which: Specialised Lending

LTV %: 83.2%
Impairment rate (Baseline): 1.82% (2014), 1.46% (2015), 1.22% (2016)
Stock of Provisions (Baseline): 10,941 (2014), 11,223 (2015), 11,438 (2016)
Coverage Ratio - Default Stock (Baseline): 40.49% (2014), 39.53% (2015), 38.88% (2016)

Retail - Other Retail

Impairment rate (Baseline): 1.28% (2014), 1.27% (2015), 1.36% (2016)
Stock of Provisions (Baseline): 5,946 (2014), 6,094 (2015), 6,341 (2016)
Coverage Ratio - Default Stock (Baseline): 38.73% (2014), 37.42% (2015), 36.41% (2016)

Equity

Impairment rate (Baseline): 0.00% (2014), 0.00% (2015), 0.00% (2016)
Stock of Provisions (Baseline): 0 (2014), 0 (2015), 0 (2016)
Coverage Ratio - Default Stock (Baseline): - (2014), - (2015), - (2016)

Securitisation

Impairment rate (Baseline): 0.00% (2014), 0.00% (2015), 0.00% (2016)
Stock of Provisions (Baseline): 0 (2014), 0 (2015), 0 (2016)
Coverage Ratio - Default Stock (Baseline): - (2014), - (2015), - (2016)

Other Non-Credit Obligation Assets

Impairment rate (Baseline): 0.00% (2014), 0.00% (2015), 0.00% (2016)
Stock of Provisions (Baseline): 0 (2014), 0 (2015), 0 (2016)
Coverage Ratio - Default Stock (Baseline): - (2014), - (2015), - (2016)

Summary of Key Findings

Under the Adverse Scenario, the CET1 ratio of GR - Piraeus Bank, S.A. dropped from 10.0% (as of 31/12/2013) to 4.4% (as of 31/12/2016), indicating a significant decline in capital adequacy.
Under the Baseline Scenario, the CET1 ratio slightly decreased to 9.0% (as of 31/12/2016), suggesting a less severe impact compared to the adverse scenario.
The bank experienced a cumulative loss in the trading book under both scenarios, with the adverse scenario showing higher losses (228 min EUR) than the baseline (148 min EUR).
The Baseline Scenario showed a more stable impairment rate and coverage ratio over the three years, with the CET1 capital decreasing from 5,959 min EUR to 5,395 min EUR.
The Adverse Scenario led to a larger cumulative impairment loss (4,202 min EUR) and a more significant decline in CET1 capital (2,624 min EUR).
The Memorandum Items indicate that the bank did not have any instruments with mandatory conversion or eligible instruments for regulatory capital under the CRR provisions.
The Baseline Scenario for Greece and Romania shows varying levels of impairment rates and coverage ratios across different risk segments, with a notable decline in the CET1 ratio over time.