EBA欧洲银行-EBA_ST_DK_LIU16F6VZJSD6UKHD557_34页_5mb

2018 EU-wide Stress Test Summary for Nykredit Realkredit

Core Information

• Bank Name: Nykredit Realkredit
• LEI Code: LIU16F6VZJSD6UKHD557
• Country Code: DK (Denmark)
• Test Type: Credit Risk IRB (Internal Ratings-Based)
• Test Period: 2017–2020

Key Financial Metrics

Main Findings and Observations

Profitability and Income

• Net Interest Income slightly declines in both the baseline and adverse scenarios compared to the actual figures in 2017.
• Gains on financial assets are minimal in baseline but drop significantly in the adverse scenario.
• Impairment charges increase in the adverse scenario, reflecting higher credit risk and potential losses.
• Profit for the year shows a decline in the adverse scenario, with a significant drop in 2020 compared to 2018 and 2019.

Capital Adequacy Ratios

• CET1 ratio remains above the regulatory minimum in all scenarios, but the adverse scenario leads to a notable decrease.
• Fully loaded CET1 ratio also shows a decline in adverse conditions, though still above the minimum.
• Leverage ratio is maintained above the regulatory threshold in baseline, but drops in adverse conditions.
• Fully loaded leverage ratio follows a similar trend, showing a decline in adverse scenarios.

Risk Exposure

• Total risk exposure remains constant in baseline but increases in adverse scenarios.
• Non-performing exposure increases under adverse conditions, indicating a higher risk of loan defaults.
• Coverage ratio for non-performing exposure decreases in the adverse scenario, suggesting that the bank may have less capacity to absorb losses.

Credit Risk IRB Breakdown

Exposure Values

• Non-defaulted exposures are categorized under A-IRB and F-IRB models.
• Defaulted exposures are reported under both A-IRB and F-IRB, with specific breakdowns for different types of loans.

Risk Exposure Amounts

• Performing exposure is consistent across all scenarios.
• Non-performing exposure increases in adverse scenarios, particularly in retail and corporate segments.
• Stock of provisions increases in adverse scenarios, indicating higher expected credit losses.
• Coverage ratio for non-performing exposures is reported for each segment, with retail showing the highest ratio.

Segment Analysis

Corporate Loans

• Non-defaulted exposures are significantly higher in A-IRB than in F-IRB.
• Defaulted exposures are lower under A-IRB, suggesting more conservative risk assessment.
• Non-performing exposure increases in adverse scenarios, with a coverage ratio of 21.1% for SMEs and 19.9% for general corporates.

Retail Loans

• Non-defaulted exposures are also higher in A-IRB than in F-IRB.
• Defaulted exposures are lower in A-IRB, again showing a more conservative approach.
• Non-performing exposure is the highest in the retail segment, with a coverage ratio of 22.0%.
• Secured on real estate retail loans have a lower coverage ratio than unsecured retail loans, with 18.4% and 82.7% respectively.

Specialised Lending and SMEs

• Specialised lending and SME loans show lower exposure values in both A-IRB and F-IRB.
• Non-performing exposure is relatively low for SMEs, but the coverage ratio is still significant at 21.1%.

Key Notes

• Non-performing exposure is a critical metric for assessing the bank's credit risk under adverse conditions.
• Capital ratios are generally stable in baseline scenarios but show a decline under adverse conditions.
• Provisions increase in adverse scenarios, reflecting the bank's need to absorb potential losses.
• The Methodological note provides the basis for computing all metrics, with reference to paragraphs 49 and 112.