EBA欧洲银行-FR_549300HFEHJOXGE4ZE63_16页_3mb

报告摘要

2014 EU-wide Stress Test Summary for FR - Société de Financement Local

Core Content Overview

The document outlines the results of the 2014 EU-wide Stress Test for the French bank FR - Société de Financement Local, comparing its performance under two key scenarios: the Baseline Scenario and the Adverse Scenario. The data includes financial metrics such as operating profit, impairment losses, capital ratios, and risk exposure values as of 31 December 2013, 2014, 2015, and 2016.

Key Metrics

Actual Figures as of 31 December 2013

Metric	Value (min EUR, %)
Operating profit before impairments	37
Impairment losses on financial and non-financial assets in the banking book	215
Common Equity Tier 1 (CET1) capital	1,446
Total Risk Exposure	6,204
CET1 ratio	23.3%

Outcome of the Adverse Scenario as of 31 December 2016

Metric	Value (min EUR, %)
3-year cumulative operating profit before impairments	-126
3-year cumulative impairment losses on financial and non-financial assets in the banking book	58
3-year cumulative losses from the stress in the trading book	2
Valuation losses due to sovereign shock after tax and prudential filters	83
CET1 capital	1,213
Total Risk Exposure	9,208
CET1 ratio	13.2%

Outcome of the Baseline Scenario as of 31 December 2016

Metric	Value (min EUR, %)
3-year cumulative operating profit before impairments	-57
3-year cumulative impairment losses on financial and non-financial assets in the banking book	8
3-year cumulative losses from the stress in the trading book	1
CET1 capital	1,340
Total Risk Exposure	5,192
CET1 ratio	25.8%

Memorandum Items

Adverse Scenario

Item	Value (min EUR)
Common EU-wide CET1 Threshold (5.5%)	506
Total amount of instruments with mandatory conversion into ordinary shares (2014–2016)	0
Additional Tier 1 and Tier 2 instruments eligible for regulatory capital	0
Of which: eligible instruments with trigger above CET1 ratio in adverse scenario	0

Baseline Scenario

Item	Value (min EUR)
Common EU-wide CET1 Threshold (8.0%)	415

Risk Exposure and Value Adjustments

Baseline Scenario (as of 31/12/2013)

Category	Exposure Values (F-IRB)	Exposure Values (STA)	Risk Exposure Amounts (F-IRB)	Risk Exposure Amounts (STA)
Non-defaulted	0	0	0	0
Defaulted	0	0	0	0
Central banks and central governments	0	0	0	0
Institutions	0	0	0	0
Corporates	0	0	0	0
Retail	0	0	0	0
Securitisation	4,370	0	527	0
Other non-credit obligation assets	0	1,719	0	181
TOTAL	4,370	14,392	527	2,748

Adverse Scenario (as of 31/12/2013)

Category	Exposure Values (F-IRB)	Exposure Values (A-IRB)	Exposure Values (STA)	Risk Exposure Amounts (F-IRB)	Risk Exposure Amounts (A-IRB)	Risk Exposure Amounts (STA)	Value Adjustments and Provisions (F-IRB)	Value Adjustments and Provisions (A-IRB)	Value Adjustments and Provisions (STA)
Non-defaulted	0	0	0	0	0	0	0	0	0
Defaulted	0	0	0	0	0	0	0	0	0
Central banks and central governments	0	0	0	0	0	0	0	0	0
Institutions	0	0	0	0	0	0	0	0	0
Corporates	0	0	0	0	0	0	0	0	0
Retail	0	0	0	0	0	0	0	0	0
Securitisation	0	0	0	0	0	0	0	0	0
Other non-credit obligation assets	0	0	0	0	0	0	0	0	0
TOTAL	0	0	0	0	0	0	0	0	0

Summary of Impairment Rates and Provisions

Baseline Scenario

Year	Impairment Rate	Stock of Provisions	Coverage Ratio - Default Stock
2014	0.00%	11	7.80%
2015	0.00%	59	2.26%
2016	0.00%	70	2.57%

Adverse Scenario

Year	Impairment Rate	Stock of Provisions	Coverage Ratio - Default Stock
2014	0.53%	24	33.95%
2015	0.54%	34	34.12%
2016	0.56%	44	44.00%

Key Observations

CET1 Capital and Ratio: The CET1 capital decreased from 1,446 (23.3%) in 2013 to 1,213 (13.2%) in 2016 under the Adverse Scenario, indicating a significant decline in capital adequacy due to the stress.
Baseline Scenario: The CET1 capital remained relatively stable, decreasing slightly to 1,340 (25.8%) in 2016, showing better resilience compared to the Adverse Scenario.
Impairment Losses: Under the Adverse Scenario, cumulative impairment losses increased from 215 (2013) to 58 (2016), while under the Baseline Scenario, they increased only slightly from 215 to 8.
Risk Exposure: The total risk exposure under the Adverse Scenario rose from 6,204 (2013) to 9,208 (2016), reflecting heightened risk under the stress.
Sovereign Shock Impact: The Adverse Scenario included valuation losses due to sovereign shock, amounting to 83 (after tax and prudential filters), which significantly impacted the bank's capital.
Securitisation and Re-securitisation: These positions were deducted from capital, and their impact was noted in the tables, though the values were zero for all periods in the summary.

Summary of Key Figures

CET1 Capital (2013): 1,446 (23.3%)
CET1 Capital (2016 - Adverse): 1,213 (13.2%)
CET1 Capital (2016 - Baseline): 1,340 (25.8%)
Total Risk Exposure (2013): 6,204
Total Risk Exposure (2016 - Adverse): 9,208
Total Risk Exposure (2016 - Baseline): 5,192
Cumulative Operating Profit (2016 - Adverse): -126
Cumulative Operating Profit (2016 - Baseline): -57
Cumulative Impairment Losses (2016 - Adverse): 58
Cumulative Impairment Losses (2016 - Baseline): 8

Notes

The CET1 Threshold is defined by the EU-wide regulations (5.5% for Adverse, 8.0% for Baseline).
The data is reported according to the CRR/CRD4 transitional arrangements.
The Securitisation and re-securitisations positions are deducted from capital and are not included in Risk Weighted Assets (RWA).

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