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2014 EU-wide Stress Test Summary

Core Content Overview

The 2014 EU-wide Stress Test provides an analysis of the financial resilience of banks across the European Union under both Baseline and Adverse scenarios. This summary focuses on DE - KfW IPEX-Bank GmbH, a German bank, and includes key figures from the test results as of 31 December 2013 and the outcomes as of 31 December 2016.

Key Figures

Actual Figures (as of 31 December 2013)

• Operating profit before impairments: 285 min EUR
• Impairment losses on financial and non-financial assets in the banking book: 280 min EUR
• Common Equity Tier 1 (CET1) capital: 2,398 min EUR
• Total Risk Exposure: 18,769 min EUR
• CET1 ratio: 12.8%

Adverse Scenario Outcome (as of 31 December 2016)

• 3-year cumulative operating profit before impairments: 486 min EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 712 min EUR
• 3-year cumulative losses from the stress in the trading book: 0 min EUR
• Valuation losses due to sovereign shock after tax and prudential filters: 0 min EUR
• CET1 capital: 2,032 min EUR
• Total Risk Exposure: 21,586 min EUR
• CET1 ratio: 9.4%

Baseline Scenario Outcome (as of 31 December 2016)

• 3-year cumulative operating profit before impairments: 661 min EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 433 min EUR
• CET1 capital: 2,324 min EUR
• Total Risk Exposure: 18,881 min EUR
• CET1 ratio: 12.3%

Memorandum Items

• Common EU-wide CET1 Threshold (5.5%): 1,187 min EUR
• Total amount of instruments with mandatory conversion into ordinary shares (2014–2016): 0 min EUR
• Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital: 0 min EUR
• Eligible instruments with trigger above CET1 in adverse scenario: 0 min EUR

Baseline Scenario Details (Exposure and Risk)

Exposure Values (as of 31 December 2013)

• Non-defaulted:
  • F-IRB: 151 min EUR
  • A-IRB: 14,441 min EUR
  • STA: 12,910 min EUR
• Defaulted:
  • F-IRB: 27 min EUR
  • A-IRB: 442 min EUR
  • STA: 1,026 min EUR

Risk Exposure Amounts (as of 31 December 2013)

• Non-defaulted:
  • F-IRB: 287 min EUR
  • A-IRB: 8,887 min EUR
  • STA: 8,079 min EUR
• Defaulted:
  • F-IRB: 51 min EUR
  • A-IRB: 135 min EUR
  • STA: 3 min EUR

Value Adjustments and Provisions (as of 31 December 2013)

• Non-defaulted:
  • F-IRB: 0 min EUR
  • A-IRB: 7,924 min EUR
  • STA: 47 min EUR
• Defaulted:
  • F-IRB: 49 min EUR
  • A-IRB: 172 min EUR
  • STA: 470 min EUR

Adverse Scenario Details (Exposure and Risk)

Exposure Values (as of 31 December 2013)

• Non-defaulted:
  • F-IRB: 151 min EUR
  • A-IRB: 4,851 min EUR
  • STA: 5,977 min EUR
• Defaulted:
  • F-IRB: 27 min EUR
  • A-IRB: 31 min EUR
  • STA: 14 min EUR

Risk Exposure Amounts (as of 31 December 2013)

• Non-defaulted:
  • F-IRB: 287 min EUR
  • A-IRB: 3,300 min EUR
  • STA: 1,914 min EUR
• Defaulted:
  • F-IRB: 51 min EUR
  • A-IRB: 135 min EUR
  • STA: 3 min EUR

Value Adjustments and Provisions (as of 31 December 2013)

• Non-defaulted:
  • F-IRB: 0 min EUR
  • A-IRB: 23 min EUR
  • STA: 47 min EUR
• Defaulted:
  • F-IRB: 49 min EUR
  • A-IRB: 470 min EUR
  • STA: 14 min EUR

Summary of Impairment Rates and Provisions

Baseline Scenario

• Impairment rate (as of 31/12/2014): 0.03%
• Stock of Provisions: 7 min EUR
• Coverage Ratio - Default Stock: 42.48%
• Impairment rate (as of 31/12/2015): 0.05%
• Stock of Provisions: 7 min EUR
• Coverage Ratio - Default Stock: 42.81%
• Impairment rate (as of 31/12/2016): 0.02%
• Stock of Provisions: 7 min EUR
• Coverage Ratio - Default Stock: 42.81%

Adverse Scenario

• Impairment rate (as of 31/12/2014): 0.04%
• Stock of Provisions: 7 min EUR
• Coverage Ratio - Default Stock: 42.13%
• Impairment rate (as of 31/12/2015): 0.04%
• Stock of Provisions: 9 min EUR
• Coverage Ratio - Default Stock: 41.70%
• Impairment rate (as of 31/12/2016): 0.05%
• Stock of Provisions: 10 min EUR
• Coverage Ratio - Default Stock: 41.68%

Main Observations

• CET1 capital decreased from 12.8% (2013) to 9.4% (2016) under the adverse scenario, indicating a decline in capital adequacy.
• Under the baseline scenario, the CET1 ratio remained relatively stable at 12.3% (2016), showing better resilience compared to the adverse scenario.
• The 3-year cumulative impairment losses increased significantly under the adverse scenario, reaching 712 min EUR compared to 433 min EUR under the baseline scenario.
• The Total Risk Exposure increased from 18,769 min EUR (2013) to 21,586 min EUR (2016) under the adverse scenario.
• The Securitisation and re-securitisations positions deducted from capital were zero in all scenarios, indicating no impact on capital under the stress test conditions.

Key Points

• The adverse scenario had a more severe impact on the bank's capital and risk exposure compared to the baseline.
• The bank's CET1 ratio fell below the EU-wide threshold of 5.5% under the adverse scenario.
• The stress test results highlight the importance of risk management and capital planning in the banking sector.