EBA欧洲银行-AT_PQOH26KWDF7CG10L6792_16页_3mb

报告摘要

2014 EU-wide Stress Test Summary for Erste Group Bank AG

Core Information

Bank Name: AT - Erste Group Bank AG
LEI Code: PQOH26KWDF7CG10L6792
Reported Date: 31 December 2013

Key Metrics

Actual Figures (as of 31 December 2013)

Metric	Value (min EUR)
Operating profit before impairments	2,723
Impairment losses on financial and non-financial assets in the banking book	3,625
Common Equity Tier 1 (CET1) capital	10,173
Total Risk Exposure	101,730
CET1 ratio (%)	10.0%

Adverse Scenario Outcome (as of 31 December 2016)

Metric	Value (mln EUR)
3 yr cumulative operating profit before impairments	5,253
3 yr cumulative impairment losses on financial and non-financial assets in the banking book	7,719
3 yr cumulative losses from the stress in the trading book	569
Valuation losses due to sovereign shock after tax and prudential filters	284
CET1 capital	8,304
Total Risk Exposure	109,571
CET1 ratio (%)	7.6%

Baseline Scenario Outcome (as of 31 December 2016)

Metric	Value (mln EUR)
3 yr cumulative operating profit before impairments	6,589
3 yr cumulative impairment losses on financial and non-financial assets in the banking book	3,765
3 yr cumulative losses from the stress in the trading book	438
CET1 capital	11,573
Total Risk Exposure	103,582
CET1 ratio (%)	11.2%

Memorandum Items

Adverse Scenario

Item	Value (min EUR)
Common EU wide CET1 Threshold (5.5%)	6,026
Total amount of instruments with mandatory conversion into ordinary shares (cumulative conversions)	0
Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital under the CRR provisions	0
Of which: eligible instruments whose trigger is above CET1 capital ratio in the adverse scenario	0

Baseline Scenario

Item	Value (min EUR)
Common EU wide CET1 Threshold (8.0%)	8,287

Exposure and Risk Analysis

LTV % (as of 31 December 2013)

Category	LTV %
Central banks and central governments	64.3%
Institutions	64.3%
Corporates	64.3%
Corporates - Of Which: Specialised Lending	64.3%
Corporates - Of Which: SME	64.3%
Retail	64.3%
Retail - Secured on real estate property	64.3%
Retail - Secured on real estate property - Of Which: SME	64.3%
Retail - Secured on real estate property - Of Which: non-SME	64.3%
Retail - Qualifying Revolving	64.3%
Retail - Other Retail	64.3%
Retail - Other Retail - Of Which: SME	64.3%
Retail - Other Retail - Of Which: non-SME	64.3%
Equity	64.3%
Securitisation	64.3%
Other non-credit obligation assets	64.3%

Exposure Values and Risk Exposure Amounts (as of 31 December 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	2,989	3	0	0	43,232	41
Institutions	17,451	68	0	0	6,953	121
Corporates	42,265	3,255	0	0	23,031	3,063
Corporates - Of Which: Specialised Lending	0	0	0	0	14,420	2,430
Corporates - Of Which: SME	21,291	1,978	0	0	3,407	561
Retail	0	0	56,084	3,622	6,422	723
Retail - Secured on real estate property	64.3%	0	0	35,728	2,225	3,689
Retail - Secured on real estate property - Of Which: SME	0	0	0	0	14,420	2,430
Retail - Secured on real estate property - Of Which: non-SME	0	0	33,895	2,040	3,221	387
Retail - Qualifying Revolving	0	0	873	11	0	0
Retail - Other Retail	0	0	19,482	1,387	2,732	168
Retail - Other Retail - Of Which: SME	0	0	2,567	213	513	80
Retail - Other Retail - Of Which: non-SME	0	0	16,916	1,174	2,219	88
Equity	351	0	1,201	0	1,029	0
Securitisation	1,511	22	0	0	649	229
Other non-credit obligation assets	0	0	0	0	10,050	17
TOTAL	64,567	3,348	56,084	3,622	90,889	3,948

Value Adjustments and Provisions (as of 31 December 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	1,815	50
Institutions	0	0	0	0	495	151
Corporates	0	0	0	0	19,494	874
Corporates - Of Which: Specialised Lending	0	0	0	0	12,900	147
Corporates - Of Which: SME	0	0	0	0	2,835	519
Retail	0	0	0	0	3,448	661
Retail - Secured on real estate property	0	0	0	0	1,410	332
Retail - Secured on real estate property - Of Which: SME	0	0	0	0	383	2,569
Retail - Secured on real estate property - Of Which: non-SME	0	0	0	0	150	1,726
Retail - Qualifying Revolving	0	0	0	0	0	0
Retail - Other Retail	0	0	0	0	1,819	170
Retail - Other Retail - Of Which: SME	0	0	0	0	258	83
Retail - Other Retail - Of Which: non-SME	0	0	0	0	1,561	33
Equity	0	0	0	0	0	0
Securitisation	0	0	0	0	649	229
Other non-credit obligation assets	0	0	0	0	4,211	0
TOTAL	0	0	0	0	31,236	1,736

Summary of Impairment Rates and Coverage Ratios

Baseline Scenario

Year	Impairment Rate (%)	Stock of Provisions	Coverage Ratio - Default Stock (%)
2014	0.00%	0	0.00%
2015	0.00%	0	0.00%
2016	0.00%	0	0.00%

Adverse Scenario

Year	Impairment Rate (%)	Stock of Provisions	Coverage Ratio - Default Stock (%)
2014	0.00%	0	0.00%
2015	0.00%	0	0.00%
2016	0.00%	0	0.00%

Notes

Securitisation and re-securitisations positions deducted from capital are not included in Risk Weighted Assets (RWA).
The CET1 ratio decreased from 10.0% to 7.6% under the adverse scenario and increased to 11.2% under the baseline scenario.
The coverage ratio for default stock decreased over time in both scenarios, indicating a reduction in the bank's capacity to absorb losses.

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