2014 EU-wide Stress Test Summary for DE - Norddeutsche Landesbank-Girozentrale
Core Information
- Bank Name: DE - Norddeutsche Landesbank-Girozentrale
- LEI Code: DSNHHQ2B9X5N6OUJ1236
Summary: Adverse Scenario
Actual Figures as of 31 December 2013
- Operating profit before impairments: 733 min EUR
- Impairment losses on financial and non-financial assets in the banking book: 1,419 min EUR
- Common Equity Tier 1 (CET1) capital: 7,236 min EUR
- Total Risk Exposure: 71,426 min EUR
- CET1 ratio: 10.1%
Outcome as of 31 December 2016
- 3 yr cumulative operating profit before impairments: 1,322 min EUR
- 3 yr cumulative impairment losses on financial and non-financial assets in the banking book: 2,039 min EUR
- 3 yr cumulative losses from the stress in the trading book: 834 min EUR
- Valuation losses due to sovereign shock after tax and prudential filters: 148 min EUR
- CET1 capital: 6,449 min EUR
- Total Risk Exposure: 69,720 min EUR
- CET1 ratio: 9.2%
Memorandum Items
- Common EU wide CET1 Threshold (5.5%): 3,835 min EUR
- Total amount of instruments with mandatory conversion into ordinary shares: 0 min EUR
- Additional Tier 1 and Tier 2 instruments eligible for regulatory capital: 0 min EUR
- Eligible instruments with trigger above CET1 ratio in adverse scenario: 0 min EUR
Summary: Baseline Scenario
Actual Figures as of 31 December 2013
- Operating profit before impairments: 733 min EUR
- Impairment losses on financial and non-financial assets in the banking book: 1,419 min EUR
- CET1 capital: 7,236 min EUR
- Total Risk Exposure: 71,426 min EUR
- CET1 ratio: 10.1%
Outcome as of 31 December 2016
- 3 yr cumulative operating profit before impairments: 2,348 min EUR
- 3 yr cumulative impairment losses on financial and non-financial assets in the banking book: 896 min EUR
- 3 yr cumulative losses from the stress in the trading book: 721 min EUR
- CET1 capital: 8,171 min EUR
- Total Risk Exposure: 63,490 min EUR
- CET1 ratio: 12.9%
Memorandum Items
- Common EU wide CET1 Threshold (8.0%): 5,079 min EUR
Detailed Exposure and Risk Analysis (as of 31/12/2013)
| Type of Exposure | LTV % | F-IRB Exposure (Non-defaulted) | F-IRB Exposure (Defaulted) | A-IRB Exposure (Non-defaulted) | A-IRB Exposure (Defaulted) | STA Exposure (Non-defaulted) | STA Exposure (Defaulted) | F-IRB Risk Exposure (Non-defaulted) | F-IRB Risk Exposure (Defaulted) | A-IRB Risk Exposure (Non-defaulted) | A-IRB Risk Exposure (Defaulted) | STA Risk Exposure (Non-defaulted) | STA Risk Exposure (Defaulted) | F-IRB Value Adjustments (Non-defaulted) | F-IRB Value Adjustments (Defaulted) | A-IRB Value Adjustments (Non-defaulted) | A-IRB Value Adjustments (Defaulted) | STA Value Adjustments (Non-defaulted) | STA Value Adjustments (Defaulted) |
|------------------|------|-------------------------------|-----------------------------|-------------------------------|-----------------------------|-----------------------------|--------------------------|-----------------------------------|----------------------------------|-----------------------------------|----------------------------------|----------------------------------|----------------------------------|----------------------------------|----------------------------------|----------------------------------|----------------------------------|----------------------------------|
| Central banks and central governments | - | 4,608 | 0 | 0 | 0 | 48,929 | 0 | 444 | 0 | 0 | 0 | 1,103 | 0 | 3 | 0 | 17 | 0 |
| Institutions | - | 24,157 | 29 | 0 | 0 | 29,709 | 0 | 7,333 | 0 | 0 | 0 | 117 | 0 | 3 | 2 | 0 | 0 |
| Corporates | - | 70,280 | 7,138 | 0 | 0 | 11,229 | 96 | 43,680 | 0 | 0 | 0 | 5,038 | 136 | 178 | 2,022 | 0 | 0 |
| Corporates - Of Which: Specialised Lending | - | 35,286 | 5,961 | 0 | 0 | 2,851 | 0 | 26,504 | 0 | 0 | 0 | 1,715 | 0 | 135 | 1,470 | 0 | 0 |
| Corporates - Of Which: SME | - | 17,762 | 947 | 0 | 0 | 2,498 | 82 | 9,546 | 0 | 0 | 0 | 1,746 | 116 | 28 | 447 | 0 | 0 |
| Retail | - | 0 | 0 | 2,859 | 35 | 746 | 17 | 0 | 0 | 652 | 58 | 412 | 19 | 0 | 0 | 4 | 14 | 2 | 9 |
| Retail - Secured on real estate property | 80.3% | 0 | 0 | 0 | 1,868 | 29 | 663 | 12 | 0 | 0 | 486 | 49 | 351 | 13 | 0 | 0 | 3 | 11 | 2 | 5 |
| Retail - Secured on real estate property - Of Which: SME | - | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Retail - Secured on real estate property - Of Which: non-SME | - | 0 | 0 | 0 | 472 | 6 | 83 | 5 | 0 | 0 | 142 | 9 | 61 | 6 | 0 | 0 | 1 | 3 | 1 | 4 |
| Equity | - | 37 | 0 | 0 | 0 | 925 | 15 | 0 | 0 | 0 | 0 | 971 | 25 | 0 | 0 | 0 | 0 |
| Securitisation | - | 3,911 | 0 | 0 | 0 | 1,671 | 0 | 0 | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | 0 |
| Other non-credit obligation assets | - | 1,826 | 1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| TOTAL | - | 104,819 | 7,168 | 2,859 | 35 | 91,544 | 128 | 55,091 | 1 | 652 | 58 | 7,642 | 181 | 184 | 2,024 | 4 | 14 | 9 | 108 |
Additional Information
- Securitisation and re-securitisations positions deducted from capital: 0 min EUR
Baseline Scenario (as of 31/12/2014 to 31/12/2016)
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.02% |
29 |
17.67% |
| 2015 |
0.02% |
39 |
17.68% |
| 2016 |
0.02% |
48 |
17.80% |
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.01% |
12 |
10.90% |
| 2015 |
0.01% |
19 |
11.85% |
| 2016 |
0.01% |
25 |
12.03% |
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.44% |
3,471 |
34.61% |
| 2015 |
0.31% |
3,739 |
34.76% |
| 2016 |
0.12% |
3,845 |
34.62% |
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.21% |
34 |
41.45% |
| 2015 |
0.20% |
41 |
40.51% |
| 2016 |
0.18% |
47 |
39.96% |
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.22% |
24 |
36.56% |
| 2015 |
0.20% |
29 |
36.35% |
| 2016 |
0.19% |
33 |
36.24% |
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.07% |
0 |
38.79% |
| 2015 |
0.06% |
1 |
38.99% |
| 2016 |
0.06% |
1 |
39.09% |
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.13% |
10 |
60.67% |
| 2015 |
0.30% |
12 |
56.49% |
| 2016 |
0.28% |
13 |
54.04% |
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.33% |
10 |
60.67% |
| 2015 |
0.30% |
12 |
56.49% |
| 2016 |
0.28% |
13 |
54.19% |
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.87% |
8 |
32.56% |
| 2015 |
0.15% |
10 |
33.03% |
| 2016 |
0.08% |
10 |
32.05% |
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.20% |
3,555 |
34.35% |
| 2015 |
0.14% |
3,847 |
34.33% |
| 2016 |
0.06% |
3,975 |
34.04% |
Adverse Scenario (as of 31/12/2014 to 31/12/2016)
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.04% |
47 |
13.83% |
| 2015 |
0.03% |
64 |
13.85% |
| 2016 |
0.03% |
80 |
14.19% |
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.02% |
17 |
10.75% |
| 2015 |
0.02% |
27 |
11.35% |
| 2016 |
0.02% |
35 |
11.31% |
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.68% |
4,003 |
37.81% |
| 2015 |
0.65% |
4,566 |
37.97% |
| 2016 |
0.37% |
4,852 |
38.10% |
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.33% |
41 |
42.78% |
| 2015 |
0.28% |
50 |
41.81% |
| 2016 |
0.30% |
62 |
41.30% |
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.39% |
30 |
38.85% |
| 2015 |
0.31% |
37 |
38.63% |
| 2016 |
0.34% |
46 |
38.62% |
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.07% |
1 |
38.89% |
| 2015 |
0.06% |
1 |
39.11% |
| 2016 |
0.06% |
1 |
39.21% |
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.35% |
10 |
60.65% |
| 2015 |
0.35% |
12 |
56.27% |
| 2016 |
0.36% |
14 |
53.77% |
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.96% |
9 |
34.62% |
| 2015 |
0.10% |
10 |
33.51% |
| 2016 |
0.09% |
11 |
32.78% |
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.31% |
4,117 |
37.20% |
| 2015 |
0.29% |
4,718 |
37.00% |
| 2016 |
0.17% |
5,039 |
36.85% |
Summary of Key Observations
- The CET1 ratio decreased from 10.1% in 2013 to 9.2% in the adverse scenario by 2016, indicating a decline in capital adequacy under stress conditions.
- In the baseline scenario, the CET1 ratio improved to 12.9% by 2016, showing better resilience.
- Impairment losses increased in the adverse scenario compared to the baseline, suggesting higher credit risk exposure.
- The impact of sovereign shocks was reflected in valuation losses in the adverse scenario.
- The bank's exposure to different sectors (central banks, institutions, corporates, retail, etc.) varied significantly, with corporates being the most exposed.
- The risk exposure amounts also varied by sector and methodology (F-IRB, A-IRB, STA).
