2014 EU-wide Stress Test Summary for ES - Caja de Ahorros y Pensiones de Barcelona
Core Information
Bank Name: ES - Caja de Ahorros y Pensiones de Barcelona
LEI Code: 7CUNS533WID6K7DGFI87
Test Type: 2014 EU-wide Stress Test
Summary of Adverse Scenario (as of 31 December 2016)
3-year cumulative operating profit before impairments: 2,751 min EUR
3-year cumulative impairment losses on financial and non-financial assets in the banking book: 7,186 min EUR
3-year cumulative losses from the stress in the trading book: 400 min EUR
Valuation losses due to sovereign shock after tax and prudential filters: -34 min EUR
Common Equity Tier 1 (CET1) capital: 16,474 min EUR
Total Risk Exposure: 176,317 min EUR
CET1 ratio: 9.3%
Summary of Baseline Scenario (as of 31 December 2016)
3-year cumulative operating profit before impairments: 3,550 min EUR
3-year cumulative impairment losses on financial and non-financial assets in the banking book: 2,523 min EUR
3-year cumulative losses from the stress in the trading book: 327 min EUR
Common Equity Tier 1 (CET1) capital: 20,056 min EUR
Total Risk Exposure: 173,474 min EUR
CET1 ratio: 11.6%
CET1 Thresholds
Common EU-wide CET1 Threshold (5.5%): 9,697 min EUR
Common EU-wide CET1 Threshold (8.0%): 13,878 min EUR
Risk Exposure and Provisions (as of 31 December 2013)
Exposure Values
Asset Type
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
0
0
Institutions
0
0
0
0
0
0
Corporates
0
0
35,923
14,135
19,325
1,463
Corporates - Of Which: Specialised Lending
0
0
0
0
7,866
322
Corporates - Of Which: SME
0
0
11,603
8,260
1,641
446
Retail
0
0
110,888
8,395
13,631
745
Retail - Secured on real estate property
0
0
98,505
7,874
9,591
648
Retail - Secured on real estate property - Of Which: SME
0
0
3,843
306
695
27
Retail - Secured on real estate property - Of Which: non-SME
0
0
5,432
201
3,243
68
Retail - Qualifying Revolving
0
0
3,109
14
102
2
Retail - Other Retail
0
0
9,274
507
2,938
95
Retail - Other Retail - Of Which: SME
0
0
3,842
306
699
29
Retail - Other Retail - Of Which: non-SME
0
0
5,414
201
3,245
68
Equity
19,038
0
0
0
0
0
Securitisation
0
0
118
0
301
25
Other non-credit obligation assets
0
0
0
0
19,062
8,393
Risk Exposure Amounts
Asset Type
F-IRB Non-defaulted
F-IRB Defaulted
A-IRB Non-defaulted
A-IRB Defaulted
STA Non-defaulted
STA Defaulted
Central banks and central governments
48,658
192
0
0
1,832
280
Institutions
7,734
0
0
0
1,528
0
Corporates
27,628
1,321
14,938
942
1,352
6,564
Corporates - Of Which: Specialised Lending
2,677
198
0
0
6,727
244
Corporates - Of Which: SME
2,672
666
1,579
22
549
3,442
Retail
24,530
692
0
0
710
2,039
Retail - Secured on real estate property
20,110
666
0
0
593
1,737
Retail - Secured on real estate property - Of Which: SME
2,672
198
1,578
22
47
185
Retail - Secured on real estate property - Of Which: non-SME
2,008
4
2,027
4
1,278
108
Retail - Qualifying Revolving
834
0
0
0
1
9
Retail - Other Retail
3,586
26
0
0
1,655
102
Retail - Other Retail - Of Which: SME
1,578
22
0
0
45
178
Retail - Other Retail - Of Which: non-SME
2,008
4
0
0
1,278
104
Equity
43,992
0
0
0
0
0
Securitisation
0
0
3
0
245
0
Other non-credit obligation assets
0
0
0
0
0
0
Value Adjustments and Provisions
Asset Type
F-IRB Non-defaulted
F-IRB Defaulted
A-IRB Non-defaulted
A-IRB Defaulted
STA Non-defaulted
STA Defaulted
Central banks and central governments
1,832
280
0
0
32
5
Institutions
1,528
0
0
0
2
0
Corporates
1,352
6,564
0
0
0
0
Corporates - Of Which: Specialised Lending
6,727
244
0
0
0
0
Corporates - Of Which: SME
549
3,442
0
0
0
0
Retail
710
2,039
0
0
0
0
Retail - Secured on real estate property
590
1,737
0
0
0
0
Retail - Secured on real estate property - Of Which: SME
97
599
0
0
0
0
Retail - Secured on real estate property - Of Which: non-SME
70
104
0
0
0
0
Retail - Qualifying Revolving
1
9
0
0
0
0
Retail - Other Retail
115
283
0
0
0
0
Retail - Other Retail - Of Which: SME
45
178
0
0
0
0
Retail - Other Retail - Of Which: non-SME
70
104
0
0
0
0
Equity
0
0
0
0
0
0
Securitisation
0
0
0
0
0
0
Other non-credit obligation assets
0
0
0
0
0
0
Summary of Impairment Rates and Coverage Ratios
Baseline Scenario
Year
Impairment Rate
Stock of Provisions
Coverage Ratio - Default Stock
2014
0.30%
127
22.53%
2015
0.30%
216
28.58%
2016
0.29%
305
31.50%
Adverse Scenario
Year
Impairment Rate
Stock of Provisions
Coverage Ratio - Default Stock
2014
0.97%
332
32.12%
2015
0.97%
620
35.55%
2016
0.97%
900
36.88%
Key Observations
The bank's CET1 ratio decreased from 10.3% in 2013 to 9.3% under the adverse scenario by 2016, while it increased to 11.6% under the baseline scenario.
The adverse scenario shows higher impairment losses and lower operating profits compared to the baseline scenario.
The coverage ratio for default stock declines in both scenarios, indicating increased risk exposure.
The bank's exposure values and risk exposure amounts are distributed across various asset types, with significant exposure to corporates and retail sectors.
There are no instruments with mandatory conversion into ordinary shares in the adverse scenario that convert to CET1, and no such instruments eligible under CRR provisions that convert or are written down.
