2014 EU-wide Stress Test Summary for GR - Eurobank Ergasias, S.A.
Core Information
Bank Name: GR - Eurobank Ergasias, S.A.
LEI Code: JEUVK5RWVJEN8W0C9M24
Country: Greece
Summary of Scenarios
Baseline Scenario
Metric
As of 31 December 2013
Outcome as of 31 December 2016
Operating profit before impairments (3 years cumulative)
902
902
Impairment losses on financial and non-financial assets in the banking book (3 years cumulative)
2,223
2,223
Losses from the stress in the trading book (3 years cumulative)
156
156
Common Equity Tier 1 (CET1) capital
2,979
774
Total Risk Exposure
38,114
38,198
CET1 ratio, %
7.8%
2.0%
Adverse Scenario
Metric
As of 31 December 2013
Outcome as of 31 December 2016
Operating profit before impairments (3 years cumulative)
306
306
Impairment losses on financial and non-financial assets in the banking book (3 years cumulative)
5,291
5,291
Losses from the stress in the trading book (3 years cumulative)
189
189
Valuation losses due to sovereign shock after tax and prudential filters
-94
-94
CET1 capital
2,979
-2,493
Total Risk Exposure
38,114
38,828
CET1 ratio, %
7.8%
-6.4%
Memorandum Items
Item
Baseline Scenario
Adverse Scenario
Common EU wide CET1 Threshold (5.5%)
2,136
2,136
Common EU wide CET1 Threshold (8.0%)
3,056
3,056
Key Findings
CET1 Capital: Under the Baseline Scenario, the CET1 capital is reduced to 774 million EUR by 2016, resulting in a CET1 ratio of 2.0%. Under the Adverse Scenario, CET1 capital is reduced to -2,493 million EUR, leading to a negative CET1 ratio of -6.4%, indicating a severe capital shortfall.
Total Risk Exposure: This remains relatively stable in the Baseline Scenario (38,114 million EUR in 2013, 38,198 million EUR in 2016), but increases in the Adverse Scenario to 38,828 million EUR.
Impairment Losses: The Adverse Scenario shows significantly higher impairment losses compared to the Baseline Scenario, with a 3-year cumulative total of 5,291 million EUR versus 2,223 million EUR.
Sovereign Shock Impact: In the Adverse Scenario, the bank incurs valuation losses of -94 million EUR due to sovereign shock after tax and prudential filters.
Exposure and Risk Breakdown
Exposure Values and Risk Exposure Amounts
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)
Corporates
8,382
4,534
0
11,366
0
249
Retail
15,314
6,330
5,266
0
0
0
Secured on real estate property
10,862
3,730
2,227
3,758
0
155
Qualifying Revolving
2,010
1,110
0
737
0
7
Other Retail
2,442
1,491
0
771
0
15
SME
3,583
3,746
0
4,497
0
103
Non-SME
1,404
475
0
1,404
0
0
Impairment Rates and Coverage Ratios
Scenario
Impairment Rate
Stock of Provisions
Coverage Ratio - Default Stock
Baseline
2.61%
125
40.00%
Baseline
1.77%
4,515
45.34%
Baseline
1.41%
5,824
47.00%
Baseline
1.33%
2,366
32.72%
Baseline
2.87%
893
31.56%
Baseline
1.04%
1,473
33.51%
Baseline
0.97%
920
70.84%
Baseline
1.88%
2,538
63.22%
Baseline
2.08%
881
60.75%
Baseline
1.81%
1,657
64.70%
Adverse
4.70%
226
40.00%
Adverse
2.80%
5,043
49.65%
Adverse
2.73%
6,855
53.70%
Adverse
2.47%
1,044
42.63%
Adverse
1.93%
1,641
40.67%
Adverse
1.95%
927
74.81%
Adverse
3.59%
2,432
65.03%
Adverse
3.42%
853
67.32%
Adverse
3.65%
1,578
63.80%
Adverse
3.01%
10,708
50.94%
Key Observations
The Baseline Scenario indicates a gradual decline in CET1 capital, with a ratio of 2.0% by 2016.
The Adverse Scenario shows a more severe impact, with a negative CET1 ratio of -6.4% by 2016.
Impairment losses increase significantly under the Adverse Scenario, affecting the bank's financial stability.
The bank's exposure values and risk exposure amounts remain largely consistent across the scenarios, with slight variations.
The Adverse Scenario leads to higher valuation losses due to sovereign shocks, indicating a greater risk of financial distress.
