2014 EU-wide Stress Test Summary for PL-BANK HANDLOWY W WARSZAWIE SA
Core Information
Bank Name: PL-BANK HANDLOWY W WARSZAWIE SA
LEI Code: XLEZHWWO14HFQDGL4793
Reporting Period: 2013 to 2016
Stress Test Focus: Baseline and Adverse Scenarios
Actual Figures as of 31 December 2013
Metric
Value (mIn EUR, %)
Operating profit before impairments
303
Impairment losses on financial and non-financial assets in the banking book
9
Common Equity Tier 1 capital (1)
1,182
Total Risk Exposure (1)
6,972
Common Equity Tier 1 ratio, % (1)
16.9%
Outcome of the Adverse Scenario as of 31 December 2016
Metric
Value (mIn EUR, %)
3 yr cumulative operating profit before impairments
565
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
217
3 yr cumulative losses from the stress in the trading book
88
Valuation losses due to sovereign shock after tax and prudential filters
46
Common Equity Tier 1 capital (1)
1,105
Total Risk Exposure (1)
7,172
Common Equity Tier 1 ratio, % (1)
15.4%
Memorandum Items for Adverse Scenario
Item
Value (mIn EUR)
Common EU wide CET1 Threshold (5.5%)
394
Total amount of instruments with mandatory conversion into ordinary shares (cumulative conversions) (2)
0
Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital (3)
0
Of which: eligible instruments whose trigger is above CET1 capital ratio in the adverse scenario (3)
0
Outcome of the Baseline Scenario as of 31 December 2016
Metric
Value (mIn EUR, %)
3 yr cumulative operating profit before impairments
790
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
121
3 yr cumulative losses from the stress in the trading book
66
Common Equity Tier 1 capital (1)
1,151
Total Risk Exposure (1)
7,084
Common Equity Tier 1 ratio, % (1)
16.2%
Memorandum Items for Baseline Scenario
Item
Value (mIn EUR)
Common EU wide CET1 Threshold (8.0%)
567
Risk Exposure Breakdown (Baseline Scenario 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
Risk Exposure F-IRB
Risk Exposure A-IRB
Risk Exposure STA
Value Adjustments F-IRB
Value Adjustments A-IRB
Value Adjustments STA
Central banks and central governments
0
0
0
0
0
0
4,255
0
0
0
0
0
Institutions
0
0
0
0
0
0
1,052
0
0
0
0
0
Corporates
0
0
0
0
0
0
3,146
0
0
0
0
0
Corporates - Of Which: SME
0
0
0
0
0
0
787
0
0
0
0
0
Retail
0
0
0
0
0
0
1,310
0
0
0
0
0
Retail - Secured on real estate property
0
0
0
0
0
0
256
0
0
0
0
0
Retail - Other Retail
0
0
0
0
0
0
515
0
0
0
0
0
Retail - Other Retail - Of Which: SME
0
0
0
0
0
0
76
0
0
0
0
0
Retail - Other Retail - Of Which: non-SME
0
0
0
0
0
0
439
0
0
0
0
0
Equity
0
0
0
0
0
0
3
0
0
0
0
0
Securitisation
0
0
0
0
0
0
0
0
0
0
0
0
Other non-credit obligation assets
0
0
0
0
0
0
1,569
0
0
0
0
0
TOTAL
0
0
0
0
0
0
11,335
0
0
0
0
0
Securitisation and re-securitisations positions deducted from capital
0
0
0
0
0
0
0
0
0
0
0
0
Risk Exposure Breakdown (Adverse Scenario 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
Risk Exposure F-IRB
Risk Exposure A-IRB
Risk Exposure STA
Value Adjustments F-IRB
Value Adjustments A-IRB
Value Adjustments STA
Central banks and central governments
0
0
0
0
0
0
0
0
0
0
0
0
Institutions
0
0
0
0
0
0
0
0
0
0
0
0
Corporates
0
0
0
0
0
0
0
0
0
0
0
0
Corporates - Of Which: SME
0
0
0
0
0
0
0
0
0
0
0
0
Retail
0
0
0
0
0
0
0
0
0
0
0
0
Retail - Secured on real estate property
0
0
0
0
0
0
0
0
0
0
0
0
Retail - Other Retail
0
0
0
0
0
0
0
0
0
0
0
0
Retail - Other Retail - Of Which: SME
0
0
0
0
0
0
0
0
0
0
0
0
Retail - Other Retail - Of Which: non-SME
0
0
0
0
0
0
0
0
0
0
0
0
Equity
0
0
0
0
0
0
0
0
0
0
0
0
Securitisation
0
0
0
0
0
0
0
0
0
0
0
0
Other non-credit obligation assets
0
0
0
0
0
0
0
0
0
0
0
0
TOTAL
0
0
0
0
0
0
0
0
0
0
0
0
Securitisation and re-securitisations positions deducted from capital
0
0
0
0
0
0
0
0
0
0
0
0
Summary of Key Metrics
Baseline Scenario Impairment and Coverage Ratios (as of 31 December 2016)
Impairment Rate
Stock of Provisions
Coverage Ratio - Default Stock
0.00%
0
4.88%
0.02%
1
7.39%
0.11%
159
73.40%
0.16%
130
81.23%
0.74%
166
71.71%
0.93%
52
70.73%
0.91%
111
73.48%
1.10%
4
35.79%
0.88%
108
76.16%
0.08%
5
-
0.24%
331
71.44%
Adverse Scenario Impairment and Coverage Ratios (as of 31 December 2016)
Impairment Rate
Stock of Provisions
Coverage Ratio - Default Stock
0.00%
0
10.77%
0.02%
1
7.39%
0.11%
159
73.14%
0.14%
130
70.85%
1.43%
181
70.65%
0.93%
52
70.73%
0.91%
111
73.48%
1.10%
4
35.79%
0.88%
108
76.16%
0.08%
5
-
0.23%
330
72.29%
Key Information
The bank's Common Equity Tier 1 (CET1) ratio decreased from 16.9% (as of 31 December 2013) to 15.4% under the Adverse Scenario by 31 December 2016.
Under the Baseline Scenario, the CET1 ratio remained at 16.2% by 31 December 2016.
The CET1 threshold for the EU is 5.5% (Adverse Scenario) and 8.0% (Baseline Scenario).
The bank's operating profit before impairments increased in both scenarios, with 565 mEUR in the Adverse Scenario and 790 mEUR in the Baseline Scenario over the 3-year period.
Impairment losses were higher in the Adverse Scenario (217 mEUR) than in the Baseline Scenario (121 mEUR).
Valuation losses due to sovereign shock were reported as 46 mEUR in the Adverse Scenario.
The total risk exposure increased from 6,972 mEUR (as of 31 December 2013) to 7,172 mEUR (Adverse Scenario) and 7,084 mEUR (Baseline Scenario) by 31 December 2016.
Securitisation and re-securitisation positions were deducted from capital but not included in risk-weighted assets.
