EBA欧洲银行-DK_MAES062Z21O4RZ2U7M96_16页_3mb

2014 EU-wide Stress Test Summary for Danske Bank

Core Information

• Bank Name: DK - Danske Bank
• LEI Code: MAES062Z21O4RZ2U7M96
• Test Period: 2014 - 2016
• Stress Test Type: EU-wide Stress Test
• Report Date: 31 December 2016

Key Financial Metrics

Actual Figures as of 31 December 2013

• Operating profit before impairments: 1,801 million EUR
• Impairment losses on financial and non-financial assets in the banking book: 948 million EUR
• Common Equity Tier 1 (CET1) capital: 16,463 million EUR
• Total Risk Exposure: 120,384 million EUR
• CET1 ratio: 13.7%

Outcome of the Adverse Scenario as of 31 December 2016

• 3-year cumulative operating profit before impairments: 4,718 million EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 6,456 million EUR
• 3-year cumulative losses from the stress in the trading book: 986 million EUR
• Valuation losses due to sovereign shock after tax and prudential filters: 1 million EUR
• CET1 capital: 14,554 million EUR
• Total Risk Exposure: 124,768 million EUR
• CET1 ratio: 11.7%

Outcome of the Baseline Scenario as of 31 December 2016

• 3-year cumulative operating profit before impairments: 6,415 million EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 2,807 million EUR
• 3-year cumulative losses from the stress in the trading book: 489 million EUR
• CET1 capital: 17,708 million EUR
• Total Risk Exposure: 121,998 million EUR
• CET1 ratio: 14.5%

Memorandum Items

Common EU-wide CET1 Threshold

• Adverse Scenario: 5.5% (threshold not met, CET1 ratio: 11.7%)
• Baseline Scenario: 8.0% (threshold met, CET1 ratio: 14.5%)

Mandatory Conversions

• Adverse Scenario: 0 million EUR (no conversions considered for CET1 computation)
• Baseline Scenario: 0 million EUR (no conversions considered for CET1 computation)

Additional Tier 1 and Tier 2 instruments eligible for CET1 conversion

• Adverse Scenario: 0 million EUR
• Baseline Scenario: 0 million EUR

Exposure and Risk Analysis

Baseline Scenario (as of 31 December 2013)

Adverse Scenario (as of 31 December 2013)

Impairment and Provisions

Baseline Scenario (2014 - 2016)

Adverse Scenario (2014 - 2016)

Summary of Key Observations

• Danske Bank's CET1 ratio decreased from 13.7% to 11.7% under the Adverse Scenario but remained above the 5.5% threshold.
• The Baseline Scenario showed a more favorable outcome, with the CET1 ratio increasing to 14.5%, meeting the 8.0% threshold.
• The bank experienced a cumulative loss in the trading book under the adverse scenario, but the impact was less severe in the baseline scenario.
• The impairment rates and provisions were relatively stable across the test period in both scenarios, with the coverage ratio showing a slight decline in the adverse scenario.
• No mandatory conversions or eligible instruments for CET1 conversion were reported in either scenario.
• The risk exposure increased in the adverse scenario, indicating higher vulnerability to stress events.