2014 EU-wide Stress Test Summary for FR - Groupe Crédit Agricole
Core Information
Bank Name: FR - Groupe Crédit Agricole
LEI Code: 969500TJ5KRTCJQWXH05
Report Period: 2013 to 2016
Regulatory Framework: Based on CRR/CRD4 definitions with transitional arrangements
Actual Figures as of 31 December 2013
Metric
Value (min EUR)
Operating profit before impairments
10,003
Impairment losses on financial and non-financial assets in the banking book
5,430
Common Equity Tier 1 (CET1) capital
58,831
Total Risk Exposure
544,976
CET1 ratio (%)
10.8%
Outcome of the Adverse Scenario as of 31 December 2016
Metric
Value (min EUR)
3 yr cumulative operating profit before impairments
15,072
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
25,138
3 yr cumulative losses from the stress in the trading book
2,339
Valuation losses due to sovereign shock after tax and prudential filters
97
CET1 capital
54,891
Total Risk Exposure
621,404
CET1 ratio (%)
8.8%
Memorandum Items for Adverse Scenario
Item
Value (min EUR)
Common EU wide CET1 Threshold (5.5%)
34,177
Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital
718
Of which: eligible instruments whose trigger is above CET1 ratio in the adverse scenario
718
Outcome of the Baseline Scenario as of 31 December 2016
Metric
Value (min EUR)
3 yr cumulative operating profit before impairments
22,749
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
10,366
3 yr cumulative losses from the stress in the trading book
1,838
CET1 capital
68,178
Total Risk Exposure
572,838
CET1 ratio (%)
11.9%
Memorandum Items for Baseline Scenario
Item
Value (min EUR)
Common EU wide CET1 Threshold (8.0%)
45,827
Main Categories and Key Data (Baseline Scenario)
Exposure and Risk Exposure (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
F-IRB Risk
A-IRB Risk
STA Risk
Total
226,748
3,535
770,300
19,189
317,088
3,643
141,422
157,888
166,032
Value Adjustments and Provisions (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
Total
130,147
0
109,059
74
104,207
5,314
Impairment Rates and Provisions (Baseline Scenario)
Year
Impairment Rate (%)
Stock of Provisions (min EUR)
Coverage Ratio - Default Stock (%)
2014
0.01%
497
73.80%
2015
0.01%
509
71.48%
2016
0.01%
518
69.45%
Impairment Rates and Provisions (Adverse Scenario)
Year
Impairment Rate (%)
Stock of Provisions (min EUR)
Coverage Ratio - Default (%)
2014
0.04%
115
37.17%
2015
0.04%
172
37.49%
2016
0.04%
219
37.60%
Key Observations
CET1 Ratio: Under the adverse scenario, the CET1 ratio decreased from 10.8% in 2013 to 8.8% in 2016, below the EU-wide threshold of 5.5%.
Operating Profit: The cumulative operating profit before impairments increased in both scenarios, but the adverse scenario led to higher impairment losses.
Impairment Losses: The adverse scenario resulted in significantly higher cumulative impairment losses compared to the baseline scenario.
Risk Exposure: Total risk exposure increased under the adverse scenario, indicating a higher level of risk.
Securitisation: These positions were deducted from capital in both scenarios, affecting CET1 calculations.
