EBA欧洲银行-ES_549300I84DXMIK4UUL30_16页_3mb

2014 EU-wide Stress Test Summary for ES - Catalunya Banc, S.A.

Core Information

• Bank Name: ES - Catalunya Banc, S.A.

• LEI Code: 549300184DXMIK4UUL30

• Reported Data as of 31 December 2013:

  • Operating profit before impairments: 655 min EUR
  • Impairment losses on financial and non-financial assets in the banking book: 2,167 min EUR
  • Common Equity Tier 1 (CET1) capital: 2,599 min EUR
  • Total Risk Exposure: 21,283 min EUR
  • CET1 ratio: 12.2%

• Reported Data as of 31 December 2016:

  • 3-year cumulative operating profit before impairments: 36 min EUR
  • 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 1,829 min EUR
  • 3-year cumulative losses from the stress in the trading book: 39 min EUR
  • Valuation losses due to sovereign shock after tax and prudential filters: 15 min EUR
  • CET1 capital: 1,415 min EUR
  • Total Risk Exposure: 17,647 min EUR
  • CET1 ratio: 8.0%

Memorandum Items

• Common EU-wide CET1 Threshold (5.5%): 971 min EUR
• Total amount of instruments with mandatory conversion into ordinary shares (2014–2016): 0 min EUR
• Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital (CRR): 0 min EUR
• Of which: eligible instruments whose trigger is above CET1 capital ratio in the adverse scenario: 0 min EUR

Key Observations

1. Capital and Profit Trends

• The bank's CET1 ratio decreased from 12.2% (as of 31 December 2013) to 8.0% (as of 31 December 2016), indicating a decline in capital strength.
• Operating profit before impairments dropped significantly from 655 min EUR to 36 min EUR over the three-year period.
• Impairment losses on banking book assets also declined from 2,167 min EUR to 1,829 min EUR, suggesting a reduction in loan defaults or asset quality improvements.
• Trading book losses were minimal (39 min EUR), but valuation losses due to sovereign shock were recorded at 15 min EUR, highlighting the impact of government-related risks.

2. Capital Adequacy

• The CET1 capital decreased from 2,599 min EUR to 1,415 min EUR, which is below the CET1 threshold of 5.5% (971 min EUR), indicating a potential capital shortfall under adverse conditions.

3. Risk Exposure

• Total Risk Exposure decreased from 21,283 min EUR to 17,647 min EUR, showing a reduction in overall risk exposure.
• Risk Exposure amounts are reported under different models (F-IRB, A-IRB, STA) for both defaulted and non-defaulted assets, indicating a structured approach to risk assessment.

4. Impairment Rates and Provisions

• Impairment rates and Stock of Provisions are provided for different asset categories and time periods (2014, 2015, 2016) under both Baseline and Adverse scenarios.
• The Coverage Ratio - Default Stock indicates the bank's ability to cover impairment losses with provisions, which generally improved over time under both scenarios.

5. Adverse Scenario Impact

• Under the adverse scenario, the bank experienced a more pronounced decline in CET1 ratio compared to the baseline scenario, showing a greater vulnerability to severe economic conditions.
• The Valuation losses due to sovereign shock were present, indicating that the adverse scenario included a significant sovereign risk component.

Summary of Key Financial Metrics

Notes

• The figures are calculated according to CRR/CRD4 definitions, with transitional arrangements applied.
• Securitisation and re-securitisations positions are deducted from capital and not included in Risk Weighted Assets (RWA).
• Memorandum items provide additional context for capital and risk calculations, including thresholds and conversion rules.