2014 EU-wide Stress Test Summary for PT - Banco Comercial Português, SA
Core Information
Bank Name: PT - Banco Comercial Português, SA
LEI Code: JU1U6S0DG9YLT7N8ZV32
Key Metrics as of 31 December 2013
Metric
Value (min EUR, %)
Operating profit before impairments
311
Impairment losses on financial and non-financial assets in the banking book
2,210
Common Equity Tier 1 capital (CET1)
4,667
Total Risk Exposure
45,502
Common Equity Tier 1 ratio
10.3%
Adverse Scenario Outcomes as of 31 December 2016
Metric
Value (min EUR, %)
3 yr cumulative operating profit before impairments
1,665
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
3,149
3 yr cumulative losses from the stress in the trading book
337
Valuation losses due to sovereign shock after tax and prudential filters
-60
Common Equity Tier 1 capital
1,356
Total Risk Exposure
45,321
Common Equity Tier 1 ratio
3.0%
Memorandum Items for Adverse Scenario
Item
Value (min EUR)
Common EU wide CET1 Threshold (5.5%)
2,493
Total amount of instruments with mandatory conversion into ordinary shares upon a fixed date in the 2014 -2016 period (cumulative conversions)
0
Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital under the CRR provisions that convert into Common Equity Tier 1 or are written down upon a trigger event
0
Of which: eligible instruments whose trigger is above CET1 capital ratio in the adverse scenario
0
Key Metrics for Baseline Scenario as of 31 December 2016
Metric
Value (min EUR, %)
3 yr cumulative operating profit before impairments
2,770
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
1,425
3 yr cumulative losses from the stress in the trading book
225
Common Equity Tier 1 capital
4,001
Total Risk Exposure
45,277
Common Equity Tier 1 ratio
8.8%
Memorandum Items for Baseline Scenario
Item
Value (min EUR)
Common EU wide CET1 Threshold (8.0%)
3,622
Exposure and Risk Breakdown (Baseline and Adverse Scenarios)
Exposure Values (as of 31/12/2013)
Category
F-IRB Non-defaulted
F-IRB Defaulted
A-IRB Non-defaulted
A-IRB Defaulted
STA Non-defaulted
STA Defaulted
Central banks and central governments
0
0
0
0
12,352
2
Institutions
0
0
0
0
3,284
0
Corporates
14,045
3,155
10,067
351
0
0
Corporates - Of Which: Specialised Lending
0
0
1,887
54
0
0
Corporates - Of Which: SME
8,961
2,237
2,949
196
0
0
Retail
29,353
2,414
2,586
244
0
0
Retail - Secured on real estate property
25,764
1,559
387
110
0
0
Retail - Secured on real estate property - Of Which: Specialised Lending
1,410
168
43
12
0
0
Retail - Secured on real estate property - Of Which: SME
24,354
1,391
345
98
0
0
Retail - Qualifying Revolving
1,141
104
12
3
0
0
Retail - Other Retail
2,448
751
2,186
131
0
0
Retail - Other Retail - Of Which: SME
1,006
335
640
52
0
0
Retail - Other Retail - Of Which: non-SME
1,442
417
1,546
79
0
0
Equity
0
0
677
0
105
0
Securitisation
2,383
0
0
0
478
0
Other non-credit obligation assets
7,073
0
5,485
0
0
0
TOTAL
45,782
5,569
36,038
597
5,83
325
Risk Exposure Amounts (as of 31/12/2013)
Category
F-IRB Non-defaulted
F-IRB Defaulted
A-IRB Non-defaulted
A-IRB Defaulted
STA Non-defaulted
STA Defaulted
Central banks and central governments
0
0
0
0
392
3
Institutions
0
0
0
0
1,312
0
Corporates
12,815
277
8,989
281
0
0
Corporates - Of Which: Specialised Lending
0
0
0
0
1,996
0
Corporates - Of Which: SME
0
0
0
0
276
0
Retail
6,912
40
1,569
254
0
0
Retail - Secured on real estate property
5,853
19
1,36
110
0
0
Retail - Secured on real estate property - Of Which: Specialised Lending
478
7
12
12
0
0
Retail - Secured on real estate property - Of Which: SME
5,375
12
98
98
0
0
Retail - Qualifying Revolving
356
6
9
4
0
0
Retail - Other Retail
703
15
1,423
228
0
0
Retail - Other Retail - Of Which: SME
253
10
385
58
0
0
Retail - Other Retail - Of Which: non-SME
450
5
1,039
82
0
0
Equity
0
0
0
0
231
0
Securitisation
437
0
0
0
0
0
Other non-credit obligation assets
0
0
0
0
1,521
0
TOTAL
20,164
317
18,924
538
1,255
1,561
Value Adjustments and Provisions (as of 31/12/2013)
Category
F-IRB Non-defaulted
F-IRB Defaulted
A-IRB Non-defaulted
A-IRB Defaulted
STA Non-defaulted
STA Defaulted
Central banks and central governments
0
0
0
0
6
3
Institutions
0
0
0
0
1,178
0
Corporates
0
0
0
0
0
0
Corporates - Of Which: Specialised Lending
0
0
0
0
0
0
Corporates - Of Which: SME
0
0
0
0
0
0
Retail
0
0
0
0
0
0
Retail - Secured on real estate property
0
0
0
0
0
0
Retail - Secured on real estate property - Of Which: Specialised Lending
0
0
0
0
0
0
Retail - Secured on real estate property - Of Which: SME
0
0
0
0
0
0
Retail - Qualifying Revolving
0
0
0
0
0
0
Retail - Other Retail
0
0
0
0
0
0
Retail - Other Retail - Of Which: SME
0
0
0
0
0
0
Retail - Other Retail - Of Which: non-SME
0
0
0
0
0
0
Equity
0
0
0
0
0
0
Securitisation
0
0
0
0
0
0
Other non-credit obligation assets
0
0
0
0
0
0
TOTAL
1,255
1,561
2,085
470
1,104
1,431
Summary of Stress Test Outcomes
CET1 Ratio: The CET1 ratio decreased significantly from 10.3% in 2013 to 3.0% under the adverse scenario by 2016, indicating a substantial deterioration in capital adequacy.
Operating Profit: The cumulative operating profit before impairments dropped from 311 million EUR in 2013 to 1,665 million EUR by 2016 under the adverse scenario.
Impairment Losses: Impairment losses increased from 2,210 million EUR in 2013 to 3,149 million EUR by 2016 under the adverse scenario.
Risk Exposure: Total risk exposure slightly decreased from 45,502 million EUR in 2013 to 45,321 million EUR by 2016 under the adverse scenario.
Baseline Scenario: The CET1 ratio decreased from 10.3% in 2013 to 8.8% by 2016, with a more moderate decline in operating profit and impairment losses compared to the adverse scenario.
Additional Notes
Securitisation Deductions: Positions related to securitisation and re-securitisation were deducted from capital and not included in NARA.
Thresholds: The CET1 threshold was set at 5.5% for the adverse scenario and 8.0% for the baseline scenario, indicating the level of capital required to be considered adequately capitalized.
