EBA欧洲银行-PL_259400QHDOZWMJ103294_16页_3mb

2014 EU-wide Stress Test Summary for ALIOR BANK SA

Core Content Overview

The document provides the results of the 2014 EU-wide Stress Test for ALIOR BANK SA, including both the Baseline Scenario and the Adverse Scenario. It outlines the bank's financial performance and capital adequacy under these scenarios, as well as the distribution of risk exposure across different asset categories.

Key Information

Actual Figures (as of 31 December 2013)

• Operating profit before impairments: 164 mln EUR
• Impairment losses on financial and non-financial assets in the banking book: 97 mln EUR
• Common Equity Tier 1 (CET1) capital: 593 mln EUR
• Total Risk Exposure: 4,566 mln EUR
• CET1 ratio: 13.0%

Baseline Scenario Results (as of 31 December 2016)

• 3 yr cumulative operating profit before impairments: 401 mln EUR

• 3 yr cumulative impairment losses on financial and non-financial assets in the banking book: 268 mln EUR

• 3 yr cumulative losses from the stress in the trading book: 11 mln EUR

• CET1 capital: 691 mln EUR

• Total Risk Exposure: 4,610 mln EUR

• CET1 ratio: 15.0%

• Common EU wide CET1 Threshold (8.0%): 369 mln EUR

Adverse Scenario Results (as of 31 December 2016)

• 3 yr cumulative operating profit before impairments: 246 mln EUR

• 3 yr cumulative impairment losses on financial and non-financial assets in the banking book: 554 mln EUR

• 3 yr cumulative losses from the stress in the trading book: 39 mln EUR

• Valuation losses due to sovereign shock after tax and prudential filters: 16 mln EUR

• CET1 capital: 369 mln EUR

• Total Risk Exposure: 4,572 mln EUR

• CET1 ratio: 8.1%

• Common EU wide CET1 Threshold (5.5%): 251 mln EUR

• Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital under the CRR provisions that convert into CET1 or are written down upon a trigger event: 0 mln EUR

• Of which: eligible instruments whose trigger is above CET1 capital ratio in the adverse scenario: 0 mln EUR

Risk Exposure Breakdown (as of 31 December 2013)

Exposure Values

Value Adjustments and Provisions

Key Observations

• The CET1 ratio decreased significantly in the Adverse Scenario from 13.0% (2013) to 8.1% (2016), indicating a substantial impact on capital adequacy.
• In the Baseline Scenario, the CET1 ratio increased to 15.0%, suggesting a more stable financial position compared to the adverse scenario.
• The operating profit before impairments was 246 mln EUR in the adverse scenario, which is lower than the baseline scenario's 401 mln EUR, reflecting the negative impact of the adverse conditions.
• Impairment losses were higher in the adverse scenario (554 mln EUR) than in the baseline (268 mln EUR), indicating increased credit risk under the adverse conditions.
• The total risk exposure remained relatively stable between the two scenarios, with only minor variations.
• The securitisation and re-securitisations positions were deducted from capital, but the values were 0 mln EUR in both scenarios, meaning no impact on capital calculations from these positions.

Summary of Key Metrics

Notes

• The CET1 threshold for the adverse scenario was 5.5%, and for the baseline scenario was 8.0%.
• No instruments were eligible for conversion into CET1 or written down in the adverse or baseline scenarios.
• The LTV (Loan-to-Value) ratio varied across different categories, with a notable impact on risk exposure amounts in the adverse scenario.