EBA欧洲银行-EBA_TR_DK_3M5E1GQGKL17HI6CPN30_29页_5mb

2016 EU-wide Stress Test Summary: Jyske Bank

Core Information

• Bank Name: Jyske Bank
• LEI Code: 3M5E1GQGKL17HI6CPN30
• Country Code: DK (Denmark)

Key Financial Metrics

Main Findings

• Profitability under Stress Scenarios:

  • In the Baseline Scenario, Jyske Bank reported a profit of 840.16 mln EUR.
  • In the Adverse Scenario, the bank experienced a loss of 68.58 mln EUR, indicating a significant drop in profitability under stress conditions.

• Capital Adequacy Ratios:

  • CET1 Ratio decreased from 16.1% (actual) to 14.0% in the adverse scenario, suggesting a decline in capital adequacy.
  • Fully Loaded CET1 Ratio also decreased from 16.0% to 14.0%, showing that the bank’s capital remains below the minimum requirement under adverse conditions.
  • Tier 1 Capital decreased from 3,914.45 mln EUR to 3,699.15 mln EUR, indicating a reduction in capital levels under stress.

• Leverage Ratio:

  • The leverage ratio dropped from 5.3% (actual) to 5.0% in the adverse scenario, showing a slight but notable decrease in capital relative to total exposure.

• Risk Exposure:

  • Total Risk Exposure increased from 23,705.42 mln EUR to 25,941.70 mln EUR in the adverse scenario, indicating higher risk exposure under stress.

Default Stock Provisions

• Coverage Ratio - Default Stock:
  • In the Baseline Scenario, the coverage ratio was 31.15%.
  • In the Adverse Scenario, it increased to 35.77%, suggesting that the bank is better able to cover potential losses in adverse conditions, although still below the 40.40% level of the actual situation.

Sectoral Breakdown (as of 31/12/2015)

Exposure Values

Risk Exposure Amounts

Stock of Provisions

Coverage Ratio - Default Stock

• Corporates: 51.4%
• Retail - Secured on Real Estate Property - SME: 20.8%
• Retail - Secured on Real Estate Property - non-SME: 28.2%
• Retail - Other Retail - SME: 64.0%
• Retail - Other Retail - non-SME: 55.3%
• IRB TOTAL: 40.5%

Notes

• Mandatory Conversion Instruments: No instruments with mandatory conversion into ordinary shares were considered in the CET1 computation during the 2016–2018 period.
• Eligible Instruments for Regulatory Capital: No instruments were eligible for conversion into CET1 or written down under trigger events.
• Coverage Ratio Computation: Calculated as the stock of provisions for defaulted stock / default stock, as defined in the Methodological note (Paragraphs 59 and 61).

Conclusion

• Jyske Bank experienced a decline in profitability and capital adequacy under the adverse scenario compared to the baseline.
• The bank’s CET1 ratio and leverage ratio dropped significantly, indicating potential vulnerability to stress.
• Despite the adverse scenario, the coverage ratio for default stock improved slightly, suggesting the bank has some capacity to absorb losses.
• The risk exposure increased under adverse conditions, highlighting the need for careful risk management.