EBA欧洲银行-EBA_TR_AT_PQOH26KWDF7CG10L6792_29页_5mb

报告摘要

Indicator	Actual (31/12/2015)	Baseline Scenario (31/12/2018)	Adverse Scenario (31/12/2018)
Net Interest Income (3y cumulative)	-	11,381.77	10,001.67
Gains or (Losses) on Financial Assets and Liabilities (3y cumulative)	-	253.13	-231.96
Impairment or Reversal of Impairment (3y cumulative)	-	-2,529.24	-4,790.20
Profit or Loss for the Year (3y cumulative)	-	1,834.81	-1,481.42
Coverage Ratio - Default Stock	62.11%	51.82%	53.91%
Common Equity Tier 1 (CET1) Capital	12,135.72	13,768.85	8,895.33
CET1 Ratio (%)	12.3%	13.8%	8.2%
Fully Loaded CET1 Ratio (%)	12.2%	13.5%	8.0%
Tier 1 Capital	12,135.72	13,915.85	9,042.33
Total Risk Exposure Amount	98,299.56	99,445.43	108,655.06
Leverage Ratio (%)	5.8%	6.6%	4.3%
Fully Loaded Leverage Ratio (%)	5.8%	6.5%	4.2%
Total Leverage Ratio Exposures	210,081.01	210,081.01	210,081.01

The coverage ratio - default stock decreased from 62.11% in the actual scenario to 51.82% in the baseline scenario and 53.91% in the adverse scenario.
This indicates that the bank’s capital adequacy is under pressure under stress conditions, particularly in the adverse scenario.

CET1 ratio dropped from 12.3% to 13.8% in the baseline scenario and 8.2% in the adverse scenario.
Fully loaded CET1 ratio also decreased from 12.2% to 13.5% and 8.0% respectively.
Leverage ratio declined from 5.8% to 6.6% in the baseline scenario and 4.3% in the adverse scenario.
Fully loaded leverage ratio also fell to 6.5% and 4.2% respectively.

Category	Exposure Values (A-IRB/F-IRB)	Risk Exposure Amounts (A-IRB/F-IRB)	Stock of Provisions	Coverage Ratio - Default Stock
Central banks and central governments	0/0	0/0	0/0	44.0%
Institutions	0/0	1,111/0	573/0	77.8%
Corporates	0/0	33,464/1,379	21,384/0	50.8%
Corporates - Specialised Lending	0/0	6,163/354	5,619/0	64.4%
Corporates - SME	0/0	9,972/643	6,875/0	55.6%
Retail	36,315/1,154	6,260/2,876	234/70	82.4%
Retail - Secured on real estate property	23,828/1,154	3,384/7,362	93/70	80.7%
Retail - Secured on real estate property - SME	5,093/331	1,563/5,501	48/26	76.4%
Retail - Secured on real estate property - non-SME	18,736/9,065	5,501/7,362	82/73	73.4%
Retail - Qualifying Revolving	710/207	200/730	5/26	86.7%
Retail - Other Retail	12,486/4,705	2,876/901	45/25	75.7%
Retail - Other Retail - SME	3,478/1,071	945/373	29/9	88.9%
Retail - Other Retail - non-SME	9,059/15,723	1,931/5,211	82/142	74.7%
Equity	0/0	653/5,725	1,676/3,281	0/0
Securitisation	-/-	-/-	-/-	-/-
Other non-credit obligation assets	0/0	5,725/5,725	3,281/3,281	0/0
IRB Total	61,289/78,817	16,329/50,487	234/2,296	58.1%

The adverse scenario significantly impacts the bank's financial health, leading to a decrease in profit and a reduction in capital ratios.
The coverage ratio under the adverse scenario is lower than the baseline, indicating that the bank may struggle to absorb losses in a severe economic downturn.
Retail and corporate exposures are major contributors to the risk profile, with retail showing a higher proportion of default stock in both scenarios.
Secured real estate loans have a lower coverage ratio compared to other segments, suggesting higher risk in this area.
Non-defaulted exposures are generally larger than defaulted ones, but the ratio of provisions to defaulted stock is critical in assessing the bank's ability to manage credit risk.

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