2014 EU-wide Stress Test Summary for PT - Banco BPI, SA
Core Information
Bank Name: PT - Banco BPI, SA
LEI Code: 3DM5DPGI3W6OU6GJ4N92
Report Period: 2013 to 2016
Stress Test Type: EU-wide Stress Test
Key Financial Metrics
Actual Figures as of 31 December 2013
Metric
Value (in EUR, %)
Operating profit before impairments
354
Impairment losses on financial and non-financial assets in the banking book
290
Common Equity Tier 1 (CET1) capital
3,291
Total Risk Exposure
21,710
CET1 ratio
15.2%
Outcome of the Adverse Scenario as of 31 December 2016
Metric
Value (in EUR, %)
3 yr cumulative operating profit before impairments
650
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
1,040
3 yr cumulative losses from the stress in the trading book
10
Valuation losses due to sovereign shock after tax and prudential filters
206
CET1 capital
2,558
Total Risk Exposure
22,058
CET1 ratio
11.6%
Outcome of the Baseline Scenario as of 31 December 2016
Metric
Value (in EUR, %)
3 yr cumulative operating profit before impairments
734
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
399
3 yr cumulative losses from the stress in the trading book
4
CET1 capital
3,258
Total Risk Exposure
21,845
CET1 ratio
14.9%
Memorandum Items
Adverse Scenario
Common EU wide CET1 Threshold (5.5%): 1,213 mln EUR
Total amount of instruments with mandatory conversion into ordinary shares: 0
Additional Tier 1 and Tier 2 instruments eligible as regulatory capital: 0
Eligible instruments whose trigger is above CET1 capital ratio in the adverse scenario: 0
Baseline Scenario
Common EU wide CET1 Threshold (8.0%): 1,748 mln EUR
Exposure and Risk Analysis
Baseline Scenario (as of 31/12/2013)
Exposure Type
F-IRB (Non-defaulted)
F-IRB (Defaulted)
A-IRB (Non-defaulted)
A-IRB (Defaulted)
STA (Non-defaulted)
STA (Defaulted)
Risk Exposure (F-IRB)
Risk Exposure (A-IRB)
Risk Exposure (STA)
Value Adjustments (F-IRB)
Value Adjustments (A-IRB)
Value Adjustments (STA)
Central banks and central governments
0
0
0
0
11,599
65
0
0
0
0
0
0
Institutions
0
0
0
0
1,406
0
0
0
0
0
0
0
Corporates
0
0
0
0
8,902
348
0
0
0
0
0
225
Corporates - Of Which: Specialised Lending
0
0
0
0
2,156
92
0
0
0
0
0
43
Corporates - Of Which: SME
0
0
0
0
1,593
116
0
0
0
0
0
60
Retail
0
0
0
0
13,987
334
0
0
0
0
0
159
Retail - Secured on real estate property
58.0%
0
0
0
11,170
263
0
0
0
0
0
95
Retail - Secured on real estate property - Of Which: SME
74.5%
0
0
0
45
12
0
0
0
0
0
3
Retail - Secured on real estate property - Of Which: non-SME
57.9%
0
0
0
11,125
251
0
0
0
0
0
92
Retail - Qualifying Revolving
0
0
0
0
226
1
0
0
0
0
0
3
Retail - Other Retail
0
0
0
0
2,591
70
0
0
0
0
0
61
Retail - Other Retail - Of Which: SME
0
0
0
0
1,324
45
0
0
0
0
0
38
Retail - Other Retail - Of Which: non-SME
0
0
0
0
1,267
24
0
0
0
0
0
23
Equity
0
0
0
0
721
0
0
0
0
0
0
0
Securitisation
0
0
0
0
112
0
0
0
0
0
0
0
Other non-credit obligation assets
0
0
0
0
1,105
0
0
0
0
0
0
0
TOTAL
0
0
0
0
37,832
747
0
0
0
0
0
486
Adverse Scenario (as of 31/12/2013)
Exposure Type
F-IRB (Non-defaulted)
F-IRB (Defaulted)
A-IRB (Non-defaulted)
A-IRB (Defaulted)
STA (Non-defaulted)
STA (Defaulted)
Risk Exposure (F-IRB)
Risk Exposure (A-IRB)
Risk Exposure (STA)
Value Adjustments (F-IRB)
Value Adjustments (A-IRB)
Value Adjustments (STA)
Central banks and central governments
0
0
0
0
11,599
65
0
0
0
0
0
0
Institutions
0
0
0
0
1,406
0
0
0
0
0
0
0
Corporates
0
0
0
0
8,902
348
0
0
0
0
0
225
Corporates - Of Which: Specialised Lending
0
0
0
0
2,156
92
0
0
0
0
0
43
Corporates - Of Which: SME
0
0
0
0
1,593
116
0
0
0
0
0
60
Retail
0
0
0
0
13,987
334
0
0
0
0
0
159
Retail - Secured on real estate property
58.0%
0
0
0
11,170
263
0
0
0
0
0
95
Retail - Secured on real estate property - Of Which: SME
74.5%
0
0
0
45
12
0
0
0
0
0
3
Retail - Secured on real estate property - Of Which: non-SME
57.9%
0
0
0
11,125
251
0
0
0
0
0
92
Retail - Qualifying Revolving
0
0
0
0
226
1
0
0
0
0
0
3
Retail - Other Retail
0
0
0
0
2,591
70
0
0
0
0
0
61
Retail - Other Retail - Of Which: SME
0
0
0
0
1,324
45
0
0
0
0
0
38
Retail - Other Retail - Of Which: non-SME
0
0
0
0
1,267
24
0
0
0
0
0
23
Equity
0
0
0
0
721
0
0
0
0
0
0
0
Securitisation
0
0
0
0
112
0
0
0
0
0
0
0
Other non-credit obligation assets
0
0
0
0
1,105
0
0
0
0
0
0
0
TOTAL
0
0
0
0
37,832
747
0
0
0
0
0
486
Summary of Impairment and Coverage Ratios
Baseline Scenario
Year
Impairment Rate
Stock of Provisions
Coverage Ratio Default Stock
2014
0.00%
0
0.09%
2015
0.00%
1
2.42%
2016
0.00%
1
1.60%
Adverse Scenario
Year
Impairment Rate
Stock of Provisions
Coverage Ratio Default Stock
2014
1.19%
62
40.04%
2015
1.93%
118
40.02%
2016
1.84%
168
40.01%
Notes
Securitisation and re-securitisations positions deducted from capital are not included in Risk Weighted Assets (RWA) and are excluded from CET1 computation.
The Common EU-wide CET1 Threshold for the adverse scenario is 5.5%, and for the baseline scenario is 8.0%.
The CET1 ratio for the adverse scenario as of 31 December 2016 is 11.6%, which is below the threshold of 5.5% (adjusted for the period).
The CET1 ratio for the baseline scenario as of 31 December 2016 is 14.9%, which meets the threshold of 8.0%.
