2014 EU-wide Stress Test Summary for ES - Kutxabank, S.A.
Core Information
Bank Name: ES - Kutxabank, S.A.
LEI Code: 549300U4LIZV0REEQQ46
Country: Spain
Summary of Adverse Scenario (as of 31 December 2016)
Metric
Value (min EUR, %)
3 yr cumulative operating profit before impairments
684
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
780
3 yr cumulative losses from the stress in the trading book
6
Valuation losses due to sovereign shock after tax and prudential filters
-7
Common Equity Tier 1 capital (CET1)
4,283
Total Risk Exposure
36,062
Common Equity Tier 1 ratio
11.9%
Summary of Baseline Scenario (as of 31 December 2016)
Metric
Value (min EUR, %)
3 yr cumulative operating profit before impairments
979
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
402
3 yr cumulative losses from the stress in the trading book
2
Common Equity Tier 1 capital (CET1)
4,739
Total Risk Exposure
36,042
Common Equity Tier 1 ratio
13.1%
Memorandum Items
Item
Value (min EUR)
Common EU wide CET1 Threshold (5.5%)
1,983
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
Summary of Adverse Scenario (as of 31 December 2013)
Category
LTV %
Exposure Values (F-IRB)
Exposure Values (A-IRB)
Exposure Values (STA)
Risk Exposure Amounts (F-IRB)
Risk Exposure Amounts (A-IRB)
Risk Exposure Amounts (STA)
Value Adjustments and Provisions (F-IRB)
Value Adjustments and Provisions (A-IRB)
Value Adjustments and Provisions (STA)
Central banks and central governments
-
0
0
0
3,557
19
0
0
0
0
Institutions
-
0
0
0
2,491
21
0
0
0
0
Corporates
-
0
0
0
6,395
3,318
0
0
0
0
Corporates - Of Which: SME
-
0
0
0
3,927
3,012
0
0
0
0
Retail
-
0
0
0
36,230
2,196
0
0
0
0
Retail - Secured on real estate property
45.2%
0
0
0
31,803
1,463
0
0
0
0
Retail - Secured on real estate property - Of Which: Specialised Lending
30.8%
0
0
0
922
208
0
0
0
0
Retail - Secured on real estate property - Of Which: 46.0%
46.0%
0
0
0
30,882
1,255
0
0
0
0
Retail - Qualifying Revolving
-
0
0
0
190
18
0
0
0
0
Retail - Other Retail
-
0
0
0
4,236
715
0
0
0
0
Retail - Other Retail - Of Which: SME
-
0
0
0
2,488
612
0
0
0
0
Retail - Other Retail - Of Which: non-SME
-
0
0
0
1,748
103
0
0
0
0
Equity
-
0
0
0
3,405
0
0
0
0
0
Securitisation
-
0
0
0
31
0
0
0
0
0
Other non-credit obligation assets
-
0
0
0
4,836
0
0
0
0
0
TOTAL
-
0
0
0
56,947
5,554
0
0
0
0
Securitisation Deduction
Securitisation and re-securitisations positions deducted from capital: 0 (min EUR)
Summary of Baseline Scenario (as of 31 December 2014)
Metric
Value (min EUR, %)
Impairment rate
0.00%
Stock of Provisions
0
Coverage Ratio - Default Stock
0.00%
Summary of Baseline Scenario (as of 31 December 2015)
Metric
Value (min EUR, %)
Impairment rate
0.00%
Stock of Provisions
0
Coverage Ratio - Default Stock
0.00%
Summary of Baseline Scenario (as of 31 December 2016)
Metric
Value (min EUR, %)
Impairment rate
0.00%
Stock of Provisions
0
Coverage Ratio - Default Stock
0.00%
Summary of Adverse Scenario (as of 31 December 2014)
Metric
Value (min EUR, %)
Impairment rate
0.74%
Stock of Provisions
18
Coverage Ratio - Default Stock
40.00%
Summary of Adverse Scenario (as of 31 December 2015)
Metric
Value (min EUR, %)
Impairment rate
0.74%
Stock of Provisions
28
Coverage Ratio - Default Stock
40.00%
Summary of Adverse Scenario (as of 31 December 2016)
Metric
Value (min EUR, %)
Impairment rate
0.74%
Stock of Provisions
38
Coverage Ratio - Default Stock
40.00%
Key Points
CET1 Threshold: The common EU-wide CET1 threshold is set at 5.5% and 8.0% for adverse and baseline scenarios respectively.
Capital and Risk Exposure: Under both scenarios, the bank's CET1 capital and total risk exposure remain relatively stable, with slight decreases in CET1 ratio in the adverse scenario.
Impairment and Losses: The adverse scenario shows a higher cumulative impairment loss and lower operating profit compared to the baseline scenario.
Risk Exposure by Sector: The bank's risk exposure is mainly concentrated in the retail sector, particularly in secured real estate loans, which are a significant portion of its exposure.
Provisions and Coverage Ratios: Provisions and coverage ratios vary across different sectors, with the highest in the SME segment and lowest in the non-SME segment.
Securitisation: No securitisation positions are deducted from capital in the adverse scenario, indicating no impact on CET1 calculation from securitisation.
