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2014 EU-wide Stress Test Summary for NL - Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A.

Core Content Overview

The document presents the results of the 2014 EU-wide Stress Test for NL - Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A., focusing on two scenarios: Adverse Scenario and Baseline Scenario. The data includes actual figures as of 31 December 2013 and outcomes as of 31 December 2016.

Key Financial Indicators

Actual Figures (31 December 2013)

• Operating profit before impairments: 2,602 million EUR
• Impairment losses on financial and non-financial assets in the banking book: 4,444 million EUR
• Common Equity Tier 1 (CET1) capital: 25,262 million EUR
• Total Risk Exposure: 210,040 million EUR
• CET1 ratio: 12.0%

Adverse Scenario Outcomes (31 December 2016)

• 3-year cumulative operating profit before impairments: 7,291 million EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 9,799 million EUR
• 3-year cumulative losses from the stress in the trading book: 1,727 million EUR
• Valuation losses due to sovereign shock after tax and prudential filters: 102 million EUR
• CET1 capital: 20,434 million EUR
• Total Risk Exposure: 244,592 million EUR
• CET1 ratio: 8.4%

Baseline Scenario Outcomes (31 December 2016)

• 3-year cumulative operating profit before impairments: 9,846 million EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 4,150 million EUR
• 3-year cumulative losses from the stress in the trading book: 1,422 million EUR
• CET1 capital: 24,855 million EUR
• Total Risk Exposure: 221,974 million EUR
• CET1 ratio: 11.2%

Memorandum Items

Adverse Scenario

• Common EU-wide CET1 Threshold (5.5%): 13,453 million EUR
• Total amount of instruments with mandatory conversion into ordinary shares (cumulative conversions): 0 million EUR
• Total Additional Tier 1 and Tier 2 instruments eligible for regulatory capital: 2,859 million EUR
  • Of which: eligible instruments whose trigger is above CET1 ratio in the adverse scenario: 0 million EUR

Baseline Scenario

• Common EU-wide CET1 Threshold (8.0%): 17,758 million EUR

Risk Exposure and Value Adjustments

Adverse Scenario (as of 31 December 2013)

• LTV %: 5.453%
• Exposure values:
  • F-IRB: 404,729 million EUR
  • A-IRB: 13,295 million EUR
  • STA: 17,931 million EUR
• Risk exposure amounts:
  • F-IRB: 91,769 million EUR
  • A-IRB: 21,483 million EUR
  • STA: 576 million EUR
• Value adjustments and provisions:
  • F-IRB: 268 million EUR
  • A-IRB: 1,181 million EUR
  • STA: 249 million EUR
• Securitisation and re-securitisations positions deducted from capital: 12 million EUR

Baseline Scenario (as of 31 December 2013)

• LTV %: 9,522%
• Exposure values:
  • F-IRB: 577,207 million EUR
  • A-IRB: 15,520 million EUR
  • STA: 42,128 million EUR
• Risk exposure amounts:
  • F-IRB: 127,767 million EUR
  • A-IRB: 36,317 million EUR
  • STA: 2,605 million EUR
• Value adjustments and provisions:
  • F-IRB: 395 million EUR
  • A-IRB: 5,890 million EUR
  • STA: 1,291 million EUR
• Securitisation and re-securitisations positions deducted from capital: 2,023 million EUR

Summary of Key Observations

• CET1 ratio decreases from 12.0% (2013) to 8.4% under the Adverse Scenario by 2016, indicating a significant impact on capital adequacy.
• CET1 ratio under the Baseline Scenario remains at 11.2% by 2016, showing a more moderate decline compared to the Adverse Scenario.
• Operating profit before impairments increases in both scenarios over the three-year period, though more so in the Baseline Scenario.
• Impairment losses are higher in the Adverse Scenario, suggesting greater financial stress on the banking book.
• Trading book losses are also present in both scenarios, but the Adverse Scenario shows a higher cumulative impact.
• Sovereign shock leads to valuation losses of 102 million EUR in the Adverse Scenario, highlighting the vulnerability to government-related risks.
• Securitisation and re-securitisations positions are deducted from capital in both scenarios, indicating the regulatory requirement to remove such positions from capital calculations.

Risk Exposure by Sector

Adverse Scenario

• Retail - Secured on real estate property: LTV % 80.6%, Exposure values 225,368 million EUR, Risk exposure amounts 25,536 million EUR, Value adjustments and provisions 44 million EUR
• Corporates - SME: LTV % 0%, Exposure values 83,736 million EUR, Risk exposure amounts 30,229 million EUR, Value adjustments and provisions 64 million EUR
• Retail - Other Retail - Of Which: SME: LTV % 0%, Exposure values 12,955 million EUR, Risk exposure amounts 6,386 million EUR, Value adjustments and provisions 54 million EUR
• Retail - Other Retail - Of Which: non-SME: LTV % 0%, Exposure values 5,837 million EUR, Risk exposure amounts 1,219 million EUR, Value adjustments and provisions 7 million EUR

Baseline Scenario

• Retail - Secured on real estate property: LTV % 76.0%, Exposure values 19,540 million EUR, Risk exposure amounts 3,110 million EUR, Value adjustments and provisions 22 million EUR
• Corporates - SME: LTV % 0%, Exposure values 109,385 million EUR, Risk exposure amounts 36,289 million EUR, Value adjustments and provisions 105 million EUR
• Retail - Other Retail - Of Which: SME: LTV % 0%, Exposure values 12,955 million EUR, Risk exposure amounts 6,386 million EUR, Value adjustments and provisions 54 million EUR
• Retail - Other Retail - Of Which: non-SME: LTV % 0%, Exposure values 5,837 million EUR, Risk exposure amounts 1,219 million EUR, Value adjustments and provisions 7 million EUR

Additional Notes

• Securitisation and re-securitisations positions are excluded from capital calculations in both scenarios.
• Mandatory conversions into ordinary shares are not considered for CET1 computation in the Adverse Scenario.
• The CET1 threshold is defined as 5.5% for the Adverse Scenario and 8.0% for the Baseline Scenario.
• The CET1 capital under the Baseline Scenario is higher than under the Adverse Scenario, indicating better resilience under the baseline conditions.