EBA欧洲银行-EBA_TR_DE_851WYGNLUQLFZBSYGB56_29页_5mb

2016 EU-wide Stress Test Summary

Core Information

• Bank Name: Commerzbank AG
• LEI Code: 851WYGNLUQLFZBSYGB56
• Country Code: DE (Germany)
• Test Period: 2016 EU-wide Stress Test
• Reported Date: 31/12/2015

Key Financial Metrics

Main Findings

• Profitability under stress scenarios:

  • In the baseline scenario, Commerzbank AG reported a profit of 1,639.79 mln EUR over the three years.
  • In the adverse scenario, the bank experienced a significant loss of -4,854.09 mln EUR, indicating a substantial decline in profitability under severe stress conditions.

• Capital adequacy ratios:

  • CET1 ratio decreased from 13.8% (actual) to 13.1% (baseline) and further to 7.4% (adverse), showing a weakening capital position in the adverse scenario.
  • Fully loaded CET1 ratio also dropped from 12.1% to 7.4%, highlighting the impact of stress on capital adequacy.

• Leverage ratio:

  • The leverage ratio remained constant at 5.1% in both baseline and actual scenarios but dropped to 3.2% in the adverse scenario, indicating a potential capital shortfall under stress.

Credit Risk Exposure (IRB Methodology)

Germany

Poland

United Kingdom

France

Spain

Key Observations

• Germany showed the most significant credit risk exposure, with a large amount of risk exposure and a relatively high coverage ratio under adverse conditions.
• Poland and Spain had much smaller exposures and coverage ratios, suggesting a lower level of risk in their portfolios.
• United Kingdom and France exhibited minimal exposure and very low coverage ratios, indicating a more resilient position in the adverse scenario.
• Coverage ratios across all countries dropped significantly in the adverse scenario, with Germany having the highest ratio at 47.2% and Poland at 30.2%.
• Provisions for defaulted assets were minimal across all countries, suggesting limited expected losses under stress scenarios.

Conclusion

The 2016 EU-wide Stress Test highlights the varying levels of credit risk exposure and capital resilience among banks in different countries. Commerzbank AG, based in Germany, faced substantial losses in the adverse scenario, with a significant decline in its CET1 and leverage ratios. The test underscores the importance of capital adequacy and risk management under stress conditions, with coverage ratios and provisions playing a critical role in assessing the bank's ability to absorb losses.