EBA欧洲银行-DE_EFHQAFG69S4HKHLIZA14_16页_3mb

2014 EU-wide Stress Test Summary for WGZ Bank AG

Core Information

• Bank Name: DE - WGZ Bank AG Westdeutsche Genossenschafts-Zentralbank
• LEI Code: EFHQAFG69S4HKHLIZA14
• Test Period: 2014 EU-wide Stress Test
• Reporting Date: 31 December 2013
• Test Outcomes: As of 31 December 2016

Key Figures

Actual Figures (as of 31 December 2013)

• Operating profit before impairments: 183 million EUR
• Impairment losses on financial and non-financial assets in the banking book: 63 million EUR
• Common Equity Tier 1 (CET1) capital: 2,225 million EUR
• Total Risk Exposure: 22,228 million EUR
• CET1 ratio: 10.0%

Outcome of Adverse Scenario (as of 31 December 2016)

• 3-year cumulative operating profit before impairments: 414 million EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 555 million EUR
• 3-year cumulative losses from the stress in the trading book: 428 million EUR
• Valuation losses due to sovereign shock after tax and prudential filters: 26 million EUR
• CET1 capital: 1,837 million EUR
• Total Risk Exposure: 25,324 million EUR
• CET1 ratio: 7.3%

Outcome of Baseline Scenario (as of 31 December 2016)

• 3-year cumulative operating profit before impairments: 630 million EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 239 million EUR
• 3-year cumulative losses from the stress in the trading book: 377 million EUR
• CET1 capital: 2,224 million EUR
• Total Risk Exposure: 22,913 million EUR
• CET1 ratio: 9.7%

Memorandum Items

Adverse Scenario

• Common EU-wide CET1 Threshold (5.5%): 1,393 million EUR
• Total amount of instruments with mandatory conversion into ordinary shares: 0
• Total 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%): 1,833 million EUR

Risk Exposure Analysis

Baseline Scenario (as of 31 December 2013)

Adverse Scenario (as of 31 December 2013)

Summary of Key Outcomes

• CET1 Ratio:

  • Baseline Scenario: 9.7% (as of 31 December 2016)
  • Adverse Scenario: 7.3% (as of 31 December 2016)
  • The CET1 ratio decreased in the adverse scenario due to higher impairment losses and valuation losses, indicating a more severe impact on capital.

• Operating Profit:

  • Baseline Scenario: 630 million EUR over 3 years
  • Adverse Scenario: 414 million EUR over 3 years
  • The adverse scenario resulted in lower cumulative operating profits.

• Impairment Losses:

  • Baseline Scenario: 239 million EUR over 3 years
  • Adverse Scenario: 555 million EUR over 3 years
  • The adverse scenario led to significantly higher impairment losses, affecting the bank's profitability.

• Trading Book Losses:

  • Baseline Scenario: 377 million EUR
  • Adverse Scenario: 428 million EUR
  • Trading book losses increased in the adverse scenario, indicating greater stress on market-related assets.

• Valuation Losses:

  • Adverse Scenario: 26 million EUR
  • These losses were attributed to sovereign shocks, which had a negative impact on the bank's capital.

Key Observations

• The adverse scenario tested the bank's resilience to a more severe economic downturn, including sovereign debt crises.
• The CET1 ratio fell below the EU-wide threshold of 5.5% in the adverse scenario, highlighting potential capital shortfalls.
• The baseline scenario showed a more stable performance with a CET1 ratio of 9.7%, which is above the minimum requirement.
• The bank's exposure to different asset categories (corporates, retail, securitisation) varied significantly in terms of risk and loss under both scenarios.