2014 EU-wide Stress Test Summary for DE - HSH Nordbank AG
Core Information
Bank Name: DE - HSH Nordbank AG
LEI Code: TUKDD90GPC79G1KOE162
Country: Germany
Summary of Actual Figures (as of 31 December 2013)
Metric
Value (min EUR)
Operating profit before impairments
227
Impairment losses on financial and non-financial assets in the banking book
1,128
Common Equity Tier 1 capital
3,781
Total Risk Exposure
37,806
Common Equity Tier 1 ratio
10.0%
Summary of Adverse Scenario Outcome (as of 31 December 2016)
Metric
Value (min EUR)
3 yr cumulative operating profit before impairments
-699
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
427
3 yr cumulative losses from the stress in the trading book
801
Valuation losses due to sovereign shock after tax and prudential filters
52
Common Equity Tier 1 capital
2,533
Total Risk Exposure
41,761
Common Equity Tier 1 ratio
6.1%
Memorandum Items for Adverse Scenario
Item
Value (min EUR)
Common EU wide CET1 Threshold (5.5%)
2,297
Total amount of instruments with mandatory conversion into ordinary shares
0
Total Additional Tier 1 and Tier 2 instruments eligible for CET1 or written down
0
Of which: eligible instruments with trigger above CET1 ratio in adverse scenario
0
Summary of Baseline Scenario Outcome (as of 31 December 2016)
Metric
Value (min EUR)
3 yr cumulative operating profit before impairments
-55
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
165
3 yr cumulative losses from the stress in the trading book
624
Common Equity Tier 1 capital
3,636
Total Risk Exposure
38,627
Common Equity Tier 1 ratio
9.4%
Memorandum Items for Baseline Scenario
Item
Value (min EUR)
Common EU wide CET1 Threshold (8.0%)
3,090
Exposure and Risk Analysis (Baseline Scenario)
Category
F-IRB (Non-defaulted)
F-IRB (Defaulted)
A-IRB (Non-defaulted)
A-IRB (Defaulted)
STA (Non-defaulted)
STA (Defaulted)
Central banks and central governments
0
0
25,337
1
10
0
Institutions
0
0
10,345
83
872
4
Corporates
0
0
23,464
2,043
883
336
Corporates - Specialised Lending
0
0
7,178
755
0
0
Corporates - SME
0
0
4,081
774
48
9
Retail
0
0
0
0
72
12
Retail - Secured on real estate property
35.1%
0
0
0
33
0
Retail - SME
0
0
0
0
7
3
Retail - non-SME
0
0
0
0
32
9
Equity
169
52
541
53
7
0
Securitisation
202
0
132
0
92
7
Other non-credit obligation assets
0
0
0
0
1
0
TOTAL
371
52
115,202
2,127
2,609
362
Exposure and Risk Analysis (Adverse Scenario)
Category
F-IRB (Non-defaulted)
F-IRB (Defaulted)
A-IRB (Non-defaulted)
A-IRB (Defaulted)
STA (Non-defaulted)
STA (Defaulted)
Central banks and central governments
0
0
20.411
0
1
0
Institutions
0
0
4.097
0
0
0
Corporates
0
0
23,464
2,043
883
336
Corporates - Specialised Lending
0
0
7,178
755
0
0
Corporates - SME
0
0
4,081
774
48
9
Retail
0
0
0
0
0
0
Retail - Secured on real estate property
0
0
0
0
33
0
Retail - SME
0
0
0
0
7
3
Retail - non-SME
0
0
0
0
32
9
Equity
169
52
541
53
7
0
Securitisation
44
0
10,657
0
92
7
Other non-credit obligation assets
0
0
753
0
1
0
TOTAL
56
1
6,612
56
783
50
Key Observations
Capital Reduction: The bank's CET1 ratio dropped significantly from 10.0% in 2013 to 6.1% under the adverse scenario by 2016, indicating a substantial capital erosion.
Impairment Losses: Impairment losses increased from 1,128 million EUR in 2013 to 427 million EUR in 2016 under the adverse scenario, showing a deteriorating asset quality.
Risk Exposure: Total risk exposure rose from 37,806 million EUR in 2013 to 41,761 million EUR in 2016, suggesting heightened risk exposure under adverse conditions.
Baseline Scenario: The CET1 ratio remained at 9.4% by 2016, which is above the EU-wide threshold of 8.0%, indicating the bank could withstand the baseline stress scenario.
Adverse Scenario Threshold: The CET1 threshold of 5.5% was not met, indicating the bank might not be resilient enough under severe stress conditions.
Sovereign Shock Impact: The adverse scenario included valuation losses due to sovereign shocks, which added to the capital pressure.
Securitisation: The securitisation and re-securitisation positions were deducted from capital, which may impact the capital adequacy calculations.
