2014 EU-wide Stress Test Summary for ES - Liberbank, S.A.
Core Information
Bank Name: ES - Liberbank, S.A.
LEI Code: 635400XT3V7WHLSFYY25
Country: Spain
Summary: Adverse Scenario
Actual Figures as of 31 December 2013
Operating profit before impairments: 418 million EUR
Impairment losses on financial and non-financial assets in the banking book: 668 million EUR
Common Equity Tier 1 (CET1) capital: 1,419 million EUR
Total Risk Exposure: 18,143 million EUR
CET1 ratio: 7.8%
Outcome as of 31 December 2016
3-year cumulative operating profit before impairments: 659 million EUR
3-year cumulative impairment losses on financial and non-financial assets in the banking book: 1,092 million EUR
3-year cumulative losses from the stress in the trading book: 113 million EUR
Valuation losses due to sovereign shock after tax and prudential filters: 2 million EUR
CET1 capital: 1,040 million EUR
Total Risk Exposure: 18,511 million EUR
CET1 ratio: 5.6%
Memorandum Items
Common EU-wide CET1 Threshold (5.5%): 1,018 million EUR
Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital under the CRR provisions that convert into CET1 or are written down upon a trigger event: 435 million EUR
Of which: eligible instruments whose trigger is above CET1 capital ratio in the adverse scenario: 0 million EUR
Summary: Baseline Scenario
Actual Figures as of 31 December 2013
Operating profit before impairments: 418 million EUR
Impairment losses on financial and non-financial assets in the banking book: 668 million EUR
CET1 capital: 1,419 million EUR
Total Risk Exposure: 18,143 million EUR
CET1 ratio: 7.8%
Outcome as of 31 December 2016
3-year cumulative operating profit before impairments: 1,096 million EUR
3-year cumulative impairment losses on financial and non-financial assets in the banking book: 437 million EUR
3-year cumulative losses from the stress in the trading book: 77 million EUR
CET1 capital: 1,762 million EUR
Total Risk Exposure: 18,773 million EUR
CET1 ratio: 9.4%
Memorandum Items
Common EU-wide CET1 Threshold (8.0%): 1,502 million EUR
Detailed Risk Exposure Breakdown (as of 31 December 2013)
Category
LTV %
Exposure Values (F-IRB)
Exposure Values (A-IRB)
Exposure Values (STA)
Risk Exposure (F-IRB)
Risk Exposure (A-IRB)
Risk Exposure (STA)
Value Adjustments and Provisions (F-IRB)
Value Adjustments and Provisions (A-IRB)
Value Adjustments and Provisions (STA)
Central banks and central governments
65.2%
0
0
0
0
0
0
0
0
0
Corporates
65.2%
0
0
0
0
0
0
0
0
0
Corporates - Of Which: Specialised Lending
65.2%
0
0
0
0
0
0
0
0
0
Corporates - Of Which: SME
65.2%
0
0
0
0
0
0
0
0
0
Retail - Secured on real estate property
65.2%
0
0
0
0
0
0
0
0
0
Retail - Secured on real estate property - Of Which: SME
65.2%
0
0
0
0
0
0
0
0
0
Retail - Secured on real estate property - Of Which: non-SME
65.2%
0
0
0
0
0
0
0
0
0
Retail - Qualifying Revolving
65.2%
0
0
0
0
0
0
0
0
0
Retail - Other Retail
65.2%
0
0
0
0
0
0
0
0
0
Retail - Other Retail - Of Which: SME
65.2%
0
0
0
0
0
0
0
0
0
Retail - Other Retail - Of Which: non-SME
65.2%
0
0
0
0
0
0
0
0
0
Equity
65.2%
0
0
0
0
0
0
0
0
0
Securitisation
65.2%
0
0
0
0
0
0
0
0
0
Other non-credit obligation assets
65.2%
0
0
0
0
0
0
0
0
0
TOTAL
0
0
0
0
0
0
0
0
0
Impairment Rates and Provisions (Baseline Scenario)
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
0.00%
1,613
42.93%
31/12/2015
0.00%
1,613
42.91%
31/12/2016
0.00%
1,613
42.90%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
0.00%
1
0.10%
31/12/2015
0.00%
1
0.10%
31/12/2016
0.00%
1
0.10%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
3.65%
1,033
48.13%
31/12/2015
2.88%
1,110
47.26%
31/12/2016
2.34%
1,169
46.78%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
0.31%
507
27.39%
31/12/2015
0.18%
541
26.28%
31/12/2016
0.14%
564
25.68%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
0.16%
300
20.96%
31/12/2015
0.08%
316
20.02%
31/12/2016
0.05%
325
19.45%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
0.45%
63
19.47%
31/12/2015
0.27%
66
17.70%
31/12/2016
0.18%
67
16.66%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
0.14%
237
21.40%
31/12/2015
0.08%
250
20.73%
31/12/2016
0.05%
258
20.34%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
1.09%
16
76.53%
31/12/2015
0.80%
18
73.89%
31/12/2016
0.61%
19
72.08%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
1.63%
191
44.91%
31/12/2015
1.18%
207
43.07%
31/12/2016
0.93%
220
41.83%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
1.94%
122
40.31%
31/12/2015
1.38%
130
38.42%
31/12/2016
1.06%
137
37.10%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
1.39%
69
56.83%
31/12/2015
1.05%
77
54.57%
31/12/2016
0.82%
84
53.25%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
0.44%
3,155
40.50%
31/12/2015
0.29%
3,265
39.84%
31/12/2016
0.27%
3,348
39.45%
Impairment Rates and Provisions (Adverse Scenario)
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
1.25%
1,781
43.84%
31/12/2015
0.68%
1,875
44.00%
31/12/2016
1.30%
1,974
44.88%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
0.00%
1
0.20%
31/12/2015
0.00%
1
0.15%
31/12/2016
0.00%
1
0.13%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
5.29%
1,129
51.08%
31/12/2015
4.66%
1,246
50.21%
31/12/2016
4.13%
1,338
49.78%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
0.51%
581
29.26%
31/12/2015
0.37%
641
27.65%
31/12/2016
0.29%
685
26.94%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
0.29%
356
23.32%
31/12/2015
0.20%
385
21.70%
31/12/2016
0.12%
403
20.89%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
0.80%
67
19.44%
31/12/2015
0.55%
71
17.64%
31/12/2016
0.40%
73
16.57%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
0.26%
289
24.43%
31/12/2015
0.18%
314
22.86%
31/12/2016
0.11%
330
22.17%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
1.73%
18
77.84%
31/12/2015
1.71%
20
74.07%
31/12/2016
1.35%
22
71.75%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
2.40%
207
45.58%
31/12/2015
2.16%
235
43.95%
31/12/2016
1.80%
259
42.90%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
2.69%
129
40.34%
31/12/2015
2.13%
140
38.47%
31/12/2016
1.81%
151
37.23%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
2.18%
79
58.33%
31/12/2015
2.18%
95
55.96%
31/12/2016
1.79%
108
54.72%
Year
Impairment Rate
Stock of Provisions (EUR)
Coverage Ratio - Default Stock (%)
31/12/2014
1.13%
3,492
42.07%
31/12/2015
0.77%
3,763
41.36%
31/12/2016
0.85%
3,998
41.38%
Notes
The data is based on the CRR/CRD4 definitions and includes transitional arrangements.
Figures for 31/12/2013 are computed as of the first day of application: 01/01/2014.
Conversions not considered for CET1 computation are excluded.
Instruments with mandatory conversion into ordinary shares upon a fixed date in the 2014 - 2016 period are excluded from CET1.
The securitisation and re-securitisations positions are deducted from capital and not included in Risk Weighted Assets (RWA).
