2014 EU-wide Stress Test Summary for PKO Bank Polski
Core Information
Bank Name: PL - POWSZECHNA KASA OSZCEDNOSCIBANK POLSKI S.A. (PKO Bank Polski)
LEI Code: P4GTT6GF1W40CVIMFR43
Summary: Adverse Scenario (as of 31 December 2016)
Metric
Value (min EUR, %)
3 yr cumulative operating profit before impairments
3,134
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
2,764
3 yr cumulative losses from the stress in the trading book
37
Valuation losses due to sovereign shock after tax and prudential filters
92
Common Equity Tier 1 capital
5,383
Total Risk Exposure
37,664
Common Equity Tier 1 ratio
14.3%
Summary: Baseline Scenario (as of 31 December 2016)
Metric
Value (min EUR, %)
3 yr cumulative operating profit before impairments
3,986
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
1,070
3 yr cumulative losses from the stress in the trading book
19
Common Equity Tier 1 capital
6,575
Total Risk Exposure
37,665
Common Equity Tier 1 ratio
17.5%
Memorandum Items
Item
Value (min EUR)
Common EU wide CET1 Threshold (5.5%)
2,072
Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital under the CRR provisions that convert into Common Equity Tier 1 or are written down upon a trigger event
0
Of which: eligible instruments whose trigger is above CET1 capital ratio in the adverse scenario
0
Summary: Adverse Scenario (as of 31 December 2014 - 2016)
Year
Impairment Rate
Stock of Provisions
Coverage Ratio Default Stock
2014
0.03%
5
66.34%
2015
0.06%
11
83.22%
2016
0.07%
17
89.54%
Summary: Baseline Scenario (as of 31 December 2014 - 2016)
Year
Impairment Rate
Stock of Provisions
Coverage Ratio Default Stock
2014
0.00%
2
66.34%
2015
0.00%
2
65.49%
2016
0.02%
4
64.60%
Exposure and Risk Breakdown (as of 31 December 2013)
Category
F-IRB (Non-defaulted)
F-IRB (Defaulted)
A-IRB (Non-defaulted)
A-IRB (Defaulted)
STA (Non-defaulted)
STA (Defaulted)
Risk Exposure (F-IRB)
Risk Exposure (A-IRB)
Risk Exposure (STA)
Value Adjustments (F-IRB)
Value Adjustments (A-IRB)
Value Adjustments (STA)
Central banks and central governments
0
0
0
0
6,977
0
0
0
61
0
Institutions
0
0
0
0
3,687
7
0
0
794
1
Corporates
0
0
0
0
14,587
1,110
0
0
11,047
667
Corporates - Of Which: SME
0
0
0
0
2,916
445
0
0
1,480
462
Retail
0
0
0
0
21,048
470
0
0
16,288
437
Retail - Secured on real estate property
78.2%
0
0
0
15,154
136
0
0
11,866
126
Retail - Other Retail
0
0
0
0
4,500
313
0
0
3,380
291
Retail - Other Retail - Of Which: non-SME
0
0
0
0
4,500
313
0
0
3,380
291
Equity
0
0
0
0
240
0
0
0
76
0
Securitisation
0
0
0
0
0
62
0
0
0
75
Other non-credit obligation assets
0
0
0
0
3,664
62
0
0
2,547
75
TOTAL
0
0
0
0
50,203
1,649
0
0
33,139
1,642
Additional Notes
Securitisation and re-securitisations positions deducted from capital: 0
CET1 Threshold (5.5%): 2,072
CET1 Threshold (8.0%): 3,013
Key Observations
Common Equity Tier 1 (CET1) ratio:
Adverse Scenario: Remained stable at 14.3% as of 31 December 2016.
Baseline Scenario: Increased to 17.5% as of 31 December 2016, indicating better resilience under normal conditions.
Impairment losses:
Under the Adverse Scenario, impairment losses increased significantly, reaching 2,764 million EUR by 2016.
Under the Baseline Scenario, impairment losses were lower, at 1,070 million EUR by 2016.
Trading book losses:
The Adverse Scenario showed a cumulative loss of 92 million EUR in valuation losses due to sovereign shock.
The Baseline Scenario had minimal trading book losses, at 19 million EUR.
Risk exposure:
The total risk exposure remained consistent at around 37,664 million EUR in both scenarios.
Provisions and Coverage Ratios:
The Baseline Scenario showed a steady increase in the stock of provisions and a slight decrease in coverage ratios over the three-year period.
The Adverse Scenario showed a more significant increase in provisions and a steeper decline in coverage ratios, indicating a more severe impact on the bank's capital adequacy.
