EBA欧洲银行-HU_529900W3MOO00A18X956_16页_3mb

2014 EU-wide Stress Test Summary for HU-OTP Bank Ltd

Core Content Overview

The 2014 EU-wide Stress Test evaluated the financial resilience of HU-OTP Bank Ltd under two scenarios: Baseline and Adverse. The test analyzed key financial metrics and risk exposures across different asset categories as of December 31, 2013, and projected outcomes as of December 31, 2016.

Key Financial Metrics

Actual Figures (as of 31 December 2013)

• Operating profit before impairments: 1,370 min EUR
• Impairment losses on financial and non-financial assets in the banking book: 1,020 min EUR
• Common Equity Tier 1 (CET1) capital: 3,894 min EUR
• Total Risk Exposure: 24,478 min EUR
• CET1 ratio: 15.9%

Outcome of Adverse Scenario (as of 31 December 2016)

• 3-year cumulative operating profit before impairments: 2,840 min EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 3,655 min EUR
• 3-year cumulative losses from the stress in the trading book: 18 min EUR
• Valuation losses due to sovereign shock after tax and prudential filters: -34 min EUR
• CET1 capital: 3,070 min EUR
• Total Risk Exposure: 25,702 min EUR
• CET1 ratio: 11.9%

Memorandum Items

• Common EU-wide CET1 Threshold (5.5%): 1,414 min EUR
• Total amount of instruments with mandatory conversion into ordinary shares (cumulative conversions): 0 min EUR
• Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital under CRR provisions: 0 min EUR
• Eligible instruments whose trigger is above CET1 capital ratio in the adverse scenario: 0 min EUR

Key Observations

• The CET1 ratio decreased from 15.9% in 2013 to 11.9% in 2016 under the adverse scenario, indicating a significant impact on the bank’s capital position.
• The bank's operating profit before impairments increased from 1,370 min EUR in 2013 to 2,840 min EUR over three years, but impairment losses rose significantly to 3,655 min EUR.
• The adverse scenario led to valuation losses of -34 min EUR, suggesting a negative impact from sovereign shocks.
• The bank did not have any instruments with mandatory conversion or eligible for capital conversion under the stress test conditions.

Risk Exposure Analysis

Baseline Scenario (as of 31 December 2016)

• 3-year cumulative operating profit before impairments: 3,383 min EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 2,103 min EUR
• 3-year cumulative losses from the stress in the trading book: 8 min EUR
• CET1 capital: 4,346 min EUR
• Total Risk Exposure: 25,512 min EUR
• CET1 ratio: 17.0%

Exposure Values (as of 31 December 2013)

• F-IRB: Non-defaulted = 0, Defaulted = 0
• A-IRB: Non-defaulted = 0, Defaulted = 0
• STA: Non-defaulted = 0, Defaulted = 0
• Risk exposure amounts:
  • F-IRB: Non-defaulted = 0, Defaulted = 0
  • A-IRB: Non-defaulted = 0, Defaulted = 0
  • STA: Non-defaulted = 0, Defaulted = 0
• Value adjustments and provisions:
  • F-IRB: Non-defaulted = 0, Defaulted = 0
  • A-IRB: Non-defaulted = 0, Defaulted = 0
  • STA: Non-defaulted = 0, Defaulted = 0

Detailed Risk Exposure Breakdown

• Central banks and central governments:

  • LTV %: 90.0%
  • Exposure values:
    • F-IRB: Non-defaulted = 0, Defaulted = 0
    • A-IRB: Non-defaulted = 0, Defaulted = 0
    • STA: Non-defaulted = 0, Defaulted = 0
  • Risk exposure amounts:
    • F-IRB: Non-defaulted = 0, Defaulted = 0
    • A-IRB: Non-defaulted = 0, Defaulted = 0
    • STA: Non-defaulted = 0, Defaulted = 0
  • Value adjustments and provisions:
    • F-IRB: Non-defaulted = 0, Defaulted = 0
    • A-IRB: Non-defaulted = 0, Defaulted = 0
    • STA: Non-defaulted = 0, Defaulted = 0

• Institutions:

  • LTV %: 0
  • Exposure values:
    • F-IRB: Non-defaulted = 0, Defaulted = 0
    • A-IRB: Non-defaulted = 0, Defaulted = 0
    • STA: Non-defaulted = 0, Defaulted = 0
  • Risk exposure amounts:
    • F-IRB: Non-defaulted = 0, Defaulted = 0
    • A-IRB: Non-defaulted = 0, Defaulted = 0
    • STA: Non-defaulted = 0, Defaulted = 0
  • Value adjustments and provisions:
    • F-IRB: Non-defaulted = 0, Defaulted = 0
    • A-IRB: Non-defaulted = 0, Defaulted = 0
    • STA: Non-defaulted = 0, Defaulted = 0

• Corporates:

  • LTV %: 0
  • Exposure values:
    • F-IRB: Non-defaulted = 0, Defaulted = 0
    • A-IRB: Non-defaulted = 0, Defaulted = 0
    • STA: Non-defaulted = 0, Defaulted = 0
  • Risk exposure amounts:
    • F-IRB: Non-defaulted = 0, Defaulted = 0
    • A-IRB: Non-defaulted = 0, Defaulted = 0
    • STA: Non-defaulted = 0, Defaulted = 0
  • Value adjustments and provisions:
    • F-IRB: Non-defaulted = 0, Defaulted = 0
    • A-IRB: Non-defaulted = 0, Defaulted = 0
    • STA: Non-defaulted = 0, Defaulted = 0

• Retail:

  • LTV %: 0
  • Exposure values:
    • F-IRB: Non-defaulted = 0, Defaulted = 0
    • A-IRB: Non-defaulted = 0, Defaulted = 0
    • STA: Non-defaulted = 0, Defaulted = 0
  • Risk exposure amounts:
    • F-IRB: Non-defaulted = 0, Defaulted = 0
    • A-IRB: Non-defaulted = 0, Defaulted = 0
    • STA: Non-defaulted = 0, Defaulted = 0
  • Value adjustments and provisions:
    • F-IRB: Non-defaulted = 0, Defaulted = 0
    • A-IRB: Non-defaulted = 0, Defaulted = 0
    • STA: Non-defaulted = 0, Defaulted = 0

Summary of Stress Test Outcomes

• The bank's CET1 capital and ratio were significantly affected by the adverse scenario, with a decline in both.
• The adverse scenario resulted in higher cumulative impairment losses and some valuation losses, indicating increased financial stress.
• The baseline scenario showed more stable outcomes, with a higher CET1 ratio and lower impairment losses.
• The bank's exposure to different sectors (e.g., retail, corporates) was analyzed, but the data suggested minimal default exposure in the baseline scenario.
• No instruments with mandatory conversion or capital conversion eligibility were present in the bank's portfolio.