2014 EU-wide Stress Test Summary for SI - Nova Ljubljanska banka d.d.
Core Information
Bank Name: SI - Nova Ljubljanska banka d.d.
LEI Code: 5493001BABFV7P27OW30
Summary of Actual Figures as of 31 December 2013
Metric
Value (mIn EUR, %)
Operating profit before impairments
-262
Impairment losses on financial and non-financial assets in the banking book
1,082
Common Equity Tier 1 capital (1)
1,061
Total Risk Exposure (1)
7,283
Common Equity Tier 1 ratio, % (1)
14.6%
Summary of Adverse Scenario Outcome as of 31 December 2016
Metric
Value (mIn EUR, %)
3 yr cumulative operating profit before impairments
155
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
776
3 yr cumulative losses from the stress in the trading book
33
Valuation losses due to sovereign shock after tax and prudential filters
40
Common Equity Tier 1 capital (1)
369
Total Risk Exposure (1)
7,328
Common Equity Tier 1 ratio, % (1)
5.0%
Memorandum Items for Adverse Scenario
Item
Value (mIn EUR)
Common EU wide CET1 Threshold (5.5%)
403
Total amount of instruments with mandatory conversion into ordinary shares upon a fixed date in the 2014 - 2016 period (cumulative conversions) (2)
0
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 (3)
0
Of which: eligible instruments whose trigger is above CET1 capital ratio in the adverse scenario (3)
0
Summary of Baseline Scenario Outcome as of 31 December 2016
Metric
Value (mIn EUR, %)
3 yr cumulative operating profit before impairments
206
3 yr cumulative impairment losses on financial and non-financial assets in the banking book
286
3 yr cumulative losses from the stress in the trading book
9
Common Equity Tier 1 capital (1)
971
Total Risk Exposure (1)
7,592
Common Equity Tier 1 ratio, % (1)
12.8%
Memorandum Items for Baseline Scenario
Item
Value (mIn EUR)
Common EU wide CET1 Threshold (8.0%)
607
Detailed Breakdown of Risk Exposure and Provisions
Baseline Scenario (as of 31 December 2013)
Asset Type
LTV %
Exposure Values (F-IRB, A-IRB, STA)
Risk Exposure Amounts (F-IRB, A-IRB, STA)
Value Adjustments and Provisions (F-IRB, A-IRB, STA)
Central banks and central governments
-
0, 0, 0
2,987, 4, 0
88, 2, 0
Institutions
-
0, 0, 0
816, 55, 0
0, 0, 0
Corporates
-
0, 0, 0
2,882, 1,955, 0
0, 0, 0
Corporates - Of Which: Specialised Lending
-
0, 0, 0
0, 0, 0
0, 0, 0
Corporates - Of Which: SME
-
0, 0, 0
1,308, 921, 0
0, 0, 0
Retail
-
0, 0, 0
3,976, 1,045, 0
0, 0, 0
Retail - Secured on real estate property
55.5%
0, 0, 0
11, 0, 0
0, 0, 0
Retail - Secured on real estate property - Of 53.8%
-
0, 0, 0
1, 0, 0
0, 0, 0
Retail - Secured on real estate property - Of 55.6%
-
0, 0, 0
10, 0, 0
0, 0, 0
Retail - Qualifying Revolving
-
0, 0, 0
0, 0, 0
0, 0, 0
Retail - Other Retail
-
0, 0, 0
3,965, 276, 0
0, 0, 0
Retail - Other Retail - Of Which: SME
-
0, 0, 0
862, 213, 0
0, 0, 0
Retail - Other Retail - Of Which: non-SME
-
0, 0, 0
3,103, 63, 0
0, 0, 0
Equity
-
0, 0, 0
66, 42, 0
0, 0, 0
Securitisation
-
0, 0, 0
0, 0, 0
0, 0, 0
Other non-credit obligation assets
-
0, 0, 0
1,165, 8, 0
0, 0, 0
TOTAL
-
0, 0, 0
11,892, 3,109, 0
0, 0, 0
Adverse Scenario (as of 31 December 2013)
Asset Type
LTV %
Exposure Values (F-IRB, A-IRB, STA)
Risk Exposure Amounts (F-IRB, A-IRB, STA)
Value Adjustments and Provisions (F-IRB, A-IRB, STA)
Central banks and central governments
-
0, 0, 0
0, 0, 0
0, 0, 0
Institutions
-
0, 0, 0
0, 0, 0
0, 0, 0
Corporates
-
0, 0, 0
2,000, 854, 0
0, 0, 0
Corporates - Of Which: Specialised Lending
-
0, 0, 0
0, 0, 0
0, 0, 0
Corporates - Of Which: SME
-
0, 0, 0
754, 288, 0
0, 0, 0
Retail
-
0, 0, 0
2,699, 413, 0
0, 0, 0
Retail - Secured on real estate property
55.5%
0, 0, 0
11, 0, 0
0, 0, 0
Retail - Secured on real estate property - Of 53.8%
-
0, 0, 0
1, 0, 0
0, 0, 0
Retail - Secured on real estate property - Of 55.6%
-
0, 0, 0
10, 0, 0
0, 0, 0
Retail - Qualifying Revolving
-
0, 0, 0
0, 0, 0
0, 0, 0
Retail - Other Retail
-
0, 0, 0
2,688, 413, 0
0, 0, 0
Retail - Other Retail - Of Which: SME
-
0, 0, 0
862, 291, 0
0, 0, 0
Retail - Other Retail - Of Which: non-SME
-
0, 0, 0
2,260, 122, 0
0, 0, 0
Equity
-
0, 0, 0
62, 41, 0
0, 0, 0
Securitisation
-
0, 0, 0
0, 0, 0
0, 0, 0
Other non-credit obligation assets
-
0, 0, 0
615, 0, 0
0, 0, 0
TOTAL
-
0, 0, 0
7,228, 1,319, 0
0, 0, 0
Additional Tables
Baseline Scenario (as of 31 December 2014 - 31 December 2016)
Year
Impairment Rate
Stock of Provisions
Coverage Ratio - Default Stock
2014
0.00%
8
66.67%
2015
0.00%
35
61.25%
2016
0.00%
8
56.64%
Adverse Scenario (as of 31 December 2014 - 31 December 2016)
Year
Impairment Rate
Stock of Provisions
Coverage Ratio - Default Stock
2014
0.58%
24
41.06%
2015
0.61%
41
41.47%
2016
0.58%
58
41.02%
Key Observations
Common Equity Tier 1 (CET1) ratio: The CET1 ratio decreased significantly in the adverse scenario from 14.6% (as of 2013) to 5.0% (as of 2016), indicating a substantial impact on capital adequacy.
Impairment losses: These increased in both scenarios, showing a higher level of credit risk exposure.
Sovereign shock impact: The adverse scenario included valuation losses due to sovereign shocks, which further reduced the CET1 ratio.
Risk exposure: The total risk exposure increased slightly in the adverse scenario compared to the baseline, suggesting higher risk levels.
Mandatory conversions and eligible instruments: No instruments were included in the CET1 computation, as they were either converted or not eligible under the CRR provisions.
