EBA欧洲银行-PT_TO822O0VT80V06K0FH57_16页_3mb

2014 EU-wide Stress Test Summary for Caixa Geral de Depósitos, SA

Core Information

• Bank Name: PT - Caixa Geral de Depósitos, SA
• LEI Code: TO822O0VT80V06K0FH57
• Country: Spain

Summary: Adverse Scenario

Actual Figures as of 31 December 2013

• Operating profit before impairments: 339 million EUR
• Impairment losses on financial and non-financial assets in the banking book: 1,418 million EUR
• Common Equity Tier 1 (CET1) capital: 6,651 million EUR
• Total Risk Exposure: 63,870 million EUR
• CET1 ratio: 10.4%

Outcome as of 31 December 2016

• 3-year cumulative operating profit before impairments: 403 million EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 3,395 million EUR
• 3-year cumulative losses from the stress in the trading book: 289 million EUR
• Valuation losses due to sovereign shock after tax and prudential filters: 98 million EUR
• CET1 capital: 3,982 million EUR
• Total Risk Exposure: 65,419 million EUR
• CET1 ratio: 6.1%

Memorandum Items

• Common EU-wide CET1 Threshold (5.5%): 3,598 million EUR
• Total amount of instruments with mandatory conversion into ordinary shares (2014–2016): 0 million EUR
• Total Additional Tier 1 and Tier 2 instruments eligible for CET1 conversion or write-down: 0 million EUR
• Of which: eligible instruments with trigger above CET1 ratio in the adverse scenario: 0 million EUR

Summary: Baseline Scenario

Actual Figures as of 31 December 2013

• Operating profit before impairments: 339 million EUR
• Impairment losses on financial and non-financial assets in the banking book: 1,418 million EUR
• CET1 capital: 6,651 million EUR
• Total Risk Exposure: 63,870 million EUR
• CET1 ratio: 10.4%

Outcome as of 31 December 2016

• 3-year cumulative operating profit before impairments: 1,009 million EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 1,145 million EUR
• 3-year cumulative losses from the stress in the trading book: 165 million EUR
• CET1 capital: 6,100 million EUR
• Total Risk Exposure: 64,910 million EUR
• CET1 ratio: 9.4%

Memorandum Items

• Common EU-wide CET1 Threshold (8.0%): 5,193 million EUR

Exposure Breakdown (as of 31 December 2013)

| Category | LTV % | F-IRB Exposure (Non-defaulted) | F-IRB Exposure (Defaulted) | A-IRB Exposure (Non-defaulted) | A-IRB Exposure (Defaulted) | STA Exposure (Non-defaulted) | STA Exposure (Defaulted) | F-IRB Risk Exposure (Non-defaulted) | F-IRB Risk Exposure (Defaulted) | A-IRB Risk Exposure (Non-defaulted) | A-IRB Risk Exposure (Defaulted) | STA Risk Exposure (Non-defaulted) | STA Risk Exposure (Defaulted) | F-IRB Value Adjustments (Non-defaulted) | F-IRB Value Adjustments (Defaulted) | A-IRB Value Adjustments (Non-defaulted) | A-IRB Value Adjustments (Defaulted) | STA Value Adjustments (Non-defaulted) | STA Value Adjustments (Defaulted) |
|----------|------|-------------------------------|-----------------------------|-------------------------------|-----------------------------|-------------------------------|-----------------------------|----------------------------------|----------------------------------|----------------------------------|----------------------------------|----------------------------------|----------------------------------|----------------------------------|----------------------------------|----------------------------------|----------------------------------|----------------------------------|
| Central banks and central governments | - | 0 | 0 | 0 | 0 | 24,305 | 11 | 0 | 0 | 0 | 0 | 2,015 | 17 | 0 | 0 | 0 | 0 | 0 | 0 |
| Institutions | - | 0 | 0 | 0 | 0 | 5,484 | 1 | 0 | 0 | 0 | 0 | 2,685 | 1 | 0 | 0 | 0 | 0 | 43 | 2 |
| Corporates | - | 0 | 0 | 0 | 0 | 27,629 | 2,712 | 0 | 0 | 0 | 0 | 27,348 | 3,277 | 0 | 0 | 0 | 0 | 1,678 | 1,782 |
| Corporates - Of Which: Specialised Lending | - | 0 | 0 | 0 | 0 | 4,246 | 339 | 0 | 0 | 0 | 0 | 4,566 | 469 | 0 | 0 | 0 | 0 | 255 | 100 |
| Corporates - Of Which: SME | - | 0 | 0 | 0 | 0 | 5,325 | 1,668 | 0 | 0 | 0 | 0 | 5,120 | 1,971 | 0 | 0 | 0 | 0 | 356 | 1,221 |
| Retail | - | 0 | 0 | 0 | 0 | 38,613 | 1,887 | 0 | 0 | 0 | 0 | 16,270 | 1,937 | 0 | 0 | 0 | 0 | 488 | 912 |
| Retail - Secured on real estate property | 64.0% | 0 | 0 | 0 | 0 | 33,164 | 1,554 | 0 | 0 | 0 | 0 | 12,529 | 1,560 | 0 | 0 | 0 | 0 | 324 | 397 |
| Retail - Secured on real estate property - Of Which: SME | 55.6% | 0 | 0 | 0 | 0 | 1,586 | 202 | 0 | 0 | 0 | 0 | 847 | 206 | 0 | 0 | 0 | 0 | 37 | 59 |
| Retail - Secured on real estate property - Of Which: non-SME | 64.4% | 0 | 0 | 0 | 0 | 31,579 | 1,352 | 0 | 0 | 0 | 0 | 11,682 | 1,353 | 0 | 0 | 0 | 0 | 287 | 338 |
| Retail - Qualifying Revolving | - | 0 | 0 | 0 | 0 | 1,079 | 30 | 0 | 0 | 0 | 0 | 812 | 30 | 0 | 0 | 0 | 0 | 24 | 23 |
| Retail - Other Retail | - | 0 | 0 | 0 | 0 | 4,370 | 303 | 0 | 0 | 0 | 0 | 2,930 | 347 | 0 | 0 | 0 | 0 | 140 | 491 |
| Retail - Other Retail - Of Which: SME | - | 0 | 0 | 0 | 0 | 2,231 | 62 | 0 | 0 | 0 | 0 | 1,305 | 75 | 0 | 0 | 0 | 0 | 89 | 126 |
| Retail - Other Retail - Of Which: non-SME | - | 0 | 0 | 0 | 0 | 2,139 | 242 | 0 | 0 | 0 | 0 | 1,625 | 271 | 0 | 0 | 0 | 0 | 51 | 365 |
| Equity | - | 0 | 0 | 0 | 0 | 332 | 0 | 0 | 0 | 0 | 0 | 332 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Securitisation | - | 0 | 0 | 0 | 0 | 426 | 0 | 0 | 0 | 0 | 0 | 557 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| Other non-credit obligation assets | - | 0 | 0 | 0 | 0 | 3,116 | 1 | 0 | 0 | 0 | 0 | 2,058 | 0 | 0 | 0 | 0 | 0 | 0 | 331 | 1 |
| TOTAL | - | 0 | 0 | 0 | 0 | 99,905 | 4,613 | 0 | 0 | 0 | 0 | 51,266 | 5,233 | 0 | 0 | 0 | 0 | 2,543 | 2,696 |

Impairment Rates and Provisions (as of 31 December 2016)

Baseline Scenario

Adverse Scenario

Key Observations

• CET1 Capital: The CET1 capital decreased significantly under the adverse scenario, from 6,651 million EUR in 2013 to 3,982 million EUR in 2016, while under the baseline scenario it decreased to 6,100 million EUR.
• CET1 Ratio: The CET1 ratio dropped from 10.4% in 2013 to 6.1% in 2016 under the adverse scenario and to 9.4% in 2016 under the baseline scenario.
• Impairment Losses: Impairment losses increased in both scenarios, with the adverse scenario showing a more severe impact, reaching 3,395 million EUR by 2016 compared to 1,145 million EUR in the baseline scenario.
• Risk Exposure: Total risk exposure increased slightly in both scenarios, with a more pronounced rise under the adverse scenario (from 63,870 to 65,419 million EUR) compared to the baseline scenario (from 63,870 to 64,910 million EUR).
• Value Adjustments and Provisions: These increased under the adverse scenario, with a cumulative value adjustment of 2,234 million EUR by 2016, compared to 1,782 million EUR under the baseline scenario.
• Sovereign Shock Impact: The adverse scenario included valuation losses due to sovereign shock, which totaled 98 million EUR by 2016, indicating the impact of potential government-related risks on the bank's capital.