EBA欧洲银行-DE_851WYGNLUQLFZBSYGB56_16页_3mb

2014 EU-wide Stress Test Summary - Commerzbank AG

Core Information

• Bank Name: DE - Commerzbank AG
• LEI Code: 851WYGNLUQLFZBSYGB56
• Test Period: 2014 EU-wide Stress Test

Summary of Key Metrics

Actual Figures as of 31 December 2013

• Operating profit before impairments: 2,135 million EUR
• Impairment losses on financial and non-financial assets in the banking book: 3,481 million EUR
• Common Equity Tier 1 (CET1) capital: 23,523 million EUR
• Total Risk Exposure: 217,059 million EUR
• CET1 ratio: 10.8%

Outcome of Adverse Scenario as of 31 December 2016

• 3-year cumulative operating profit before impairments: 3,727 million EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 6,622 million EUR
• 3-year cumulative losses from the stress in the trading book: 2,868 million EUR
• Valuation losses due to sovereign shock after tax and prudential filters: 616 million EUR
• CET1 capital: 19,472 million EUR
• Total Risk Exposure: 244,745 million EUR
• CET1 ratio: 8.0%

Outcome of Baseline Scenario as of 31 December 2016

• 3-year cumulative operating profit before impairments: 8,715 million EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 3,352 million EUR
• 3-year cumulative losses from the stress in the trading book: 1,547 million EUR
• CET1 capital: 24,344 million EUR
• Total Risk Exposure: 207,909 million EUR
• CET1 ratio: 11.7%

Memorandum Items

• Common EU-wide CET1 Threshold (5.5%): 13,461 million EUR
• Total amount of instruments with mandatory conversion into ordinary shares in 2014-2016: 0 million EUR
• Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital under CRR provisions: 0 million EUR
• Eligible instruments whose trigger is above CET1 capital ratio in adverse scenario: 0 million EUR

Adverse Scenario Analysis

Impairment Rates and Provisions (as of 31/12/2014 to 31/12/2016)

Additional Metrics

• Impairment rate (2014): 0.18%
• Stock of provisions (2014): 321 million EUR
• Coverage ratio - default stock (2014): 24.83%
• Stock of provisions (2016): 11,225 million EUR
• Coverage ratio - default stock (2016): 41.42%

Baseline Scenario Analysis

Impairment Rates and Provisions (as of 31/12/2014 to 31/12/2016)

Additional Metrics

• Impairment rate (2014): 0.11%
• Stock of provisions (2014): 229 million EUR
• Coverage ratio - default stock (2014): 20.42%
• Stock of provisions (2016): 9,383 million EUR
• Coverage ratio - default stock (2016): 41.44%

Risk Exposure Analysis

Exposure Values (as of 31/12/2013)

• Non-defaulted (F-IRB): 0
• Defaulted (F-IRB): 0
• Non-defaulted (A-IRB): 47,877
• Defaulted (A-IRB): 0
• Non-defaulted (STA): 79,404
• Defaulted (STA): 38

Risk Exposure Amounts (as of 31/12/2013)

• Non-defaulted (F-IRB): 0
• Defaulted (F-IRB): 0
• Non-defaulted (A-IRB): 6,290
• Defaulted (A-IRB): 26
• Non-defaulted (STA): 209
• Defaulted (STA): 38

Value Adjustments and Provisions (as of 31/12/2013)

• Non-defaulted (F-IRB): 0
• Defaulted (F-IRB): 0
• Non-defaulted (A-IRB): 13
• Defaulted (A-IRB): 72
• Non-defaulted (STA): 29
• Defaulted (STA): 7

Summary of Key Findings

• CET1 Ratio:

  • As of 31/12/2013: 10.8%
  • Adverse Scenario as of 31/12/2016: 8.0%
  • Baseline Scenario as of 31/12/2016: 11.7%

• Operating Profit:

  • Baseline Scenario: 8,715 million EUR (3-year cumulative)
  • Adverse Scenario: 3,727 million EUR (3-year cumulative)

• Impairment Losses:

  • Baseline Scenario: 3,352 million EUR (3-year cumulative)
  • Adverse Scenario: 6,622 million EUR (3-year cumulative)

• Trading Book Losses:

  • Baseline Scenario: 1,547 million EUR (3-year cumulative)
  • Adverse Scenario: 2,868 million EUR (3-year cumulative)

• Valuation Losses from Sovereign Shock (Adverse Scenario): 616 million EUR

• CET1 Threshold: 5.5% (Common EU-wide Threshold)

• Risk Exposure:

  • Baseline Scenario: 207,909 million EUR
  • Adverse Scenario: 244,745 million EUR

• Risk Exposure Amounts (Baseline Scenario):

  • Total: 207,909 million EUR

• Risk Exposure Amounts (Adverse Scenario):

  • Total: 244,745 million EUR

• Securitisation and re-securitisation positions deducted from capital: 6 million EUR (Baseline Scenario) and 0 million EUR (Adverse Scenario)

Key Observations

• The CET1 ratio dropped from 10.8% in 2013 to 8.0% under the adverse scenario by 2016, indicating a significant deterioration in capital adequacy.
• Under the baseline scenario, the CET1 ratio improved to 11.7% by 2016, suggesting better resilience to standard economic conditions.
• Impairment losses increased significantly in the adverse scenario, reflecting the impact of economic stress on asset quality.
• Operating profit before impairments also showed a decline in the adverse scenario compared to the baseline.
• The total risk exposure increased under the adverse scenario, highlighting the bank's exposure to more severe economic conditions.
• Securitisation and re-securitisation positions were deducted from capital in the baseline scenario but not in the adverse scenario, indicating changes in regulatory treatment.