EBA欧洲银行-NL_724500A1FNICHSDF2I11_16页_3mb

2014 EU-wide Stress Test Summary for SNS Bank N.V.

Core Information

• Bank Name: NL - SNS Bank N.V.
• LEI Code: 724500A1FNICHSDF2I11
• Stress Test Type: 2014 EU-wide Stress Test
• Reporting Period: 2013 - 2016
• Key Focus Areas: Credit Risk, Capital Adequacy, Risk Exposure, and Provisions

Summary of Adverse Scenario Outcomes

• Common EU-wide CET1 Threshold (5.5%) is 973 mEUR
• Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital that convert into Common Equity Tier 1 or are written down upon a trigger event: 0 mEUR
• Eligible instruments whose trigger is above CET1 capital ratio in the adverse scenario: 0 mEUR

Summary of Baseline Scenario Outcomes

• Common EU-wide CET1 Threshold (8.0%) is 1,271 mEUR

Credit Risk Analysis

Exposure Values (as of 31 December 2013)

Risk Exposure Amounts (as of 31 December 2013)

Value Adjustments and Provisions (as of 31 December 2013)

Notes on Value Adjustments and Provisions

• Securitisation and re-securitisations positions deducted from capital: 0 mEUR

Summary of Baseline Scenario (Netherlands)

Summary of Adverse Scenario (Netherlands)

Summary of Baseline Scenario (Germany)

Summary of Adverse Scenario (Germany)

Key Observations

• Capital Adequacy: Under both scenarios, the CET1 ratio decreased from 14.9% in 2013 to 6.8% under the adverse scenario by 2016, indicating a significant decline in capital adequacy under stress conditions.
• Risk Exposure: The total risk exposure increased under the adverse scenario, from 14,905 mEUR to 17,686 mEUR, suggesting heightened risk exposure.
• Impairment Losses: Impairment losses rose significantly in the adverse scenario, especially in the banking book, from 323 mEUR to 1,001 mEUR over three years.
• Valuation Losses: The adverse scenario included valuation losses due to sovereign shock, which amounted to 143 mEUR by 2016.
• Provisions and Coverage Ratios: The baseline scenario maintained consistent provisions and coverage ratios, while the adverse scenario showed more volatility in these metrics.