EBA欧洲银行-LU_R7CQUF1DQM73HUTV1078_16页_3mb

2014 EU-wide Stress Test Summary for LU - Banque et Caisse d'Epargne de l'Etat, Luxembourg

Core Information

• Bank Name: LU - Banque et Caisse d'Epargne de l'Etat, Luxembourg
• LEI Code: R7CQUF1DQM73HUTV1078
• Country: Luxembourg

Summary of Actual Figures (as of 31 December 2013)

• Operating profit before impairments: 318 million EUR
• Impairment losses on financial and non-financial assets in the banking book: 26 million EUR
• Common Equity Tier 1 capital (CET1): 2,366 million EUR
• Total Risk Exposure: 13,891 million EUR
• Common Equity Tier 1 ratio: 17.0%

Summary of Adverse Scenario Outcome (as of 31 December 2016)

• 3-year cumulative operating profit before impairments: 353 million EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 161 million EUR
• 3-year cumulative losses from the stress in the trading book: 90 million EUR
• Valuation losses due to sovereign shock after tax and prudential filters: 41 million EUR
• Common Equity Tier 1 capital (CET1): 2,356 million EUR
• Total Risk Exposure: 18,375 million EUR
• Common Equity Tier 1 ratio: 12.8%

Memorandum Items for Adverse Scenario

• Common EU wide CET1 Threshold (5.5%): 1,011 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 for CET1 or written down upon a trigger event: 0 million EUR
• Eligible instruments whose trigger is above CET1 capital ratio in the adverse scenario: 0 million EUR

Summary of Baseline Scenario Outcome (as of 31 December 2016)

• 3-year cumulative operating profit before impairments: 496 million EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 71 million EUR
• 3-year cumulative losses from the stress in the trading book: 59 million EUR
• Common Equity Tier 1 capital (CET1): 2,518 million EUR
• Total Risk Exposure: 15,028 million EUR
• Common Equity Tier 1 ratio: 16.8%

Memorandum Items for Baseline Scenario

• Common EU wide CET1 Threshold (8.0%): 1,202 million EUR

Exposure and Risk Data (as of 31 December 2013)

• LTV %: Varies by asset type

• Exposure values:

  • F-IRB:
    • Non-defaulted: 8,185 million EUR
    • Defaulted: 0 million EUR
  • A-IRB:
    • Non-defaulted: 13,374 million EUR
    • Defaulted: 20 million EUR
  • STA:
    • Non-defaulted: 3,724 million EUR
    • Defaulted: 130 million EUR

• Risk exposure amounts:

  • F-IRB:
    • Non-defaulted: 391 million EUR
    • Defaulted: 0 million EUR
  • A-IRB:
    • Non-defaulted: 1,653 million EUR
    • Defaulted: 0 million EUR
  • STA:
    • Non-defaulted: 843 million EUR
    • Defaulted: 0 million EUR

• Value adjustments and provisions:

  • F-IRB:
    • Non-defaulted: 16 million EUR
    • Defaulted: 0 million EUR
  • A-IRB:
    • Non-defaulted: 28 million EUR
    • Defaulted: 0 million EUR
  • STA:
    • Non-defaulted: 0 million EUR
    • Defaulted: 0 million EUR

Summary of Impairment Rates and Coverage Ratios (Baseline Scenario)

• Impairment rate:
  • 0.01% (as of 31/12/2014)
  • 0.01% (as of 31/12/2015)
  • 0.01% (as of 31/12/2016)
• Stock of Provisions:
  • 1 (as of 31/12/2014)
  • 2 (as of 31/12/2015)
  • 3 (as of 31/12/2016)
• Coverage Ratio - Default Stock:
  • 40.67% (as of 31/12/2014)
  • 39.56% (as of 31/12/2015)
  • 39.20% (as of 31/12/2016)

Summary of Impairment Rates and Coverage Ratios (Adverse Scenario)

• Impairment rate:
  • 0.01% (as of 31/12/2014)
  • 0.01% (as of 31/12/2015)
  • 0.01% (as of 31/12/2016)
• Stock of Provisions:
  • 1 (as of 31/12/2014)
  • 2 (as of 31/12/2015)
  • 3 (as of 31/12/2016)
• Coverage Ratio - Default Stock:
  • 39.14% (as of 31/12/2014)
  • 38.82% (as of 31/12/2015)
  • 38.71% (as of 31/12/2016)