EBA欧洲银行-NL_BFXS5XCH7N0Y05NIXW11_16页_3mb
报告摘要
2014 EU-wide Stress Test Summary for ABN AMRO Bank N.V.
Core Information
- Bank Name: NL - ABN AMRO Bank N.V.
- LEI Code: BFXS5XCH7N0Y05NIXW11
Key Financial Indicators (as of 31 December 2013)
| Indicator |
Value (min EUR, %) |
| Operating profit before impairments |
2,232 |
| Impairment losses on banking book |
1,178 |
| Common Equity Tier 1 (CET1) capital |
13,991 |
| Total Risk Exposure |
115,556 |
| CET1 ratio |
12.1% |
Adverse Scenario Outcomes (as of 31 December 2016)
| Indicator |
Value (min EUR, %) |
| 3 yr cumulative operating profit |
4,478 |
| 3 yr cumulative impairment losses |
6,908 |
| 3 yr cumulative trading book losses |
819 |
| Valuation losses due to sovereign shock |
-36 |
| CET1 capital |
11,792 |
| Total Risk Exposure |
128,934 |
| CET1 ratio |
9.1% |
Baseline Scenario Outcomes (as of 31 December 2016)
| Indicator |
Value (min EUR, %) |
| 3 yr cumulative operating profit |
7,139 |
| 3 yr cumulative impairment losses |
2,843 |
| 3 yr cumulative trading book losses |
610 |
| CET1 capital |
15,795 |
| Total Risk Exposure |
115,804 |
| CET1 ratio |
13.6% |
Memorandum Items
| Item |
Value (min EUR) |
| Common EU wide CET1 Threshold (5.5%) |
7,091 |
| Common EU wide CET1 Threshold (8.0%) |
9,264 |
| Total amount of mandatory conversions |
0 |
| Additional Tier 1 and Tier 2 instruments eligible |
0 |
| Eligible instruments with trigger above CET1 ratio |
0 |
Summary of Stress Test Scenarios
Baseline Scenario (as of 31 December 2013)
| Category |
Exposure (F-IRB, A-IRB, STA) |
Risk Exposure (F-IRB, A-IRB, STA) |
Value Adjustments and Provisions (F-IRB, A-IRB, STA) |
| Non-defaulted |
0, 0, 0 |
0, 0, 0 |
0, 0, 0 |
| Defaulted |
0, 0, 0 |
0, 0, 0 |
0, 0, 0 |
| Retail - Secured on real estate property |
84.3% |
27.672, 0, 0 |
605, 0, 0 |
| Retail - Secured on real estate property - Of Which: Specialised Lending |
84.3% |
1,950, 175, 24 |
1,107, 3, 25 |
| Retail - Secured on real estate property - Of Which: SME |
84.3% |
3,740, 415, 248 |
2,510, 302, 184 |
| Retail - Secured on real estate property - Of Which: non-SME |
84.3% |
4,240, 164, 1,099 |
1,143, 196, 646 |
| Retail - Qualifying Revolving |
6,881, 260, 0 |
2,579, 701, 0 |
47, 135, 0 |
| Retail - Other Retail |
7,980, 580, 1,347 |
3,654, 498, 831 |
65, 271, 0 |
| Retail - Other Retail - Of Which: SME |
3,740, 415, 248 |
2,510, 302, 184 |
39, 204, 0 |
| Retail - Other Retail - Of Which: non-SME |
4,240, 164, 1,099 |
1,143, 196, 646 |
26, 67, 0 |
| Equity |
962, 0, 0 |
4,533, 0, 0 |
0, 1, 0 |
| Securitisation |
2,511, 0, 0 |
286, 0, 0 |
0, 27, 0 |
| Other non-credit obligation assets |
1,452, 0, 5,496 |
1,490, 0, 2,875 |
0, 0, 0 |
| Total |
322,600, 8,791, 22,390 |
69,889, 7,853, 14,802 |
629, 3,762, 608 |
Adverse Scenario (as of 31 December 2013)
| Category |
Exposure (F-IRB, A-IRB, STA) |
Risk Exposure (F-IRB, A-IRB, STA) |
Value Adjustments and Provisions (F-IRB, A-IRB, STA) |
| Non-defaulted |
0, 0, 0 |
0, 0, 0 |
0, 0, 0 |
| Defaulted |
0, 0, 0 |
0, 0, 0 |
0, 0, 0 |
| Retail - Secured on real estate property |
84.3% |
27.672, 0, 0 |
605, 0, 0 |
| Retail - Secured on real estate property - Of Which: Specialised Lending |
84.3% |
1,950, 175, 24 |
1,107, 3, 25 |
| Retail - Secured on real estate property - Of Which: SME |
84.3% |
3,740, 415, 248 |
2,510, 302, 184 |
| Retail - Secured on real estate property - Of Which: non-SME |
84.3% |
4,240, 164, 1,099 |
1,143, 196, 646 |
| Retail - Qualifying Revolving |
6,881, 260, 0 |
2,579, 701, 0 |
47, 135, 0 |
| Retail - Other Retail |
7,980, 580, 1,347 |
3,654, 498, 831 |
65, 271, 0 |
| Retail - Other Retail - Of Which: SME |
3,740, 415, 248 |
2,510, 302, 184 |
39, 204, 0 |
| Retail - Other Retail - Of Which: non-SME |
4,240, 164, 1,099 |
1,143, 196, 646 |
26, 67, 0 |
| Equity |
962, 0, 0 |
4,533, 0, 0 |
0, 1, 0 |
| Securitisation |
2,511, 0, 0 |
286, 0, 0 |
0, 27, 0 |
| Other non-credit obligation assets |
1,452, 0, 5,496 |
1,490, 0, 2,875 |
0, 0, 0 |
| Total |
322,600, 8,791, 22,390 |
69,889, 7,853, 14,802 |
629, 3,762, 608 |
Baseline Scenario (as of 31 December 2014, 2015, 2016)
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.01% |
6 |
46.60% |
| 2015 |
0.01% |
9 |
46.81% |
| 2016 |
0.01% |
12 |
46.89% |
Adverse Scenario (as of 31 December 2014, 2015, 2016)
| Year |
Impairment Rate |
Stock of Provisions |
Coverage Ratio - Default Stock |
| 2014 |
0.01% |
7 |
44.05% |
| 2015 |
0.01% |
12 |
43.55% |
| 2016 |
0.01% |
15 |
44.06% |
Key Observations
- ABN AMRO Bank N.V. showed a decline in CET1 ratio from 12.1% in 2013 to 9.1% in 2016 under the adverse scenario.
- In the baseline scenario, the CET1 ratio improved to 13.6% by 2016, indicating better resilience.
- The bank experienced a significant increase in impairment losses in the adverse scenario, with cumulative losses reaching 6,908 million EUR.
- The CET1 capital decreased to 11,792 million EUR in the adverse scenario, while it increased to 15,795 million EUR in the baseline scenario.
- The stress test highlights the impact of different economic scenarios on the bank's capital and risk exposure.
展开完整摘要
试读结束，高清完整版pdf/doc/ppt,请点下载
