2014 EU-wide Stress Test Summary for DE - NRW.Bank
Core Information
Bank Name: DE - NRW.Bank
LEI Code: 52990002O5KK6XOGJ020
Summary of Adverse Scenario (as of 31 December 2016)
3 Year Cumulative Operating Profit Before Impairments: 486 million EUR
3 Year Cumulative Impairment Losses on Banking Book Assets: 968 million EUR
3 Year Cumulative Losses from Trading Book Stress: 5 million EUR
Valuation Losses Due to Sovereign Shock (after tax and prudential filters): 0 million EUR
Common Equity Tier 1 (CET1) Capital: 17,883 million EUR
Total Risk Exposure: 56,832 million EUR
CET1 Ratio: 31.5%
Memorandum Items
Common EU-wide CET1 Threshold (5.5%): 3,126 million EUR
Total Mandatory Conversion Instruments (2014-2016): 0 million EUR
Additional Tier 1 and Tier 2 Instruments Eligible for Regulatory Capital (CRR): 0 million EUR
Trigger Above CET1 Ratio in Adverse Scenario: 0 million EUR
Summary of Baseline Scenario (as of 31 December 2016)
3 Year Cumulative Operating Profit Before Impairments: 636 million EUR
3 Year Cumulative Impairment Losses on Banking Book Assets: 197 million EUR
3 Year Cumulative Losses from Trading Book Stress: 2 million EUR
CET1 Capital: 17,883 million EUR
Total Risk Exposure: 52,964 million EUR
CET1 Ratio: 33.8%
Memorandum Items
Common EU-wide CET1 Threshold (8.0%): 4,237 million EUR
Risk Exposure and Provisions Overview
Baseline Scenario (as of 31 December 2014, 2015, 2016)
Year
Impairment Rate
Stock of Provisions
Coverage Ratio - Default Stock
2014
0.03%
24
55.84%
2015
0.03%
48
55.83%
2016
0.03%
72
55.83%
2014
0.03%
17
24.35%
2015
0.03%
35
24.34%
2016
0.03%
52
24.31%
2014
0.07%
142
24.81%
2015
0.07%
155
19.30%
2016
0.06%
168
16.48%
2014
0.10%
32
13.98%
2015
0.10%
38
12.77%
2016
0.10%
45
12.05%
2014
0.17%
4
68.68%
2015
0.17%
8
77.02%
2016
0.16%
12
80.12%
2014
0.04%
168
20.18%
2015
0.03%
200
16.78%
2016
0.03%
231
15.06%
Adverse Scenario (as of 31 December 2014, 2015, 2016)
Year
Impairment Rate
Stock of Provisions
Coverage Ratio - Default Stock
2014
0.35%
243
40.00%
2015
0.35%
487
40.00%
2016
0.36%
730
40.00%
2014
0.05%
27
26.03%
2015
0.05%
57
25.80%
2016
0.06%
88
25.52%
2014
0.10%
165
25.70%
2015
0.13%
196
19.09%
2016
0.13%
222
15.87%
2014
0.13%
36
15.74%
2015
0.18%
48
13.98%
2016
0.25%
64
12.88%
2014
0.10%
5
69.00%
2015
0.21%
10
77.06%
2016
0.22%
15
80.16%
2014
0.10%
262
24.11%
2015
0.11%
381
20.81%
2016
0.12%
506
19.37%
Key Risk Exposure Breakdown (as of 31 December 2013)
Category
Exposure Values (F-IRB)
Exposure Values (A-IRB)
Exposure Values (STA)
Risk Exposure (F-IRB)
Risk Exposure (A-IRB)
Risk Exposure (STA)
Value Adjustments and Provisions (F-IRB)
Value Adjustments and Provisions (A-IRB)
Value Adjustments and Provisions (STA)
Non-defaulted
0
0
0
0
0
0
0
0
0
Defaulted
0
0
0
0
0
0
0
0
0
Corporates
0
0
0
0
0
0
0
0
0
Corporates - SME
0
0
0
0
0
0
0
0
0
Corporates - Specialised Lending
0
0
0
0
0
0
0
0
0
Retail
0
0
0
0
0
0
0
0
0
Retail - SME
0
0
0
0
0
0
0
0
0
Retail - Non-SME
0
0
0
6,705
5,030
0
0
0
25
Equity
0
0
0
2,387
4,676
0
0
0
0
Securitisation
0
0
0
4,859
2,916
0
0
0
0
Other non-credit obligation assets
0
0
0
92
92
0
0
0
0
TOTAL
158,975
327
0
45,632
44,2
153
0
0
0
Securitisation Deducted from Capital
225
0
0
0
0
0
0
0
0
Key Observations
CET1 Capital: Remains stable at 17,883 million EUR in both scenarios as of 31 December 2016.
Risk Exposure: Increases from 48,098 million EUR (Baseline) to 56,832 million EUR (Adverse), indicating a higher risk exposure in the adverse scenario.
CET1 Ratio: Decreases from 37.4% (actual figures) to 33.8% (Baseline) and 31.5% (Adverse), reflecting the impact of stress scenarios on capital adequacy.
Impairment Losses: Rise significantly in the adverse scenario, with 3-year cumulative impairment losses reaching 968 million EUR compared to 197 million EUR in the baseline scenario.
Provisions and Coverage Ratios: Show a decline in coverage ratios in adverse scenarios, indicating reduced capacity to absorb losses.
Securitisation and Re-securitisation Positions: Are deducted from capital, not included in risk-weighted assets, which suggests a reduction in capital impact due to these positions.
Summary of Spain's Risk Exposure (as of 31 December 2013)