EBA欧洲银行-EBA_TR_DE_VDYMYTQGZZ6DU0912C88_29页_5mb

报告摘要

Metric	Actual (31/12/2015)	Baseline Scenario (31/12/2018)	Adverse Scenario (31/12/2018)
Cumulative 3y: Net interest income	-	3,511.74	3,092.15
Cumulative 3y: Gains or (-) losses on financial assets and liabilities held for trading or designated at fair value through profit and loss, net	-	1,401.08	243.26
Cumulative 3y: (Impairment or (-) reversal of impairment on financial assets not measured at fair value through profit or loss)	-	-1,086.84	-1,862.97
Cumulative 3y: Profit or (-) loss for the year	-	474.58	-1,775.76
Coverage ratio - Default stock	50.03%	44.08%	46.42%
Common Equity Tier 1 capital	10,506.98	8,726.02	6,452.26
Common Equity Tier 1 ratio, %	15.2%	12.4%	8.3%
Fully loaded Common Equity Tier 1 ratio, %	12.0%	12.4%	8.3%
Tier 1 capital	10,732.98	9,076.02	6,802.26
Total leverage ratio exposures	230,674.00	230,674.00	230,674.00
Leverage ratio, %	4.7%	3.9%	2.9%
Fully loaded leverage ratio, %	3.6%	3.8%	2.8%

Net Interest Income: Under the baseline scenario, the bank's cumulative net interest income for 3 years is slightly lower than the adverse scenario, indicating a potential decrease in income due to stress conditions.
Gains/Losses on Financial Assets: The baseline scenario shows a positive gain of 1,401.08 mln EUR, while the adverse scenario results in a smaller gain of 243.26 mln EUR, suggesting a reduction in market value under stress.
Impairment Reversal: The baseline scenario shows an impairment of 1,086.84 mln EUR, which increases to 1,862.97 mln EUR under adverse conditions, highlighting a rise in credit risk.
Profit/Loss for the Year: The bank reports a profit of 474.58 mln EUR under baseline conditions but incurs a loss of 1,775.76 mln EUR under adverse conditions, indicating significant financial stress.
Capital Ratios: The Common Equity Tier 1 ratio decreases from 15.2% to 12.4% in the baseline scenario and further to 8.3% in the adverse scenario. The leverage ratio also declines from 4.7% to 3.9% and 2.9%, respectively.

The coverage ratio for default stock decreases from 50.03% to 44.08% and 46.42%, suggesting a reduction in the bank's ability to absorb losses from defaulted assets.

Asset Type	Exposure Values (A-IRB)	Exposure Values (F-IRB)	Risk Exposure Amounts (A-IRB)	Risk Exposure Amounts (F-IRB)	Stock of Provisions (A-IRB)	Stock of Provisions (F-IRB)	Coverage Ratio
Central banks and central governments	0	0	58,770	2	0	0	1
Institutions	0	0	25,027	271	0	0	5
Corporates	0	0	85,486	4,976	0	0	145
Corporates - Of Which: Spezialised Lending	0	0	20,970	1,091	0	0	71
Corporates - Of Which: SME	0	0	28,110	599	0	0	31
Retail	16,466	423	0	0	4,423	254	20
Retail - Secured on real estate property	9,427	287	3,785	127	0	0	4
Retail - Secured on real estate property - Of Which: SME	679	0	1,68	0	0	0	0
Retail - Secured on real estate property - Of Which: non-SME	8,748	283	2,617	127	0	0	4
Retail - Qualifying Receiving	3,897	0	246	2	0	0	3
Retail - Other Retail	3,141	135	1,392	126	0	0	13
Retail - Other Retail - Of Which: SME	720	0	288	0	0	0	0
Retail - Other Retail - Of Which: non-SME	2,421	135	1,103	126	0	0	10
Equity	0	0	398	0	0	0	0
Securitisation	-	-	-	-	-	-	-
Other non-credit obligation assets	0	0	384	0	0	0	0
JRB TOTAL	16,466	423	170,064	5,249	4,423	254	20

The stress test results indicate a significant impact on the bank's profitability and capital ratios under adverse conditions.
The coverage ratio for default stock shows a decline, suggesting increased risk of default.
The bank's exposure to different asset types varies across countries, with higher risk exposure in Germany and lower in the Netherlands.
The stress test highlights the importance of capital adequacy and risk management in maintaining financial stability.

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