2014 EU-wide Stress Test Summary for ES - Banco Financiero y de Ahorros, S.A.
Core Information
Bank Name: ES - Banco Financiero y de Ahorros, S.A.
LEI Code: 549300GT0XFTFHGOIS94
Country: Spain
Key Figures (As of 31 December 2013)
Operating profit before impairments: 2,336 mln EUR
Impairment losses on financial and non-financial assets in the banking book: 1,450 mln EUR
Common Equity Tier 1 (CET1) capital: 11,175 mln EUR
Total Risk Exposure: 105,414 mln EUR
CET1 ratio: 10.6%
Adverse Scenario Outcome (As of 31 December 2016)
3 yr cumulative operating profit before impairments: 4,203 mln EUR
3 yr cumulative impairment losses on financial and non-financial assets in the banking book: 5,374 mln EUR
3 yr cumulative losses from the stress in the trading book: 456 mln EUR
Valuation losses due to sovereign shock after tax and prudential filters: 535 mln EUR
CET1 capital: 10,225 mln EUR
Total Risk Exposure: 99,309 mln EUR
CET1 ratio: 10.3%
Memorandum Items (Adverse Scenario)
Common EU wide CET1 Threshold (5.5%): 5,462 mln EUR
Total amount of instruments with mandatory conversion into ordinary shares in the 2014-2016 period (cumulative conversions): 0 mln EUR
Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital under the CRR provisions that convert into CET1 or are written down upon a trigger event: 0 mln EUR
Of which: eligible instruments whose trigger is above CET1 capital ratio in the adverse scenario: 0 mln EUR
Baseline Scenario Outcome (As of 31 December 2016)
3 yr cumulative operating profit before impairments: 6,155 mln EUR
3 yr cumulative impairment losses on financial and non-financial assets in the banking book: 3,015 mln EUR
3 yr cumulative losses from the stress in the trading book: 283 mln EUR
CET1 capital: 13,490 mln EUR
Total Risk Exposure: 94,372 mln EUR
CET1 ratio: 14.3%
Memorandum Items (Baseline Scenario)
Common EU wide CET1 Threshold (8.0%): 7,550 mln EUR
Risk Exposure Breakdown (As of 31 December 2013)
Category
Non-defaulted
Defaulted
Total
F-IRB
7,670 mln EUR
288 mln EUR
7,958 mln EUR
A-IRB
88,386 mln EUR
11,981 mln EUR
100,367 mln EUR
STA
138,308 mln EUR
8,371 mln EUR
146,679 mln EUR
Value Adjustments and Provisions (As of 31 December 2013)
Category
Non-defaulted
Defaulted
Total
F-IRB
8,686 mln EUR
193 mln EUR
8,879 mln EUR
A-IRB
36,075 mln EUR
3,150 mln EUR
39,225 mln EUR
STA
38,405 mln EUR
7,429 mln EUR
45,834 mln EUR
Impairment Rate and Coverage Ratio (Baseline Scenario)
Year
Impairment Rate
Stock of Provisions
Coverage Ratio - Default Stock
2014
0.28%
136 mln EUR
36.25%
2015
0.29%
241 mln EUR
36.21%
2016
0.29%
343 mln EUR
36.18%
Impairment Rate and Coverage Ratio (Adverse Scenario)
Year
Impairment Rate
Stock of Provisions
Coverage Ratio - Default Stock
2014
0.78%
322 mln EUR
42.55%
2015
0.93%
650 mln EUR
42.43%
2016
0.93%
972 mln EUR
42.46%
Summary of Key Observations
CET1 Ratio: The CET1 ratio decreased from 10.6% (2013) to 10.3% (2016) under the adverse scenario, but increased to 14.3% under the baseline scenario.
Operating Profit: The operating profit before impairments increased from 2,336 mln EUR in 2013 to 4,203 mln EUR (adverse) and 6,155 mln EUR (baseline) over three years.
Impairment Losses: Impairment losses increased significantly in the adverse scenario (5,374 mln EUR) compared to the baseline (3,015 mln EUR), indicating a higher risk of asset deterioration under adverse conditions.
Risk Exposure: Total risk exposure decreased from 105,414 mln EUR (2013) to 99,309 mln EUR (adverse) and 94,372 mln EUR (baseline) by 2016, reflecting the impact of stress scenarios on the bank's risk profile.
Sovereign Shock Impact: The adverse scenario included valuation losses due to sovereign shocks, which totaled 535 mln EUR after tax and prudential filters.
Capital Adequacy: The CET1 capital under adverse conditions was 10,225 mln EUR, which remained above the 5.5% threshold, but slightly below the baseline CET1 capital of 13,490 mln EUR.
