2014 EU-wide Stress Test Summary - NL - Bank Nederlandse Gemeenten N.V.
Core Information
Bank Name: NL - Bank Nederlandse Gemeenten N.V.
LEI Code: 529900GGYMNGRQTDOO93
Summary of Adverse Scenario (as of 31 December 2016)
3-year cumulative operating profit before impairments: 231 mln EUR
3-year cumulative impairment losses on financial and non-financial assets in the banking book: 384 mln EUR
3-year cumulative losses from the stress in the trading book: 0 mln EUR
Valuation losses due to sovereign shock after tax and prudential filters: 2 mln EUR
Common Equity Tier 1 (CET1) capital: 2,449 mln EUR
Total Risk Exposure: 14,183 mln EUR
CET1 ratio: 17.3%
Summary of Baseline Scenario (as of 31 December 2016)
3-year cumulative operating profit before impairments: 531 mln EUR
3-year cumulative impairment losses on financial and non-financial assets in the banking book: 201 mln EUR
3-year cumulative losses from the stress in the trading book: 0 mln EUR
Common Equity Tier 1 (CET1) capital: 2,821 mln EUR
Total Risk Exposure: 12,626 mln EUR
CET1 ratio: 22.3%
Memorandum Items
Adverse Scenario
Common EU wide CET1 Threshold (5.5%): 780 mln EUR
Total amount of instruments with mandatory conversion into ordinary shares upon a fixed date 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 Common Equity Tier 1 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
Common EU wide CET1 Threshold (8.0%): 1,010 mln EUR
Exposure and Risk Analysis (as of 31 December 2013)
LTV % and Exposure Values
Segment
F-IRB Non-defaulted
F-IRB Defaulted
A-IRB Non-defaulted
A-IRB Defaulted
STA Non-defaulted
STA Defaulted
Central banks and central governments
0
0
0
0
85,482
0
Institutions
0
0
0
0
11,486
0
Corporates
0
0
0
0
12,555
82
Retail
0
0
0
0
1,752
4
Retail - Secured on real estate property
83.7%
0
0
0
265
0
Retail - Other Retail
0
0
0
0
1,433
4
Equity
0
0
0
0
57
0
Securitisation
0
0
0
0
2,125
0
Other non-credit obligation assets
0
0
0
0
7,673
0
TOTAL
0
0
0
0
121,130
86
Risk Exposure Amounts
Segment
F-IRB Non-defaulted
F-IRB Defaulted
A-IRB Non-defaulted
A-IRB Defaulted
STA Non-defaulted
STA Defaulted
Central banks and central governments
0
0
0
0
20
0
Institutions
0
0
0
0
1,273
0
Corporates
0
0
0
0
7,082
96
Retail
0
0
0
0
1,273
4
Retail - Secured on real estate property
83.7%
0
0
0
0
0
Retail - Other Retail
0
0
0
0
0
0
Equity
0
0
0
0
57
0
Securitisation
0
0
0
0
1,401
0
Other non-credit obligation assets
0
0
0
0
45
0
TOTAL
0
0
0
0
10,503
100
Value Adjustments and Provisions
Segment
F-IRB Non-defaulted
F-IRB Defaulted
A-IRB Non-defaulted
A-IRB Defaulted
STA Non-defaulted
STA Defaulted
Central banks and central governments
0
0
0
0
0
0
Institutions
0
0
0
0
0
0
Corporates
0
0
0
0
0
0
Retail
0
0
0
0
0
0
Retail - Secured on real estate property
0
0
0
0
0
0
Retail - Other Retail
0
0
0
0
0
0
Equity
0
0
0
0
0
0
Securitisation
0
0
0
0
0
0
Other non-credit obligation assets
0
0
0
0
0
0
TOTAL
0
0
0
0
7,327
59
Securitisation and re-securitisations positions deducted from capital
Adverse Scenario: 59 mln EUR
Baseline Scenario: 0 mln EUR
Impairment Rate and Stock of Provisions
Baseline Scenario
Year
Impairment Rate
Stock of Provisions
Coverage Ratio - Default Stock
2014
0.01%
8 mln EUR
40.00%
2015
0.01%
14 mln EUR
40.00%
2016
0.01%
21 mln EUR
40.00%
Adverse Scenario
Year
Impairment Rate
Stock of Provisions
Coverage Ratio - Default Stock
2014
0.01%
9 mln EUR
40.00%
2015
0.01%
16 mln EUR
40.00%
2016
0.01%
23 mln EUR
40.00%
Key Observations
CET1 capital decreased in the adverse scenario from 2,582 mln EUR (as of 31 December 2013) to 2,449 mln EUR (as of 31 December 2016), while it increased in the baseline scenario to 2,821 mln EUR.
Total Risk Exposure increased in both scenarios, with a more significant rise in the adverse scenario (from 11,819 mln EUR to 14,183 mln EUR).
CET1 ratio dropped from 21.8% (as of 31 December 2013) to 17.3% in the adverse scenario and slightly increased to 22.3% in the baseline scenario.
Impairment losses were higher in the adverse scenario compared to the baseline scenario, indicating a more severe impact on the bank's financial health.
Securitisation positions were deducted from capital in the adverse scenario but not in the baseline scenario, suggesting a greater impact on capital in the adverse scenario.
