Jyske Bank AQR resultater

2014 COMPREHENSIVE ASSESSMENT OUTCOME
NAME OF THE ENTITY
DK - Jyske Bank
1
Main Results and Overview
A
MAIN INFORMATION ON THE BANK BEFORE THE COMPREHENSIVE ASSESSMENT (end 2013)
END 2013
A1
Total Assets (based on prudential scope of consolidation)
Mill. EUR
35.124
A2
Net (+) Profit/ (-) Loss of 2013 (based on prudential scope of consolidation)
Mill. EUR
242
A3
Common Equity Tier 1 Capital
according to CRDIV/CRR definition, transitional arrangements as of 1.1.2014
Mill. EUR
2.310
A4
Total risk exposure
according to CRDIV/CRR definition, transitional arrangements as of 1.1.2014
Mill. EUR
15.235
A5
Total exposure measure according to Article 429 CRR
"Leverage exposure"
Mill. EUR
36.615
A6
CET1 ratio
according to CRDIV/CRR definition, transitional arrangements as of 1.1.2014
A6=A3/A4
%
15,16%
A7
Tier 1 Ratio (where available)
according to CRD3 definition, as of 31.12.2013 as reported by the bank
%
15,94%
A8
Core Tier 1 Ratio (where available)
according to EBA definition
%
15,32%
A9
Leverage ratio
A9 = A3/A5
%
6,31%
A10 Non-performing exposures ratio
%
4,90%
A11 Coverage ratio for non-performing exposure
%
38,52%
A12 Level 3 instruments on total assets
%
0,00%
B
MAIN RESULTS OF THE COMPREHENSIVE ASSESSMENT (CA)
B1
CET1 Ratio
at year end 2013 including retained earnings / losses of 2013
B1=A6
B2
Aggregated adjustments due to the outcome of the AQR
B3
AQR adjusted CET1 Ratio
B3 = B1 + B2
B4
Aggregate adjustments due to the outcome of
the baseline scenario of the joint EBA ECB Stress Test
to lowest capital level vs threshold over the period of 3 years
B5
Adjusted CET1 Ratio after Baseline Scenario
B5= B3 + B4
B6
Aggregate adjustments due to the outcome of
the adverse scenario of the joint EBA ECB Stress Test
to lowest capital level vs threshold over the period of 3 years
B7
Adjusted CET1 Ratio after Adverse Scenario
B7 = B3 + B6
Capital Shortfall
%
Basis Points
Change
%
Basis Points
Change
%
Basis Points
Change
%
15,16%
-30
14,86%
109
15,95%
-131
13,55%
Basis Points 1
Mill. EUR
B8
to threshold of 8% for AQR adjusted CET1 Ratio
0
0,00
B9
to threshold of 8% in Baseline Scenario
0
0,00
0
0,00
0
0
B10 to threshold of 5.5% in Adverse Scenario
Aggregated Capital Shortfall of the Comprehensive Assessment
B11 = max( B8, B9, B10 )
B11
1
RWA used corresponds to relevant scenario in worst case year
Overview AQR
18%
16%
14%
12%
10%
8%
6%
4%
2%
0%
Overview Baseline
1,09%
0,30%
15%
Overview Adverse
15%
1,31%
16%
15%
14%
CET 1 Ratio at Aggregated AQR adjusted
Aggregate Adjusted CET1 AQR adjusted
Aggregate Adjusted CET1
year end 2013 adjustments
CET1 Ratio
adjustments
Ratio after
CET1 Ratio
adjustments
Ratio after
including
due to the
due to the
Baseline
due to the
Adverse
retained
outcome of the
outcome of the
Scenario
outcome of the
Scenario
earnings /
AQR
baseline
adverse
losses of 2013
scenario of the
scenario of the
joint EBA ECB
joint EBA ECB
Stress Test
Stress Test
C
MAJOR CAPITAL MEASURES IMPACTING TIER 1 ELIGIBLE CAPITAL
FROM 1 JANUARY 2014 TO 30 SEPTEMBER 2014
Issuance of CET1 Instruments
Impact on Common Equity Tier 1
Million EUR
C1
Raising of capital instruments eligible as CET1 capital
C2
Repayment of CET1 capital, buybacks
0
C3
Conversion to CET1 of hybrid instruments
becoming effective between January and September 2014
0
Net issuance of Additional Tier 1 Instruments
945
Impact on Additional Tier 1
Million EUR
C4
with a trigger at or above 5.5% and below 6%
0
C5
with a trigger at or above 6% and below 7%
0
C6
with a trigger at or above 7%
0
Fines/Litigation costs
C7
Incurred fines/litigation costs from January to September 2014 (net of provisions)
Million EUR
0
2014 COMPREHENSIVE ASSESSMENT OUTCOME
NAME OF THE ENTITY
DK - Jyske Bank
2. Detailed AQR Results
D. Matrix Breakdown of AQR Result (B2)
D10
Mill. EUR
Basis Points
Mill. EUR
Impact on CET1 capital
before any offsetting
impact
Adjustment to provisions
due to collective
provisioning review
provisions due to
projection of findings
Basis Points
D8
D9
D .F
Mill. EUR
D5
D6
D7
Total credit exposure
Sovereigns and Supranational non-governmental organisations
Institutions
Retail
thereof SME
thereof Residential Real Estate (RRE)
thereof Other Retail
Corporates
Other Assets
D .E
Basis Points Adjustments due to
Units of Measurement Mill. EUR
% of RWA
selected
in Phase 1
10.878
80-100 %
0
788
2.499
80-100 %
972
80-100 %
464
80-100 %
1.063
80-100 %
6.550
80-100 %
1.040
D .D
7
10,64
32
49,21
1
1,21
-40
-61,06
0
0,59
13
19,38
0
0
10
16
7
10,05
20
29,82
1
0
1
0
0
1,21
0
1
0
0,00
-14
0
-12
0
-26
-21,18
0
-18
0
-39,88
provisions
on sampled files
Credit Risk RWA
year end 2013
Asset class breakdown
D1
D2
D3
D4
Portfolio selected
in Phase 1
AQR breakdown
D .C
Mill. EUR
D .B
Basis Points Adjustments to
D .A
Additional information on portfolios with largest adjustments accounting for (at least) 30% of total banking book AQR adjustment:
Asset Class
Geography
0
0
0
Units of Measurement
D11
D12
D13
D14
D15
D16
D17
D18
D19
D .G
D .H
D .I
Portfolio size
Carrying Amount
Portfolio
selection
Impact on CET1 before any
offsetting impact
Mill. EUR
% selected in
Phase 1
Basis points
Mill. EUR
CVA
Fair Value review
Non derivative exposures review
Bonds
Securitisations
Loans
Equity (Investment in PE and Participations)
Investment Properties / real estate
Derivatives Model Review
D20
D21
D22
Gross impact on capital
Offsetting impact due to risk protection
Offsetting tax impact
D23
Net total impact of AQR results on CET1 ratio
2
Basis point impact includes
adjustment to RWA
Basis points 2
-40
0
10
-30
Mill. EUR
-61,06
15
E. Matrix Breakdown of Asset Quality Indicators
Information reported only for portfolios subject to detailed review in AQR
Units of
Measurement
Total credit exposure
Sovereigns and Supranational non-governmental organisation
Institutions
Retail
thereof SME
thereof Residential Real Estate (RRE)
thereof Other Retail
Corporates
Other Assets
F2
F3
AQR-adjusted NPE
Level
Changes due to the
projection of findings
30
5,53%
4
74
5,92%
1
0
6,54%
E .H
E .I
E.J
Coverage ratio for
exposures newly
classified as NPE during
the AQR
2
AQR - adjusted
ratio of provisions on NPE
to NPE
5,22%
6,00%
5,14%
4,54%
6,54%
Changes due to the
collective provisioning
review
on non-performing
exposures
6,16%
Changes due to the
projection of findings
11
E .G
%
%
%
%
%
38,52%
25,86%
28,17%
20,01%
32,42%
44,70%
%
Please refer to Definitions and Explanations sheet
F1 = A9
Aggregated adjustments to Leverage Ratio due to the outcome of the AQR
Basis Points
F2 = (D20+D21+D22)/A5
AQR adjusted Leverage Ratio
%
F3 = F1 + F2
%
1
E .F
F. LEVERAGE RATIO IMPACT OF THE COMPREHENSIVE ASSESSMENT
Explanatory Note:
• Note that the leverage ratio is based on the CRR Article 429 as of January 2014.
• It is currently not binding, is displayed for information purposes only and has no impact on the capital shortfall (B11).
Leverage Ratio at year end 2013
Basis Points
6,04%
E .E
For information purposes only
F1
Basis Points
E .D
Changes due to the
single credit file review
Units of
Measurement
E10
E11
E12
E13
E14
E15
E16
E17
E18
%
Total credit exposure
Sovereigns and Supranational non-governmental organisations
Institutions
Retail
thereof SME
thereof Residential Real Estate (RRE)
thereof Other Retail
Corporates
Other Assets
E .C
unadjusted coverage
ratio of non-performing
exposure,
year end 2013
E1
E2
E3
E4
E5
E6
E7
E8
E9
Changes due to the
single credit file
review
Asset quality indicators
Based on EBA simplified definition
Asset class breakdown
E .B
unadjusted NPE
Level
year end 2013
E .A
6,31%
-13
6,18%
0,38%
1,99%
40,90%
%
26,58%
0,08%
3,18%
0,26%
8,00%
0,53%
1,41%
29,13%
28,17%
28,27%
32,42%
46,64%
25,66%
20,29%
47,77%
49,96%

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