2. 1. ICAAP “China slowdown”: includes 50% provisioning for agri & mining commodity
(+trading) sectors and 6 exporting countries to China.
2. Depreciating currencies: where currencies fell against USD since May 2014.
3. Emerging markets turmoil: individual client scoring on impact from China slowdown,
lower commodity prices & political instability (e.g. Turkey): 15 countries + ports
scenarios
Depreciation Provisioning Score Impact
< 20% 0% 1 No material impact
> 20% 20% 2 Some but not on servicing debt
> 30% 50% 3 Probably impact on servicing debt
> 40% 100% 4 Almost certain impact on servicing debt
4. Stress test emerging markets turmoil
4
FMO identified 15 countries as vulnerable…..
5. Stress TEST results
5
Scenario At risk
portfolio
(EUR mln)
Capital ratio
YE16
RoE
YE16
ICAAP – Base case - 24.6% 7.0%
ICAAP – China Slowdown 1.300 17.2% -15.6%
Depreciating currencies 1.800 18.0% -14.1%
Emerging markets turmoil 1.300 19.4% -7.2%
General assumptions stress scenarios:
- USD appreciates against the Euro to 0.9
- No equity exits
- No Fair Value growth equity; impairments in selected countries
EM turmoil crisis could have serious impact on portfolio quality but capital is sufficient:
- Stress scenarios were taken at high provisioning percentages
- Portfolio monitoring activities in high risk areas are increased by FO, RM and Credit
- New proposals in high risk areas will be even more critically considered
Editor's Notes
title in green capitals 20 pt Subtitle in lowercase blue, not bold, 16 pt
Please color the relevant country or countries.
Adjusting the map and highlight one country;
Click on the map, and after one second click on the individual country, then choose the bucket-icon, change to blue. To uncolor; choose a striped country, click the brush, click the colored country
Or select countries via Tab Home/ Select/ Selection Pane. You see the list of all countries and can select each country individually
title in green capitals 20 pt Subtitle in lowercase blue, not bold, 16 pt
Please color the relevant country or countries.
Adjusting the map and highlight one country;
Click on the map, and after one second click on the individual country, then choose the bucket-icon, change to blue. To uncolor; choose a striped country, click the brush, click the colored country
Or select countries via Tab Home/ Select/ Selection Pane. You see the list of all countries and can select each country individually
