Stress testing

Expected loss and RWA under three macro scenarios

Adverse

Mild recession: PD ×1.85, LGD +6%

PD multiplier: 1.85×
LGD uplift: +6%
Exposure at default: €3.2bn
Expected loss: €142.8m
Δ Expected loss: €58.9m
Risk-weighted assets: €4.6bn
Δ RWA: €1.1bn
Weighted average PD: 7.71%
RWA density: 144.7%

Sector

Adverse · vs. baseline

Sector

EAD

PD

LGD

Expected loss

Δ Expected loss

RWA

Δ RWA

€458.3m

5.53%

48.9%

€13.2m

€6.9m

€907.7m

€238.6m

€535.6m

2.28%

45.7%

€6m

€3.1m

€705.4m

€228.9m

€604.4m

11.37%

43.1%

€41.2m

€21.2m

€709.2m

€109.8m

€326.2m

18.11%

51.9%

€32.9m

€17m

€678m

€71.6m

€421.2m

1.46%

40.2%

€3m

€1.6m

€373.2m

€116.7m

€284.9m

3.29%

46.9%

€4.8m

€2.5m

€468.6m

€153.8m

€547.7m

11.73%

43.1%

€41.8m

€6.6m

€756.7m

€191.4m