EBA欧洲银行-MT046_11页_624kb

Summary of the 2011 EBA EU-wide Stress Test for Bank of Valletta P.L.C.

Core Tier 1 Capital Ratio

• As of 31 December 2010:

  • Operating profit before impairments: 107 million EUR
  • Impairment losses on financial and non-financial assets in the banking book: -11 million EUR
  • Risk weighted assets (RWA): 3,367 million EUR
  • Core Tier 1 capital: 354 million EUR
  • Core Tier 1 capital ratio: 10.5%

• Adverse scenario at 31 December 2012 (excluding mitigating actions taken in 2011):

  • Core Tier 1 capital ratio: 10.4%

• Adverse scenario at 31 December 2012 (including mitigating actions up to 30 April 2011):

  • 2-year cumulative operating profit before impairments: 191 million EUR
  • 2-year cumulative impairment losses on financial and non-financial assets in the banking book: -178 million EUR
  • 2-year cumulative losses from the stress in the trading book: -3 million EUR
  • Core Tier 1 capital: 349 million EUR
  • Core Tier 1 capital ratio: 10.4%

• Additional capital needed to reach a 5% Core Tier 1 capital benchmark:

  • Not specified in the table, but it is implied that the bank's capital ratio is above the 5% threshold.

Capital Adequacy and Mitigating Measures

• Capital adequacy under full static balance sheet assumption (without mitigating actions):

  • RWA remains constant at 3,367 million EUR
  • Core Tier 1 capital increases from 354 million EUR in 2010 to 397 million EUR in 2012
  • Core Tier 1 capital ratio increases from 10.5% in 2010 to 11.8% in 2012

• After incorporating mitigating measures up to 30 April 2011:

  • Core Tier 1 capital after government support and capital raisings: 349 million EUR
  • Core Tier 1 capital ratio: 10.4%
  • Total regulatory capital: 529 million EUR in 2011, 547 million EUR in 2012
  • Total assets: 6,382 million EUR (after capital raisings and restructuring)

• Mitigating measures included:

  • Capital raisings and government support measures fully committed by 30 April 2011
  • Mandatory restructuring plans
  • Use of provisions and reserves, including countercyclical provisions
  • Divestments and other management actions
  • Other disinvestments and restructuring measures (including future mandatory restructuring not yet approved)
  • Future planned issuances of common equity instruments
  • Future planned government subscriptions of capital instruments (including hybrids)

Profit and Losses

• Net interest income:

  • 2010: 130 million EUR
  • 2011 (Baseline): 136 million EUR
  • 2012 (Baseline): 120 million EUR
  • 2011 (Adverse): 130 million EUR
  • 2012 (Adverse): 109 million EUR

• Trading income:

  • 2010: Not specified
  • 2011 (Baseline): -1 million EUR
  • 2012 (Baseline): -1 million EUR
  • 2011 (Adverse): -1 million EUR
  • 2012 (Adverse): -1 million EUR

• Operating profit before impairments:

  • 2010: 107 million EUR
  • 2011 (Baseline): 112 million EUR
  • 2012 (Baseline): 97 million EUR
  • 2011 (Adverse): 107 million EUR
  • 2012 (Adverse): 85 million EUR

• Impairment losses on financial and non-financial assets in the banking book:

  • 2010: -11 million EUR
  • 2011 (Baseline): -38 million EUR
  • 2012 (Baseline): -44 million EUR
  • 2011 (Adverse): -66 million EUR
  • 2012 (Adverse): -112 million EUR

• Operating profit after impairments and other losses:

  • 2010: 96 million EUR
  • 2011 (Baseline): 74 million EUR
  • 2012 (Baseline): 53 million EUR
  • 2011 (Adverse): 40 million EUR
  • 2012 (Adverse): -28 million EUR

• Net profit after tax:

  • 2010: 67 million EUR
  • 2011 (Baseline): 50 million EUR
  • 2012 (Baseline): 35 million EUR
  • 2011 (Adverse): 27 million EUR
  • 2012 (Adverse): -18 million EUR

Provisions and Losses

• Stock of provisions:

  • 2010: 127 million EUR
  • 2011 (Baseline): 165 million EUR
  • 2012 (Baseline): 208 million EUR
  • 2011 (Adverse): 193 million EUR
  • 2012 (Adverse): 305 million EUR

• Provisions for non-defaulted assets:

  • 2010: 30 million EUR
  • 2011 (Baseline): 30 million EUR
  • 2012 (Baseline): 30 million EUR
  • 2011 (Adverse): 30 million EUR
  • 2012 (Adverse): 30 million EUR

• Provisions for defaulted assets:

  • 2010: 97 million EUR
  • 2011 (Baseline): 135 million EUR
  • 2012 (Baseline): 179 million EUR
  • 2011 (Adverse): 163 million EUR
  • 2012 (Adverse): 275 million EUR

• Coverage ratio (provisions on defaulted assets / defaulted assets in EAD):

  • Corporate (excluding Commercial real estate): 6.8% to 30.0%
  • Retail (excluding Commercial real estate): 42.6% to 66.6%
  • Commercial real estate: 21.1% to 54.1%

• Loss rates (impairment flow / total EAD):

  • Corporate (excluding Commercial real estate): 2.9% to 12.1%
  • Retail (excluding Commercial real estate): 1.2% to 2.5%
  • Commercial real estate: 0.5% to 2.7%

Notes and Methodology

• The stress test was conducted using the EBA common methodology, which includes a static balance sheet assumption and regulatory transitional floors where applicable.
• All capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national definitions.
• The results are not forecasts and should not be compared directly with other published information.
• Capital ratios are calculated using the EBA definition, but national supervisory authorities may include additional measures not recognized by EBA.
• The impact of mitigating measures is reflected in the capital ratio and RWA, including those not yet approved.
• The methodology involves the use of prudential filters, fair value adjustments, and specific treatment of provisions and reserves.