EBA欧洲银行-DK009_11页_617kb

Summary of the 2011 EBA EU-wide Stress Test Results for Jyske Bank

Core Tier 1 Capital Ratio

Jyske Bank's Core Tier 1 (CT1) capital ratio was assessed under the 2011 EBA EU-wide stress test. The results are summarised as follows:

• As of 31 December 2010:

  • Operating profit before impairments: 373 million EUR
  • Impairment losses on financial and non-financial assets in the banking book: -241 million EUR
  • Risk weighted assets (RWA): 14,091 million EUR
  • Core Tier 1 capital: 1,699 million EUR
  • CT1 capital ratio: 12.1%

• Outcomes of the adverse scenario at 31 December 2012, excluding mitigating actions:

  • CT1 capital ratio: 12.8%

• Outcomes of the adverse scenario at 31 December 2012, including mitigating measures up to 30 April 2011:

  • CT1 capital ratio: 12.8%
  • Additional capital needed to reach a 5% CT1 benchmark: 0

Capital Adequacy and Mitigating Measures

A. Full Static Balance Sheet Assumption (No Mitigating Actions)

B. Including Capital Issuance and Mandatory Restructuring (Before 31 December 2010)

• RWA remains unchanged at 14,091 million EUR.
• CT1 capital increases to 1,907 million EUR by 2012.
• CT1 capital ratio remains at 12.8% in the adverse scenario.

C. Including Capital Issuance and Mandatory Restructuring (Up to 30 April 2011)

• CT1 capital after all measures: 1,907 million EUR.
• RWA remains at 14,929 million EUR.
• CT1 capital ratio: 12.8% (unchanged from the previous calculation).

D. Additional Mitigating Measures

• Use of provisions and reserves: 0 impact on capital ratio.
• Divestments and management actions: 0 impact.
• Other disinvestments and restructuring measures: 0 impact.
• Future equity issuances: 0 impact.
• Government support and hybrid instruments: 0 impact.
• Supervisory recognised capital ratio: 12.8% (unchanged).

Profit and Loss Outcomes

Provisions and Loss Coverage

• Stock of provisions increased from 591 million EUR in 2010 to 1,016 million EUR by 2012.

• Provisions for non-defaulted assets:

  • Corporate (excluding commercial real estate): 167 million EUR
  • Retail (excluding commercial real estate): 8 million EUR
  • Commercial real estate: 13 million EUR

• Provisions for defaulted assets:

  • Corporate (excluding commercial real estate): 316 million EUR
  • Retail (excluding commercial real estate): 87 million EUR
  • Commercial real estate: 15 million EUR

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

  • Corporate: 43.9% (2010), 42.8% (2012)
  • Retail: 29.6% (2010), 31.5% (2012)
  • Commercial real estate: 24.6% (2010), 30.2% (2012)

• Loss rates (impairment losses / EAD):

  • Corporate: 1.7% (2010), 1.3% (2012)
  • Retail: 0.4% (2010), 0.5% (2012)
  • Commercial real estate: 0.7% (2010), 1.0% (2012)

Capital Composition as of 31 December 2010

Notes and Definitions

• The stress test was conducted using the EBA common methodology, including static balance sheet assumptions.
• All capital elements and ratios are based on the EBA definition of Core Tier 1 capital.
• The results are not forecasts and should not be directly compared to other published information.
• Regulatory transitional floors are applied where binding.
• Mitigating measures include capital raisings, government support, and restructuring actions, but had no impact on the CT1 capital ratio in this case.
• Provisions for non-defaulted and defaulted assets are calculated using EBA benchmark risk parameters.
• Deferred tax assets and minority interests are included in the capital composition but not deducted in the CT1 calculation.
• Other operating income includes income from real property, profit on property sales, and other ordinary income.
• Other income includes profit from investments in associates and group enterprises.