EBA欧洲银行-ES071_11页_943kb

Summary of the 2011 EBA EU-wide Stress Test Results for GRUPO BANCA CIVICA

Core Tier 1 Capital Ratio and Capital Adequacy

Actual Results at 31 December 2010

• Operating profit before impairments: 257 million EUR
• Impairment losses on financial and non-financial assets in the banking book: -276 million EUR
• Risk weighted assets (RWA): 46,090 million EUR
• Core Tier 1 capital: 3,688 million EUR
• Core Tier 1 capital ratio: 8.0%

Adverse Scenario Outcomes at 31 December 2012 (Excluding Mitigating Actions)

• Core Tier 1 capital ratio: 3.8%
• Additional capital needed to reach 5% Core Tier 1 benchmark: Not specified

Adverse Scenario Outcomes at 31 December 2012 (Including Recognised Mitigating Measures)

• 2-year cumulative operating profit before impairments: 259 million EUR
• 2-year cumulative impairment losses on financial and non-financial assets in the banking book: -3,038 million EUR
• 2-year cumulative losses from the stress in the trading book: -33 million EUR
• Valuation losses due to sovereign shock: 0 million EUR
• Risk weighted assets: 46,657 million EUR
• Core Tier 1 capital: 2,632 million EUR
• Core Tier 1 capital ratio: 5.6%
• Additional capital needed to reach 5% Core Tier 1 benchmark: Not specified

Mitigating Measures and Their Effects

Recognised Mitigating Measures as of 30 April 2011

• Equity raisings announced and fully committed (CT1): 0 million EUR
• Effect of government support on Core Tier 1 capital ratio: +1.8 percentage points
• Effect of mandatory restructuring plans on Core Tier 1 capital ratio: 0 percentage points
• Core Tier 1 capital after mitigating actions: 2,632 million EUR
• Tier 1 capital after mitigating actions: 3,556 million EUR
• Total regulatory capital after mitigating actions: 4,410 million EUR
• Supervisory recognised capital ratio after all mitigating actions: 9.4%

Additional Mitigating Measures

• Use of provisions and/or other reserves (including countercyclical provisions): +3.7 percentage points
• Divestments and other management actions taken by 30 April 2011: 0 percentage points
• Other disinvestments and restructuring measures: 0 percentage points
• Future planned issuances of common equity instruments: 0 percentage points
• Future planned government subscriptions of capital instruments: 0 percentage points
• Other instruments recognised as appropriate back-stop measures: +0.1 percentage points

Profit and Loss Outcomes

Baseline and Adverse Scenario Outcomes (2011-2012)

• Net interest income:
  • 2011: 733 million EUR
  • 2012: 689 million EUR (Baseline) / 542 million EUR (Adverse)
• Trading income:
  • 2011: 12 million EUR
  • 2012: 12 million EUR (Baseline) / 2 million EUR (Adverse)
• Trading losses from stress scenarios:
  • 2011: -6 million EUR
  • 2012: -6 million EUR (Baseline) / -16 million EUR (Adverse)
• Other operating income:
  • 2011: 145 million EUR
  • 2012: 166 million EUR (Baseline) / 166 million EUR (Adverse)
• Operating profit before impairments:
  • 2011: 163 million EUR
  • 2012: 288 million EUR (Baseline) / 131 million EUR (Adverse)
• Impairments on financial and non-financial assets in the banking book:
  • 2011: -724 million EUR
  • 2012: -831 million EUR (Baseline) / -1,646 million EUR (Adverse)
• Operating profit after impairments and other losses from the stress:
  • 2011: -560 million EUR
  • 2012: -543 million EUR (Baseline) / -1,515 million EUR (Adverse)
• Net profit after tax:
  • 2011: -366 million EUR
  • 2012: -353 million EUR (Baseline) / -1,035 million EUR (Adverse)

Provisions and Losses by Portfolio

Stock of Provisions

• Total stock of provisions: 3,553 million EUR
• Stock of provisions for non-defaulted assets:
  • Sovereigns: 2 million EUR
  • Institutions: 15 million EUR
  • Corporate (excluding commercial real estate): 1,462 million EUR
  • Retail (excluding commercial real estate): 769 million EUR
• Stock of provisions for defaulted assets:
  • Corporate (excluding commercial real estate): 569 million EUR
  • Retail (excluding commercial real estate): 416 million EUR
  • Commercial real estate: 78 million EUR

Coverage Ratios

• Corporate (excluding commercial real estate): 33.1% (Baseline) / 32.7% (Adverse)
• Retail (excluding commercial real estate): 30.3% (Baseline) / 27.8% (Adverse)
• Commercial real estate: 15.6% (Baseline) / 20.9% (Adverse)

Loss Rates

• Corporate (excluding commercial real estate): 2.5% (Baseline) / 2.9% (Adverse)
• Retail (excluding commercial real estate): 0.9% (Baseline) / 1.0% (Adverse)
• Commercial real estate: 0.8% (Baseline) / 0.9% (Adverse)

Key Notes and Definitions

• The stress test was conducted using the EBA common methodology with a static balance sheet assumption.
• Core Tier 1 capital is defined according to the EBA methodology, which may differ from national definitions.
• Mitigating measures include government support, capital raisings, and restructuring actions.
• Deferred tax assets and provisions are included in the capital calculation, with specific rules under the Basel 3 framework.
• Sovereign shock is considered in the valuation of losses, but no losses were recorded.
• The Core Tier 1 capital ratio after all mitigating actions is 9.4% as of 31 December 2012.

Capital Composition as of 31 December 2010

• Common equity before deductions: 2,732 million EUR
• Eligible capital and reserves: 2,740 million EUR
• Intangible assets (including goodwill): -0 million EUR
• Adjustment to valuation differences in other AFS assets: +26 million EUR
• Deductions from common equity: -22 million EUR
• Common equity (A+B): 2,711 million EUR
• Other existing government support measures: +977 million EUR
• Core Tier 1 capital including government support: 3,688 million EUR
• Tier 1 capital: 4,412 million EUR
• Tier 2 capital: 1,080 million EUR
• Tier 3 capital: 0 million EUR
• Total capital: 5,491 million EUR
• Deferred tax assets: 1,288 million EUR
• Minority interests: 5 million EUR
• Valuation differences eligible as original own funds: 0 million EUR

Additional Information

• RWA is calculated with regulatory transitional floors where applicable.
• Capital ratio impact from mitigating actions is presented separately for different categories.
• Mitigating measures are detailed in the worksheet "3 - Mitigating measures" and include actions taken by 30 April 2011 and future measures.
• Profit and loss figures are presented for both baseline and adverse scenarios, with a focus on operating profit and impairment losses.