EBA欧洲银行-CY006_10页_733kb

Summary of the 2011 EBA EU-wide Stress Test Results for Marfin Popular Bank Public Co Ltd

Core Tier 1 Capital Ratio

Actual Results at 31 December 2010

• Operating profit before impairments: 376 million EUR
• Impairment losses on financial and non-financial assets in the banking book: -275 million EUR
• Risk weighted assets (RWA): 27,627 million EUR
• Core Tier 1 capital: 2,015 million EUR
• Core Tier 1 capital ratio: 7.3%

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

• Core Tier 1 capital ratio: 3.6%

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

• 2-year cumulative operating profit before impairments: 658 million EUR
• 2-year cumulative impairment losses on financial and non-financial assets in the banking book: -2,073 million EUR
• 2-year cumulative losses from the stress in the trading book: -24 million EUR
• Valuation losses due to sovereign shock: -3 million EUR
• Risk weighted assets: 28,570 million EUR
• Core Tier 1 capital: 1,517 million EUR
• Core Tier 1 capital ratio: 5.3%

Additional Capital Needed to Reach 5% Core Tier 1 Capital Benchmark

• Without mitigating actions: Additional capital needed to reach 5% benchmark is not explicitly stated, but the capital ratio is 3.6%.
• With mitigating actions: Additional capital needed is not explicitly stated, but the capital ratio is 5.3%.

Capital Adequacy After Mitigating Measures

Capital After Mitigating Measures (Including Recognised Measures as of 30 April 2011)

• Core Tier 1 capital: 1,517 million EUR
• Tier 1 capital: 2,255 million EUR
• Total regulatory capital: 2,589 million EUR
• Supervisory recognised capital ratio: 9.2%

Capital Adequacy Over Time

• 2010: Core Tier 1 capital ratio = 7.3%
• 2011 (Baseline): Core Tier 1 capital ratio = 8.6%
• 2012 (Baseline): Core Tier 1 capital ratio = 8.0%
• 2011 (Adverse): Core Tier 1 capital ratio = 7.8%
• 2012 (Adverse): Core Tier 1 capital ratio = 5.3%

Profit and Loss Outcomes

2010 Profit and Loss

• Net interest income: 710 million EUR
• Trading income: 2 million EUR
• Other operating income: 109 million EUR
• Operating profit before impairments: 376 million EUR
• Impairments on financial and non-financial assets in the banking book: -275 million EUR
• Operating profit after impairments and other losses from the stress: 100 million EUR
• Other income: 14 million EUR

2011 and 2012 Profit and Loss (Baseline and Adverse Scenarios)

• Net interest income:
  • 2011 (Baseline): 685 million EUR
  • 2011 (Adverse): 714 million EUR
• Trading income:
  • 2011 (Baseline): 2 million EUR
  • 2011 (Adverse): -7 million EUR
• Trading losses from stress scenarios:
  • 2011 (Baseline): -3 million EUR
  • 2011 (Adverse): -12 million EUR
• Valuation losses due to sovereign shock:
  • 2011 (Baseline): -2 million EUR
  • 2011 (Adverse): -2 million EUR
• Operating profit after impairments and other losses from the stress:
  • 2011 (Baseline): -279 million EUR
  • 2011 (Adverse): -536 million EUR
  • 2012 (Baseline): -229 million EUR
  • 2012 (Adverse): -878 million EUR

Provisions and Loss Coverage

Stock of Provisions

• Total stock of provisions: 1,115 million EUR
• Provisions for non-defaulted assets:
  • Sovereigns: 223 million EUR
  • Institutions: 12 million EUR
  • Corporate (excluding Commercial real estate): 446 million EUR
  • Retail (excluding Commercial real estate): 629 million EUR
• Provisions for defaulted assets:
  • Corporate (excluding Commercial real estate): 623 million EUR
  • Retail (excluding Commercial real estate): 629 million EUR
  • Commercial real estate: 1 million EUR

Coverage Ratios

• Corporate (excluding Commercial real estate): 29.7% (2011), 28.1% (2012)
• Retail (excluding Commercial real estate): 34.3% (2011), 32.9% (2012)
• Commercial real estate: 0.4% (2011), 0.4% (2012)

Loss Rates

• Corporate (excluding Commercial real estate): 1.2% (2011), 1.2% (2012)
• Retail (excluding Commercial real estate): 1.4% (2011), 1.5% (2012)
• Commercial real estate: 0.0% (2011), 0.0% (2012)

Key Mitigating Measures

Recognised Mitigating Measures as of 30 April 2011

• Equity raisings announced and fully committed: 488 million EUR
• Government support: 0 percentage points
• Mandatory restructuring plans: 0 percentage points

Additional Mitigating Measures

• Use of provisions and/or other reserves: 3.6 percentage points
• Divestments and other management actions taken by 30 April 2011: 0.2 percentage points
• Other disinvestments and restructuring measures: 3.6 percentage points

Supervisory Recognised Capital Ratio After All Mitigating Actions

• Baseline scenario: 12.0%
• Adverse scenario: 9.2%

Notes and Definitions

• The stress test was conducted using the EBA common methodology with a static balance sheet assumption.
• Capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national supervisory definitions.
• The results should not be interpreted as forecasts or compared directly to other published information.
• Regulatory transitional floors are applied where binding.
• "Other operating income" mainly includes foreign exchange income.
• "Other income" includes share of profit from associated companies.
• Provisions for non-defaulted exposures are computed using EBA benchmark risk parameters.
• Deferred tax assets are included in the capital ratio.
• Minority interests are included in the capital ratio.
• Valuation differences are included in the capital ratio.
• All elements are reported net of tax effects.
• The supervisory recognised capital ratio includes additional measures not recognised by the EBA methodology but considered appropriate by national supervisory authorities.