EBA欧洲银行-ES060_11页_1mb

报告摘要

2011 EBA EU-wide Stress Test Summary for BBVA

Core Tier 1 Capital and Capital Adequacy Ratios

Actual Results at 31 December 2010

Operating profit before impairments: 11,942 million EUR
Impairment losses on financial and non-financial assets in the banking book: -5,208 million EUR
Risk weighted assets (RWA): 313,327 million EUR
Core Tier 1 capital: 24,939 million EUR
Core Tier 1 capital ratio: 8.0%
Additional capital needed to reach a 5% Core Tier 1 capital benchmark: 9,273 million EUR

Outcomes of Adverse Scenario at 31 December 2012 (excluding mitigating actions)

Core Tier 1 capital ratio: 9.2%

Outcomes of Adverse Scenario at 31 December 2012 (including mitigating measures)

2-year cumulative operating profit before impairments: 20,305 million EUR
2-year cumulative impairment losses on financial and non-financial assets in the banking book: -12,455 million EUR
2-year cumulative losses from the stress in the trading book: -864 million EUR
- Valuation losses due to sovereign shock: -96 million EUR
Risk weighted assets: 322,744 million EUR
Core Tier 1 capital: 29,651 million EUR
Core Tier 1 capital ratio: 9.2%

Effects of Recognised Mitigating Measures

Capital Raisings and Government Support

Equity raisings announced and fully committed between 31 December 2010 and 30 April 2011: 0 million EUR
Government support publicly announced and fully committed: 0 percentage points
Mandatory restructuring plans: 0 percentage points

Additional Mitigating Measures

Use of provisions and/or other reserves (including release of countercyclical provisions): +0.4 percentage points
Divestments and other management actions: 0 percentage points
Other disinvestments and restructuring measures: 0 percentage points
Future planned issuances of common equity instruments (private issuances): 0 percentage points
Future planned government subscriptions of capital instruments (including hybrids): 0 percentage points
Other instruments recognised as appropriate back-stop measures: +0.6 percentage points

Supervisory Recognised Capital Ratio

After all current and future mitigating actions as of 31 December 2012: 10.2%

Profit and Loss Outcomes

Baseline Scenario

Net interest income: 13,053 million EUR (2010), 12,146 million EUR (2011), 12,968 million EUR (2012)
Trading income: 1,894 million EUR (2010), 1,405 million EUR (2011), 1,130 million EUR (2012)
- Trading losses from stress scenarios: -170 million EUR (2011), -170 million EUR (2012)
- Valuation losses due to sovereign shock: -48 million EUR (2011), -48 million EUR (2012)
Other operating income: 1,426 million EUR (2010), 1,426 million EUR (2011), 1,426 million EUR (2012)
Operating profit before impairments: 11,942 million EUR (2010), 10,594 million EUR (2011), 11,141 million EUR (2012)
Impairments on financial and non-financial assets in the banking book: -5,208 million EUR (2010), -3,168 million EUR (2011), -3,322 million EUR (2012)
- Impairments in adverse scenario (2011): -5,920 million EUR
- Impairments in adverse scenario (2012): -6,535 million EUR
Operating profit after impairments and other losses from the stress: 6,735 million EUR (2010), 7,427 million EUR (2011), 7,819 million EUR (2012)
- Adverse scenario (2011): 3,860 million EUR
- Adverse scenario (2012): 3,990 million EUR
Other income: -313 million EUR (2010), -259 million EUR (2011), -470 million EUR (2012)
Net profit after tax: 4,995 million EUR (2010), 5,684 million EUR (2011), 5,724 million EUR (2012)
- Carried over to capital (retained earnings): 3,781 million EUR (2010), 4,644 million EUR (2011), 4,661 million EUR (2012)
- Distributed as dividends: 1,214 million EUR (2010), 1,040 million EUR (2011), 1,063 million EUR (2012)

Provisions and Loss Coverage

Stock of provisions (including countercyclical provisions): 9,670 million EUR (2010), 12,724 million EUR (2011), 15,931 million EUR (2012)
Stock of provisions for non-defaulted assets:
- Sovereigns: 10 million EUR (2010), 38 million EUR (2011), 65 million EUR (2012)
- Institutions: 13 million EUR (2010), 72 million EUR (2011), 116 million EUR (2012)
- Corporate (excluding commercial real estate): 2,257 million EUR (2010), 2,236 million EUR (2011), 2,223 million EUR (2012)
- Retail (excluding commercial real estate): 524 million EUR (2010), 496 million EUR (2011), 476 million EUR (2012)
- Commercial real estate: 5 million EUR (2010), 4 million EUR (2011), 4 million EUR (2012)
Stock of provisions for defaulted assets:
- Corporate (excluding commercial real estate): 4,041 million EUR (2010), 5,116 million EUR (2011), 6,387 million EUR (2012)
- Retail (excluding commercial real estate): 2,639 million EUR (2010), 4,586 million EUR (2011), 6,517 million EUR (2012)
- Commercial real estate: 150 million EUR (2010), 230 million EUR (2011), 270 million EUR (2012)
Coverage ratio (%):
- Corporate (excluding commercial real estate): 41.6% (2010), 40.9% (2011), 40.3% (2012)
- Retail (excluding commercial real estate): 40.7% (2010), 40.6% (2011), 40.5% (2012)
- Commercial real estate: 24.9% (2010), 20.5% (2011), 19.6% (2012)
Loss rates (%):
- Corporate (excluding commercial real estate): 1.0% (2010), 0.5% (2011), 0.6% (2012)
- Retail (excluding commercial real estate): 1.9% (2010), 1.3% (2011), 1.3% (2012)
- Commercial real estate: 1.5% (2010), 0.7% (2011), 0.3% (2012)
Funding cost (bps):
- Baseline scenario (2011): 149
- Adverse scenario (2011): 249
- Adverse scenario (2012): 300

Composition of Capital as of 31 December 2010

Common equity before deductions: 27,178 million EUR (8.7% of RWA)
Eligible capital and reserves: 37,192 million EUR (11.9% of RWA)
Intangibles assets (including goodwill): -9,576 million EUR (-3.1% of RWA)
Adjustment to valuation differences in other AFS assets: 897 million EUR (0.3% of RWA)
Deductions from common equity: -2,239 million EUR (-0.7% of RWA)
- Deductions of participations and subordinated claims: -1,567 million EUR (-0.5% of RWA)
- Securitisation exposures not included in RWA: 0 million EUR (0.0% of RWA)
- IRB provision shortfall and IRB equity expected loss amounts (before tax): -672 million EUR (-0.2% of RWA)
Common equity (A + B): 24,939 million EUR (8.0% of RWA)
Core Tier 1 capital (including existing government support measures): 24,939 million EUR (8.0% of RWA)
Hybrid instruments not subscribed by government: 7,164 million EUR (2.3% of RWA)
Tier 1 capital (Core Tier 1 + Hybrid instruments): 32,103 million EUR (10.2% of RWA)
Tier 2 capital: 5,234 million EUR (1.7% of RWA)
Tier 3 capital: 0 million EUR (0.0% of RWA)
Total capital: 37,337 million EUR (11.9% of RWA)

Memorandum Items

Holdings, participations and subordinated claims in credit, financial and insurance institutions: 1,567 million EUR (0.5% of RWA)
Securitisation exposures not included in RWA: 0 million EUR (0.0% of RWA)
Deferred tax assets: 3,851 million EUR (1.2% of RWA)
Minority interests (excluding hybrid instruments): 1,325 million EUR (0.4% of RWA)
Valuation differences eligible as original own funds: - (0.0% of RWA)