EBA欧洲银行-DK010_11页_573kb

报告摘要

Summary of the 2011 EBA EU-wide Stress Test for Sydbank

Core Tier 1 Capital and Risk Weighted Assets

Sydbank's Core Tier 1 capital and Risk Weighted Assets (RWA) were evaluated under the EBA common methodology for the 2011 EU-wide stress test. The analysis included both baseline and adverse scenarios.

Actual Results at 31 December 2010

Operating profit before impairments: 288 million EUR
Impairment losses on financial and non-financial assets in the banking book: -209 million EUR
Risk weighted assets (RWA): 9,890 million EUR
Core Tier 1 capital: 1,231 million EUR
Core Tier 1 capital ratio: 12.4%
Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

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

Core Tier 1 capital ratio: 13.6%

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

2-year cumulative operating profit before impairments: 549 million EUR
2-year cumulative impairment losses: -303 million EUR
2-year cumulative losses from the stress in the trading book: -83 million EUR
- Valuation losses due to sovereign shock: -12 million EUR
Risk weighted assets: 10,233 million EUR
Core Tier 1 capital: 1,395 million EUR
Additional capital needed to reach a 5% Core Tier 1 capital benchmark: 0

Capital Adequacy Ratios and Mitigating Measures

Capital Adequacy (Full Static Balance Sheet Assumption)

Baseline scenario (2011–2012):
- Core Tier 1 capital ratio: 13.7% (2011), 15.2% (2012)
Adverse scenario (2011–2012):
- Core Tier 1 capital ratio: 13.1% (2011), 13.6% (2012)

Capital Adequacy (Including Recognised Mitigating Measures)

Core Tier 1 capital after government support, capital raisings, and restructuring: 1,395 million EUR
Tier 1 capital: 1,595 million EUR
Total regulatory capital: 1,716 million EUR
Core Tier 1 capital ratio: 13.6%

Profit and Loss Outcomes

2010–2012 Profit and Loss

Net interest income: 432 million EUR (2010), 421 million EUR (2011), 418 million EUR (2012)
Trading income: 59 million EUR (2010), 56 million EUR (2011), 27 million EUR (2012)
Trading losses from stress scenarios: -12 million EUR (2011), -146 million EUR (2012)
Valuation losses due to sovereign shock: -6 million EUR (2012)
Operating profit before impairments: 288 million EUR (2010), 316 million EUR (2011), 305 million EUR (2012)
Impairments on financial and non-financial assets in the banking book: -209 million EUR (2010), -80 million EUR (2011), -58 million EUR (2012)
Operating profit after impairments and other losses from the stress: 80 million EUR (2010), 235 million EUR (2011), 247 million EUR (2012)
Net profit after tax: 55 million EUR (2010), 179 million EUR (2011), 187 million EUR (2012)
Retained earnings: 44 million EUR (2010), 143 million EUR (2011), 150 million EUR (2012)
Dividends distributed: 11 million EUR (2010), 36 million EUR (2011), 37 million EUR (2012)

Provisions and Coverage Ratios

Stock of Provisions

Total stock of provisions: 237 million EUR (2010), 375 million EUR (2012)
Provisions for non-defaulted assets: 126 million EUR (2010), 136 million EUR (2012)
Provisions for defaulted assets: 111 million EUR (2010), 384 million EUR (2012)
Coverage ratio:
- Corporate (excluding Commercial real estate): 38.8% (2010), 43.3% (2012)
- Retail (excluding Commercial real estate): 43.6% (2010), 54.0% (2012)
- Commercial real estate: 27.0% (2010), 45.6% (2012)
Loss rates:
- Corporate (excluding Commercial real estate): 1.9% (2010), 1.2% (2012)
- Retail (excluding Commercial real estate): 0.3% (2010), 0.6% (2012)
- Commercial real estate: 1.6% (2010), 2.5% (2012)

Capital Composition at 31 December 2010

Common equity before deductions: 1,280 million EUR (12.9% of RWA)
Deductions from common equity: -49 million EUR (-0.5% of RWA)
Common equity (after deductions): 1,231 million EUR (12.4% of RWA)
Core Tier 1 capital including government support: 1,231 million EUR (12.4% of RWA)
Hybrid instruments not subscribed by government: 186 million EUR (1.9% of RWA)
Tier 1 capital: 1,417 million EUR (14.3% of RWA)
Tier 2 capital: 103 million EUR (1.0% of RWA)
Tier 3 capital: 0 million EUR (0.0% of RWA)
Total capital: 1,520 million EUR (15.4% of RWA)

Additional Information

Deferred tax assets: 1 million EUR
Minority interests: 0 million EUR
Valuation differences eligible as original own funds: Not specified
Coverage ratio and loss rates: Reflect the bank's ability to absorb losses from different portfolio segments.
Funding cost: 82 bps (2010), 163 bps (2011), 221 bps (2012)

Mitigating Measures

Recognised Mitigating Measures

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
Supervisory recognised capital ratio after all mitigating actions: 13.6%

Additional Mitigating Measures

Use of provisions and reserves: 0 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: 0 percentage points
Other instruments considered back-stop measures: 0 percentage points

Notes and Definitions

The stress test was conducted using the EBA common methodology, which includes 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 Core Tier 1 capital ratio was calculated under the static balance sheet assumption, excluding any mitigating actions taken after 31 December 2010.
Mitigating measures include provisions, divestments, restructuring, and capital raisings.
The supervisory recognised capital ratio incorporates both EBA-recognised and national supervisory-recognised measures.
RWA and capital ratios are affected by regulatory transitional floors where applicable.
Provisions for non-defaulted exposures are computed using benchmark risk parameters and hypothetical rating downgrades.
Other operating income is defined as rental income regarding real property.
Deferred tax assets are referenced in the Basel 3 framework.
Capital ratio impact is presented in percentage points.

Conclusion

Sydbank met the Core Tier 1 capital benchmark of 5% under the adverse scenario when considering recognised mitigating measures. The bank's capital adequacy remained stable, with a Core Tier 1 capital ratio of 13.6% as of 31 December 2012. The bank did not implement any additional mitigating measures beyond the ones already considered, and no future capital raisings or government support were planned as of 30 April 2011.

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