EBA欧洲银行-SI058_11页_611kb

Summary of the 2011 EBA EU-wide Stress Test Results for Nova Kreditna Banka Maribor d.d. (NKBM d.d.)

Core Tier 1 Capital Ratio and Capital Adequacy

The 2011 EBA EU-wide stress test results for NKBM d.d. are presented in three scenarios: without any mitigating actions, with mitigating actions announced before 31 December 2010, and with mitigating actions announced up to 30 April 2011.

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

• Capital adequacy is calculated under a static balance sheet assumption.
• Core Tier 1 capital ratio at the end of 2010 was 7.4%.
• Risk weighted assets (RWA) were 4,946 million EUR.
• Core Tier 1 capital was 366 million EUR.
• Additional capital needed to reach a 5% Core Tier 1 capital benchmark was 119 million EUR (i.e., 2.4% above the 5% threshold).

B. With Mitigating Actions Announced Before 31 December 2010

• Core Tier 1 capital ratio at the end of 2010 was 7.4%.
• RWA remained at 4,946 million EUR.
• Core Tier 1 capital was 366 million EUR.
• Core Tier 1 capital ratio at the end of 2012 was 5.9% under the adverse scenario, excluding mitigating actions.

C. With Mitigating Actions Announced Up to 30 April 2011

• Equity raisings between 31 December 2010 and 30 April 2011 were 104 million EUR.
• Core Tier 1 capital at the end of 2012 was 396 million EUR, resulting in a Core Tier 1 capital ratio of 8.0%.
• Tier 1 capital was 406 million EUR, and Total regulatory capital was 578 million EUR.
• Additional capital needed to reach a 5% Core Tier 1 capital benchmark was 0 (i.e., the capital ratio exceeded the 5% threshold).
• Supervisory recognised capital ratio was 8.0% after all current and future mitigating actions.

Profit and Loss Performance

2010 Baseline and Adverse Scenarios

• Operating profit before impairments in 2010 was 95 million EUR.
• Impairment losses on financial and non-financial assets in the banking book were -79 million EUR.
• Net profit after tax in 2010 was 11 million EUR, with 9 million EUR carried over to capital (retained earnings) and 2 million EUR distributed as dividends.
• Coverage ratios for defaulted assets:
  • Corporate (excluding Commercial real estate): 32.4% in 2010, 30.6% in 2011, 26.1% in 2012.
  • Retail (excluding Commercial real estate): 64.2% in 2010, 69.8% in 2011, 60.4% in 2012.
• Loss rates for non-defaulted assets:
  • Corporate: 1.8% in 2010, 1.6% in 2011, 0.5% in 2012.
  • Retail: 0.8% in 2010, 1.2% in 2011, 0.8% in 2012.

Mitigating Measures

Recognised Mitigating Actions

• Equity raisings announced and fully committed between 31 December 2010 and 30 April 2011 contributed to an increase in Core Tier 1 capital.
• Government support publicly announced and fully committed during this period also positively impacted the Core Tier 1 capital ratio.
• Mandatory restructuring plans and divestments taken by 30 April 2011 were incorporated into the capital ratio.
• Other disinvestments and restructuring measures, including future mandatory restructuring not yet approved with the EU Commission, were considered as appropriate back-stop measures by national supervisory authorities.

Additional Mitigating Measures

• Use of provisions and reserves, including the release of countercyclical provisions, was considered as a mitigating measure.
• Divestments and other management actions taken by 30 April 2011 had a positive impact on the capital ratio.
• Future planned issuances of common equity instruments and government subscriptions of capital instruments were also included in the supervisory recognised capital ratio.

Notes and Methodology

• The stress test was conducted using the EBA common methodology, which includes a static balance sheet assumption and regulatory transitional floors.
• Core Tier 1 capital is defined according to the EBA methodology, and may differ from the definitions used by national supervisory authorities or public disclosures.
• Baseline and adverse scenarios are not forecasts and should not be directly compared to the bank's other published information.
• RWA and capital ratios are adjusted for mitigating actions, government support, and restructuring.
• Provisions for non-defaulted exposures to sovereigns and financial institutions were computed using benchmark risk parameters and hypothetical rating agency downgrades.
• Deferred tax assets and minority interests are included in the capital calculations, with specific rules applying under the Basel 3 framework.

Summary of Key Information

Main Outcomes

• The Core Tier 1 capital ratio improved significantly after incorporating mitigating measures.
• The bank's capital was sufficient to meet the 5% Core Tier 1 capital benchmark after the implementation of equity raisings and government support.
• Provisions and restructuring actions played a key role in enhancing capital adequacy.
• Net profit after tax was affected by impairment losses in the adverse scenario, but the capital ratio remained above the required threshold.