EBA欧洲银行-ES062_9页_922kb

Summary of the 2011 EBA EU-wide Stress Test for CAJA DE AHORROS Y PENSIONES DE BARCELONA

Core Tier 1 Capital Ratio

• Actual results at 31 December 2010:

  • Operating profit before impairments: 3,364 million EUR
  • Impairment losses on financial and non-financial assets in the banking book: -2,333 million EUR
  • Risk weighted assets (RWA): 162,711 million EUR
  • Core Tier 1 capital: 11,109 million EUR
  • Core Tier 1 capital ratio: 6.8%

• Outcomes of the adverse scenario at 31 December 2012 (excluding mitigating actions taken in 2011):

  • Core Tier 1 capital ratio: 6.0%

• Outcomes of the adverse scenario at 31 December 2012 (including mitigating measures up to 30 April 2011):

  • Core Tier 1 capital ratio: 6.4%

• Supervisory recognised capital ratio after all current and future mitigating actions as of 31 December 2012:

  • 9.1%

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

• Without any mitigating actions: Additional capital needed = 2,973 million EUR (1.8% over the 5% benchmark)
• After including mitigating measures up to 30 April 2011: Additional capital needed = not specified, but the capital ratio improved to 6.4%

Mitigating Measures

A) Use of Provisions and Other Reserves

• Impact on capital ratio: +0.6%
• Capital impact: +999 million EUR
• RWA impact: 0 million EUR

B) Divestments and Other Management Actions (by 30 April 2011)

• 1) Repsol YPF:

  • Impact on capital ratio: +0.7%
  • Capital impact: +1,210 million EUR
  • RWA impact: +1,325 million EUR

• 2) VidaCaixa Adeslas:

  • Impact on capital ratio: +0.4%
  • Capital impact: +688 million EUR
  • RWA impact: +418 million EUR

C) Other Disinvestments and Restructuring Measures

• Impact on capital ratio: 0%
• Capital impact: not specified
• RWA impact: not specified

D) Future Capital Raisings and Backstop Measures

• Impact on capital ratio: 0%
• Capital impact: not specified
• RWA impact: not specified

Profit and Loss (P&L) Impact

• Net interest income:

  • 2010: 2,958 million EUR
  • 2011 (Baseline): 2,362 million EUR
  • 2012 (Baseline): 2,218 million EUR
  • 2011 (Adverse): 1,794 million EUR
  • 2012 (Adverse): 1,879 million EUR

• Trading income:

  • 2010: 64 million EUR
  • 2011 (Baseline): -9 million EUR
  • 2012 (Baseline): -9 million EUR
  • 2011 (Adverse): -23 million EUR
  • 2012 (Adverse): -23 million EUR

• Trading losses from stress scenarios:

  • 2011: -6 million EUR
  • 2012: -6 million EUR (Baseline) / -20 million EUR (Adverse)

• Valuation losses due to sovereign shock:

  • 2011: -5 million EUR
  • 2012: -5 million EUR

• Operating profit before impairments:

  • 2010: 3,364 million EUR
  • 2011 (Baseline): 2,749 million EUR
  • 2012 (Baseline): 2,605 million EUR
  • 2011 (Adverse): 2,167 million EUR
  • 2012 (Adverse): 2,252 million EUR

• Impairments on financial and non-financial assets in the banking book:

  • 2010: -2,333 million EUR
  • 2011 (Baseline): -2,932 million EUR
  • 2012 (Baseline): -1,928 million EUR
  • 2011 (Adverse): -4,563 million EUR
  • 2012 (Adverse): -3,669 million EUR

• Operating profit after impairments and other losses from the stress:

  • 2010: 1,031 million EUR
  • 2011 (Baseline): -183 million EUR
  • 2012 (Baseline): 676 million EUR
  • 2011 (Adverse): -2,396 million EUR
  • 2012 (Adverse): -1,417 million EUR

• Other income:

  • 2010: 238 million EUR
  • 2011 (Baseline): -50 million EUR
  • 2012 (Baseline): -50 million EUR
  • 2011 (Adverse): -110 million EUR
  • 2012 (Adverse): -125 million EUR

• Net profit after tax:

  • 2010: 1,687 million EUR
  • 2011 (Baseline): 244 million EUR
  • 2012 (Baseline): 876 million EUR
  • 2011 (Adverse): -1,362 million EUR
  • 2012 (Adverse): -687 million EUR

• Retained earnings:

  • 2010: 1,123 million EUR
  • 2011 (Baseline): 144 million EUR
  • 2012 (Baseline): 538 million EUR
  • 2011 (Adverse): -1,412 million EUR
  • 2012 (Adverse): -737 million EUR

• Dividends distributed:

  • 2010: 564 million EUR
  • 2011 (Baseline): 100 million EUR
  • 2012 (Baseline): 338 million EUR
  • 2011 (Adverse): 50 million EUR
  • 2012 (Adverse): 50 million EUR

Key Performance Metrics

• Deferred tax assets:

  • 2010: 950 million EUR
  • 2011 (Baseline): 1,428 million EUR
  • 2012 (Baseline): 1,677 million EUR
  • 2011 (Adverse): 2,094 million EUR
  • 2012 (Adverse): 2,950 million EUR

• Stock of provisions:

  • 2010: 5,058 million EUR
  • 2011 (Baseline): 7,990 million EUR
  • 2012 (Baseline): 9,917 million EUR
  • 2011 (Adverse): 9,097 million EUR
  • 2012 (Adverse): 12,306 million EUR

• Coverage ratio (for defaulted assets):

  • Corporate (excluding Commercial real estate): 30.4% (2010) / 37.3% (Baseline 2012) / 38.0% (Adverse 2012)
  • Retail (excluding Commercial real estate): 30.1% (2010) / 37.4% (Baseline 2012) / 36.2% (Adverse 2012)
  • Commercial real estate: 19.4% (2010) / 29.7% (Baseline 2012) / 30.7% (Adverse 2012)

• Loss rates:

  • Corporate (excluding Commercial real estate): 1.5% (2010) / 2.0% (Baseline 2012) / 2.3% (Adverse 2012)
  • Retail (excluding Commercial real estate): 0.6% (2010) / 0.8% (Baseline 2012) / 1.0% (Adverse 2012)
  • Commercial real estate: 3.7% (2010) / 4.0% (Baseline 2012) / 2.6% (Adverse 2012)

• Funding cost (bps):

  • 2010: 130 bps
  • 2011 (Adverse): 228 bps
  • 2012 (Adverse): 299 bps

Notes and Methodology

• The stress test was conducted using the EBA common methodology, which assumes a static balance sheet and includes regulatory transitional floors where applicable.
• All capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national supervisory definitions or public disclosures.
• The baseline scenario and adverse scenario are not forecasts but part of the stress test exercise.
• The Core Tier 1 capital ratio decreased in the adverse scenario from 6.8% (2010) to 6.0% (2012) without mitigating actions.
• With the inclusion of mitigating measures, the capital ratio increased to 6.4% (2012).
• The supervisory recognised capital ratio after all mitigating actions reached 9.1% as of 31 December 2012.
• The capital adequacy is calculated under the full static balance sheet assumption and includes the effects of capital raisings, government support, and mandatory restructuring plans.
• Other operating income includes equity method income and dividend income, with a slight increase due to 2010 investments not fully reflected in 2010 P&L.
• Other income reflects impairments on participations after the IFRS impairment test.
• Provisions for non-defaulted exposures are computed based on EBA risk parameters and hypothetical rating downgrades.
• Capital and RWA adjustments are reported net of tax effects.
• Mitigating measures include countercyclical provisions, divestments, and restructuring actions.
• Future capital raisings and backstop measures are considered in the capital ratio, but their impact is not quantified in the provided data.