Summary of the 2011 EBA EU-wide Stress Test for Alpha Bank
Core Tier 1 Capital and Risk Weighted Assets (RWA)
Metric
2010
Baseline Scenario
Adverse Scenario
Risk Weighted Assets (RWA)
48,961
50,000
50,207
Core Tier 1 Capital (CT1)
5,275
4,907
3,622
Core Tier 1 Capital Ratio (%)
10.8%
9.8%
7.2%
Additional capital needed to reach 5% CT1 benchmark
2,827
-
-
Impact of Mitigating Measures
Type of Measure
Capital Impact (Million EUR)
Capital Ratio Impact (%)
Equity raisings announced and fully committed between 31 December 2010 and 30 April 2011
99
0.7%
Supervisory recognised capital ratio after all current and future mitigating actions as of 31 December 2012
-
8.2%
Profit and Loss Outcomes
Metric
2010
Baseline Scenario
Adverse Scenario
Operating profit before impairments
1,100
1,043
883
Impairment losses on financial and non-financial assets in the banking book
-884
-1,115
-2,034
Operating profit after impairments and losses from the stress
216
-72
-1,151
Net profit after tax
86
-58
-920
Loss Rates and Coverage Ratios
Portfolio
Loss Rate (%)
Coverage Ratio (%)
Corporate (excluding Commercial real estate)
1.3%
67.0%
Retail (excluding Commercial real estate)
1.5%
35.4%
Commercial real estate
1.1%
40.2%
Capital Composition as of 31 December 2010
Component
Amount (Million EUR)
% of RWA
A) Common equity before deductions
4,340
8.9%
Of which: eligible capital and reserves
4,494
9.2%
Of which: intangibles assets (including goodwill)
-154
-0.3%
B) Deductions from common equity
-5
0.0%
Of which: participations and subordinated claims
-5
0.0%
C) Common equity (A + B)
4,335
8.9%
D) Other existing government support measures
940
1.9%
E) Core Tier 1 including existing government support measures
5,275
10.8%
F) Hybrid instruments not subscribed by government
560
1.1%
Tier 1 Capital (E + F)
5,835
11.9%
Tier 2 Capital
846
1.7%
Tier 3 Capital
0
0.0%
Total Capital (Tier 1 + Tier 2 + Tier 3)
6,681
13.6%
Summary of Key Points
Core Tier 1 Capital Ratio: The adverse scenario results in a Core Tier 1 capital ratio of 7.2% without any mitigating actions, and 7.4% after incorporating mitigating measures taken before 30 April 2011.
Additional Capital Needed: To meet the 5% CT1 benchmark, 2,827 million EUR of additional capital is required in 2010.
Mitigating Measures: Several measures were taken, including equity raisings, government support, and restructuring, which improved the capital ratio to 8.2% as of 31 December 2012.
Profit Impact: Operating profit before impairments decreased from 1,100 million EUR in 2010 to 883 million EUR in the adverse scenario, with significant impairment losses.
Loss Rates: Loss rates increased across all portfolios under the adverse scenario, with the highest being 3.2% for corporate exposures.
Coverage Ratios: Coverage ratios declined, especially for retail and commercial real estate portfolios, indicating higher risk exposure.
RWA Changes: RWA increased slightly over the period, and some restructuring measures had a positive impact on the capital ratio.
Methodology: The stress test was conducted using the EBA common methodology, which includes static balance sheet assumptions and regulatory transitional floors.
Notes and Definitions
EBA Methodology: The stress test is based on the EBA common methodology, which uses static balance sheet assumptions and incorporates regulatory transitional floors where binding.
Capital Elements: Capital elements and ratios are presented in accordance with the EBA definition of Core Tier 1 capital, which may differ from national supervisory definitions.
Mitigating Measures: Mitigating measures include equity raisings, government support, and restructuring, which are recognized by national supervisory authorities and may not be fully captured in the EBA methodology.
Provisions and Reserves: Countercyclical provisions and other reserves can be used as mitigating measures, with their impact reflected in the capital ratio.
Deferrals and Tax Effects: Deferred tax assets and minority interests are included in the capital calculations, with specific rules applying under Basel 3.
