EBA欧洲银行-ES067_11页_944kb

报告摘要

Summary of the 2011 EBA EU-wide Stress Test Results for CAIXA DE AFORROS DE GALICIA, VIGO, OURENSE E PONTEVEDRA

Core Tier 1 Capital and Capital Adequacy

Actual Results at 31 December 2010

Operating profit before impairments: 521 million EUR
Impairment losses on financial and non-financial assets in the banking book: -492 million EUR
Risk weighted assets (RWA): 54,735 million EUR
Core Tier 1 capital: 2,849 million EUR
Core Tier 1 capital ratio: 5.2%
Additional capital needed to reach a 5% Core Tier 1 capital benchmark: 112 million EUR

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

Core Tier 1 capital ratio: 0.6%

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

2-year cumulative operating profit before impairments: 239 million EUR
2-year cumulative impairment losses on financial and non-financial assets in the banking book: -3,843 million EUR
2-year cumulative losses from the stress in the trading book: 4 million EUR
Valuation losses due to sovereign shock: -2 million EUR
Risk weighted assets: 54,958 million EUR
Core Tier 1 capital: 2,936 million EUR
Core Tier 1 capital ratio: 5.3%
Additional capital needed to reach a 5% Core Tier 1 capital benchmark: 0 million EUR

Effects of Recognised Mitigating Measures

Equity raisings announced and fully committed between 31 December 2010 and 30 April 2011: 0 million EUR
Effect of government support on Core Tier 1 capital ratio: +4.8 percentage points
Effect of mandatory restructuring plans on Core Tier 1 capital ratio: 0 percentage points
Core Tier 1 capital after all mitigating actions: 2,936 million EUR
Supervisory recognised capital ratio: 6.5%

Profit and Loss Outcomes

Baseline Scenario

Net interest income: 937 million EUR
Trading income: 20 million EUR
Trading losses from stress scenarios: 1 million EUR
Valuation losses due to sovereign shock: 4 million EUR
Other operating income: 255 million EUR
Operating profit before impairments: 521 million EUR
Impairment losses on financial and non-financial assets in the banking book: -492 million EUR
Operating profit after impairments and other losses from the stress: 29 million EUR
Other income: 103 million EUR
Net profit after tax: 133 million EUR
Retained earnings (carried over to capital): 101 million EUR
Dividends distributed: 32 million EUR

Adverse Scenario

Net interest income: 656 million EUR
Trading income: 6 million EUR
Trading losses from stress scenarios: 2 million EUR
Valuation losses due to sovereign shock: -1 million EUR
Other operating income: 58 million EUR
Operating profit before impairments: 80 million EUR
Impairment losses on financial and non-financial assets in the banking book: -1,978 million EUR
Operating profit after impairments and other losses from the stress: -1,898 million EUR
Other income: -63 million EUR
Net profit after tax: -1,372 million EUR
Retained earnings (carried over to capital): -1,372 million EUR
Dividends distributed: 0 million EUR

Provisions and Loss Coverage

Stock of provisions: 2,304 million EUR
- Provisions for non-defaulted assets: 887 million EUR
  - Sovereigns: 2 million EUR
  - Institutions: 5 million EUR
  - Corporate (excluding commercial real estate): 614 million EUR
  - Retail (excluding commercial real estate): 187 million EUR
- Provisions for defaulted assets: 1,417 million EUR
  - Corporate (excluding commercial real estate): 1,051 million EUR
  - Retail (excluding commercial real estate): 230 million EUR
  - Commercial real estate: 136 million EUR
Loss rates:
- Corporate (excluding commercial real estate): 2.1% (2010), 5.4% (2012)
- Retail (excluding commercial real estate): 1.0% (2010), 1.0% (2012)
- Commercial real estate: 1.0% (2010), 3.0% (2012)
Coverage ratio:
- Corporate (excluding commercial real estate): 37.9% (2010), 45.8% (2012)
- Retail (excluding commercial real estate): 28.2% (2010), 34.7% (2012)
- Commercial real estate: 35.5% (2010), 26.8% (2012)

Additional Mitigating Measures

Use of provisions and/or other reserves (including release of countercyclical provisions): 621 million EUR, 1.1% capital ratio impact
Divestments and other management actions taken by 30 April 2011: 0 million EUR
Other disinvestments and restructuring measures: 0 million EUR
Future planned issuances of common equity instruments (private issuances): 0 million EUR
Future planned government subscriptions of capital instruments (including hybrids): 0 million EUR
Other instruments recognised as appropriate back-stop measures: 0 million EUR
Risk weighted assets after other mitigating measures: 54,761 million EUR (Baseline), 54,958 million EUR (Adverse)
Capital after other mitigating measures: 5,702 million EUR (Baseline), 3,557 million EUR (Adverse)
Supervisory recognised capital ratio: 9.4% (Baseline), 6.5% (Adverse)

Notes and Definitions

The stress test was conducted using the EBA common methodology, which assumes a static balance sheet and incorporates regulatory transitional floors.
All capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national supervisory definitions.
The baseline and adverse scenarios are not forecasts and should not be compared to the bank’s other published information.
RWA for credit risk were calculated with an additional floor applied for December 2010 in both IRB and STA portfolios.
Other operating income includes income from stockholdings not included in the trading book.
Other income includes participations and intangible assets (goodwill) impairment estimates.
Countercyclical provisions are included in the capital ratio impact in the stress test results.
Deferred tax assets are included as defined in the Basel 3 framework.
Minority interests are excluded from Core Tier 1 capital but included in total capital.
Valuation differences are eligible as original own funds and included in the capital ratio impact.

Capital Composition

Common equity before deductions: 1,729 million EUR (3.2% of RWA)
Eligible capital and reserves: 1,830 million EUR (3.3% of RWA)
Intangible assets (including goodwill): -101 million EUR (-0.2% of RWA)
Adjustment to valuation differences in other AFS assets: +69 million EUR (0.1% of RWA)
Deductions from common equity: -43 million EUR (-0.1% of RWA)
Common equity (A+B): 1,687 million EUR (3.1% of RWA)
Other existing government support measures: +1,162 million EUR (2.1% of RWA)
Core Tier 1 capital (C+D): 2,849 million EUR (5.2% of RWA)
Hybrid instruments not subscribed by government: +1,239 million EUR (2.3% of RWA)
Tier 1 capital (E+F): 4,088 million EUR (7.5% of RWA)
Tier 2 capital: 1,708 million EUR (3.1% of RWA)
Tier 3 capital: 0 million EUR (0.0% of RWA)
Total capital: 5,796 million EUR (10.6% of RWA)

Summary of Key Findings

The bank's Core Tier 1 capital ratio fell to 0.6% under the adverse scenario without any mitigating actions, indicating a significant capital shortfall.
With the inclusion of government support and restructuring measures, the Core Tier 1 capital ratio improved to 5.3% by 2012.
The supervisory recognised capital ratio after all mitigating actions reached 6.5%, suggesting the bank is in a better position to withstand stress.
Impairment losses increased significantly under the adverse scenario, especially in the banking book.
Valuation losses due to sovereign shock were reported in the adverse scenario, affecting the capital ratio.
The use of countercyclical provisions contributed positively to the capital ratio, with an impact of 1.1 percentage points.
Other mitigating measures had no impact on RWA or capital ratio, indicating a lack of additional support or restructuring.
The loss coverage for defaulted assets was below the required levels, with the lowest coverage in the commercial real estate portfolio.