EBA欧洲银行-SE087_11页_596kb

Summary of the 2011 EBA EU-wide Stress Test Results for Swedbank AB (publ)

Core Tier 1 Capital Ratio

• As of 31 December 2010 (before any mitigating actions):

  • Core Tier 1 Capital: 7,352 million EUR
  • Core Tier 1 Capital Ratio: 8.7%
  • Additional capital needed to reach 5% benchmark: 3,135 million EUR (3.7% difference)

• Baseline Scenario (2011–2012):

  • Core Tier 1 Capital Ratio: 9.2% (2011), 9.8% (2012)

• Adverse Scenario (2011–2012, excluding mitigating actions):

  • Core Tier 1 Capital Ratio: 9.1% (2011), 9.4% (2012)

• Adverse Scenario (2011–2012, including mitigating actions up to 30 April 2011):

  • Core Tier 1 Capital Ratio: 9.4% (2012)

Capital Adequacy and Risk Weighted Assets (RWA)

• RWA (Full static balance sheet assumption):

  • 2010: 84,347 million EUR
  • 2011: 84,573 million EUR
  • 2012: 84,207 million EUR (Baseline), 83,966 million EUR (Adverse)

• Core Tier 1 Capital (Full static balance sheet assumption):

  • 2010: 7,352 million EUR
  • 2011: 7,792 million EUR
  • 2012: 8,284 million EUR (Baseline), 7,905 million EUR (Adverse)

Operating Profit and Impairment Losses

• Operating Profit Before Impairments:

  • 2010: 1,427 million EUR
  • 2011 (Baseline): 1,445 million EUR
  • 2012 (Baseline): 1,549 million EUR
  • 2011 (Adverse): 1,305 million EUR
  • 2012 (Adverse): 1,336 million EUR

• Impairment Losses on Financial and Non-Financial Assets (Banking Book):

  • 2010: -372 million EUR
  • 2011 (Baseline): -274 million EUR
  • 2012 (Baseline): -235 million EUR
  • 2011 (Adverse): -479 million EUR
  • 2012 (Adverse): -688 million EUR

• Operating Profit After Impairments:

  • 2010: 1,054 million EUR
  • 2011 (Baseline): 1,171 million EUR
  • 2012 (Baseline): 1,314 million EUR
  • 2011 (Adverse): 826 million EUR
  • 2012 (Adverse): 647 million EUR

• Net Profit After Tax:

  • 2010: 779 million EUR
  • 2011 (Baseline): 878 million EUR
  • 2012 (Baseline): 985 million EUR
  • 2011 (Adverse): 619 million EUR
  • 2012 (Adverse): 486 million EUR

Provisions and Loss Coverage

• Stock of Provisions:

  • 2010: 2,447 million EUR
  • 2011 (Baseline): 2,721 million EUR
  • 2012 (Baseline): 2,956 million EUR
  • 2011 (Adverse): 2,926 million EUR
  • 2012 (Adverse): 3,614 million EUR

• Provisions for Defaulted Assets:

  • 2010: 1,993 million EUR
  • 2011 (Baseline): 2,267 million EUR
  • 2012 (Baseline): 2,502 million EUR
  • 2011 (Adverse): 2,472 million EUR
  • 2012 (Adverse): 3,160 million EUR

• Coverage Ratios:

  • Corporate (excluding Commercial Real Estate): 56.9% (2010), 52.2% (2011), 49.1% (2012)
  • Retail (excluding Commercial Real Estate): 47.8% (2010), 42.5% (2011), 39.4% (2012)
  • Commercial Real Estate: 50.6% (2010), 49.7% (2011), 49.1% (2012)

• Loss Rates:

  • Corporate: 0.4% (2010), 0.3% (2011), 0.3% (2012)
  • Retail: 0.1% (2010), 0.1% (2011), 0.1% (2012)
  • Commercial Real Estate: 0.4% (2010), 0.4% (2011), 0.3% (2012)

Mitigating Measures

• Mitigating actions up to 30 April 2011:

  • Equity raisings: Fully committed, contributing to capital ratio.
  • Government support: Publicly announced and fully committed, contributing to capital ratio.
  • Mandatory restructuring plans: Publicly announced and fully committed, contributing to capital ratio.

• Supervisory Recognised Capital Ratio (after all mitigating actions):

  • 9.4% (as of 31 December 2012)

• Additional Mitigating Measures:

  • Use of provisions and reserves: Not specified in the data.
  • Divestments and management actions: Not specified in the data.
  • Other disinvestments and restructuring measures: Not specified in the data.
  • Future planned equity issuances: Not specified in the data.
  • Future government subscriptions: Not specified in the data.
  • Other back-stop measures: Not specified in the data.

Notes and Definitions

• The stress test was conducted using the EBA common methodology with static balance sheet assumptions.
• Capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national supervisory definitions.
• The results should not be interpreted as forecasts or compared directly with other published information.
• Regulatory transitional floors were applied where binding.
• Deferred tax assets are included in the capital adequacy calculations.
• Provisions include both collective and specific provisions, and countercyclical provisions.
• Loss rates are calculated based on total impairment flow divided by total EAD.
• Mitigating measures are categorized and reported in separate sections, including both existing and future actions.

Capital Composition as of 31 December 2010

• Common Equity (before deductions): 7,416 million EUR (8.8% of RWA)
• Eligible Capital and Reserves: 9,198 million EUR (10.9% of RWA)
• Intangible Assets (including goodwill): -1,782 million EUR (-2.1% of RWA)
• Common Equity (after deductions): 7,352 million EUR (8.7% of RWA)
• Hybrid Instruments Not Subscribed by Government: 1,837 million EUR (2.2% of RWA)
• Tier 1 Capital (E+F): 9,189 million EUR (10.9% of RWA)
• Tier 2 Capital: 2,253 million EUR (2.7% of RWA)
• Total Capital: 11,441 million EUR (13.2% of RWA)

Key Findings

• The Core Tier 1 capital ratio improved from 8.7% in 2010 to 9.4% in 2012 after incorporating mitigating actions.
• Impairment losses increased under the adverse scenario, particularly in 2012, with losses from sovereign shocks contributing significantly.
• Profitability was affected by the stress scenarios, with operating profits decreasing in adverse conditions.
• The coverage ratios for different asset types declined in the adverse scenario, indicating higher risk exposure.
• The EBA methodology is the primary basis for the stress test, but national supervisory authorities may include additional measures not recognized by the EBA.