EBA欧洲银行-ES063_11页_943kb

Summary of the 2011 EBA EU-wide Stress Test Results: EFFIBANK

Core Tier 1 Capital and Risk Weighted Assets (RWA)

Actual Results at 31 December 2010

• Operating profit before impairments: 660 million EUR
• Impairment losses on financial and non-financial assets in the banking book: -403 million EUR
• Risk weighted assets (RWA): 32,097 million EUR
• Core Tier 1 capital: 2,656 million EUR
• Core Tier 1 capital ratio: 8.3%
• Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

Outcomes of the Adverse Scenario at 31 December 2012 (Excluding Mitigating Actions)

• Core Tier 1 capital ratio: 5.2%

Outcomes of the Adverse Scenario at 31 December 2012 (Including Recognised Mitigating Measures)

• 2-year cumulative operating profit before impairments: 671 million EUR
• 2-year cumulative impairment losses on financial and non-financial assets in the banking book: -2,050 million EUR
• 2-year cumulative losses from the stress in the trading book: -1 million EUR
• Valuation losses due to sovereign shock: 0 million EUR
• Risk weighted assets: 32,711 million EUR
• Core Tier 1 capital: 2,215 million EUR
• Core Tier 1 capital ratio: 6.8%
• Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

Effects of Recognised Mitigating Measures

Equity Raisings and Government Support

• 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: +1.6 percentage points
• Effect of mandatory restructuring plans on Core Tier 1 capital ratio: 0 percentage points

Core Tier 1 Capital After Mitigating Measures

• Core Tier 1 capital after government support, capital raisings, and restructuring: 2,215 million EUR
• Core Tier 1 capital ratio: 6.8%

Profit and Loss (P&L) Outcomes

Baseline Scenario

• 2011 Operating profit before impairments: 380 million EUR
• 2012 Operating profit before impairments: 483 million EUR
• 2011 Impairment losses on financial and non-financial assets in the banking book: -496 million EUR
• 2012 Impairment losses on financial and non-financial assets in the banking book: -509 million EUR
• 2011 Operating profit after impairments and other losses: -116 million EUR
• 2012 Operating profit after impairments and other losses: -26 million EUR
• 2011 Net profit after tax: -85 million EUR
• 2012 Net profit after tax: -22 million EUR

Adverse Scenario

• 2011 Operating profit before impairments: 344 million EUR
• 2012 Operating profit before impairments: 327 million EUR
• 2011 Impairment losses on financial and non-financial assets in the banking book: -955 million EUR
• 2012 Impairment losses on financial and non-financial assets in the banking book: -1,095 million EUR
• 2011 Operating profit after impairments and other losses: -611 million EUR
• 2012 Operating profit after impairments and other losses: -768 million EUR
• 2011 Net profit after tax: -432 million EUR
• 2012 Net profit after tax: -544 million EUR

Provisions and Loss Coverage

Stock of Provisions

• Total stock of provisions: 1,164 million EUR
• Stock of provisions for non-defaulted assets: 732 million EUR
  • Sovereigns: 2 million EUR
  • Institutions: 10 million EUR
• Stock of provisions for defaulted assets: 432 million EUR
  • Corporate (excluding commercial real estate): 250 million EUR
  • Retail (excluding commercial real estate): 131 million EUR
  • Commercial real estate: 50 million EUR

Coverage Ratios

• Corporate (excluding commercial real estate): 29.0% (2010), 32.3% (2012)
• Retail (excluding commercial real estate): 29.7% (2010), 27.8% (2012)
• Commercial real estate: 21.3% (2010), 26.8% (2012)

Loss Rates

• Corporate (excluding commercial real estate): 1.9% (2010), 4.1% (2012)
• Retail (excluding commercial real estate): 0.6% (2010), 1.4% (2012)
• Commercial real estate: 1.0% (2010), 2.8% (2012)

Additional Mitigating Measures

Effects on Capital and RWA

• Use of provisions and/or other reserves: +1.6 percentage points (capital ratio)
• Divestments and other management actions taken by 30 April 2011: 0 million EUR (RWA), 0 percentage points (capital ratio)
• Other disinvestments and restructuring measures: 0 million EUR (RWA), 0 percentage points (capital ratio)
• Supervisory recognised capital ratio: 8.3%

Capital Composition as of 31 December 2010

• Common equity (before deductions): 2,703 million EUR
• Eligible capital and reserves: 2,822 million EUR
• Intangible assets (including goodwill): -119 million EUR
• Deductions from common equity: -47 million EUR
• Common equity (after deductions): 2,656 million EUR
• Core Tier 1 including existing government support measures: 2,656 million EUR
• Difference from benchmark capital threshold (CT1 5%): 1,051 million EUR
• Hybrid instruments not subscribed by government: 178 million EUR
• Tier 1 capital: 2,834 million EUR
• Tier 2 capital: 789 million EUR
• Tier 3 capital: 0 million EUR
• Total capital: 3,623 million EUR

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 definitions.
• The results should not be interpreted as forecasts or compared to other published information.
• Regulatory transitional floors are applied where binding.
• The capital ratio is based on the EBA definition, but may include other measures considered appropriate by national supervisory authorities.
• Provisions for non-defaulted exposures are computed based on EBA benchmark risk parameters.
• Deferred tax assets and minority interests are included in the capital calculation according to Basel 3 rules.