EBA欧洲银行-ES075_11页_943kb

Summary of the 2011 EBA EU-wide Stress Test Results for GRUPO BBK

Core Tier 1 Capital Ratio

• As of 31 December 2010:

  • Operating profit before impairments: 562 million EUR
  • Impairment losses on financial and non-financial assets in the banking book: -241 million EUR
  • Risk weighted assets (RWA): 29,278 million EUR
  • Core Tier 1 capital: 2,982 million EUR
  • Core Tier 1 capital ratio: 10.2%

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

  • Core Tier 1 capital ratio: 8.8%

• Supervisory Recognised Capital Ratio (after all current and future mitigating actions as of 31 December 2012):

  • 11.3%

Mitigating Measures

The stress test incorporates several mitigating measures, which have varying impacts on the capital ratio:

• Use of provisions and/or other reserves (including release of countercyclical provisions):

  • Capital ratio effect: +2.3%
  • Capital impact: 682 million EUR

• Divestments and other management actions taken by 30 April 2011:

  • No impact on capital ratio

• Other disinvestments and restructuring measures (including future mandatory restructuring not yet approved):

  • No impact on capital ratio

• Future planned issuances of common equity instruments (private issuances):

  • No impact on capital ratio

• Future planned government subscriptions of capital instruments (including hybrids):

  • No impact on capital ratio

• Other instruments recognised as appropriate back-stop measures by national supervisory authorities:

  • Capital ratio effect: +0.2%
  • Capital impact: 67 million EUR

Capital Adequacy and Profitability

Capital Adequacy (under adverse scenario)

• Risk weighted assets (RWA): 29,299 million EUR
• Core Tier 1 capital: 2,570 million EUR
• Tier 1 capital: 3,246 million EUR
• Total regulatory capital: 3,153 million EUR

Profit and Loss (under adverse scenario)

• Net interest income:

  • 2011: 440 million EUR
  • 2012: 432 million EUR

• Trading income:

  • 2011: 56 million EUR
  • 2012: 56 million EUR
  • Trading losses from stress scenarios: -12 million EUR

• Operating profit before impairments:

  • 2011: 358 million EUR
  • 2012: 375 million EUR

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

  • 2011: -594 million EUR
  • 2012: -674 million EUR

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

  • 2011: -236 million EUR
  • 2012: -299 million EUR

• Net profit after tax:

  • 2011: -180 million EUR
  • 2012: -232 million EUR

Provisions and Loss Coverage

• Stock of provisions:

  • 2010: 2,223 million EUR
  • 2011: 2,817 million EUR
  • 2012: 3,491 million EUR

• Provisions for non-defaulted assets:

  • 2010: 975 million EUR
  • 2011: 2,817 million EUR
  • 2012: 3,491 million EUR

• Provisions for defaulted assets:

  • 2010: 1,248 million EUR
  • 2011: 1,836 million EUR
  • 2012: 2,502 million EUR

• Loss rates:

  • Corporate (excluding commercial real estate): 2.0% (2010), 4.6% (2012)
  • Retail (excluding commercial real estate): 0.7% (2010), 0.9% (2012)
  • Commercial real estate: 1.1% (2010), 1.0% (2012)

• Coverage ratio:

  • Corporate (excluding commercial real estate): 41.0% (2010), 44.6% (2012)
  • Retail (excluding commercial real estate): 34.6% (2010), 32.3% (2012)
  • Commercial real estate: 53.6% (2010), 26.8% (2012)

Additional Information

• Deferred tax assets:

  • 2010: 64 million EUR
  • 2011: 141 million EUR
  • 2012: 240 million EUR

• Funding cost (bps):

  • 2010: 131 bps
  • 2011: 193 bps
  • 2012: 271 bps

• Capital Composition (as of 31 December 2010):

  • Common equity (before deductions): 3,026 million EUR (10.3% of RWA)
  • Deductions from common equity: -44 million EUR
  • Common equity (after deductions): 2,982 million EUR (10.2% of RWA)
  • Core Tier 1 including government support: 2,982 million EUR (10.2% of RWA)
  • Tier 1 capital: 3,133 million EUR (10.7% of RWA)
  • Tier 2 capital: 1,329 million EUR (4.5% of RWA)
  • Total capital: 4,463 million EUR (15.2% of RWA)

Notes and Methodology

• The stress test was conducted using the EBA common methodology with a static balance sheet assumption.
• All capital elements are based on the EBA definition of Core Tier 1 capital, which may differ from national supervisory definitions.
• The adverse scenario is not a forecast and should not be compared directly to other published information.
• Regulatory transitional floors are applied where binding.
• Mitigating measures include provisions, divestments, restructuring, and capital raisings.
• The supervisory recognised capital ratio incorporates measures not necessarily recognised by the EBA methodology.
• Other operating income includes income from stockholdings not in the trading book.
• Other income includes impairment estimates of participations and intangible assets.
• All elements are reported net of tax effects.