EBA欧洲银行-DK011_11页_667kb

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

Core Tier 1 Capital and Capital Adequacy Ratios

Nykredit's capital adequacy and Core Tier 1 (CT1) capital ratio results under the 2011 EBA EU-wide stress test are as follows:

• Capital Adequacy Ratios (as of 31 December 2010):

  • CT1 Capital: 6,633 million EUR
  • CT1 Capital Ratio: 8.8%

• Baseline Scenario (2011-2012):

  • CT1 Capital: Increases from 6,633 million EUR to 7,050 million EUR
  • CT1 Capital Ratio: Rises from 8.8% to 9.4%

• Adverse Scenario (2011-2012):

  • CT1 Capital Ratio: Remains at 9.4% after incorporating mitigating measures

Capital Adequacy Under Adverse Scenario

• Risk Weighted Assets (RWA): 75,351 million EUR
• CT1 Capital: 7,050 million EUR
• CT1 Capital Ratio: 9.4%

Additional Capital Needed to Reach 5% CT1 Benchmark

• Without any mitigating actions: Additional capital needed is not explicitly stated in the provided data.
• With mitigating measures: The additional capital needed is also not quantified in the data, suggesting that the CT1 capital ratio was already above the 5% benchmark.

Profit and Loss Results

• Operating Profit Before Impairments:

  • 2010: 733 million EUR
  • 2011 (Baseline): 859 million EUR
  • 2012 (Baseline): 859 million EUR
  • 2011 (Adverse): 576 million EUR
  • 2012 (Adverse): 595 million EUR

• Impairment Losses on Financial and Non-Financial Assets in the Banking Book:

  • 2010: -350 million EUR
  • 2011 (Baseline): -185 million EUR
  • 2012 (Baseline): -159 million EUR
  • 2011 (Adverse): -348 million EUR
  • 2012 (Adverse): -402 million EUR

• Operating Profit After Impairments and Other Losses from the Stress:

  • 2010: 383 million EUR
  • 2011 (Baseline): 674 million EUR
  • 2012 (Baseline): 700 million EUR
  • 2011 (Adverse): 229 million EUR
  • 2012 (Adverse): 194 million EUR

• Net Profit After Tax:

  • 2010: 309 million EUR
  • 2011 (Baseline): 529 million EUR
  • 2012 (Baseline): 549 million EUR
  • 2011 (Adverse): 192 million EUR
  • 2012 (Adverse): 165 million EUR

• Dividends Distributed:

  • 2010: 40 million EUR
  • 2011 (Baseline): 27 million EUR
  • 2012 (Baseline): 0 million EUR
  • 2011 (Adverse): 0 million EUR
  • 2012 (Adverse): 0 million EUR

Provisions and Loss Coverage

• Stock of Provisions (for defaulted assets):

  • 2010: 1,125 million EUR
  • 2011 (Baseline): 1,469 million EUR
  • 2012 (Baseline): 1,807 million EUR
  • 2011 (Adverse): 1,621 million EUR
  • 2012 (Adverse): 1,807 million EUR

• Loss Coverage Ratios:

  • Corporate (excluding Commercial Real Estate): 44.5% to 45.2%
  • Retail (excluding Commercial Real Estate): 13.5% to 11.4%
  • Commercial Real Estate: 9.5% to 13.4%

• Loss Rates:

  • Corporate (excluding Commercial Real Estate): 1.5% to 0.8%
  • Retail (excluding Commercial Real Estate): 0.1% to 0.2%
  • Commercial Real Estate: 0.1% to 0.2%

Funding Cost

• Funding Cost (in bps):
  • 2010: 284 bps
  • 2011 (Baseline): 327 bps
  • 2012 (Baseline): 375 bps

Mitigating Measures

• Recognised Mitigating Measures (as of 30 April 2011):

  • Equity Raisings Announced and Fully Committed: 0 million EUR
  • Government Support: 0 percentage points
  • Mandatory Restructuring Plans: 0 percentage points
  • Total Capital Ratio After Mitigating Measures: 9.4%

• Additional Mitigating Measures:

  • Use of Provisions and Reserves: 0 percentage points
  • Divestments and Management Actions: 0 percentage points
  • Other Disinvestments and Restructuring Measures: 0 percentage points
  • Future Capital Issuances and Government Subscriptions: 0 percentage points
  • Supervisory Recognised Capital Ratio: 9.4%

Notes and Methodology

• The stress test was conducted using the EBA common methodology with static balance sheet assumptions.
• All capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national supervisory definitions.
• The results are not forecasts and should not be directly 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 authorities.
• The effects of mitigating measures are reported in the worksheet "3 - Mitigating Measures".
• The "Other operating income" and "Other income" include franchise income, rental income, gains on property sales, and other related income and expenses.
• The "Stock of provisions" includes collective and specific provisions, as well as countercyclical provisions where applicable.
• The "Coverage ratio" is calculated as the stock of provisions on defaulted assets divided by the EAD of those assets.
• The "Loss rate" is calculated as total impairment flow for a year divided by total EAD for the specific portfolio.
• All elements are reported net of tax effects.
• The "Deferred tax assets" are as defined in the Basel 3 framework.
• The "Minority interests" are excluded from CT1 capital.
• The "Valuation differences" represent the impact on original own funds due to fair value measurement.