EBA欧洲银行-ES076_11页_942kb

Summary of the 2011 EBA EU-wide Stress Test Results for CAIXA D'ESTALVIS UNIO DE CAIXES DE MANLLEU, SABADELL I TERRASSA

Core Tier 1 Capital and Risk Weighted Assets (RWA)

• Actual results at 31 December 2010:

  • Operating profit before impairments: 46 million EUR
  • Impairment losses on financial and non-financial assets: 14 million EUR
  • RWA: 16,868 million EUR
  • Core Tier 1 capital: 1,065 million EUR
  • Core Tier 1 capital ratio: 6.3%
  • Additional capital needed to reach 5% CT1 benchmark: 222 million EUR

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

  • Core Tier 1 capital ratio: 1.2%

• Outcomes of the adverse scenario at 31 December 2012 (including mitigating measures as of 30 April 2011):

  • 2-year cumulative operating profit before impairments: -62 million EUR
  • 2-year cumulative impairment losses: -1,167 million EUR
  • 2-year cumulative losses from trading book stress: -7 million EUR
  • RWA: 17,232 million EUR
  • Core Tier 1 capital: 777 million EUR
  • Core Tier 1 capital ratio: 4.5%
  • Additional capital needed to reach 5% CT1 benchmark: 85 million EUR

• Supervisory recognised capital ratio after all current and future mitigating actions as of 31 December 2012: 6.2%

Mitigating Measures

• Capital ratio impact from mitigating measures:
  • Use of provisions and/or other reserves (including release of countercyclical provisions): 1.7 percentage points
  • Divestments and other management actions taken by 30 April 2011: 0 percentage points
  • Other disinvestments and restructuring measures: 0 percentage points
  • Future planned issuances of common equity instruments: 0 percentage points
  • Future planned government subscriptions of capital instruments: 0 percentage points
  • Other instruments recognised as appropriate back-stop measures: 0 percentage points

Profit and Loss (P&L) Outcomes

• Net interest income:

  • 2010: 272 million EUR
  • 2011: 212 million EUR (Baseline) / 207 million EUR (Adverse)
  • 2012: 221 million EUR (Baseline) / 200 million EUR (Adverse)

• Trading income:

  • 2010: 11 million EUR
  • 2011: -2 million EUR (Baseline) / -3 million EUR (Adverse)
  • 2012: -2 million EUR (Baseline) / -3 million EUR (Adverse)

• Operating profit before impairments:

  • 2010: 46 million EUR
  • 2011: -56 million EUR (Baseline) / -63 million EUR (Adverse)
  • 2012: 24 million EUR (Baseline) / 1 million EUR (Adverse)

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

  • 2010: 14 million EUR
  • 2011: -182 million EUR (Baseline) / -581 million EUR (Adverse)
  • 2012: -244 million EUR (Baseline) / -585 million EUR (Adverse)

• Operating profit after impairments and other losses:

  • 2010: 60 million EUR
  • 2011: -237 million EUR (Baseline) / -644 million EUR (Adverse)
  • 2012: -220 million EUR (Baseline) / -584 million EUR (Adverse)

• Net profit after tax:

  • 2010: 62 million EUR
  • 2011: -169 million EUR (Baseline) / -454 million EUR (Adverse)
  • 2012: -157 million EUR (Baseline) / -414 million EUR (Adverse)

• Deferred tax assets:

  • 2010: 433 million EUR
  • 2011: 506 million EUR
  • 2012: 573 million EUR (Baseline) / 628 million EUR (Adverse) / 806 million EUR

• Stock of provisions:

  • 2010: 845 million EUR
  • 2011: 1,026 million EUR
  • 2012: 1,270 million EUR (Baseline) / 1,655 million EUR (Adverse)

• Coverage ratio:

  • Corporate (excluding Commercial real estate): 34.7% (2010) / 31.8% (Baseline) / 29.7% (2012) / 40.8% (Adverse)
  • Retail (excluding Commercial real estate): 26.8% (2010) / 21.0% (Baseline) / 21.6% (2012) / 26.8% (Adverse)
  • Commercial real estate: 20.3% (2010) / 14.4% (Baseline) / 20.9% (2012) / 18.3% (Adverse)

• Loss rates:

  • Corporate (excluding Commercial real estate): 2.0% (2010) / 2.2% (Baseline) / 2.9% (2012) / 4.4% (Adverse)
  • Retail (excluding Commercial real estate): 0.6% (2010) / 0.4% (Baseline) / 0.6% (2012) / 0.9% (Adverse)
  • Commercial real estate: 1.1% (2010) / 0.6% (Baseline) / 0.8% (2012) / 1.3% (Adverse)

Notes and Methodology

• The stress test was conducted using the EBA common methodology, which assumes a static balance sheet and incorporates regulatory transitional floors where applicable.
• All capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national definitions or public disclosures.
• The baseline and adverse scenarios are not forecasts but part of the stress test exercise.
• RWA for credit risk was calculated under the EBA methodology with an additional floor applied for December 2010.
• Other operating income includes income from stockholdings not in the trading book.
• Other income includes participations and intangible assets (goodwill) impairment estimates.
• Countercyclical provisions are included in the capital ratio impact in Section D for 2011-2012.
• Deferred tax assets are based on the Basel 3 framework.
• Stock of provisions includes collective and specific provisions, as well as countercyclical provisions.
• Provisions for non-defaulted exposures to sovereigns and financial institutions are based on EBA benchmark risk parameters.
• Tier 1 capital includes both common equity and existing government support measures.
• Tier 2 capital is based on additional own funds.
• Tier 3 capital is specific to market risk.
• Total capital includes all own funds for solvency purposes.
• Mitigating measures are detailed in the worksheet "3 - Mitigating measures", and their impact on capital and RWA is included in the supervisory recognised capital ratio.