EBA欧洲银行-ES070_11页_942kb

Summary of the 2011 EBA EU-wide Stress Test Results for CAJA ESPANA DE INVERSIONES, SALAMANCA Y SORIA, CAJA DE AHORROS Y MONTE DE PIEDAD

Core Tier 1 Capital Ratio

• As of 31 December 2010:

  • Core Tier 1 capital: 2,076 million EUR
  • Core Tier 1 capital ratio: 8.2%

• Baseline scenario (2011–2012):

  • Core Tier 1 capital ratio: 8.7% (2011), 8.1% (2012)

• Adverse scenario (2011–2012):

  • Core Tier 1 capital ratio: 7.2% (2011), 5.5% (2012)

• Including mitigating measures as of 30 April 2011:

  • Core Tier 1 capital ratio: 7.3%

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

  • 8.4%

Additional Capital Needed to Reach 5% Core Tier 1 Capital Benchmark

• Without mitigating actions: 1,383 million EUR (adverse scenario 2012)
• With mitigating actions: Not specified in the table, but the capital ratio reaches 7.3% (after mitigating measures), indicating the bank may not need additional capital to meet the 5% threshold.

Risk Weighted Assets (RWA)

• As of 31 December 2010: 25,251 million EUR
• Baseline scenario (2011–2012):
  • RWA: 25,258 (2011), 25,260 (2012)
• Adverse scenario (2011–2012):
  • RWA: 25,266 (2011), 25,275 (2012)

Capital Adequacy and Mitigating Measures

• Mitigating measures taken by 30 April 2011:
  • Equity raisings: 0 million EUR
  • Government support: +463 million EUR (increasing Core Tier 1 capital ratio by 1.8 percentage points)
  • Mandatory restructuring plans: 0 effect on Core Tier 1 capital
  • Use of provisions and reserves: +1.1 percentage points (from 7.2% to 8.3%)
  • Other disinvestments and restructuring measures: 0 effect
  • Supervisory recognised capital ratio: 8.4%

Profit and Loss Outcomes

• Operating profit before impairments:

  • 2010: 490 million EUR
  • 2011 (Baseline): 276 million EUR
  • 2012 (Baseline): 230 million EUR
  • 2011 (Adverse): 223 million EUR
  • 2012 (Adverse): 199 million EUR

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

  • 2010: -155 million EUR
  • 2011 (Baseline): -77 million EUR
  • 2012 (Baseline): -435 million EUR
  • 2011 (Adverse): -600 million EUR
  • 2012 (Adverse): -819 million EUR

• Operating profit after impairments:

  • 2010: 335 million EUR
  • 2011 (Baseline): 199 million EUR
  • 2012 (Baseline): -205 million EUR
  • 2011 (Adverse): -378 million EUR
  • 2012 (Adverse): -620 million EUR

• Net profit after tax:

  • 2010: 67 million EUR
  • 2011 (Baseline): 135 million EUR
  • 2012 (Baseline): -148 million EUR
  • 2011 (Adverse): -270 million EUR
  • 2012 (Adverse): -442 million EUR

Provisions and Loss Coverage

• Stock of provisions:

  • 2010: 1,722 million EUR
  • 2011 (Baseline): 1,799 million EUR
  • 2012 (Baseline): 2,234 million EUR
  • 2011 (Adverse): 2,269 million EUR
  • 2012 (Adverse): 3,036 million EUR

• Provisions for defaulted assets:

  • 2010: 1,310 million EUR
  • 2011 (Baseline): 1,368 million EUR
  • 2012 (Baseline): 1,780 million EUR
  • 2011 (Adverse): 1,835 million EUR
  • 2012 (Adverse): 2,567 million EUR

• Coverage ratio for defaulted assets:

  • Corporate (excluding Commercial real estate): 48.6% (2010), 35.5% (2011), 34.7% (2012)
  • Retail (excluding Commercial real estate): 50.2% (2010), 30.0% (2011), 26.6% (2012)
  • Commercial real estate: 17.6% (2010), 10.4% (2011), 20.9% (2012)

• Loss rates:

  • Corporate (excluding Commercial real estate): 2.2% (2010), 0.5% (2011), 2.8% (2012)
  • Retail (excluding Commercial real estate): 0.7% (2010), 0.1% (2011), 0.7% (2012)
  • Commercial real estate: 1.0% (2010), 0.1% (2011), 0.5% (2012)

Methodology and Definitions

• The stress test was conducted using the EBA common methodology with a static balance sheet assumption.

• Capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national supervisory definitions.

• The adverse scenario includes hypothetical conditions such as sovereign downgrades and economic shocks.

• Mitigating measures include:

  • Use of provisions and reserves
  • Government support
  • Mandatory restructuring plans
  • Equity raisings
  • Other measures approved by national supervisory authorities

• The supervisory recognised capital ratio is calculated after incorporating all current and future mitigating actions and may include measures not recognized by the EBA methodology.

Key Observations

• The bank's Core Tier 1 capital ratio falls below the 5% regulatory benchmark in the adverse scenario without any mitigating actions.
• Government support and provisions significantly improve the capital ratio, bringing it up to 7.3% in the adverse scenario with measures taken by 30 April 2011.
• Capital adequacy improves with the inclusion of mitigating actions, but the bank still faces challenges in maintaining profitability under adverse conditions.
• The loss coverage ratio for defaulted assets decreases under the adverse scenario, indicating increased risk exposure.