EBA欧洲银行-CY007_11页_1mb

Summary of the 2011 EBA EU-wide Stress Test Results for Bank of Cyprus Public Company LTD

Core Tier 1 Capital and Risk Weighted Assets (RWA)

• Actual results as of 31 December 2010:

  • Operating profit before impairments: 733 million EUR
  • Impairment losses on financial and non-financial assets in the banking book: -406 million EUR
  • Risk weighted assets (RWA): 26,277 million EUR
  • Core Tier 1 capital: 2,134 million EUR
  • Core Tier 1 capital ratio: 8.1%

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

  • Core Tier 1 capital ratio: 6.2%

• Additional capital needed to reach a 5% Core Tier 1 capital benchmark:

  • Not explicitly stated in the table, but the capital ratio is below the 5% threshold.

Capital Adequacy with Mitigating Measures

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

  • Core Tier 1 capital: 1,618 million EUR
  • Core Tier 1 capital ratio: 6.2%

• Supervisory recognised capital ratio after all current and future mitigating actions:

  • 9.5%

Profit and Loss Outcomes

• Net interest income:

  • 2010: 1,039 million EUR
  • 2011 (Baseline): 978 million EUR
  • 2012 (Baseline): 902 million EUR
  • 2011 (Adverse): 1,041 million EUR
  • 2012 (Adverse): 811 million EUR

• Trading income:

  • 2010: 78 million EUR
  • 2011 (Baseline): -3 million EUR
  • 2012 (Baseline): -3 million EUR
  • 2011 (Adverse): -10 million EUR
  • 2012 (Adverse): -10 million EUR

• Operating profit before impairments:

  • 2010: 733 million EUR
  • 2011 (Baseline): 544 million EUR
  • 2012 (Baseline): 464 million EUR
  • 2011 (Adverse): 603 million EUR
  • 2012 (Adverse): 372 million EUR

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

  • 2010: -406 million EUR
  • 2011 (Baseline): -499 million EUR
  • 2012 (Baseline): -435 million EUR
  • 2011 (Adverse): -756 million EUR
  • 2012 (Adverse): -983 million EUR

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

  • 2010: 327 million EUR
  • 2011 (Baseline): 45 million EUR
  • 2012 (Baseline): 29 million EUR
  • 2011 (Adverse): -153 million EUR
  • 2012 (Adverse): -611 million EUR

• Net profit after tax:

  • 2010: 287 million EUR
  • 2011 (Baseline): 19 million EUR
  • 2012 (Baseline): 5 million EUR
  • 2011 (Adverse): -149 million EUR
  • 2012 (Adverse): -539 million EUR

Provisions and Loss Coverage

• Stock of provisions:

  • 2010: 1,209 million EUR
  • 2011 (Baseline): 1,708 million EUR
  • 2012 (Baseline): 2,143 million EUR
  • 2011 (Adverse): 1,951 million EUR
  • 2012 (Adverse): 2,919 million EUR

• Provisions for non-defaulted assets:

  • 2010: 287 million EUR
  • 2011 (Baseline): 394 million EUR
  • 2012 (Baseline): 447 million EUR
  • 2011 (Adverse): 540 million EUR
  • 2012 (Adverse): 787 million EUR

• Provisions for sovereigns:

  • 2011 (Baseline): 53 million EUR
  • 2012 (Baseline): 102 million EUR
  • 2011 (Adverse): 125 million EUR
  • 2012 (Adverse): 249 million EUR

• Provisions for financial institutions:

  • 2011 (Baseline): 4 million EUR
  • 2012 (Baseline): 8 million EUR
  • 2011 (Adverse): 50 million EUR
  • 2012 (Adverse): 99 million EUR

• Provisions for corporate (excluding commercial real estate):

  • 2011 (Baseline): 180 million EUR
  • 2012 (Baseline): 180 million EUR
  • 2011 (Adverse): 196 million EUR
  • 2012 (Adverse): 230 million EUR

• Provisions for retail (excluding commercial real estate):

  • 2011 (Baseline): 156 million EUR
  • 2012 (Baseline): 156 million EUR
  • 2011 (Adverse): 169 million EUR
  • 2012 (Adverse): 208 million EUR

• Provisions for commercial real estate:

  • 2011 (Baseline): 49 million EUR
  • 2012 (Baseline): 68 million EUR
  • 2011 (Adverse): 83 million EUR
  • 2012 (Adverse): 230 million EUR

• Coverage ratio (%):

  • Corporate (excluding commercial real estate): 39.0% (2010), 35.3% (2011 baseline), 33.5% (2012 baseline), 34.8% (2011 adverse), 33.3% (2012 adverse)
  • Retail (excluding commercial real estate): 31.7% (2010), 29.9% (2011 baseline), 29.3% (2012 baseline), 30.8% (2011 adverse), 30.3% (2012 adverse)
  • Commercial real estate: 0.0% (2010), 7.3% (2011 baseline), 7.4% (2012 baseline), 11.6% (2011 adverse), 21.0% (2012 adverse)

• Loss rates (%):

  • Corporate (excluding commercial real estate): 1.4% (2010), 1.5% (2011 baseline), 1.4% (2012 baseline), 1.9% (2011 adverse), 2.6% (2012 adverse)
  • Retail (excluding commercial real estate): 1.5% (2010), 1.6% (2011 baseline), 1.5% (2012 baseline), 2.0% (2011 adverse), 2.5% (2012 adverse)
  • Commercial real estate: 0.0% (2010), 0.9% (2011 baseline), 0.4% (2012 baseline), 1.6% (2011 adverse), 2.8% (2012 adverse)

Capital Composition as of 31 December 2010

• Common equity before deductions: 2,251 million EUR (8.6% of RWA)
• Eligible capital and reserves: 2,901 million EUR (11.0% of RWA)
• Intangibles assets (including goodwill): -385 million EUR (-1.5% of RWA)
• Adjustment to valuation differences in other AFS assets: -43 million EUR (-0.2% of RWA)
• Common equity (after deductions): 2,134 million EUR (8.1% of RWA)
• Hybrid instruments not subscribed by government: 752 million EUR (2.9% of RWA)
• Tier 1 capital: 2,886 million EUR (11.0% of RWA)
• Tier 2 capital: 243 million EUR (0.9% of RWA)
• Tier 3 capital: 0 million EUR (0.0% of RWA)
• Total capital: 3,129 million EUR (11.9% of RWA)

Additional Information

• Deferred tax assets: -17 million EUR (-0.1% of RWA)
• Minority interests (excluding hybrid instruments): 78 million EUR (0.3% of RWA)
• Valuation differences eligible as original own funds: -339 million EUR (-1.3% of RWA)

Mitigating Measures

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

  • Capital ratio impact: 3.4 percentage points
  • Supervisory recognised capital ratio after all mitigating actions: 9.5%

• No additional mitigating measures (A, B, C, D, E, F):

  • All effects are net of tax.

Notes

• The stress test was conducted using the EBA common methodology, including a static balance sheet assumption and regulatory transitional floors where applicable.
• Capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national supervisory definitions.
• The results should not be interpreted as forecasts or directly compared to other published information.
• The capital ratio after all mitigating actions is based on the EBA definition but may include measures not recognized by the EBA, as considered appropriate by national supervisory authorities.