EBA欧洲银行-PL052_11页_600kb

PKO Bank Polski 2011 EBA EU-wide Stress Test Summary

Core Tier 1 Capital Ratio and Capital Adequacy

Actual Results at 31 December 2010

• Operating profit before impairments: 1,496 million EUR
• Impairment losses on financial and non-financial assets in the banking book: -440 million EUR
• Risk weighted assets (RWA): 35,540 million EUR
• Core Tier 1 capital: 4,202 million EUR
• Core Tier 1 capital ratio: 11.8%
• Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

Outcomes of Adverse Scenario at 31 December 2012 (Excluding Mitigating Actions)

• Core Tier 1 capital ratio: 12.2%

Outcomes of Adverse Scenario at 31 December 2012 (Including Recognised Mitigating Measures)

• 2-year cumulative operating profit before impairments: 2,800 million EUR
• 2-year cumulative impairment losses on financial and non-financial assets in the banking book: -2,114 million EUR
• 2-year cumulative losses from the stress in the trading book: -9 million EUR
  • Valuation losses due to sovereign shock: -4 million EUR
• Risk weighted assets: 35,673 million EUR
• Core Tier 1 capital: 4,340 million EUR
• Core Tier 1 capital ratio: 12.2%
• Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

Capital Adequacy Under Different Scenarios

A. Full Static Balance Sheet Assumption (No Mitigating Actions)

• Capital adequacy for 2010: 11.8%
• Baseline scenario (2011-2012):
  • Core Tier 1 capital ratio: 12.3% (2011), 12.8% (2012)
• Adverse scenario (2011-2012):
  • Core Tier 1 capital ratio: 12.1% (2011), 12.2% (2012)

B. Recognising Capital Issuance and Mandatory Restructuring Plans (Before 31 December 2010)

• Core Tier 1 capital ratio (2011-2012):
  • Baseline scenario: 12.3% (2011), 12.8% (2012)
  • Adverse scenario: 12.1% (2011), 12.2% (2012)

C. Recognising Capital Issuance and Mandatory Restructuring Plans (Before 30 April 2011)

• Core Tier 1 capital ratio (2011-2012):
  • Baseline scenario: 12.3% (2011), 12.8% (2012)
  • Adverse scenario: 12.1% (2011), 12.2% (2012)

Profit and Loss Outcomes

Baseline Scenario (2011-2012)

• Net interest income:
  • 2011: 1,700 million EUR
  • 2012: 1,712 million EUR
• Trading income:
  • 2011: 21 million EUR
  • 2012: 21 million EUR
• Trading losses from stress scenarios:
  • 2011: 1 million EUR
  • 2012: 1 million EUR
• Valuation losses due to sovereign shock:
  • 2011: -2 million EUR
  • 2012: -2 million EUR
• Other operating income:
  • 2010: +103 million EUR
  • 2011: -252 million EUR
  • 2012: -254 million EUR
• Operating profit before impairments:
  • 2011: 1,469 million EUR
  • 2012: 1,479 million EUR
• Impairments on financial and non-financial assets in the banking book:
  • 2011: -531 million EUR
  • 2012: -578 million EUR
• Operating profit after impairments and other losses from the stress:
  • 2011: 937 million EUR
  • 2012: 900 million EUR
• Net profit after tax:
  • 2011: 749 million EUR
  • 2012: 719 million EUR
  • Of which carried over to capital (retained earnings):
    • 2011: 189 million EUR
    • 2012: 182 million EUR
  • Of which distributed as dividends:
    • 2011: 559 million EUR
    • 2012: 538 million EUR

Adverse Scenario (2011-2012)

• Operating profit after impairments and other losses from the stress:
  • 2011: 615 million EUR
  • 2012: 71 million EUR
• Net profit after tax:
  • 2011: 491 million EUR
  • 2012: 56 million EUR
  • Of which carried over to capital (retained earnings):
    • 2011: 124 million EUR
    • 2012: 14 million EUR
  • Of which distributed as dividends:
    • 2011: 367 million EUR
    • 2012: 41 million EUR

Provisions and Loss Coverage

• Stock of provisions:
  • 2010: 1,222 million EUR
  • 2011: 1,753 million EUR
  • 2012: 2,332 million EUR
• Stock of provisions for defaulted assets:
  • 2010: 1,097 million EUR
  • 2011: 1,624 million EUR
  • 2012: 2,194 million EUR
• Loss rates:
  • Corporate (excluding Commercial real estate):
    • 2010: 1.1%
    • 2011: 0.7%
    • 2012: 0.6%
  • Retail (excluding Commercial real estate):
    • 2010: 1.4%
    • 2011: 1.8%
    • 2012: 2.0%
  • Commercial real estate:
    • 2010: 0.0%
    • 2011: 0.7%
    • 2012: 0.7%
• Coverage ratio:
  • Corporate (excluding Commercial real estate):
    • 2010: 29.4%
    • 2011: 28.4%
    • 2012: 27.1%
  • Retail (excluding Commercial real estate):
    • 2010: 52.2%
    • 2011: 51.0%
    • 2012: 51.2%
  • Commercial real estate:
    • 2010: 11.7%
    • 2011: 12.5%
    • 2012: 12.7%

Capital Composition as of 31 December 2010

• Common equity before deductions: 4,232 million EUR (11.9% of RWA)
• Of which: eligible capital and reserves: 4,460 million EUR (12.5% of RWA)
• Of which: intangibles assets (including goodwill): -453 million EUR (-1.3% of RWA)
• Deductions from common equity: -30 million EUR (-0.1% of RWA)
• Common equity (after deductions): 4,202 million EUR (11.8% of RWA)
• Core Tier 1 including existing government support measures: 4,202 million EUR (11.8% of RWA)
• Difference from benchmark capital threshold (CT1 5%): 2,425 million EUR (6.8%)
• Tier 1 capital: 4,202 million EUR (11.8% of RWA)
• Tier 2 capital: 381 million EUR (1.1% of RWA)
• Tier 3 capital: 37 million EUR (0.1% of RWA)
• Total capital: 4,619 million EUR (13.0% of RWA)

Mitigating Measures

A. Use of provisions and/or other reserves (including release of countercyclical provisions)

• Capital / P&L impact: Not specified
• RWA impact: Not specified
• Capital ratio impact (as of 31 December 2012): Not specified

B. Divestments and other management actions taken by 30 April 2011

• Capital / P&L impact: Not specified
• RWA impact: Not specified
• Capital ratio impact (as of 31 December 2012): Not specified

C. Other disinvestments and restructuring measures (including future mandatory restructuring)

• Capital / P&L impact: Not specified
• RWA impact: Not specified
• Capital ratio impact (as of 31 December 2012): Not specified

D. Future planned issuances of common equity instruments (private issuances)

• Capital / P&L impact: Not specified
• RWA impact: Not specified
• Capital ratio impact (as of 31 December 2012): Not specified

E. Future planned government subscriptions of capital instruments (including hybrids)

• Capital / P&L impact: Not specified
• RWA impact: Not specified
• Capital ratio impact (as of 31 December 2012): Not specified

F. Other (existing and future) instruments as back-stop measures

• RWA impact: Not specified
• Capital ratio impact: Not specified

Supervisory Recognised Capital Ratio (Including All Mitigating Measures)

• Baseline scenario: 12.3% (2011), 12.8% (2012)
• Adverse scenario: 12.1% (2011), 12.2% (2012)

Notes and Methodology

• The stress test was conducted using the EBA common methodology, which includes static balance sheet assumptions and 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 supervisory definitions.
• The results are not forecasts and should not be compared directly with other published information.
• The capital ratio after all mitigating actions is based on the EBA definition, but may include measures not recognised by EBA, as determined by national supervisory authorities.
• Detailed information on mitigating measures is provided in the worksheet "3 - Mitigating measures".