EBA欧洲银行-ES079_11页_843kb

报告摘要

Operating profit before impairments: 441 million EUR
Impairment losses on financial and non-financial assets in the banking book: -80 million EUR
Risk weighted assets (RWA): 9,517 million EUR
Core Tier 1 capital: 2,117 million EUR
Core Tier 1 capital ratio: 22.2%

Core Tier 1 capital ratio (excluding mitigating actions): 23.5%
Core Tier 1 capital (including mitigating actions): 2,235 million EUR
Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not explicitly stated but implied to be less than the 2010 level due to the increase in capital.

Supervisory recognised capital ratio after all mitigating actions: 27.8%
Capital ratio impact from mitigating measures:
- Use of provisions: +0.9%
- Divestments and management actions: +1.4%
- Other disinvestments and restructuring measures: +0.0%
- Future equity issuances: +0.0%
- Future government subscriptions: +0.0%
- Other back-stop measures: +2.1%

2-year cumulative operating profit before impairments:
- Baseline scenario: 767 million EUR
- Adverse scenario: 767 million EUR
2-year cumulative impairment losses:
- Baseline scenario: -519 million EUR
- Adverse scenario: -519 million EUR
2-year cumulative losses from trading book stress:
- Baseline scenario: -11 million EUR
- Adverse scenario: -11 million EUR
Valuation losses due to sovereign shock: 0 million EUR (in adverse scenario)

Carried over to capital (retained earnings):
- 2010: 350 million EUR
- 2011 (Baseline): 167 million EUR
- 2012 (Baseline): 147 million EUR
- 2011 (Adverse): 78 million EUR
- 2012 (Adverse): 11 million EUR
Distributed as dividends:
- 2010: 45 million EUR
- 2011 (Baseline): 16 million EUR
- 2012 (Baseline): 14 million EUR
- 2011 (Adverse): 8 million EUR
- 2012 (Adverse): 1 million EUR

Stock of provisions (banking book):
- 2010: 265 million EUR
- 2011 (Baseline): 406 million EUR
- 2012 (Baseline): 560 million EUR
- 2011 (Adverse): 435 million EUR
- 2012 (Adverse): 693 million EUR
Provisions for non-defaulted assets:
- 2010: 116 million EUR
- 2011 (Baseline): 117 million EUR
- 2012 (Baseline): 119 million EUR
- 2011 (Adverse): 118 million EUR
- 2012 (Adverse): 120 million EUR
Provisions for sovereigns: 1 million EUR (2011 adverse)
Provisions for institutions: 1 million EUR (2011 adverse)
Provisions for corporate (excluding commercial real estate): 33 million EUR (2010)
Provisions for retail (excluding commercial real estate): 71 million EUR (2010)
Provisions for commercial real estate: 12 million EUR (2010)

Corporate (excluding commercial real estate):
- 2010: 44.5%
- 2011 (Baseline): 35.9%
- 2012 (Baseline): 33.4%
- 2011 (Adverse): 38.0%
- 2012 (Adverse): 39.9%
Retail (excluding commercial real estate):
- 2010: 44.1%
- 2011 (Baseline): 32.5%
- 2012 (Baseline): 32.2%
- 2011 (Adverse): 34.8%
- 2012 (Adverse): 36.1%
Commercial real estate:
- 2010: 51.8%
- 2011 (Baseline): 41.7%
- 2012 (Baseline): 42.0%
- 2011 (Adverse): 43.6%
- 2012 (Adverse): 43.1%

Corporate (excluding commercial real estate):
- 2010: 1.7%
- 2011 (Baseline): 1.5%
- 2012 (Baseline): 1.6%
- 2011 (Adverse): 1.9%
- 2012 (Adverse): 3.3%
Retail (excluding commercial real estate):
- 2010: 1.1%
- 2011 (Baseline): 1.6%
- 2012 (Baseline): 1.8%
- 2011 (Adverse): 1.9%
- 2012 (Adverse): 2.7%
Commercial real estate:
- 2010: 0.6%
- 2011 (Baseline): 2.3%
- 2012 (Baseline): 2.9%
- 2011 (Adverse): 2.7%
- 2012 (Adverse): 3.9%

Deferred Tax Assets: 56 million EUR
Funding cost: 164 bps (2010), 251 bps (2011 adverse), 330 bps (2012 adverse)

Use of provisions and reserves: 81 million EUR (capital impact), 0 million EUR (RWA impact), +0.9% (capital ratio impact)
Divestments and management actions (by 30 April 2011): 136 million EUR (capital impact), 0 million EUR (RWA impact), +1.4% (capital ratio impact)
Other disinvestments and restructuring measures: 0 million EUR (RWA impact), 0 million EUR (capital ratio impact)
Future equity issuances and government subscriptions: 0 million EUR (capital impact), 0% (capital ratio impact)
Other back-stop measures: 0 million EUR (RWA impact), +2.1% (capital ratio impact)

The stress test used the EBA common methodology, including a static balance sheet assumption and regulatory transitional floors where binding.
Core Tier 1 capital is defined according to EBA standards and may differ from national definitions.
Baseline and adverse scenarios are not forecasts and should not be compared to other published information.
RWA for credit risk were calculated using EBA risk parameters and hypothetical sovereign rating downgrades.
Provisions for non-defaulted assets are based on EBA benchmark PDs and LGDs.
Capital ratio impact includes adjustments from provisions, divestments, and other measures.
Mitigating measures are recognized by national supervisory authorities and may include items not considered under EBA methodology.
Deferred tax assets are included in the capital ratio computation.
Minority interests are excluded from Core Tier 1 but included in total own funds.
Valuation differences are eligible as original own funds.

Common equity before deductions: 3,179 million EUR (33.4% of RWA)
Eligible capital and reserves: 3,361 million EUR (35.3% of RWA)
Deductions from common equity: -1,062 million EUR (-11.2% of RWA)
Intangible assets (including goodwill): -152 million EUR (-1.6% of RWA)
Core Tier 1 capital: 2,117 million EUR (22.2% of RWA)
Tier 1 capital: 2,117 million EUR (22.2% of RWA)
Tier 2 and Tier 3 capital: Not provided
Total capital: 2,117 million EUR (22.2% of RWA)
Amount of holdings and participations: 0 million EUR
Securitisation exposures: 0 million EUR
Deferred tax assets: 56 million EUR (0.6% of RWA)
Minority interests: 894 million EUR (9.4% of RWA)
Valuation differences eligible as original own funds: -303 million EUR (-3.2% of RWA)

The bank's Core Tier 1 capital ratio increased from 22.2% (2010) to 23.5% (2012 adverse), showing resilience under stress conditions.
The supervisory recognised capital ratio reached 27.8% after all mitigating measures were applied.
The capital ratio impact from mitigating actions was +2.1%.
The RWA remained relatively stable at 9,517 million EUR in the static balance sheet assumption.
Operating profit decreased in adverse scenarios, with 2012 adverse showing a 381 million EUR operating profit before impairments and 81 million EUR net profit after tax.
Impairment losses increased significantly in adverse scenarios, reaching -300 million EUR by 2012.
Provisions for defaulted assets increased, especially in adverse scenarios, with 693 million EUR by 2012.
The loss rate for commercial real estate rose to 3.9% in the adverse scenario.