EBA欧洲银行-ES072_11页_943kb

Summary of the 2011 EBA EU-wide Stress Test Results for CAJA DE AHORROS Y M.P. DE ZARAGOZA, ARAGON Y RIOJA

Core Tier 1 Capital Ratio

• Actual results at 31 December 2010:

  • Core Tier 1 capital ratio: 9.7%
  • Core Tier 1 capital: 2,299 million EUR
  • Risk weighted assets (RWA): 23,698 million EUR

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

  • Core Tier 1 capital ratio: 6.7%
  • Core Tier 1 capital: 1,605 million EUR
  • Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

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

  • Core Tier 1 capital ratio: 6.7%
  • Core Tier 1 capital: 1,605 million EUR
  • Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

Capital Adequacy and Profit and Loss Outcomes

• Baseline scenario (2011-2012):

  • Operating profit before impairments: 142 million EUR (2012)
  • Impairment losses on financial and non-financial assets in the banking book: -1,233 million EUR (2012)
  • Operating profit after impairments and other losses: -236 million EUR (2012)
  • Net profit after tax: -136 million EUR (2012)

• Adverse scenario (2011-2012):

  • Operating profit before impairments: 109 million EUR (2012)
  • Impairment losses on financial and non-financial assets in the banking book: -694 million EUR (2012)
  • Operating profit after impairments and other losses: -586 million EUR (2012)
  • Net profit after tax: -385 million EUR (2012)

Risk Weighted Assets and Capital Composition

• RWA in the banking book (2012): 21,733 million EUR

• RWA in the trading book (2012): 0 million EUR

• RWA on securitisation positions (2012): 959 million EUR

• Total assets (after restructuring and capital raisings as of 30 April 2011): 42,716 million EUR

• Capital composition as of 31 December 2010:

  • Common equity: 2,299 million EUR
  • Tier 1 capital: 2,449 million EUR
  • Tier 2 capital: 938 million EUR
  • Total capital: 3,387 million EUR
  • Core Tier 1 capital ratio: 9.7%
  • Difference from the 5% benchmark: 1,114 million EUR or 4.7%

Mitigating Measures

• Recognised mitigating measures as of 30 April 2011:

  • Use of provisions and/or other reserves:
    • Capital ratio impact: +0.7%
    • RWA impact: 0 million EUR
  • Divestments and other management actions taken by 30 April 2011:
    • RWA impact: 0 million EUR
    • Capital ratio impact: 0%
  • Other disinvestments and restructuring measures:
    • RWA impact: 0 million EUR
    • Capital ratio impact: 0%
  • Future planned issuances of common equity instruments:
    • Capital ratio impact: 0%
  • Future planned government subscriptions of capital instruments:
    • Capital ratio impact: 0%
  • Other instruments recognised as back-stop measures:
    • RWA impact: 0 million EUR
    • Capital ratio impact: 0%

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

  • 7.3%

Key Notes and Definitions

• The stress test was conducted using the EBA common methodology, which assumes a static balance sheet and incorporates regulatory transitional floors where binding.
• Capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national supervisory authorities' definitions.
• Baseline and adverse scenarios are not forecasts and should not be compared to other published information.
• RWA for credit risk was calculated with an additional floor for both IRB and STA portfolios.
• Other operating income includes income from stockholdings not included in the trading book.
• Other income includes participations and intangible assets (goodwill) impairment estimates.
• Coverage ratio = stock of provisions on defaulted assets / stock of defaulted assets expressed in EAD.
• Loss rate = total impairment flow / total EAD for the specific portfolio (excluding securitisation and counterparty credit risk).
• All elements are reported net of tax effects.
• Mitigating measures may include actions not recognised by EBA methodology but considered appropriate by national authorities.
• Details of all mitigating measures are provided in the worksheet "3 - Mitigating measures".