EBA欧洲银行-ES080_11页_942kb

Summary of the 2011 EBA EU-wide Stress Test Results for CAJA DE AHORROS DE VITORIA Y ALAVA

Core Tier 1 Capital Ratio

• Actual results at 31 December 2010:

  • Core Tier 1 capital ratio: 12.5%
  • Core Tier 1 capital: 772 million EUR
  • Risk weighted assets (RWA): 6,171 million EUR

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

  • Core Tier 1 capital ratio: 8.7%
  • Core Tier 1 capital: 543 million EUR

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

  • Core Tier 1 capital ratio: 8.7%
  • Core Tier 1 capital: 543 million EUR
  • Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

Mitigating Measures

• Recognised mitigating measures as of 30 April 2011:

  • Equity raisings: 0 million EUR
  • Government support: 0 percentage points
  • Mandatory restructuring plans: 0 percentage points

• Additional mitigating measures:

  • Use of provisions and reserves (including countercyclical provisions): 0.6 percentage points
  • Divestments and management actions taken by 30 April 2011: 0 percentage points
  • Other disinvestments and restructuring measures: 0 percentage points
  • Future capital raisings: 0 percentage points
  • Future government subscriptions: 0 percentage points
  • Other instruments recognised by national supervisory authorities: 0 percentage points

• Supervisory recognised capital ratio after all current and future mitigating actions as of 31 December 2012: 9.2%

Profit and Losses

• Operating profit before impairments:

  • 2010: 45 million EUR
  • 2011 (Baseline): 42 million EUR
  • 2012 (Baseline): 47 million EUR
  • 2011 (Adverse): 28 million EUR
  • 2012 (Adverse): 34 million EUR

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

  • 2010: -52 million EUR
  • 2011 (Baseline): -93 million EUR
  • 2012 (Baseline): -106 million EUR
  • 2011 (Adverse): -180 million EUR
  • 2012 (Adverse): -207 million EUR

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

  • 2010: -6 million EUR
  • 2011 (Baseline): -51 million EUR
  • 2012 (Baseline): -59 million EUR
  • 2011 (Adverse): -108 million EUR
  • 2012 (Adverse): -122 million EUR

• Net profit after tax:

  • 2010: 39 million EUR
  • 2011 (Baseline): -36 million EUR
  • 2012 (Baseline): -42 million EUR
  • 2011 (Adverse): -108 million EUR
  • 2012 (Adverse): -122 million EUR

Risk Weighted Assets and Capital Adequacy

• Risk weighted assets (RWA):

  • 2010: 6,171 million EUR
  • 2011 (Baseline): 6,185 million EUR
  • 2012 (Baseline): 6,199 million EUR
  • 2011 (Adverse): 6,206 million EUR
  • 2012 (Adverse): 6,272 million EUR

• Core Tier 1 capital:

  • 2010: 772 million EUR
  • 2011 (Baseline): 736 million EUR
  • 2012 (Baseline): 695 million EUR
  • 2011 (Adverse): 666 million EUR
  • 2012 (Adverse): 543 million EUR

Provisions and Loss Coverage

• Stock of provisions:

  • 2010: 152 million EUR
  • 2011 (Baseline): 241 million EUR
  • 2012 (Baseline): 345 million EUR
  • 2011 (Adverse): 302 million EUR
  • 2012 (Adverse): 490 million EUR

• Coverage ratio (defaulted assets):

  • Corporate (excluding commercial real estate): 39.8% (2010), 33.7% (2012 baseline), 47.5% (2012 adverse)
  • Retail (excluding commercial real estate): 34.3% (2010), 26.3% (2012 baseline), 31.8% (2012 adverse)
  • Commercial real estate: 27.8% (2010), 20.9% (2012 baseline), 26.8% (2012 adverse)

• Loss rates:

  • Corporate (excluding commercial real estate): 2.2% (2010), 3.3% (2012 baseline), 5.9% (2012 adverse)
  • Retail (excluding commercial real estate): 0.6% (2010), 0.6% (2012 baseline), 1.1% (2012 adverse)
  • Commercial real estate: 1.1% (2010), 1.1% (2012 baseline), 1.9% (2012 adverse)

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.
• All capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national supervisory definitions or public disclosures.
• The baseline and adverse scenarios are not forecasts and should not be compared directly with the bank's other published information.
• Provisions for non-defaulted exposures are calculated based on EBA benchmark risk parameters and hypothetical sovereign rating downgrades.
• Deferred tax assets are included in the capital calculation in accordance with Basel 3 framework.
• Stock of provisions includes collective and specific provisions, as well as countercyclical provisions where applicable.
• Mitigating measures are categorised into:
  • Use of provisions and reserves
  • Divestments and management actions
  • Other disinvestments and restructuring measures
  • Future capital raisings and government support
  • Other instruments approved by national supervisory authorities

Capital Composition as of 31 December 2010

• Common equity before deductions: 774 million EUR (12.5% of RWA)

• Deductions from common equity: -2 million EUR

• Common equity (after deductions): 772 million EUR (12.5% of RWA)

• Core Tier 1 capital (including government support): 772 million EUR

• Tier 1 capital: 772 million EUR

• Tier 2 capital: 81 million EUR

• Tier 3 capital: 0 million EUR

• Total capital: 853 million EUR (13.8% of RWA)

• Difference from 5% Core Tier 1 benchmark: 463 million EUR (7.5% over the benchmark)

• Hybrid instruments not subscribed by government: 0 million EUR

• Amount of holdings and participations in credit, financial and insurance institutions: -2 million EUR

• Securitisation exposures not included in RWA: 0 million EUR

• Deferred tax assets: 0 million EUR

• Minority interests: 1 million EUR

• Valuation differences eligible as original own funds: -6 million EUR

Summary of Key Findings

• The bank started the stress test with a Core Tier 1 capital ratio of 12.5% as of 31 December 2010.
• Under the adverse scenario, the Core Tier 1 capital ratio declined to 8.7% by 31 December 2012, without considering any mitigating actions.
• Mitigating measures introduced by 30 April 2011 resulted in a capital ratio of 8.7%, with 0.6 percentage points improvement from the use of provisions.
• The supervisory recognised capital ratio after all mitigating actions was 9.2%.
• Operating profit before impairments decreased significantly under the adverse scenario, indicating a substantial impact on profitability.
• Impairment losses increased in the adverse scenario, especially in the banking book, leading to negative operating profits.
• The loss coverage for defaulted assets was reduced in the adverse scenario, particularly for corporate portfolios, while retail and commercial real estate showed some improvement.
• RWA increased slightly over the period, reflecting the impact of stress scenarios and the inclusion of securitisation exposures.