EBA欧洲银行-PT053_11页_1mb

报告摘要

2011 EBA EU-wide Stress Test Summary: Caixa Geral de Depositos, SA

Core Tier 1 Capital and Risk Weighted Assets

Actual Results at 31 December 2010

Operating profit before impairments: 881 million EUR
Impairment losses on financial and non-financial assets in the banking book: -599 million EUR
Risk weighted assets (RWA): 76,989 million EUR
Core Tier 1 capital: 6,510 million EUR
Core Tier 1 capital ratio: 8.5%
Additional capital needed to reach a 5% Core Tier 1 capital benchmark: 2,661 million EUR (3.5% difference)

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

Core Tier 1 capital ratio: 6.2%

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

2-year cumulative operating profit before impairments: 837 million EUR
2-year cumulative impairment losses on financial and non-financial assets in the banking book: -2,392 million EUR
2-year cumulative losses from the stress in the trading book: 155 million EUR
- Valuation losses due to sovereign shock: 113 million EUR
Risk weighted assets: 80,160 million EUR
Core Tier 1 capital: 4,993 million EUR
Core Tier 1 capital ratio: 6.2%
Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

Additional Mitigating Measures

Effects from Recognised Mitigating Measures as of 30 April 2011

Equity raisings announced and fully committed between 31 December 2010 and 30 April 2011: 0 million EUR
Government support publicly announced and fully committed in the same period: 0 percentage points
Mandatory restructuring plans publicly announced and fully committed in the same period: 0 percentage points
Supervisory recognised capital ratio after all current and future mitigating actions: 6.5%

Profit and Loss Outcomes

Baseline Scenario (2011–2012)

Net interest income: 1,320 million EUR
Trading income: 6 million EUR
- Trading losses from stress scenarios: -29 million EUR
- Valuation losses due to sovereign shock: -44 million EUR
Other operating income: 438 million EUR
Operating profit before impairments: 881 million EUR (2010), 473 million EUR (2011), 459 million EUR (2012)
Impairments on financial and non-financial assets in the banking book: -599 million EUR (2010), -273 million EUR (2011), -346 million EUR (2012)
Operating profit after impairments and other losses from the stress: 282 million EUR (2010), 200 million EUR (2011), 113 million EUR (2012)
Other income: 145 million EUR (2010), 133 million EUR (2011), 128 million EUR (2012)
Net profit after tax: 367 million EUR (2010), 246 million EUR (2011), 178 million EUR (2012)
- Carried over to capital (retained earnings): 367 million EUR (2010), 145 million EUR (2011), 105 million EUR (2012)
- Distributed as dividends: 0 million EUR (2010), 101 million EUR (2011), 73 million EUR (2012)

Adverse Scenario (2011–2012)

Operating profit after impairments and other losses from the stress: -456 million EUR (2011), -1,098 million EUR (2012)
Net profit after tax: -376 million EUR (2011), -1,038 million EUR (2012)

Provisions and Losses

Stock of Provisions

Total stock of provisions: 2,904 million EUR
- Provisions for non-defaulted assets: 1,659 million EUR
  - Sovereigns: 1 million EUR
  - Institutions: 63 million EUR
  - Corporate (excluding Commercial real estate): 853 million EUR
  - Private Equity (excluding Commercial real estate): 679 million EUR
  - Commercial real estate: 64 million EUR
- Provisions for defaulted assets: 1,244 million EUR
  - Corporate (excluding Commercial real estate): 546 million EUR
  - Retail (excluding Commercial real estate): 611 million EUR
  - Commercial real estate: 10 million EUR

Coverage Ratios and Loss Rates

Coverage ratio for Corporate (excluding Commercial real estate): 41.3% (2010), 30.8% (2011), 28.1% (2012)
Coverage ratio for Retail (excluding Commercial real estate): 24.3% (2010), 20.9% (2011), 19.9% (2012)
Coverage ratio for Commercial real estate: 15.4% (2010), 12.1% (2011), 11.4% (2012)
Loss rate for Corporate (excluding Commercial real estate): 0.1% (2010), 0.2% (2011), 0.3% (2012)
Loss rate for Retail (excluding Commercial real estate): 0.3% (2010), 0.3% (2011), 0.4% (2012)
Loss rate for Commercial real estate: 0.5% (2010), 0.6% (2011), 0.5% (2012)
Funding cost (bps): 148 (2010), 231 (2011), 299 (2012)

Capital Adequacy

Capital Composition at 31 December 2010

Common equity before deductions (original own funds without hybrid instruments and government support measures other than ordinary shares): 6,824 million EUR (8.9% of RWA)
Eligible capital and reserves: 6,342 million EUR (8.2% of RWA)
Intangibles assets (including goodwill): -206 million EUR (-0.3% of RWA)
Adjustment to valuation differences in other AFS assets: -54 million EUR (-0.1% of RWA)
Common equity (A + B): 6,510 million EUR (8.5% of RWA)
Hybrid instruments not subscribed by government: 555 million EUR (0.7% of RWA)
Tier 1 capital (E + F): 7,065 million EUR (9.2% of RWA)
Tier 2 capital: 2,642 million EUR (3.4% of RWA)
Total capital (Tier 1 + Tier 2): 9,708 million EUR (12.6% of RWA)

Additional Items

Amount of holdings, participations and subordinated claims in credit, financial and insurance institutions: 510 million EUR (0.7% of RWA)
Amount of securitisation exposures not included in RWA: 0 million EUR
Deferred tax assets: 772 million EUR (1.0% of RWA)
Minority interests (excluding hybrid instruments): 718 million EUR (0.9% of RWA)
Valuation differences eligible as original own funds: -90 million EUR (-0.1% of RWA)

Mitigating Measures

Recognised Mitigating Measures as of 30 April 2011

Use of provisions and/or other reserves (including release of countercyclical provisions): 0 percentage points
Divestments and other management actions taken by 30 April 2011: 0 percentage points
Other disinvestments and restructuring measures (including future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules): 0.3 percentage points
Future planned issuances of common equity instruments (private issuances): 0 percentage points
Future planned government subscriptions of capital instruments (including hybrids): 0 percentage points
Other instruments recognised as appropriate back-stop measures by national supervisory authorities: 0 percentage points
Supervisory recognised capital ratio after all current and future mitigating actions: 6.5%

Additional Mitigating Measures

Use of provisions and/or other reserves (including release of countercyclical provisions): 0 percentage points
Divestments and other management actions taken by 30 April 2011: 0 percentage points
Other disinvestments and restructuring measures (including future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules):
- Sale of non-core assets: -40 million EUR (CT1 impact), -600 million EUR (RWA impact), 0.01% (CT1 ratio impact)
- Exchange Offer Tier I: 89 million EUR (CT1 impact), 0 million EUR (RWA impact), 0.12% (CT1 ratio impact)
- BuyBack Lower Tier II Debt: 60 million EUR (CT1 impact), 0 million EUR (RWA impact), 0.08% (CT1 ratio impact)
- BPN (state guarantee for all exposures): 0 million EUR (CT1 impact), -929 million EUR (RWA impact), 0.10% (CT1 ratio impact)

Notes and Definitions

The stress test was conducted using the EBA common methodology, including static balance sheet assumptions 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 definitions or public disclosures.
The results should not be interpreted as forecasts or directly compared to other published information.
The EBA methodology assumes no workout flows from defaulted assets and that all maturing exposures are rolled over.
"Other operating income" is mainly net dividend income, while "Other income" includes income from insurance companies and other subsidiaries.
The release of countercyclical provisions is reported in Section D as part of mitigating measures for 2011–2012.
Deferred tax assets are based on the Basel 3 framework.
The supervisory recognised capital ratio may include measures not recognised by the EBA methodology.
All elements are reported net of tax effects.

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