EBA欧洲银行-IT041_11页_1mb

Summary of the 2011 EBA EU-wide Stress Test Results for UniCredit

Core Tier 1 Capital Ratio

Actual Results at 31 December 2010

• Operating profit before impairments: 10,864 million EUR
• Impairment losses on financial and non-financial assets in the banking book: -7,084 million EUR
• Risk weighted assets (RWA): 454,850 million EUR
• Core Tier 1 capital: 35,702 million EUR
• Core Tier 1 capital ratio: 7.8%

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

• Core Tier 1 capital ratio: 6.6%

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

• Core Tier 1 capital: 35,345 million EUR
• Core Tier 1 capital ratio: 6.7%

Additional Capital Needed to Reach 5% Core Tier 1 Capital Benchmark

• Without mitigating actions: 12,959 million EUR (2.8% above 5%)
• With mitigating actions: Not explicitly stated in the table, but the capital ratio improved to 6.7% after incorporating measures.

Capital Adequacy Under Different Scenarios

Full Static Balance Sheet Assumption (No Mitigating Actions)

• Risk weighted assets:
  • 2010: 454,850 million EUR
  • 2011: 491,975 million EUR
  • 2012: 497,596 million EUR
• Core Tier 1 capital:
  • 2010: 35,702 million EUR
  • 2011: 37,602 million EUR
  • 2012: 39,225 million EUR
• Core Tier 1 capital ratio:
  • 2010: 7.8%
  • 2011: 7.6%
  • 2012: 7.9%

Baseline Scenario (Including Capital Issuance and Mandatory Restructuring)

• Risk weighted assets:
  • 2010: 454,850 million EUR
  • 2011: 491,975 million EUR
  • 2012: 497,596 million EUR
• Core Tier 1 capital:
  • 2010: 35,702 million EUR
  • 2011: 37,602 million EUR
  • 2012: 39,225 million EUR
• Core Tier 1 capital ratio:
  • 2010: 7.8%
  • 2011: 7.8%
  • 2012: 8.0%

Adverse Scenario (Including Capital Issuance and Mandatory Restructuring)

• Risk weighted assets:
  • 2011: 514,409 million EUR
  • 2012: 529,847 million EUR
• Core Tier 1 capital:
  • 2011: 35,918 million EUR
  • 2012: 34,708 million EUR
• Core Tier 1 capital ratio:
  • 2011: 7.0%
  • 2012: 6.6%

Profit and Loss Outcomes

Baseline Scenario

• Operating profit before impairments:
  • 2011: 10,538 million EUR
  • 2012: 10,648 million EUR
• Impairments on financial and non-financial assets in the banking book:
  • 2011: -6,519 million EUR
  • 2012: -6,472 million EUR
• Operating profit after impairments and other losses from the stress:
  • 2011: 4,019 million EUR
  • 2012: 4,176 million EUR
• Net profit after tax:
  • 2011: 2,698 million EUR
  • 2012: 2,278 million EUR
  • Retained earnings: 1,515 million EUR in 2012
  • Dividends distributed: 762 million EUR in 2012

Adverse Scenario

• Operating profit before impairments:
  • 2011: 9,803 million EUR
  • 2012: 9,464 million EUR
• Impairments on financial and non-financial assets in the banking book:
  • 2011: -9,117 million EUR
  • 2012: -10,078 million EUR
• Operating profit after impairments and other losses from the stress:
  • 2011: 686 million EUR
  • 2012: -614 million EUR

Provisions and Losses

• Stock of provisions:
  • 2010: 32,494 million EUR
  • 2011: 38,833 million EUR
  • 2012: 50,034 million EUR
• Provisions for non-defaulted assets:
  • 2010: 2,779 million EUR
  • 2011: 2,973 million EUR
  • 2012: 4,326 million EUR
• Provisions for defaulted assets:
  • 2010: 29,715 million EUR
  • 2011: 35,860 million EUR
  • 2012: 45,708 million EUR
• Loss rates:
  • Corporate (excluding Commercial real estate): 1.0% in 2010, 0.9% in 2011, 1.2% in 2012
  • Retail (excluding Commercial real estate): 1.4% in 2010, 1.2% in 2011, 1.8% in 2012
  • Commercial real estate: 1.4% in 2010, 1.1% in 2011, 1.5% in 2012
• Coverage ratio:
  • Corporate (excluding Commercial real estate): 41.7% in 2010, 41.2% in 2011, 41.4% in 2012
  • Retail (excluding Commercial real estate): 47.6% in 2010, 47.6% in 2011, 48.6% in 2012
  • Commercial real estate: 47.4% in 2010, 46.3% in 2011, 45.8% in 2012

Additional Mitigating Measures

• Equity raisings announced and fully committed (31 December 2010 to 30 April 2011): 637 million EUR
• Supervisory recognised capital ratio after all mitigating actions:
  • Baseline scenario: 8.4%
  • Adverse scenario: 7.2%
• Effects from mitigating measures:
  • Use of provisions: 0.6 percentage points
  • Divestments and other management actions: 0 percentage points
  • Other disinvestments and restructuring measures: 0 percentage points
  • Future planned issuances of common equity instruments: 0 percentage points
  • Future planned government subscriptions: 0 percentage points
  • Other instruments as back-stop measures: 0.6 percentage points

Notes and Definitions

• The stress test was conducted using the EBA common methodology, which includes a static balance sheet assumption and incorporates regulatory transitional floors.
• 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 results are not forecasts and should not be directly compared to the bank's other published information.
• Risk weighted assets (RWA) and Core Tier 1 capital are adjusted for mandatory restructuring plans and capital raisings.
• Deferred tax assets are included as per the Basel 3 framework.
• Stock of provisions includes collective and specific provisions as well as countercyclical provisions where applicable.
• Loss rates are calculated as total impairment flow / total EAD (excluding securitisation and counterparty credit risk).
• Coverage ratio is defined as stock of provisions on defaulted assets / stock of defaulted assets in EAD.
• Other operating income includes dividends and other income from equity investments, financial and operating leases.
• Other income includes provisions for risk&charges and Purchase Price Allocation effect from mergers and acquisitions.

Capital Composition at 31 December 2010

• Common equity before deductions: 39,026 million EUR (8.6% of RWA)
• Deductions from common equity:
  • Participations and subordinated claims: -1,083 million EUR
  • Securitisation exposures: -302 million EUR
  • IRB provision shortfall and IRB equity expected loss amounts: -1,082 million EUR
• Common equity (after deductions): 35,702 million EUR (7.8% of RWA)
• Core Tier 1 capital including government support: 35,702 million EUR (7.8% of RWA)
• Tier 1 capital: 43,037 million EUR (9.5% of RWA)
• Tier 2 capital: 15,689 million EUR (3.4% of RWA)
• Tier 3 capital: 0 million EUR (0.0% of RWA)
• Total capital: 58,726 million EUR (12.7% of RWA)

Summary of Mitigating Measures

• A) Use of provisions: Not detailed in the table, but included in the capital ratio calculation.
• B) Divestments and management actions: Not detailed in the table, but had no impact on capital ratio.
• C) Other disinvestments and restructuring measures: Not detailed in the table, but had no impact on capital ratio.
• D) Future planned common equity instruments: No impact on capital ratio.
• E) Future government subscriptions: No impact on capital ratio.
• F) Other back-stop measures: Had a 0.6 percentage point impact on capital ratio.

Conclusion

The 2011 EBA EU-wide stress test for UniCredit indicates that the bank's Core Tier 1 capital ratio dropped from 7.8% in 2010 to 6.6% in the adverse scenario in 2012 without any mitigating actions. However, with the inclusion of recognised mitigating measures (such as equity raisings and restructuring plans), the capital ratio improved to 6.7% in 2012. The supervisory recognised capital ratio further increased to 7.2% when additional measures were considered. The bank faced significant impairment losses in the adverse scenario, especially in the banking book, which affected its operating profit and net profit after tax. The coverage ratio and loss rates for different asset types (corporate, retail, commercial real estate) also declined in the adverse scenario, indicating higher risk exposure. The EBA methodology and national supervisory measures played a key role in adjusting the capital and risk metrics during the stress test.