EBA欧洲银行-SE086_10页_1004kb

Summary of the 2011 EBA EU-wide Stress Test Results for Svenska Handelsbanken AB (publ)

Core Tier 1 Capital and Risk Weighted Assets (RWA)

• Actual Results at 31 December 2010:

  • Operating profit before impairments: 1,816 million EUR
  • Impairment losses on financial and non-financial assets in the banking book: -168 million EUR
  • Risk weighted assets (RWA): 106,359 million EUR
  • Core Tier 1 capital: 8,209 million EUR
  • Core Tier 1 capital ratio: 7.7%

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

  • Core Tier 1 capital ratio: 8.6%

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

  • 2-year cumulative operating profit before impairments: 3,790 million EUR
  • 2-year cumulative impairment losses on financial and non-financial assets in the banking book: -1,309 million EUR
  • 2-year cumulative losses from the stress in the trading book: -103 million EUR
    • Of which valuation losses due to sovereign shock: -111 million EUR
  • Risk weighted assets: 105,293 million EUR
  • Core Tier 1 capital: 9,082 million EUR
  • Core Tier 1 capital ratio: 8.6%

Mitigating Measures

• Effects of Recognised Mitigating Measures (as of 30 April 2011):

  • Equity raisings fully committed between 31 December 2010 and 30 April 2011: Not specified
  • Government support publicly announced and fully committed in the same period: Not specified
  • Mandatory restructuring plans: Not specified
  • Supervisory Recognised Capital Ratio (after all mitigating actions): 8.6%

• Additional Mitigating Measures:

  • Use of provisions and/or other reserves (including countercyclical provisions): Not specified
  • Divestments and other management actions taken by 30 April 2011: Not specified
  • Other disinvestments and restructuring measures (including future mandatory restructuring not yet approved): Not specified
  • Future planned issuances of common equity instruments: Not specified
  • Future planned government subscriptions of capital instruments (including hybrids): Not specified
  • Other instruments recognised as appropriate back-stop measures by national supervisory authorities: Not specified

Profit and Loss Outcomes

• Net Interest Income:

  • 2010: 2,380 million EUR
  • 2011 (Baseline): 2,380 million EUR
  • 2012 (Baseline): 2,606 million EUR
  • 2011 (Adverse): 2,365 million EUR
  • 2012 (Adverse): 2,380 million EUR

• Trading Income:

  • 2010: 154 million EUR
  • 2011 (Baseline): 272 million EUR
  • 2012 (Baseline): 272 million EUR
  • 2011 (Adverse): 243 million EUR
  • 2012 (Adverse): 243 million EUR

• Trading losses from stress scenarios:

  • 2011 (Adverse): -51 million EUR
  • 2012 (Adverse): -51 million EUR

• Valuation losses due to sovereign shock:

  • 2011 (Adverse): -56 million EUR
  • 2012 (Adverse): -56 million EUR

• Operating profit before impairments:

  • 2010: 1,816 million EUR
  • 2011 (Baseline): 1,934 million EUR
  • 2012 (Baseline): 2,160 million EUR
  • 2011 (Adverse): 1,889 million EUR
  • 2012 (Adverse): 1,901 million EUR

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

  • 2010: -168 million EUR
  • 2011 (Baseline): -212 million EUR
  • 2012 (Baseline): -238 million EUR
  • 2011 (Adverse): -556 million EUR
  • 2012 (Adverse): -752 million EUR

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

  • 2010: 1,648 million EUR
  • 2011 (Baseline): 1,722 million EUR
  • 2012 (Baseline): 1,922 million EUR
  • 2011 (Adverse): 1,332 million EUR
  • 2012 (Adverse): 1,149 million EUR

• Other operating income:

  • 2010: 62 million EUR
  • 2011 (Baseline): 62 million EUR
  • 2012 (Baseline): 62 million EUR
  • 2011 (Adverse): 60 million EUR
  • 2012 (Adverse): 58 million EUR

• Other income (gains/losses on disposal of property, equipment and intangible assets):

  • Not specified

• Capital and Reserves:

  • Common equity before deductions: 8,339 million EUR
  • Of which: eligible capital and reserves: 7,976 million EUR
  • Of which: intangible assets (including goodwill): -776 million EUR
  • Of which: adjustment to valuation differences in other AFS assets: +45 million EUR
  • Deductions from common equity: -130 million EUR
  • Of which: participations and subordinated claims: -26 million EUR
  • Of which: securitisation exposures not included in RWA: -24 million EUR
  • Of which: IRB provision shortfall and IRB equity expected loss amounts: -108 million EUR
  • Common equity (A+B): 8,209 million EUR
  • Core Tier 1 including existing government support measures: 8,209 million EUR
  • Difference from benchmark capital threshold (CT1 5%): 2,891 million EUR
  • Hybrid instruments not subscribed by government: 1,584 million EUR
  • Tier 1 capital (E+F): 9,793 million EUR
  • Tier 2 capital: 3,247 million EUR
  • Tier 3 capital: Not specified
  • Total capital: 12,377 million EUR

Additional Information

• Deferred tax assets: 38 million EUR

• Stock of provisions: 626 million EUR

  • Of which: stock of provisions for non-defaulted assets: 46 million EUR
    • Sovereigns: 0 million EUR
    • Institutions: 0 million EUR
    • Corporate (excluding commercial real estate): 18 million EUR
    • Retail (excluding commercial real estate): 22 million EUR
    • Commercial real estate: 6 million EUR
  • Of which: stock of provisions for defaulted assets: 580 million EUR
    • Corporate (excluding commercial real estate): 344 million EUR
    • Retail (excluding commercial real estate): 140 million EUR
    • Commercial real estate: 26 million EUR

• Coverage ratio (%):

  • Corporate (excluding commercial real estate): 41.8%
  • Retail (excluding commercial real estate): 42.5%
  • Commercial real estate: 15.8%

• Loss rates (%):

  • Corporate (excluding commercial real estate): 0.1%
  • Retail (excluding commercial real estate): 0.0%
  • Commercial real estate: 0.0%

• Funding cost (bps):

  • 2010: 164
  • 2011 (Adverse): 247
  • 2012 (Adverse): 355

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 where binding.
• All capital elements and ratios are based on the EBA definition of Core Tier 1 capital for the stress test, which may differ from national supervisory definitions.
• The baseline scenario and adverse scenario should not be construed as forecasts or compared directly to other published information.
• The Core Tier 1 capital ratio is calculated based on the EBA definition, but may also include other measures not recognized by the EBA methodology, as approved by national supervisory authorities.
• Other operating income includes:
  • Risk result insurance
  • Other dividend income
  • Income in associated companies
  • Other income (rental income/other operating income)
• Other income includes gains or losses on the disposal of property, equipment, and intangible assets.
• The stock of provisions includes collective and specific provisions, as well as countercyclical provisions, where applicable.
• Provisions for non-defaulted exposures to sovereigns and financial institutions are computed based on benchmark risk parameters provided by the EBA and hypothetical rating downgrades.
• Coverage ratio = stock of provisions on defaulted assets / stock of defaulted assets expressed in EAD.
• Loss rate = total impairment flow for a year / total EAD for the specific portfolio (excluding securitisation and counterparty credit risk exposures).
• All elements are reported net of tax effects.
• The supervisory recognised capital ratio is based on additional mitigating measures and may include those not recognized by the EBA methodology but considered appropriate by national authorities.

Overview of Mitigating Measures

• Use of countercyclical provisions, divestments and other management actions:

  • Not detailed in the provided data.

• Future capital raisings and other back-stop measures:

  • Details on future planned issuances of common equity instruments and government subscriptions of capital instruments are not specified.