EBA欧洲银行-NL050_11页_959kb

Summary of the 2011 EBA EU-wide Stress Test Results for SNS Bank N.V.

Core Tier 1 Capital and Risk Weighted Assets (RWA)

Actual Results at 31 December 2010

• Operating profit before impairments: 409 million EUR
• Impairment losses on financial and non-financial assets in the banking book: -873 million EUR
• Risk weighted assets (RWA): 21,302 million EUR
• Core Tier 1 capital: 1,782 million EUR
• Core Tier 1 capital ratio: 8.4%
• Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

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

• Core Tier 1 capital ratio: 7.0%

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

• 2-year cumulative operating profit before impairments: 594 million EUR
• 2-year cumulative impairment losses: -1,031 million EUR
• 2-year cumulative losses from the stress in the trading book: -12 million EUR
• Risk weighted assets: 20,416 million EUR
• Core Tier 1 capital: 1,426 million EUR
• Core Tier 1 capital ratio: 7.0%

Capital Adequacy under Different Scenarios

A. Full Static Balance Sheet Assumption (No Mitigating Actions)

• Core Tier 1 capital ratio (2010): 8.4%
• Core Tier 1 capital ratio (2011 baseline): 8.4%
• Core Tier 1 capital ratio (2012 baseline): 8.8%
• Core Tier 1 capital ratio (2011 adverse): 7.3%
• Core Tier 1 capital ratio (2012 adverse): 5.9%

B. Recognising Capital Issuance and Mandatory Restructuring (Before 31 December 2010)

• Core Tier 1 capital ratio (2011 baseline): 9.3%
• Core Tier 1 capital ratio (2012 baseline): 10.6%
• Core Tier 1 capital ratio (2011 adverse): 7.7%
• Core Tier 1 capital ratio (2012 adverse): 7.0%

C. Recognising Mitigating Measures (Up to 30 April 2011)

• Core Tier 1 capital ratio (2011 baseline): 9.3%
• Core Tier 1 capital ratio (2012 baseline): 10.6%
• Core Tier 1 capital ratio (2011 adverse): 7.7%
• Core Tier 1 capital ratio (2012 adverse): 7.0%

Profit and Loss (P&L) Outcomes

Baseline Scenario

• Net interest income: 871 million EUR (2010), 808 million EUR (2011), 806 million EUR (2012)
• Trading income: 0 million EUR (2010), 29 million EUR (2011), 29 million EUR (2012)
• Trading losses from stress scenarios: -2 million EUR (2011), -2 million EUR (2012)
• Other operating income: 22 million EUR (2010), -51 million EUR (2011), -11 million EUR (2012)
• Operating profit before impairments: 409 million EUR (2010), 344 million EUR (2011), 400 million EUR (2012)
• Impairments on financial and non-financial assets in the banking book: -873 million EUR (2010), -384 million EUR (2011), -220 million EUR (2012)
• Operating profit after impairments and other losses: -464 million EUR (2010), -41 million EUR (2011), 180 million EUR (2012)
• Net profit after tax: -431 million EUR (2010), -35 million EUR (2011), 130 million EUR (2012)

Adverse Scenario

• Operating profit before impairments: 286 million EUR (2011), 307 million EUR (2012)
• Impairments on financial and non-financial assets in the banking book: -596 million EUR (2011), -435 million EUR (2012)
• Operating profit after impairments and other losses: -310 million EUR (2011), -127 million EUR (2012)
• Net profit after tax: -237 million EUR (2011), -100 million EUR (2012)

Capital Composition at 31 December 2010

• Common equity before deductions: 1,638 million EUR (7.7% of RWA)
• Eligible capital and reserves: 1,764 million EUR (8.3% of RWA)
• Deductions from common equity: -12 million EUR (-0.1% of RWA)
• Common equity (after deductions): 1,626 million EUR (7.6% of RWA)
• Other existing government support measures: 156 million EUR (0.7% of RWA)
• Core Tier 1 capital (including government support): 1,782 million EUR (8.4% of RWA)
• Tier 1 capital: 2,376 million EUR (11.2% of RWA)
• Tier 2 capital: 1,318 million EUR (6.2% of RWA)
• Total capital: 3,694 million EUR (17.3% of RWA)

Mitigating Measures

A. Use of Provisions and Other Reserves

• Capital / P&L impact: 0 million EUR
• RWA impact: 0 million EUR
• Capital ratio impact: 0.0%

B. Divestments and Other Management Actions (by 30 April 2011)

• Capital / P&L impact: 0 million EUR
• RWA impact: 0 million EUR
• Capital ratio impact: 0.0%

C. Other Disinvestments and Restructuring Measures

• Capital / P&L impact: 0 million EUR
• RWA impact: 0 million EUR
• Capital ratio impact: 0.0%

D. Future Planned Issuances of Common Equity Instruments

• Capital / P&L impact: 0 million EUR
• RWA impact: 0 million EUR
• Capital ratio impact: 0.0%

E. Future Planned Government Subscriptions of Capital Instruments

• Capital / P&L impact: 0 million EUR
• RWA impact: 0 million EUR
• Capital ratio impact: 0.0%

F. Other Instruments Recognised as Back-stop Measures

• Capital / P&L impact: 0 million EUR
• RWA impact: 0 million EUR
• Capital ratio impact: 0.0%

Supervisory Recognised Capital Ratio

• After all current and future mitigating actions: 7.0%

Notes and Definitions

• The stress test was conducted using the EBA common methodology with static balance sheet assumptions.
• All capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national definitions.
• The results should not be interpreted as forecasts or compared directly to other published information.
• The Core Tier 1 capital ratio is affected by regulatory transitional floors and mitigating measures.
• The capital ratio after all mitigating actions is based on EBA methodology and may include additional measures approved by national supervisory authorities.
• All elements are reported net of tax effects.