EBA欧洲银行-PT056_11页_711kb

Summary of the 2011 EBA EU-wide Stress Test Results: Banco BPI, SA

Core Tier 1 Capital Ratio

• As of 31 December 2010 (Baseline):

  • Core Tier 1 capital ratio: 8.2%
  • Core Tier 1 capital: 2,133 million EUR
  • Risk weighted assets (RWA): 26,036 million EUR

• Adverse Scenario (Without Mitigating Actions):

  • Core Tier 1 capital ratio: 6.7%
  • Core Tier 1 capital: 1,788 million EUR
  • RWA: 26,885 million EUR

• Additional capital needed to reach a 5% Core Tier 1 capital benchmark:

  • 1,000 million EUR (or 3.2% of RWA)

Impact of Mitigating Measures

A) Use of Provisions and Other Reserves

• Capital ratio effect: Not quantified in the table, but included in the supervisory recognised capital ratio.

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

• Capital ratio effect: +0.2%
• RWA impact: -536 million EUR
• Example: Sale of 363 million EUR of debt securities and reduction of 388 million EUR of the loan portfolio up to 31 March 2011, part of a plan to reduce the loan portfolio by 1,000 million EUR by the end of 2011.

C) Other Disinvestments and Restructuring Measures

• Capital ratio effect: +0.1%
• RWA impact: -430 million EUR
• Example: Reduction of the loan portfolio from 31 March 2011 to 31 December 2011, contributing to the capital ratio improvement.

Capital Adequacy and Profitability

• 2-Year Cumulative Operating Profit Before Impairments (2011–2012):

  • 810 million EUR (excluding mitigating actions)
  • 810 million EUR (including mitigating actions)

• 2-Year Cumulative Impairment Losses (Banking Book):

  • -870 million EUR (excluding mitigating actions)
  • -870 million EUR (including mitigating actions)

• 2-Year Cumulative Trading Losses (Stress Scenario):

  • -2 million EUR (excluding mitigating actions)
  • -2 million EUR (including mitigating actions)

• Net Profit After Tax (2011–2012):

  • 291 million EUR (2010)
  • 267 million EUR (2011)
  • 224 million EUR (2012, baseline)
  • 146 million EUR (2012, adverse)
  • -82 million EUR (2012, adverse with mitigating actions)

• Retained Earnings:

  • 221 million EUR (2010)
  • 134 million EUR (2011)
  • 109 million EUR (2012, baseline)
  • 62 million EUR (2012, adverse)
  • -147 million EUR (2012, adverse with mitigating actions)

• Dividends:

  • 70 million EUR (2010)
  • 133 million EUR (2011)
  • 115 million EUR (2012, baseline)
  • 84 million EUR (2012, adverse)
  • 65 million EUR (2012, adverse with mitigating actions)

RWA and Capital Composition

• RWA after mitigating measures (as of 31 December 2012):

  • 25,117 million EUR (baseline)
  • 25,919 million EUR (adverse)

• Core Tier 1 capital after mitigating measures (as of 31 December 2012):

  • 2,114 million EUR (baseline)
  • 1,802 million EUR (adverse)

• Supervisory Recognised Core Tier 1 capital ratio (as of 31 December 2012):

  • 8.4% (baseline)
  • 7.0% (adverse)

Provisions and Loss Coverage

• Stock of provisions (banking book):

  • 632 million EUR (2010)
  • 849 million EUR (2011)
  • 1,399 million EUR (2012, adverse)

• Provisions for non-defaulted assets:

  • 223 million EUR (2010)
  • 321 million EUR (2012, adverse)

• Provisions for sovereigns (non-defaulted):

  • 0 million EUR (2010)
  • 86 million EUR (2012, adverse)

• Provisions for institutions (non-defaulted):

  • 9 million EUR (2010)
  • 22 million EUR (2012, adverse)

• Provisions for corporate (excluding commercial real estate):

  • 122 million EUR (2012, adverse)

• Provisions for retail (excluding commercial real estate):

  • 171 million EUR (2012, adverse)

• Provisions for commercial real estate:

  • 63 million EUR (2012, adverse)

• Coverage ratios (2012, adverse):

  • Corporate (excluding commercial real estate): 66.0%
  • Retail (excluding commercial real estate): 43.7%
  • Commercial real estate: 97.2%

• Loss rates (2012, adverse):

  • Corporate (excluding commercial real estate): 0.7%
  • Retail (excluding commercial real estate): 1.0%
  • Commercial real estate: 14.8%

Notes and Methodology

• The stress test was conducted using the EBA common methodology, including static balance sheet assumptions and regulatory transitional floors.
• Capital ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national supervisory definitions.
• The baseline and adverse scenarios are not forecasts but stress test outcomes.
• Mitigating measures include:
  • Use of provisions and reserves
  • Divestments and management actions
  • Other disinvestments and restructuring
  • Government support and capital raisings
• These measures are recognized by national supervisory authorities and may not be included in the EBA methodology but are considered appropriate for stressed conditions.
• Deferred tax assets and minority interests are included in capital calculations but are not fully deducted for regulatory purposes.
• Valuation differences and prudential filters are applied to certain financial instruments.