EBA欧洲银行-ES068_11页_943kb

Summary of the 2011 EBA EU-wide Stress Test for GRUPO BMN

Core Tier 1 Capital Ratio

• As of 31 December 2010:

  • Core Tier 1 capital: 3,304 million EUR
  • Core Tier 1 capital ratio: 8.3%

• Under the adverse scenario (without mitigating actions):

  • Core Tier 1 capital ratio: 4.5% as of 31 December 2012

• With mitigating actions (recognised up to 30 April 2011):

  • Core Tier 1 capital ratio: 6.1% as of 31 December 2012

• With all additional mitigating measures (including future actions):

  • Core Tier 1 capital ratio: 9.3% as of 31 December 2012

Capital Adequacy and Risk Weighted Assets (RWA)

• Risk Weighted Assets (RWA):

  • As of 31 December 2010: 39,794 million EUR
  • Baseline scenario (2011-2012): RWA increases gradually to 40,484 million EUR
  • Adverse scenario (2011-2012): RWA remains at 40,484 million EUR

• Core Tier 1 capital:

  • 2010: 3,304 million EUR
  • 2011 (Baseline): 2,917 million EUR
  • 2012 (Baseline): 1,842 million EUR
  • 2011 (Adverse): 2,660 million EUR
  • 2012 (Adverse): 2,479 million EUR

Capital Adequacy with Mitigating Measures

• Equity raisings:

  • No equity raisings were announced or fully committed between 31 December 2010 and 30 April 2011

• Government support:

  • Government support publicly announced and fully committed in the period increased Core Tier 1 capital by 637 million EUR, contributing to a 1.6 percentage point increase in the capital ratio

• Mandatory restructuring plans:

  • No impact on Core Tier 1 capital from restructuring plans announced and fully committed in the period

Profit and Loss Outcomes

• Operating profit before impairments:

  • 2010: 344 million EUR
  • 2011 (Baseline): 325 million EUR
  • 2012 (Baseline): 323 million EUR
  • 2011 (Adverse): 196 million EUR
  • 2012 (Adverse): 230 million EUR

• Impairment losses:

  • 2010: -332 million EUR
  • 2011 (Baseline): -498 million EUR
  • 2012 (Baseline): -723 million EUR
  • 2011 (Adverse): -1,127 million EUR
  • 2012 (Adverse): -1,416 million EUR

• Operating profit after impairments:

  • 2010: 11 million EUR
  • 2011 (Baseline): -173 million EUR
  • 2012 (Baseline): -400 million EUR
  • 2011 (Adverse): -931 million EUR
  • 2012 (Adverse): -1,186 million EUR

• Net profit after tax:

  • 2010: 106 million EUR
  • 2011 (Baseline): -136 million EUR
  • 2012 (Baseline): -295 million EUR
  • 2011 (Adverse): -670 million EUR
  • 2012 (Adverse): -857 million EUR

Provisions and Loss Coverage

• Stock of provisions:

  • 2010: 2,808 million EUR
  • 2011 (Baseline): 3,300 million EUR
  • 2012 (Baseline): 4,017 million EUR
  • 2011 (Adverse): 3,752 million EUR
  • 2012 (Adverse): 5,015 million EUR

• Coverage ratio:

  • Corporate (excluding Commercial real estate): 38.3% in 2010, 28.9% in 2011 (Baseline), 30.7% in 2012 (Baseline)
  • Retail (excluding Commercial real estate): 34.2% in 2010, 25.7% in 2011 (Baseline), 23.3% in 2012 (Baseline)
  • Commercial real estate: 23.8% in 2010, 19.9% in 2011 (Baseline), 20.9% in 2012 (Baseline)

• Loss rates:

  • Corporate (excluding Commercial real estate): 2.1% in 2010, 1.7% in 2011 (Baseline), 2.5% in 2012 (Baseline)
  • Retail (excluding Commercial real estate): 0.7% in 2010, 0.6% in 2011 (Baseline), 0.9% in 2012 (Baseline)
  • Commercial real estate: 1.0% in 2010, 1.0% in 2011 (Baseline), 1.5% in 2012 (Baseline)

Additional Capital Requirements

• Additional capital needed to reach a 5% Core Tier 1 capital benchmark:
  • In the adverse scenario (excluding mitigating actions): 1,842 million EUR
  • In the adverse scenario (including mitigating actions): 2,479 million EUR
  • With all mitigating measures: No additional capital needed as the ratio reaches 9.3%

Notes on Methodology and Definitions

• The stress test was conducted using the EBA common methodology, including a static balance sheet assumption.
• Capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national definitions.
• The adverse scenario results are not forecasts and should not be compared to the bank's other published information.
• Regulatory transitional floors are applied where binding, and RWA for credit risk is calculated assuming an additional floor for both IRB and STA portfolios.
• "Other operating income" and "Other income" are defined as income from stockholdings not included in the trading book and impairment estimates, respectively.
• Provisions for non-defaulted exposures to sovereigns and financial institutions are based on hypothetical rating agency downgrades.
• Deferred tax assets and minority interests are included in the capital adequacy calculations as per Basel 3 framework.
• Mitigating measures include use of provisions, divestments, and other restructuring actions, which are recognized by national supervisory authorities.