EBA欧洲银行-ES061_11页_876kb

Summary of the 2011 EBA EU-wide Stress Test for BFA-BANKIA

Core Tier 1 Capital Ratio

• As of 31 December 2010 (before any mitigating actions):

  • Core Tier 1 Capital: 13,864 million EUR
  • Core Tier 1 Capital Ratio: 6.9%

• Under the adverse scenario (excluding mitigating actions):

  • Core Tier 1 Capital Ratio: 4.0% as of 31 December 2012

• After incorporating mitigating measures up to 30 April 2011:

  • Core Tier 1 Capital Ratio: 5.4% as of 31 December 2012

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

  • 0 million EUR (after mitigating measures)
  • 3,839 million EUR (as of 31 December 2010)

Capital Adequacy and Risk Weighted Assets (RWA)

• Risk Weighted Assets (RWA):

  • As of 31 December 2010: 200,508 million EUR
  • In baseline scenario: 206,676 million EUR as of 31 December 2012
  • In adverse scenario: 216,318 million EUR as of 31 December 2012

• RWA in different books:

  • Banking book: 190,491 million EUR (baseline) and 200,167 million EUR (adverse) as of 31 December 2012
  • Trading book: 4,189 million EUR (unchanged in both scenarios)

• RWA on securitisation positions:

  • Baseline scenario: 8,505 million EUR as of 31 December 2012
  • Adverse scenario: 19,131 million EUR as of 31 December 2012

Profit and Loss (P&L) Outcomes

• Operating profit before impairments:

  • 2010: 1,458 million EUR
  • Baseline 2011: 1,485 million EUR
  • Baseline 2012: 1,708 million EUR
  • Adverse 2011: 1,009 million EUR
  • Adverse 2012: 1,479 million EUR

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

  • 2010: -1,242 million EUR
  • Baseline 2011: -2,815 million EUR
  • Baseline 2012: -2,829 million EUR
  • Adverse 2011: -4,680 million EUR
  • Adverse 2012: -5,587 million EUR

• Operating profit after impairments and other losses:

  • 2010: 216 million EUR
  • Baseline 2011: -1,330 million EUR
  • Baseline 2012: -1,120 million EUR
  • Adverse 2011: -3,671 million EUR
  • Adverse 2012: -4,108 million EUR

• Net profit after tax:

  • 2010: 390 million EUR
  • Baseline 2011: -763 million EUR
  • Baseline 2012: -597 million EUR
  • Adverse 2011: -2,402 million EUR
  • Adverse 2012: -2,688 million EUR

• Dividends distributed:

  • 2010: 390 million EUR
  • 2011: 60 million EUR
  • 2012: 60 million EUR

Provisions and Loss Coverage

• Stock of provisions:

  • 2010: 9,420 million EUR
  • Baseline 2011: 12,231 million EUR
  • Baseline 2012: 15,056 million EUR
  • Adverse 2011: 14,039 million EUR
  • Adverse 2012: 18,788 million EUR

• Provisions for non-defaulted assets:

  • 2010: 4,254 million EUR
  • Baseline 2011: 4,294 million EUR
  • Baseline 2012: 4,330 million EUR
  • Adverse 2011: 4,306 million EUR
  • Adverse 2012: 4,363 million EUR

• Provisions for sovereigns and financial institutions:

  • 2010: 25 million EUR
  • Baseline 2011: 104 million EUR
  • Baseline 2012: 125 million EUR
  • Adverse 2011: 113 million EUR
  • Adverse 2012: 149 million EUR

• Coverage ratio for defaulted assets:

  • Corporate (excluding commercial real estate): 26.2% (baseline 2012), 30.1% (adverse 2012)
  • Retail (excluding commercial real estate): 23.9% (baseline 2012), 29.1% (adverse 2012)
  • Commercial real estate: 35.5% (baseline 2012), 50.8% (adverse 2012)

• Loss rates:

  • Corporate (excluding commercial real estate): 1.5% (baseline 2012), 2.6% (adverse 2012)
  • Retail (excluding commercial real estate): 0.7% (baseline 2012), 1.1% (adverse 2012)
  • Commercial real estate: 2.9% (baseline 2012), 5.1% (adverse 2012)

Mitigating Measures

• Use of provisions and/or other reserves (including countercyclical provisions):

  • Capital ratio impact: +1.2 percentage points
  • Provisions released in adverse scenario: 4.807 million EUR in 2011, 4.108 million EUR in 2012

• Government support measures:

  • Impact on Core Tier 1 capital ratio: +1.4 percentage points (as of 30 April 2011)

• Mandatory restructuring plans:

  • No impact on Core Tier 1 capital ratio (as of 30 April 2011)

• Other disinvestments and restructuring measures:

  • No impact on Core Tier 1 capital ratio

• Supervisory recognised capital ratio after all mitigating actions:

  • 6.5% as of 31 December 2012

Notes and Definitions

• The stress test was conducted using the EBA common methodology with a static balance sheet assumption and regulatory transitional floors where binding.
• 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 should not be interpreted as forecasts or directly compared to other published information.
• Deferred tax assets and minority interests are included in the capital calculations.
• Provisions for non-defaulted and defaulted assets are computed using EBA benchmark risk parameters and hypothetical rating downgrades.
• Mitigating measures include provisions, divestments, government support, and capital raisings, which are incorporated in the final capital ratio.

Summary of Key Findings

• BFA-BANKIA's Core Tier 1 capital ratio dropped from 6.9% in 2010 to 4.0% under the adverse scenario without any mitigating actions.
• With the inclusion of government support and restructuring measures up to 30 April 2011, the ratio improved to 5.4%, but still fell short of the 5% benchmark.
• The supervisory recognised capital ratio after all mitigating actions was 6.5%, indicating that the bank met the required capital level.
• Impairment losses increased significantly in the adverse scenario, especially for sovereign and institutional exposures.
• Operating profit declined under the adverse scenario due to higher impairment charges and lower net interest income.
• Provisions were released in the adverse scenario to cover impairments, which had a positive impact on the capital ratio.