EBA欧洲银行-BE005_10页_972kb

Summary of the 2011 EBA EU-wide Stress Test Results for KBC Bank

Core Tier 1 Capital Ratio and Capital Adequacy

2010 Capital Position

• Operating profit before impairments: 3,029 million EUR
• Impairment losses on financial and non-financial assets in the banking book: -1,497 million EUR
• Risk weighted assets (RWA): 111,922 million EUR
• Core Tier 1 capital: 11,705 million EUR
• Core Tier 1 capital ratio: 10.5%
• Additional capital needed to reach a 5% Core Tier 1 capital benchmark: 6,109 million EUR (difference from 5% of RWA)

Adverse Scenario (Excluding Mitigating Actions)

• Core Tier 1 capital ratio at 31 December 2012: 10.0%

Adverse Scenario (Including Recognised Mitigating Measures)

• 2-year cumulative operating profit before impairments: 3,075 million EUR
• 2-year cumulative impairment losses on financial and non-financial assets in the banking book: -3,503 million EUR
• 2-year cumulative losses from the stress in the trading book: -782 million EUR
  • Valuation losses due to sovereign shock: -71 million EUR
• Risk weighted assets: 126,260 million EUR
• Core Tier 1 capital: 12,682 million EUR
• Core Tier 1 capital ratio: 10.0%
• Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

Capital Adequacy by Scenario

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

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

C. Including Recognised Mitigating Measures (Up to 30 April 2011)

• RWA after other mitigating measures: 126,260 million EUR
• Core Tier 1 capital after other mitigating measures: 12,682 million EUR
• Supervisory recognised capital ratio: 10.0%

Profit and Loss Outcomes

2010 to 2012 Profit and Loss Summary

Adverse Scenario Impact

• Net interest income:
  • 2011: 4,233 million EUR
  • 2012: 3,736 million EUR
• Trading losses from stress scenarios:
  • 2011: -333 million EUR
  • 2012: -339 million EUR
• Valuation losses due to sovereign shock:
  • 2011: -35 million EUR
  • 2012: -35 million EUR
• Operating profit after impairments:
  • 2011: 290 million EUR
  • 2012: -718 million EUR
• Net profit after tax:
  • 2011: 417 million EUR
  • 2012: -481 million EUR

Provisions and Loss Coverage

• Stock of provisions:
  • 2010: 4,756 million EUR
  • 2011: 5,643 million EUR
  • 2012: 7,870 million EUR
• Provisions for defaulted assets:
  • 2011: 5,558 million EUR
  • 2012: 7,224 million EUR
• Coverage ratios:
  • Corporate (excluding Commercial real estate):
    • 2010: 35.6%
    • 2011: 33.9%
    • 2012: 33.7%
  • Retail (excluding Commercial real estate):
    • 2010: 61.3%
    • 2011: 47.2%
    • 2012: 43.8%
  • Commercial real estate:
    • 2010: 33.6%
    • 2011: 34.4%
    • 2012: 42.1%
• Loss rates:
  • Corporate:
    • 2010: 1.0%
    • 2011: 0.8%
    • 2012: 1.2%
  • Retail:
    • 2010: 0.7%
    • 2011: 0.3%
    • 2012: 0.4%
  • Commercial real estate:
    • 2010: 1.4%
    • 2011: 1.5%
    • 2012: 2.9%

Notes and Methodology

• The stress test was conducted using the EBA common methodology with a static balance sheet assumption.
• Core Tier 1 capital is defined according to EBA guidelines and may differ from national definitions.
• Regulatory transitional floors were applied where binding.
• The baseline and adverse scenarios are not forecasts and should not be directly compared to the bank's published information.
• Mitigating measures include:
  • Use of provisions and reserves
  • Divestments and management actions
  • Restructuring plans
  • Capital raisings and government support
• Additional capital needed to reach a 5% Core Tier 1 capital benchmark is not specified in the adverse scenario with mitigating actions included.

Summary of Mitigating Measures

Additional Information

• Deferred tax assets: 845 million EUR
• Other operating income:
  • 2011: BASE -48 million EUR; ADVERSE -48 million EUR
  • 2012: BASE -50 million EUR; ADVERSE -50 million EUR
• Other income:
  • 2011: BASE 196 million EUR; ADVERSE 150 million EUR
  • 2012: BASE 0 million EUR; ADVERSE 0 million EUR

Capital Composition (As of 31 December 2010)

Memorandum Items

• Holdings, participations and subordinated claims in credit, financial and insurance institutions: 698 million EUR (0.6% of RWA)
• Securitisation exposures not included in RWA: 0 million EUR (0.0% of RWA)
• Deferred tax assets: 845 million EUR (0.8% of RWA)
• Minority interests (excluding hybrid instruments): 488 million EUR (0.4% of RWA)
• Valuation differences eligible as original own funds: -190 million EUR (-0.2% of RWA)

Conclusion

The 2011 EBA EU-wide stress test highlights KBC Bank's capital adequacy under adverse conditions. The Core Tier 1 capital ratio remains at 10.0% after including mitigating measures, but the operating profit after impairments shows a decline in the adverse scenario, indicating the significant impact of stress conditions. The bank's capital structure includes a mix of common equity, government support, and hybrid instruments, with Tier 1 capital at 12.3% and Total Capital at 16.6% as of 31 December 2010. The coverage ratios and loss rates for different portfolios indicate varying degrees of resilience under stress, with commercial real estate showing the highest loss rate. The bank's ability to maintain a Core Tier 1 capital ratio above the 5% benchmark is not at risk, but the adverse scenario results in a negative net profit after tax in 2012.