EBA欧洲银行-IT043_11页_558kb

Summary of the 2011 EBA EU-wide Stress Test for Banco Popolare SC

Core Tier 1 Capital and Risk Weighted Assets (RWA)

• Actual results as of 31 December 2010:

  • Operating profit before impairments: 868 million EUR
  • Impairment losses on financial and non-financial assets: -873 million EUR
  • RWA: 94,878 million EUR
  • Core Tier 1 capital: 5,474 million EUR
  • Core Tier 1 capital ratio: 5.8%
  • Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

• Outcomes of the adverse scenario as of 31 December 2012 (excluding mitigating actions taken in 2011):

  • Core Tier 1 capital ratio: 5.0%

• Outcomes of the adverse scenario as of 31 December 2012 (including mitigating measures up to 30 April 2011):

  • 2-year cumulative operating profit before impairments: 1,604 million EUR
  • 2-year cumulative impairment losses: -2,736 million EUR
  • 2-year cumulative losses from the stress in the trading book: -398 million EUR (of which -181 million EUR from sovereign shock)
  • RWA: 97,926 million EUR
  • Core Tier 1 capital: 5,563 million EUR
  • Core Tier 1 capital ratio: 5.7%
  • Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

Capital Adequacy Under Different Scenarios

• Capital raisings and government support:
  • Equity raisings between 31 December 2010 and 30 April 2011: 2,111 million EUR
  • Effect of government support on Core Tier 1 capital ratio: -1.5 percentage points
  • Core Tier 1 capital after all mitigating actions: 6,034 million EUR
  • Supervisory recognised capital ratio: 6.2%

Profit and Loss (P&L) Outcomes

• Net interest income:

  • 2010: 1,951 million EUR
  • 2011 (Baseline): 1,955 million EUR
  • 2012 (Baseline): 1,991 million EUR
  • 2011 (Adverse): 1,928 million EUR
  • 2012 (Adverse): 1,951 million EUR

• Trading income:

  • 2010: 59 million EUR
  • 2011 (Baseline): 121 million EUR
  • 2012 (Baseline): 121 million EUR
  • 2011 (Adverse): -33 million EUR
  • 2012 (Adverse): -33 million EUR
  • Trading losses from stress scenarios: -44 million EUR (Baseline), -199 million EUR (Adverse)
  • Valuation losses due to sovereign shock: -91 million EUR

• Operating profit before impairments:

  • 2010: 868 million EUR
  • 2011 (Baseline): 934 million EUR
  • 2012 (Baseline): 970 million EUR
  • 2011 (Adverse): 813 million EUR
  • 2012 (Adverse): 792 million EUR

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

  • 2010: -873 million EUR
  • 2011 (Baseline): -742 million EUR
  • 2012 (Baseline): -857 million EUR
  • 2011 (Adverse): -1,178 million EUR
  • 2012 (Adverse): -1,558 million EUR

• Operating profit after impairments and losses from stress:

  • 2010: -6 million EUR
  • 2011 (Baseline): 192 million EUR
  • 2012 (Baseline): 113 million EUR
  • 2011 (Adverse): -365 million EUR
  • 2012 (Adverse): -767 million EUR

• Net profit after tax:

  • 2010: 113 million EUR
  • 2011 (Baseline): 251 million EUR
  • 2012 (Baseline): 192 million EUR
  • 2011 (Adverse): -140 million EUR
  • 2012 (Adverse): -433 million EUR

Provisions and Loss Coverage

• Stock of provisions:

  • 2010: 4,415 million EUR
  • 2011 (Baseline): 5,157 million EUR
  • 2012 (Baseline): 6,014 million EUR
  • 2011 (Adverse): 5,536 million EUR
  • 2012 (Adverse): 7,027 million EUR

• Provisions for non-defaulted assets:

  • 2010: 563 million EUR
  • 2011 (Baseline): 496 million EUR
  • 2012 (Baseline): 437 million EUR
  • 2011 (Adverse): 595 million EUR
  • 2012 (Adverse): 635 million EUR

• Provisions for defaulted assets:

  • 2010: 3,852 million EUR
  • 2011 (Baseline): 4,661 million EUR
  • 2012 (Baseline): 5,577 million EUR
  • 2011 (Adverse): 4,941 million EUR
  • 2012 (Adverse): 6,392 million EUR

• Coverage ratios:

  • Corporate (excluding Commercial real estate): 30.7% (2010), 33.0% (Baseline 2011), 35.7% (Baseline 2012), 33.9% (Adverse 2011), 38.0% (Adverse 2012)
  • Retail (excluding Commercial real estate): 37.6% (2010), 36.7% (Baseline 2011), 36.5% (Baseline 2012), 37.0% (Adverse 2011), 37.2% (Adverse 2012)
  • Commercial real estate: 19.6% (2010), 20.0% (Baseline 2011), 20.5% (Baseline 2012), 21.4% (Adverse 2011), 24.5% (Adverse 2012)

• Loss rates:

  • Corporate (excluding Commercial real estate): 0.7% (2010), 0.7% (Baseline 2011), 0.8% (Baseline 2012), 1.0% (Adverse 2011), 1.3% (Adverse 2012)
  • Retail (excluding Commercial real estate): 0.8% (2010), 0.7% (Baseline 2011), 0.7% (Baseline 2012), 0.9% (Adverse 2011), 1.1% (Adverse 2012)
  • Commercial real estate: 0.3% (2010), 0.4% (Baseline 2011), 0.5% (Baseline 2012), 0.7% (Adverse 2011), 1.2% (Adverse 2012)

Mitigating Measures

A) Use of provisions and/or other reserves (including release of countercyclical provisions)

• Capital ratio effect: Not specified
• RWA effect: Not specified
• Capital ratio impact as of 31 December 2012: 0.4%

B) Divestments and other management actions taken by 30 April 2011

C) Other disinvestments and restructuring measures

D) Future planned issuances of common equity instruments (private issuances)

• Capital ratio effect: Not specified

E) Future planned government subscriptions of capital instruments (including hybrids)

• Capital ratio effect: Not specified

F) Other (existing and future) instruments as back-stop measures

• RWA effect: Not specified
• Capital ratio effect: 0.4%

Capital Composition as of 31 December 2010

Notes and Methodology

• The stress test was conducted using the EBA common methodology with static balance sheet assumptions.
• 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 and should not be compared to other published information.
• Regulatory transitional floors are applied where binding.
• Mitigating measures include capital raisings, restructuring, and use of provisions, which are incorporated in the Core Tier 1 capital ratio.
• The supervisory recognised capital ratio includes measures not fully recognised by EBA but considered appropriate by national authorities.
• Deferred tax assets and minority interests are included in the capital calculation.
• Valuation differences are considered in the original own funds computation.