EBA欧洲银行-NL048_11页_756kb

Summary of Rabobank's 2011 EBA EU-wide Stress Test Results

Core Tier 1 Capital and Risk Weighted Assets

Actual Results at 31 December 2010

• Operating profit before impairments: 4,704 million EUR
• Impairment losses on financial and non-financial assets in the banking book: -1,430 million EUR
• Risk weighted assets (RWA): 219,568 million EUR
• Core Tier 1 capital: 27,725 million EUR
• Core Tier 1 capital ratio: 12.6%

Outcomes of the Adverse Scenario at 31 December 2012 (Excluding Mitigating Actions)

• Core Tier 1 capital ratio: 10.8%

Outcomes of the Adverse Scenario at 31 December 2012 (Including Recognised Mitigating Measures)

• 2-year cumulative operating profit before impairments: 8,307 million EUR
• 2-year cumulative impairment losses on financial and non-financial assets in the banking book: -5,079 million EUR
• 2-year cumulative losses from the stress in the trading book: -776 million EUR
  • Valuation losses due to sovereign shock: -6 million EUR
• Risk weighted assets: 273,060 million EUR
• Core Tier 1 capital: 29,478 million EUR
• Core Tier 1 capital ratio: 10.8%

Additional Mitigating Measures

Effects from Recognised Mitigating Measures (as of 30 April 2011)

• Equity raisings announced and fully committed (2010–2011): 0 million EUR
• Government support publicly announced and fully committed (2010–2011): 0 percentage points
• Mandatory restructuring plans (2010–2011): 0 percentage points
• Core Tier 1 capital after mitigating measures: 29,478 million EUR
• Tier 1 capital after mitigating measures: 37,631 million EUR
• Total regulatory capital after mitigating measures: 39,013 million EUR
• Supervisory recognised capital ratio: 10.8%

Profit and Loss Analysis

Net Profit and Operating Profit

• Net interest income:
  • 2010: 8,614 million EUR
  • 2011: 9,007 million EUR
  • 2012: 8,262 million EUR
• Trading income:
  • 2010: 181 million EUR
  • 2011: -49 million EUR
  • 2012: -228 million EUR
  • Trading losses from stress scenarios: -210 million EUR (2011), -388 million EUR (2012)
  • Valuation losses due to sovereign shock: -3 million EUR (2012)
• Other operating income:
  • 2010: 1,273 million EUR
  • 2011: 1,313 million EUR
  • 2012: 1,167 million EUR
• Operating profit before impairments:
  • 2010: 4,704 million EUR
  • 2011: 4,536 million EUR
  • 2012: 3,832 million EUR
• Impairments on financial and non-financial assets in the banking book:
  • 2010: -1,430 million EUR
  • 2011: -1,133 million EUR
  • 2012: -2,839 million EUR
• Operating profit after impairments and other losses from the stress:
  • 2010: 3,274 million EUR
  • 2011: 3,404 million EUR
  • 2012: 993 million EUR
• Net profit after tax:
  • 2010: 2,772 million EUR
  • 2011: 3,184 million EUR
  • 2012: 1,086 million EUR

Capital Ratio Impact

• Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified in the data provided.

Provisions and Losses

• Stock of provisions (2010–2012):
  • 2010: 5,227 million EUR
  • 2011: 6,545 million EUR
  • 2012: 9,410 million EUR
• Stock of provisions for non-defaulted assets:
  • 2010: 553 million EUR
  • 2011: 621 million EUR
  • 2012: 714 million EUR
• Stock of provisions for defaulted assets:
  • 2010: 4,674 million EUR
  • 2011: 5,924 million EUR
  • 2012: 8,696 million EUR
• Coverage ratio for defaulted assets (2010–2012):
  • Corporate (excluding commercial real estate): 32.7% (2010), 31.9% (2012)
  • Retail (excluding commercial real estate): 21.9% (2010), 25.3% (2012)
  • Commercial real estate: 23.0% (2010), 35.5% (2012)
• Loss rates (2010–2012):
  • Corporate (excluding commercial real estate): 0.3% (2010), 0.7% (2012)
  • Retail (excluding commercial real estate): 0.1% (2010), 0.2% (2012)
  • Commercial real estate: 0.5% (2010), 1.7% (2012)

Notes and Methodology

• The stress test was conducted using the EBA common methodology, which assumes a static balance sheet and incorporates 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.
• The results should not be interpreted as forecasts or compared directly to other published information.
• RWA for credit risk was calculated in accordance with the EBA methodology, assuming an additional floor for December 2010.
• Other operating income includes income from associates, operating lease income, and rental income from investment properties.
• Countercyclical provisions were released in 2010 and included in the capital calculation, but not in the 2011–2012 stress test results.
• Deferred tax assets are referenced to the Basel 3 framework.
• Minority interests are excluded from Core Tier 1 capital but included in total capital.
• Valuation differences are eligible as original own funds and are reported separately.

Summary of Mitigating Measures

• Use of provisions and other reserves: 0 percentage points impact on capital ratio
• Divestments and other management actions: 0 percentage points impact on capital ratio
• Other disinvestments and restructuring measures: 0 percentage points impact on capital ratio
• Future planned common equity issuances: 0 percentage points impact
• Future planned government subscriptions: 0 percentage points impact
• Other instruments recognised as back-stop measures: 0 percentage points impact
• Supervisory recognised capital ratio after all mitigating actions: 10.8%

Capital Composition at 31 December 2010

• Common equity before deductions: 28,756 million EUR (13.1% of RWA)
• Eligible capital and reserves: 29,417 million EUR (13.4% of RWA)
• Intangible assets (including goodwill): -2,347 million EUR (-1.1% of RWA)
• Adjustment to valuation differences in other AFS assets: 367 million EUR (0.2% of RWA)
• Deductions from common equity: -1,031 million EUR (-0.5% of RWA)
  • Deductions of participations and subordinated claims: -120 million EUR
  • Securitisation exposures not included in RWA: -788 million EUR
  • IRB provision shortfall and equity expected loss amounts: -124 million EUR
• Common equity (after deductions): 27,725 million EUR (12.6% of RWA)
• Core Tier 1 capital including government support measures: 27,725 million EUR (12.6% of RWA)
• Tier 1 capital (including hybrid instruments): 34,451 million EUR (15.7% of RWA)
• Tier 2 capital: 1,280 million EUR (0.6% of RWA)
• Tier 3 capital: 0 million EUR (0.0% of RWA)
• Total capital: 35,731 million EUR (16.3% of RWA)

Additional Information

• Deferred tax assets: 255 million EUR (0.1% of RWA)
• Minority interests: 1,688 million EUR (0.8% of RWA)
• Amount of holdings, participations and subordinated claims: -120 million EUR (-0.1% of RWA)
• Amount of securitisation exposures not included in RWA: -788 million EUR (-0.4% of RWA)
• Valuation differences eligible as original own funds: Not applicable (not reported)

Conclusion

Rabobank's Core Tier 1 capital ratio declined from 12.6% in 2010 to 10.8% in 2012 under the adverse scenario, despite incorporating some mitigating measures. The bank did not raise any equity or receive government support between 31 December 2010 and 30 April 2011, and no additional measures were implemented. The results show a significant impact from impairments and stress-related losses, particularly in the banking book. The capital adequacy ratio remained below the 5% benchmark, indicating that further capital injections or restructuring may be necessary to meet regulatory requirements.