EBA欧洲银行-ES064_11页_851kb

Summary of the 2011 EBA EU-wide Stress Test for BANCO POPULAR ESPANOL, S.A.

Core Tier 1 Capital and Risk Weighted Assets (RWA)

• Actual results at 31 December 2010:

  • Operating profit before impairments: 2,111 million EUR
  • Impairment losses on financial and non-financial assets in the banking book: -1,839 million EUR
  • Risk weighted assets (RWA): 94,521 million EUR
  • Core Tier 1 (CT1) capital: 6,699 million EUR
  • CT1 capital ratio: 7.1%

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

  • CT1 capital ratio: 5.2%

• Outcomes of the adverse scenario at 31 December 2012 (including mitigating actions taken up to 30 April 2011):

  • 2-year cumulative operating profit before impairments: 3,064 million EUR
  • 2-year cumulative impairment losses on financial and non-financial assets in the banking book: -6,490 million EUR
  • 2-year cumulative losses from the stress in the trading book: 26 million EUR
  • Valuation losses due to sovereign shock: -1 million EUR
  • RWA: 95,396 million EUR
  • CT1 capital: 5,084 million EUR
  • CT1 capital ratio: 5.3%

• Additional capital needed to reach a 5% CT1 capital benchmark:

  • Not explicitly stated in the adverse scenario but is implied to be the difference between the CT1 capital and 5% of RWA.

Mitigating Measures

• Equity raisings announced and fully committed between 31 December 2010 and 30 April 2011:

  • Amount: 136 million EUR
  • Impact on CT1 capital ratio: +0.6 percentage points

• Other mitigating measures:

  • Use of provisions and/or other reserves (including release of countercyclical provisions):
    • Capital ratio impact: +0.6 percentage points
  • Divestments and other management actions taken by 30 April 2011:
    • Impact on CT1 capital ratio: +0.2 percentage points
  • Other disinvestments and restructuring measures (including future mandatory restructuring not yet approved):
    • Impact on CT1 capital ratio: +0.0 percentage points
  • Future planned issuances of common equity instruments (private issuances):
    • Impact on CT1 capital ratio: +0.0 percentage points
  • Future planned government subscriptions of capital instruments (including hybrids):
    • Impact on CT1 capital ratio: +0.0 percentage points
  • Other instruments recognised as appropriate back-stop measures by national supervisory authorities:
    • Impact on CT1 capital ratio: +1.2 percentage points

• Supervisory recognised capital ratio after all current and future mitigating actions as of 31 December 2012:

  • CT1 capital ratio: 7.4%

Capital Adequacy and Profit and Loss

• Capital adequacy (full static balance sheet assumption without mitigating actions):

  • CT1 capital ratio for 2010: 7.1%
  • CT1 capital ratio for 2012 (baseline): 7.4%
  • CT1 capital ratio for 2012 (adverse): 5.2%

• Profit and losses (baseline and adverse scenarios):

  • Net interest income:
    • 2011 baseline: 2,160 million EUR
    • 2012 baseline: 2,208 million EUR
    • 2011 adverse: 2,048 million EUR
    • 2012 adverse: 1,607 million EUR
  • Trading income:
    • 2011 baseline: 59 million EUR
    • 2012 baseline: 59 million EUR
    • 2011 adverse: 65 million EUR
    • 2012 adverse: 65 million EUR
  • Trading losses from stress scenarios:
    • 2011 adverse: 13 million EUR
    • 2012 adverse: 13 million EUR
  • Valuation losses due to sovereign shock:
    • 2012 adverse: -1 million EUR
  • Operating profit before impairments:
    • 2011 baseline: 1,858 million EUR
    • 2012 baseline: 1,906 million EUR
    • 2011 adverse: 1,752 million EUR
    • 2012 adverse: 1,311 million EUR
  • Impairments on financial and non-financial assets in the banking book:
    • 2011 baseline: -2,567 million EUR
    • 2012 baseline: -1,383 million EUR
    • 2011 adverse: -3,717 million EUR
    • 2012 adverse: -2,773 million EUR
  • Operating profit after impairments and other losses from the stress:
    • 2011 baseline: -709 million EUR
    • 2012 baseline: 523 million EUR
    • 2011 adverse: -1,965 million EUR
    • 2012 adverse: -1,462 million EUR
  • Other income:
    • 2011 baseline: 0 million EUR
    • 2012 baseline: 0 million EUR
    • 2011 adverse: 0 million EUR
    • 2012 adverse: 0 million EUR
  • Net profit after tax:
    • 2011 baseline: -496 million EUR
    • 2012 baseline: 366 million EUR
    • 2011 adverse: -1,375 million EUR
    • 2012 adverse: -1,023 million EUR

Additional Information

• Deferred tax assets: 21 million EUR
• Stock of provisions:
  • Total: 2,437 million EUR
  • Stock of provisions for non-defaulted assets:
    • Sovereigns: 11 million EUR
    • Institutions: 32 million EUR
    • Corporate (excluding commercial real estate): 883 million EUR
    • Retail (excluding commercial real estate): 105 million EUR
  • Stock of provisions for defaulted assets:
    • Corporate (excluding commercial real estate): 1,084 million EUR
    • Retail (excluding commercial real estate): 210 million EUR
    • Commercial real estate: 42 million EUR
• Coverage ratio (defaulted assets):
  • Corporate (excluding commercial real estate): 29.0%
  • Retail (excluding commercial real estate): 13.9%
  • Commercial real estate: -0.5%
• Loss rates:
  • Corporate (excluding commercial real estate): 0.9%
  • Retail (excluding commercial real estate): 0.5%
  • Commercial real estate: -0.5%
• Funding cost (bps):
  • 2011 baseline: 150 bps
  • 2012 adverse: 337 bps

Notes and Definitions

• The stress test was conducted using the EBA common methodology, which assumes a static balance sheet and incorporates regulatory transitional floors where binding.
• Capital elements and ratios are based on the EBA definition of Core Tier 1 capital and may differ from national definitions or public disclosures.
• The results should not be construed as forecasts or compared directly with other published information.
• The CT1 capital ratio is calculated based on the EBA methodology, but may include additional measures recognized by national supervisory authorities.
• "Other operating income" and "Other income" mainly include dividends from available for sale stocks, fees, and commissions.
• The release of countercyclical provisions and other reserves is reported in Section D as mitigating measures for the period 2011-2012.
• Deferred tax assets are included as per Basel 3 framework.
• The composition of capital includes common equity, deductions, and other elements, with the CT1 capital ratio calculated as 7.1% at the end of 2010.