EBA欧洲银行-GR030_12页_1mb

EFG Eurobank Ergasias S.A. 2011 EBA EU-Wide Stress Test Summary

Core Tier 1 Capital and Capital Adequacy

Actual Results at 31 December 2010

• Operating profit before impairments: 1,378 million EUR
• Impairment losses on financial and non-financial assets in the banking book: -1,363 million EUR
• Risk weighted assets (RWA): 47,968 million EUR
• Core Tier 1 capital: 4,296 million EUR
• Core Tier 1 capital ratio: 9.0%
• Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

Outcomes of the Adverse Scenario at 31 December 2012 (Excluding Mitigating Actions from 2011)

• Core Tier 1 capital ratio: 4.6%

Outcomes of the Adverse Scenario at 31 December 2012 (Including Mitigating Measures as of 30 April 2011)

• 2 yr cumulative operating profit before impairments: 2,481 million EUR
• 2 yr cumulative impairment losses: -5,638 million EUR
• 2 yr cumulative losses from the stress in the trading book: -36 million EUR
  • Valuation losses due to sovereign shock: -8 million EUR
• Risk weighted assets: 49,340 million EUR
• Core Tier 1 capital: 2,409 million EUR
• Core Tier 1 capital ratio: 4.9%
• Additional capital needed to reach a 5% Core Tier 1 capital benchmark: 58 million EUR

Supervisory Recognised Capital Ratio After Additional Mitigating Measures (as of 31 December 2012)

• Core Tier 1 capital ratio: 7.6%

Capital Adequacy and Stress Test Scenarios

A. Stress Test Results (Full Static Balance Sheet, No Mitigating Actions)

• Capital adequacy:
  • Risk weighted assets (RWA):
    • 2010: 47,968 million EUR
    • 2011: 48,808 million EUR
    • 2012: 48,754 million EUR
  • Common equity (EBA definition):
    • 2010: 3,346 million EUR
    • 2011: 3,157 million EUR
    • 2012: 2,916 million EUR
  • Core Tier 1 capital:
    • 2010: 4,296 million EUR
    • 2011: 4,107 million EUR
    • 2012: 3,866 million EUR
  • Core Tier 1 capital ratio:
    • 2010: 9.0%
    • 2011: 8.4%
    • 2012: 7.9%

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

• Core Tier 1 capital ratio:
  • 2010: 9.0%
  • 2011: 8.7%
  • 2012: 8.3%
• Core Tier 1 capital:
  • 2010: 4,296 million EUR
  • 2011: 4,264 million EUR
  • 2012: 4,023 million EUR

C. Stress Test Results (Including Capital Issuance and Mandatory Restructuring Up to 30 April 2011)

• Core Tier 1 capital ratio:
  • 2010: 9.0%
  • 2011: 7.4%
  • 2012: 4.9%
• Core Tier 1 capital:
  • 2010: 4,296 million EUR
  • 2011: 3,678 million EUR
  • 2012: 2,409 million EUR
• Equity raisings announced and fully committed between 31 December 2010 and 30 April 2011: 157 million EUR

Profit and Loss Results

• Net interest income:
  • 2010: 2,208 million EUR
  • 2011: 2,112 million EUR
  • 2012: 1,921 million EUR
• Trading income:
  • 2010: 85 million EUR
  • 2011: 79 million EUR
  • 2012: 79 million EUR
  • Trading losses from stress scenarios:
    • 2011: -3 million EUR
    • 2012: -18 million EUR
  • Valuation losses due to sovereign shock:
    • 2011: -4 million EUR
    • 2012: -4 million EUR
• Operating profit before impairments:
  • 2010: 1,378 million EUR
  • 2011: 1,275 million EUR
  • 2012: 1,084 million EUR
• Impairments on financial and non-financial assets in the banking book:
  • 2010: -1,363 million EUR
  • 2011: -1,689 million EUR
  • 2012: -2,979 million EUR
• Operating profit after impairments and other losses from the stress:
  • 2010: 15 million EUR
  • 2011: -414 million EUR
  • 2012: -1,894 million EUR
• Net profit after tax:
  • 2010: 68 million EUR
  • 2011: -264 million EUR
  • 2012: -1,415 million EUR

Additional Information and Mitigating Measures

• Deferred Tax Assets: 464 million EUR
• Stock of provisions:
  • 2010: 3,039 million EUR
  • 2011: 4,725 million EUR
  • 2012: 8,540 million EUR
• Coverage ratio:
  • Corporate (excluding Commercial real estate): 36.5% to 38.7%
  • Retail (excluding Commercial real estate): 61.9% to 46.9%
  • Commercial real estate: 22.8% to 28.4%
• Loss rates:
  • Corporate: 1.7% to 4.0%
  • Retail: 2.6% to 3.2%
  • Commercial real estate: 2.2% to 4.8%

Mitigating Measures

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

• Capital ratio effect: +0.4%
• Capital impact: 181 million EUR
• RWA impact: -2,933 million EUR

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

• Capital ratio effect: +1.1%
• RWA impact: -2,933 million EUR
• Examples:
  • Sale of majority stake (70%) of Polish operations to Raiffeisen (completed on 31.12.2011): 296 million EUR capital impact, -2,933 million EUR RWA impact, +1.0% capital ratio impact
  • Merger with DIAS Portfolio Investment Company S.A. (completed on 30.5.2011): 23 million EUR capital impact, 0 RWA impact, +0.1% capital ratio impact

C) Other disinvestments and restructuring measures

• Capital ratio effect: +1.0%
• RWA impact: -2,183 million EUR
• Examples:
  • Sale of majority stake of Turkish operations (planned for 30.6.2012): 215 million EUR capital impact, -2,183 million EUR RWA impact, +0.8% capital ratio impact
  • Hybrid dividend retention (planned): 80 million EUR capital impact, 0 RWA impact, +0.2% capital ratio impact

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

• Capital ratio effect: +0.3%
• Capital impact: 150 million EUR

Notes and Definitions

1. The stress test was conducted using the EBA common methodology with static balance sheet assumptions.
2. Capital elements and ratios are based on the EBA definition of Core Tier 1 capital.
3. The results should not be interpreted as forecasts or compared directly to other published information.
4. Regulatory transitional floors are applied where binding.
5. "Other operating income" and "Other income" are defined and explained in the document.
6. Provisions for non-defaulted exposures to sovereigns and financial institutions are computed using EBA benchmark risk parameters.
7. Net profit includes profit attributable to minority interests.
8. Deferred tax assets are defined in the Basel 3 framework.
9. The supervisory recognised capital ratio may include measures not recognized by the EBA methodology but considered appropriate by national authorities.