EBA欧洲银行-NL050_38页_4mb

SNS Bank NV Capital and Credit Risk Summary

1. Capital Position (CRD3 Rules)

Capital Overview (as of 31/12/2012 and 30/06/2013)

Key Notes

• Common equity before deductions (A) increased from 1,376 million EUR to 2,376 million EUR, indicating a capital injection.
• Deductions (B) slightly increased from -123 million EUR to -130 million EUR, reflecting higher provisions and expected losses.
• Core Tier 1 (F) rose from 1,253 million EUR to 2,246 million EUR, driven by the capital injection and reduced deductions.
• Tier 1 Capital (H) increased from 1,584 million EUR to 2,246 million EUR, with the increase mainly attributed to the rise in Core Tier 1.
• RWA (I) decreased from 20,592 million EUR to 18,385 million EUR, possibly due to risk mitigation or changes in exposure.

References to COREP Reporting

• COREP CA 1.1 (Common equity before deductions)
• COREP CA 1.3.T1* (Deductions from common equity, negative amount)
• COREP CA 1.4 (Tier 1 Capital)
• COREP lines from 1.1.2.2* (Hybrid instruments and government support measures)
• COREP line 1.1.5.2a (Hybrid instruments not subscribed by government)

2. Credit Risk Exposure (as of 31/12/2012)

Exposure Breakdown by Counterparty Country

Key Notes

• Retail constitutes the largest exposure, with a total of 31,627 million EUR under F-IRB.
• Securitisation and Other non-credit obligation assets are also significant, with exposures of 7,212 million EUR and 1,332 million EUR respectively.
• The RWA for credit risk is 10,017 million EUR, indicating the risk-weighted assets for the bank's credit portfolio.
• The LTV % is provided for various categories, though specific values are not fully displayed in the table.

3. Additional Notes

• Adjustments to Minority Interests: 0 million EUR (Article 84 of CRR)
• Common Equity instruments under A) not eligible as CET1: 0 million EUR (Articles 26(1) point (c) and 26(2) of CRR)
• DTAs that rely on future profitability (net of associated DTL): 62 million EUR (as of 31/12/2012) and 249 million EUR (as of 30/06/2013)
• Holdings of CET1 capital instruments of financial sector entities: 0 million EUR (Articles 36(1) point (g), (h) and (i), 43, 44 and 45 of CRR)
• RWA for Credit Value Adjustment Risk (CVA): 452 million EUR (as of 31/12/2012) and 350 million EUR (as of 30/06/2013)
• Securitisation and re-securitisations positions deducted from capital: Not included in RWA

4. Summary of Changes

• The capital injection from the Dutch state of €1.9 billion significantly improved the Core Tier 1 ratio.
• The expropriation of subordinated loans contributed to the increase in capital.
• The loss of €1.6 billion due to Property Finance provisioning partially offset the gains.
• The bank's credit risk exposure is primarily concentrated in Retail and Securitisation.
• RWA for credit risk decreased from 20,592 million EUR to 18,385 million EUR, indicating a reduction in risk-weighted assets.
• The bank's capital structure was affected by nationalization measures, which had a significant impact on the Core Tier 1 ratio.