EBA欧洲银行-FR016_11页_899kb

Summary of the 2011 EBA EU-wide Stress Test Results for SOCIETE GENERALE

Core Tier 1 Capital Ratio

• Actual results at 31 December 2010:

  • Core Tier 1 Capital: 27,824 million EUR
  • Core Tier 1 Capital Ratio: 8.1%

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

  • Core Tier 1 Capital Ratio: 6.6%

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

  • Core Tier 1 Capital Ratio: 6.6%

• Additional capital needed to reach a 5% Core Tier 1 capital benchmark:

  • The bank would need to raise an additional 10,631 million EUR to meet the 5% benchmark.

Capital Adequacy under Different Scenarios

A. Full Static Balance Sheet Assumption (No Mitigating Actions)

• Risk Weighted Assets (RWA):

  • 2010: 343,862 million EUR
  • 2011 (Baseline): 386,205 million EUR
  • 2012 (Baseline): 394,318 million EUR
  • 2011 (Adverse): 418,651 million EUR
  • 2012 (Adverse): 445,529 million EUR

• Core Tier 1 Capital:

  • 2010: 27,824 million EUR
  • 2011 (Baseline): 30,341 million EUR
  • 2012 (Baseline): 32,921 million EUR
  • 2011 (Adverse): 28,374 million EUR
  • 2012 (Adverse): 29,221 million EUR

• Core Tier 1 Capital Ratio:

  • 2010: 8.1%
  • 2011 (Baseline): 7.9%
  • 2012 (Baseline): 8.3%
  • 2011 (Adverse): 6.8%
  • 2012 (Adverse): 6.6%

B. Including Capital Issuance and Restructuring Plans (Up to 31 December 2010)

• Core Tier 1 Capital:

  • 2012: 29,221 million EUR

• Core Tier 1 Capital Ratio:

  • 2012: 6.6%

C. Including Mitigating Measures up to 30 April 2011

• 2-Year Cumulative Operating Profit Before Impairments:

  • 11,522 million EUR

• 2-Year Cumulative Impairment Losses:

  • -9,539 million EUR

• 2-Year Cumulative Trading Losses (including sovereign shock):

  • -4,328 million EUR

• Risk Weighted Assets:

  • 445,529 million EUR

• Core Tier 1 Capital:

  • 29,221 million EUR

• Core Tier 1 Capital Ratio:

  • 6.6%

• Additional capital needed to reach a 5% Core Tier 1 capital benchmark:

  • Not explicitly provided in this section

Profit and Losses

• Net Interest Income:

  • 2010: 11,933 million EUR
  • 2011 (Baseline): 11,605 million EUR
  • 2012 (Baseline): 11,380 million EUR
  • 2011 (Adverse): 10,867 million EUR
  • 2012 (Adverse): 10,787 million EUR

• Trading Income:

  • 2010: 5,401 million EUR
  • 2011 (Baseline): 5,193 million EUR
  • 2012 (Baseline): 5,193 million EUR
  • 2011 (Adverse): 3,622 million EUR
  • 2012 (Adverse): 3,622 million EUR

• Trading Losses from Stress Scenarios:

  • 2011 (Adverse): -2,164 million EUR
  • 2012 (Adverse): -2,164 million EUR

• Valuation Losses due to Sovereign Shock:

  • 2011 (Adverse): -254 million EUR
  • 2012 (Adverse): -254 million EUR

• Operating Profit Before Impairments:

  • 2010: 9,258 million EUR
  • 2011 (Baseline): 8,550 million EUR
  • 2012 (Baseline): 8,324 million EUR
  • 2011 (Adverse): 5,801 million EUR
  • 2012 (Adverse): 5,721 million EUR

• Impairment Losses on Financial and Non-Financial Assets (Banking Book):

  • 2010: -3,979 million EUR
  • 2011 (Baseline): -3,546 million EUR
  • 2012 (Baseline): -2,807 million EUR
  • 2011 (Adverse): -5,309 million EUR
  • 2012 (Adverse): -4,230 million EUR

• Operating Profit After Impairments and Other Losses:

  • 2010: 5,279 million EUR
  • 2011 (Baseline): 5,004 million EUR
  • 2012 (Baseline): 5,516 million EUR
  • 2011 (Adverse): 492 million EUR
  • 2012 (Adverse): 1,490 million EUR

• Net Profit After Tax:

  • 2010: 4,301 million EUR
  • 2011 (Baseline): 3,665 million EUR
  • 2012 (Baseline): 4,004 million EUR
  • 2011 (Adverse): 655 million EUR
  • 2012 (Adverse): 1,314 million EUR

Additional Information

• Deferred Tax Assets:

  • 2010: 4,819 million EUR
  • 2011 (Baseline): 4,284 million EUR
  • 2012 (Baseline): 3,722 million EUR
  • 2011 (Adverse): 4,622 million EUR
  • 2012 (Adverse): 4,586 million EUR

• Stock of Provisions:

  • 2010: 14,472 million EUR
  • 2011 (Baseline): 17,557 million EUR
  • 2012 (Baseline): 20,204 million EUR
  • 2011 (Adverse): 19,214 million EUR
  • 2012 (Adverse): 23,164 million EUR

• Coverage Ratio for Defaulted Assets:

  • Corporate (excluding Commercial Real Estate): 45.6%
  • Retail (excluding Commercial Real Estate): 49.8%
  • Commercial Real Estate: 26.7%

• Loss Rates:

  • Corporate (excluding Commercial Real Estate): 0.7%
  • Retail (excluding Commercial Real Estate): 1.0%
  • Commercial Real Estate: 1.2%

Mitigating Measures

• Recognised Mitigating Measures (up to 30 April 2011):

  • Equity raisings: Announced and fully committed between 31 December 2010 and 30 April 2011
  • Government support: Publicly announced and fully committed in the same period
  • Mandatory restructuring plans: Publicly announced and fully committed in the same period
  • Use of provisions: Including countercyclical provisions
  • Divestments and management actions: Taken by 30 April 2011
  • Other disinvestments and restructuring measures: Including future mandatory restructuring not yet approved with the EU Commission
  • Future capital raisings: Private issuances
  • Government subscriptions of capital instruments: Including hybrids
  • Other back-stop measures: Recognised by national supervisory authorities

• Supervisory Recognised Capital Ratio after All Mitigating Actions (as of 31 December 2012):

  • 6.6%

Notes and Definitions

• The stress test was conducted using the EBA common methodology with a static balance sheet assumption.
• Capital elements and ratios are based on the EBA definition of Core Tier 1 capital and may differ from national supervisory definitions.
• The baseline and adverse scenarios are not forecasts and should not be compared directly to other published information.
• Regulatory transitional floors are applied where binding, and RWA for credit risk was calculated with additional floors for December 2010.
• "Other operating income" refers to income from pure leasing business.
• "Other income" includes share of profits in associates and joint ventures, and impairment of tangible and intangible assets.
• Countercyclical provisions and other reserves are included in the capital ratio impact of mitigating measures.
• Deferred tax assets and minority interests are treated under specific Basel 3 rules.
• Valuation differences in AFS/FVO assets and property assets are eligible as original own funds after prudential filters.
• Mitigating measures are detailed in the worksheet "3 - Mitigating measures" and include provisions, divestments, restructuring, and capital raisings.
• Supervisory recognised capital ratio may include measures not recognised by the EBA methodology but considered appropriate by national authorities.