EBA欧洲银行-SE085_10页_1mb

Summary of the 2011 EBA EU-wide Stress Test for Skandinaviska Enskilda Banken AB (publ)

Core Tier 1 Capital Ratio

• Actual results at 31 December 2010:

  • Core Tier 1 capital: 9,604 million EUR
  • Core Tier 1 capital ratio: 11.1%
  • Risk weighted assets (RWA): 86,635 million EUR

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

  • Core Tier 1 capital ratio: 10.5%

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

  • Core Tier 1 capital: 9,961 million EUR
  • Core Tier 1 capital ratio: 10.5%

Capital Adequacy Under Different Scenarios

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

• 2010:
  • RWA: 86,635 million EUR
  • Core Tier 1 capital: 9,604 million EUR
  • Core Tier 1 capital ratio: 11.1%
• Baseline Scenario (2011-2012):
  • RWA: 86,635 million EUR
  • Core Tier 1 capital: 10,518 million EUR in 2012
  • Core Tier 1 capital ratio: 12.1% in 2012
• Adverse Scenario (2011-2012):
  • RWA: 94,846 million EUR
  • Core Tier 1 capital: 9,961 million EUR
  • Core Tier 1 capital ratio: 10.5%

B. Recognising Capital Issuance and Mandatory Restructuring Plans (Before 31 December 2010)

• Core Tier 1 capital ratio in 2012: 10.5%
• RWA in 2012: 94,846 million EUR

C. Recognising Capital Issuance and Mandatory Restructuring Plans (Before 30 April 2011)

• Core Tier 1 capital ratio in 2012: 10.5%
• RWA in 2012: 94,846 million EUR

Profit and Loss Outcomes

• Operating profit before impairments (2012): 1,120 million EUR
• Impairment losses on financial and non-financial assets in the banking book (2012): -863 million EUR
• Operating profit after impairments and other losses from the stress (2012): 258 million EUR

Breakdown of Impairment Losses

• Sovereign shock valuation losses (2012): -31 million EUR
• Losses from trading book stress scenarios (2012): -434 million EUR

Coverage Ratios

• Corporate (excluding Commercial real estate): 29.7%
• Retail (excluding Commercial real estate): 20.9%
• Commercial real estate: 40.6%

Loss Rates

• Corporate (excluding Commercial real estate): 0.9%
• Retail (excluding Commercial real estate): 0.2%
• Commercial real estate: 0.8%

Additional Mitigating Measures

• Capital ratio impact from measures:
  • Use of provisions and/or other reserves (including countercyclical provisions): Not specified in the table
  • Divestments and other management actions taken by 30 April 2011: Not specified in the table
  • Other disinvestments and restructuring measures: Not specified in the table
  • Future planned issuances of common equity instruments (private): Not specified in the table
  • Future planned government subscriptions of capital instruments (including hybrids): Not specified in the table
  • Other instruments recognised as back-stop measures by national authorities: Not specified in the table

Capital Composition as of 31 December 2010

• Common equity before deductions (Original own funds): 9,740 million EUR
• Eligible capital and reserves: 10,681 million EUR
• Intangible assets (including goodwill): -752 million EUR
• Adjustment to valuation differences in other AFS assets: 192 million EUR
• Deductions from common equity: -137 million EUR
• Securitisation exposures not included in RWA: -132 million EUR
• Common equity (after deductions): 9,604 million EUR
• Core Tier 1 including existing government support measures: 9,604 million EUR
• Hybrid instruments not subscribed by government: 1,628 million EUR
• Tier 1 Capital (E+F): 11,231 million EUR
• Tier 2 Capital: 903 million EUR
• Tier 3 Capital: Not specified
• Total Capital: 10,916 million EUR

Notes and Definitions

• The stress test was conducted using the EBA common methodology, including static balance sheet assumptions and 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 with other published information.
• The Core Tier 1 capital ratio in the adverse scenario, after incorporating mitigating measures, remains at 10.5% as of 31 December 2012.
• Additional capital needed to reach a 5% Core Tier 1 capital benchmark is not quantified in the provided data.
• The capital adequacy results include adjustments for provisions, securitisation, and other financial instruments.
• The coverage ratios and loss rates are calculated based on the stock of provisions and EADs for specific portfolios.
• Deferred tax assets and minority interests are included in the capital composition but treated differently under Basel 3.
• The capital ratio impact of mitigating measures is not fully detailed in the table.

Summary of Mitigating Measures

• Use of provisions and/or other reserves: Includes countercyclical provisions, with a capital ratio impact not specified.
• Divestments and other management actions: Taken by 30 April 2011, with a RWA and capital ratio impact not specified.
• Other disinvestments and restructuring measures: Includes future mandatory restructuring not yet approved, with impact details not specified.
• Future capital raisings: Not fully detailed, but expected to contribute to capital ratio improvements.
• Government support measures: Publicly announced and fully committed between 31 December 2010 and 30 April 2011, with a capital ratio impact not specified.

The stress test results show that Skandinaviska Enskilda Banken AB (publ) had a Core Tier 1 capital ratio of 11.1% as of 31 December 2010. Under the adverse scenario, the capital ratio decreased to 10.5% by 31 December 2012, but mitigating actions taken before 30 April 2011 helped maintain this ratio. The bank also reported impairment losses and reduced operating profits under the adverse scenario, which were partially offset by capital raisings and restructuring measures.