EBA欧洲银行-PT055_11页_1mb

报告摘要

Espirito Santo Financial Group, SA - 2011 EBA EU-wide Stress Test Summary

Core Tier 1 Capital and Capital Adequacy

Actual Results at 31 December 2010

Operating profit before impairments: 832 million EUR
Impairment losses on financial and non-financial assets in the banking book: -545 million EUR
Risk weighted assets (RWA): 71,122 million EUR
Core Tier 1 capital: 4,520 million EUR
Core Tier 1 capital ratio: 6.4%

Adverse Scenario at 31 December 2012 (Excluding Mitigating Measures)

Core Tier 1 capital ratio: 5.1%
Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

Adverse Scenario at 31 December 2012 (Including Mitigating Measures)

2-year cumulative operating profit before impairments: 1,471 million EUR
2-year cumulative impairment losses on financial and non-financial assets in the banking book: -2,016 million EUR
2-year cumulative losses from the stress in the trading book: -197 million EUR
- Valuation losses due to sovereign shock: -14 million EUR
Risk weighted assets: 76,712 million EUR
Core Tier 1 capital: 3,886 million EUR
Core Tier 1 capital ratio: 5.1%
Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

Supervisory Recognised Capital Ratio (Including Mitigating Measures)

Core Tier 1 capital ratio: 6.3%

Mitigating Measures

Additional Taken or Planned Mitigating Measures

Use of provisions and/or other reserves (including release of countercyclical provisions): 0.0 percentage points
Divestments and other management actions taken by 30 April 2011: 0.7 percentage points
Other disinvestments and restructuring measures (including future mandatory restructuring not yet approved): 0.5 percentage points
Future planned issuances of common equity instruments (private issuances): 0.0 percentage points
Future planned government subscriptions of capital instruments (including hybrids): 0.0 percentage points
Other instruments recognised as appropriate back-stop measures by national supervisory authorities: 0.0 percentage points

Capital Impact of Mitigating Measures

Risk weighted assets after other mitigating measures (B+C+F): 67,542 million EUR (Baseline scenario) / 71,372 million EUR (Adverse scenario)
Capital after other mitigating measures (A+B1+C1+D+E+F1): 5,117 million EUR (Baseline scenario) / 4,529 million EUR (Adverse scenario)
Supervisory recognised capital ratio: 7.5% (Baseline scenario) / 6.3% (Adverse scenario)

Profit and Loss Analysis

2010-2012 Profit and Loss Results

Net interest income:
- 2010: 1,166 million EUR
- 2011: 967 million EUR (Baseline) / 1,101 million EUR (Adverse)
- 2012: 967 million EUR (Baseline) / 1,166 million EUR (Adverse)
Trading income:
- 2010: -245 million EUR
- 2011: -51 million EUR (Baseline) / -99 million EUR (Adverse)
- 2012: -51 million EUR (Baseline) / -99 million EUR (Adverse)
Other operating income:
- 2010: 341 million EUR
- 2011: 148 million EUR (Baseline) / 96 million EUR (Adverse)
- 2012: 138 million EUR (Baseline) / 91 million EUR (Adverse)
Operating profit before impairments:
- 2010: 832 million EUR
- 2011: 631 million EUR (Baseline) / 716 million EUR (Adverse)
- 2012: 248 million EUR (Baseline) / -374 million EUR (Adverse)
Impairments on financial and non-financial assets in the banking book:
- 2010: -545 million EUR
- 2011: -512 million EUR (Baseline) / -927 million EUR (Adverse)
- 2012: -468 million EUR (Baseline) / -1,089 million EUR (Adverse)
Operating profit after impairments and other losses from the stress:
- 2010: 287 million EUR
- 2011: 119 million EUR (Baseline) / -171 million EUR (Adverse)
- 2012: 229 million EUR (Baseline) / -216 million EUR (Adverse)
Other income:
- 2010: 384 million EUR
- 2011: 111 million EUR (Baseline) / 113 million EUR (Adverse)
- 2012: 108 million EUR (Baseline) / 110 million EUR (Adverse)
Net profit after tax:
- 2010: 622 million EUR
- 2011: 145 million EUR (Baseline) / 229 million EUR (Adverse)
- 2012: -65 million EUR (Baseline) / -216 million EUR (Adverse)

Distribution of Net Profit

Carried over to capital (retained earnings):
- 2010: 414 million EUR
- 2011: 28 million EUR (Baseline) / 104 million EUR (Adverse)
- 2012: -65 million EUR (Baseline) / -216 million EUR (Adverse)
Distributed as dividends:
- 2010: 208 million EUR
- 2011: 117 million EUR (Baseline) / 124 million EUR (Adverse)
- 2012: 0 million EUR (Baseline) / 0 million EUR (Adverse)

Provisions and Loss Coverage

Stock of Provisions

Total stock of provisions: 1,841 million EUR
Stock of provisions for non-defaulted assets:
- Sovereigns: 3 million EUR
- Institutions: 27 million EUR
- Corporate (excluding Commercial real estate): 380 million EUR
- Retail (excluding Commercial real estate): 87 million EUR
- Commercial real estate: 82 million EUR
Stock of provisions for defaulted assets:
- Corporate (excluding Commercial real estate): 730 million EUR
- Retail (excluding Commercial real estate): 389 million EUR
- Commercial real estate: 143 million EUR

Coverage Ratios

Corporate (excluding Commercial real estate): 51.8% (2010) / 47.0% (Baseline 2011) / 44.3% (Adverse 2011) / 46.6% (Baseline 2012) / 44.2% (Adverse 2012)
Retail (excluding Commercial real estate): 34.1% (2010) / 32.8% (Baseline 2011) / 31.4% (Adverse 2011) / 33.4% (Baseline 2012) / 33.3% (Adverse 2012)
Commercial real estate: 24.3% (2010) / 24.5% (Baseline 2011) / 24.1% (Adverse 2011) / 25.4% (Baseline 2012) / 27.9% (Adverse 2012)

Loss Rates

Corporate (excluding Commercial real estate): 0.6% (2010) / 0.6% (Baseline 2011) / 0.6% (Adverse 2011) / 0.8% (Baseline 2012) / 1.0% (Adverse 2012)
Retail (excluding Commercial real estate): 0.2% (2010) / 0.5% (Baseline 2011) / 0.5% (Adverse 2011) / 0.6% (Baseline 2012) / 0.9% (Adverse 2012)
Commercial real estate: 0.9% (2010) / 1.1% (Baseline 2011) / 0.9% (Adverse 2011) / 1.5% (Baseline 2012) / 2.0% (Adverse 2012)

Capital Composition at 31 December 2010

Common equity before deductions (Original own funds without hybrid instruments and government support measures other than ordinary shares): 4,885 million EUR (6.9% of RWA)
Eligible capital and reserves: 968 million EUR (1.4% of RWA)
Intangibles assets (including goodwill): -448 million EUR (-0.6% of RWA)
Deductions from common equity (Elements deducted from original own funds): -365 million EUR (-0.5% of RWA)
- Deductions of participations and subordinated claims: -347 million EUR (-0.5% of RWA)
- Securitisation exposures not included in RWA: -13 million EUR (0.0% of RWA)
- IRB provision shortfall and IRB equity expected loss amounts (before tax): -4 million EUR (0.0% of RWA)
Common equity (A+B): 4,520 million EUR (6.4% of RWA)
Ordinary shares subscribed by government: 0 million EUR (0.0% of RWA)
Core Tier 1 including existing government support measures (C+D): 4,520 million EUR (6.4% of RWA)
Difference from benchmark capital threshold (CT1 5%): 964 million EUR (1.4% of RWA)
Hybrid instruments not subscribed by government: 1,314 million EUR (1.8% of RWA)
Tier 1 Capital (E+F): 5,834 million EUR (8.2% of RWA)
Tier 2 Capital: 2,143 million EUR (3.0% of RWA)
Tier 3 Capital: 0 million EUR (0.0% of RWA)
Total Capital: 7,554 million EUR (10.6% of RWA)

Notes and Definitions

The stress test was conducted using the EBA common methodology, which includes a static balance sheet assumption and regulatory transitional floors.
Capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national supervisory definitions.
The results are not forecasts and should not be compared directly to other published information.
The capital ratio after mitigating measures is based on the EBA definition but may include other measures recognized by national authorities.
"Other operating income" includes dividend income and foreign exchange gains.
"Other income" includes share of profits of associated companies and gains on sale of banking book assets.
The impact of valuation differences and countercyclical provisions is considered in the computation of original own funds.

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