EBA欧洲银行-ES077_11页_943kb

2011 EBA EU-wide Stress Test Summary for CAJA DE AHORROS Y M.P. DE GIPUZKOA Y SAN SEBASTIAN

Core Tier 1 Capital Ratio

• Actual results at 31 December 2010:

  • Core Tier 1 capital ratio: 13.2%
  • Core Tier 1 capital: 1,935 million EUR
  • Risk weighted assets (RWA): 14,679 million EUR

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

  • Core Tier 1 capital ratio: 10.1%
  • Core Tier 1 capital: 1,479 million EUR

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

  • Core Tier 1 capital ratio: 10.1%
  • Core Tier 1 capital: 1,479 million EUR

• Supervisory recognised capital ratio after all mitigating actions as of 31 December 2012:

  • 10.5%

Additional Capital Needed

• Additional capital required to meet the 5% Core Tier 1 capital benchmark:
  • 1,201 million EUR (as of 31 December 2010)

Profit and Loss Outcomes

• Operating profit before impairments:

  • 2010: 197 million EUR
  • 2011 (Baseline): 115 million EUR
  • 2012 (Baseline): 103 million EUR
  • 2011 (Adverse): 64 million EUR
  • 2012 (Adverse): 73 million EUR

• Impairment losses on financial and non-financial assets in the banking book:

  • 2010: -205 million EUR
  • 2011 (Baseline): -151 million EUR
  • 2012 (Baseline): -222 million EUR
  • 2011 (Adverse): -378 million EUR
  • 2012 (Adverse): -439 million EUR

• Operating profit after impairments and other losses from the stress:

  • 2011 (Baseline): -36 million EUR
  • 2012 (Baseline): -120 million EUR
  • 2011 (Adverse): -314 million EUR
  • 2012 (Adverse): -367 million EUR

• Net profit after tax:

  • 2010: 16 million EUR
  • 2011 (Baseline): -9 million EUR
  • 2012 (Baseline): -68 million EUR
  • 2011 (Adverse): -212 million EUR
  • 2012 (Adverse): -244 million EUR

Provisions and Losses

• Stock of provisions:

  • 2010: 449 million EUR
  • 2011 (Baseline): 599 million EUR
  • 2012 (Baseline): 820 million EUR
  • 2011 (Adverse): 767 million EUR
  • 2012 (Adverse): 1,158 million EUR

• Provisions for non-defaulted assets:

  • 2010: 96 million EUR
  • 2011 (Baseline): 97 million EUR
  • 2012 (Baseline): 98 million EUR
  • 2011 (Adverse): 97 million EUR
  • 2012 (Adverse): 98 million EUR

• Provisions for defaulted assets:

  • 2010: 353 million EUR
  • 2011 (Baseline): 502 million EUR
  • 2012 (Baseline): 722 million EUR
  • 2011 (Adverse): 669 million EUR
  • 2012 (Adverse): 1,060 million EUR

Coverage Ratios and Loss Rates

• Coverage ratio (%):

  • Corporate (excluding Commercial real estate): 51.3% (2010) → 40.2% (Baseline 2012) → 55.4% (Adverse 2012)
  • Retail (excluding Commercial real estate): 23.5% (2010) → 19.8% (Baseline 2012) → 24.9% (Adverse 2012)
  • Commercial real estate: 27.4% (2010) → 20.9% (Baseline 2012) → 26.8% (Adverse 2012)

• Loss rates (%):

  • Corporate (excluding Commercial real estate): 2.8% (2010) → 3.8% (Baseline 2012) → 6.8% (Adverse 2012)
  • Retail (excluding Commercial real estate): 0.5% (2010) → 0.4% (Baseline 2012) → 0.7% (Adverse 2012)
  • Commercial real estate: 1.0% (2010) → 0.9% (Baseline 2012) → 1.6% (Adverse 2012)

Mitigating Measures

• Use of provisions and/or other reserves (including countercyclical provisions):

  • Capital ratio impact: +0.5%
  • Capital impact: +67 million EUR

• Divestments and other management actions taken by 30 April 2011:

  • No impact on RWA or capital ratio

• Other disinvestments and restructuring measures (including future mandatory restructuring not yet approved with EU Commission):

  • No impact on RWA or capital ratio

• Future planned issuances of common equity instruments (private issuances):

  • No impact on capital ratio

• Future planned government subscriptions of capital instruments (including hybrids):

  • No impact on capital ratio

• Other instruments recognised as appropriate back-stop measures by national supervisory authorities:

  • No impact on RWA or capital ratio

Capital Adequacy and Regulatory Capital

• Common equity (A + B):

  • 2010: 1,935 million EUR (13.2% of RWA)

• Tier 1 capital (E + F):

  • 2010: 1,935 million EUR (13.2% of RWA)

• Tier 2 capital:

  • 2010: 67 million EUR (0.5% of RWA)

• Tier 3 capital:

  • 2010: 0 million EUR (0.0% of RWA)

• Total capital:

  • 2010: 2,002 million EUR (13.6% of RWA)

Notes and Methodology

• The stress test was conducted using the EBA common methodology, with a static balance sheet assumption and regulatory transitional floors where applicable.
• Capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national definitions.
• The results should not be interpreted as forecasts or compared directly with other published information.
• Mitigating measures include provisions, divestments, and restructuring plans, which may be recognized by national authorities but not by EBA.
• Deferred tax assets and minority interests are included in the capital adequacy calculations.
• Valuation differences in AFS/FVO assets and property are considered in the capital calculation.
• Sovereign shock is included in the stress test, but no valuation losses were recorded in the adverse scenario.
• Losses from the stress in the trading book were -7 million EUR (Baseline) and -439 million EUR (Adverse).