EBA欧洲银行-2011-EU-wide-stress-test-disclosure-templates-pdf_1_10页_382kb

Summary of the 2011 EBA EU-wide Stress Test Results

Core Content Overview

The document outlines the results of the 2011 EBA EU-wide stress test for a specific bank, providing a detailed analysis of the bank's capital adequacy and financial performance under both baseline and adverse scenarios. The results are presented in three main sections: the results without any mitigating actions, the results incorporating mitigating measures announced before 31 December 2010, and the results including measures announced up to 30 April 2011. It also includes a summary of additional mitigating measures and a breakdown of capital composition as of 31 December 2010.

Key Financial Indicators

Actual Results as of 31 December 2010

• Operating profit before impairments
• Impairment losses on financial and non-financial assets in the banking book
• Risk weighted assets (RWA)
• Core Tier 1 capital
• Core Tier 1 capital ratio (%)
• Additional capital needed to reach a 5% Core Tier 1 capital benchmark

Adverse Scenario Results as of 31 December 2012 (excluding mitigating actions)

• Core Tier 1 capital ratio (%)

Adverse Scenario Results as of 31 December 2012 (including mitigating actions up to 30 April 2011)

• 2-year cumulative operating profit before impairments
• 2-year cumulative impairment losses on financial and non-financial assets in the banking book
• 2-year cumulative losses from stress in the trading book (including valuation losses due to sovereign shock)
• Risk weighted assets
• Core Tier 1 capital
• Core Tier 1 capital ratio (%)
• Additional capital needed to reach a 5% Core Tier 1 capital benchmark

Mitigating Measures

The document lists various mitigating measures taken or planned, including:

A) Use of provisions and/or other reserves

• Capital ratio effect
• Includes release of countercyclical provisions

B) Divestments and other management actions

• RWA impact (+/-)
• Capital ratio impact (+/-)

C) Other disinvestments and restructuring measures

• Includes future mandatory restructuring not yet approved with the EU Commission
• RWA impact (+/-)
• Capital ratio impact (+/-)

D) Future planned issuances of common equity instruments

• Capital ratio effect

E) Future planned government subscriptions of capital instruments (including hybrids)

• Capital ratio effect

F) Other instruments recognised as back-stop measures

• RWA impact (+/-)
• Capital ratio impact (+/-)

Supervisory Recognised Capital Ratio

• After all current and future mitigating actions as of 31 December 2012 (%)
• Based on EBA methodology but may include other measures considered appropriate by national supervisory authorities

Notes and Definitions

1. The stress test was conducted using the EBA common methodology, which includes a static balance sheet assumption and regulatory transitional floors where applicable.
2. Capital elements and ratios are based on the EBA definition of Core Tier 1 capital and may differ from national definitions or public disclosures.
3. Neither the baseline nor adverse scenarios should be interpreted as forecasts or compared directly to other published information.
4. Regulatory transitional floors are applied where binding.
5. The release of countercyclical provisions and similar reserves for 2011-2012 is reported in Section D as mitigating measures.
6. Net profit includes profit attributable to minority interests.
7. Deferred tax assets are defined according to the Basel 3 framework.
8. Stock of provisions includes collective, specific, and countercyclical provisions where required by national legislation.
9. Provisions for non-defaulted exposures to sovereigns and financial institutions are computed using EBA risk parameters.
10. Coverage ratio is defined as stock of provisions on defaulted assets divided by stock of defaulted assets in EAD.
11. Loss rate is calculated as total impairment flow divided by total EAD for a specific portfolio.
12. All elements are reported net of tax effects.

Capital Composition as of 31 December 2010

• Common equity before deductions (Original own funds without hybrid instruments and government support measures other than ordinary shares)
• Deductions from common equity (including participations, subordinated claims, securitisation exposures, IRB provision shortfall, etc.)
• Common equity (A + B)
• Ordinary shares subscribed by government
• Other existing government support measures
• Core Tier 1 including existing government support measures (C + D)
• Difference from benchmark capital threshold (CT1 5%)
• Hybrid instruments not subscribed by government
• Tier 1 Capital (E + F)
• Tier 2 Capital
• Tier 3 Capital
• Total Capital
• Memorandum items: holdings, participations, subordinated claims, securitisation exposures, deferred tax assets, minority interests, valuation differences

Additional Mitigating Measures

• Impact on capital ratio
• Impact on RWA
• Includes provisions, divestments, other management actions, future capital raisings, and other back-stop measures

Summary of Key Outcomes

• The stress test evaluates the bank's resilience under adverse conditions.
• Capital adequacy metrics, including Core Tier 1 capital and ratio, are adjusted for mitigating actions taken between 31 December 2010 and 30 April 2011.
• The EBA methodology provides a static balance sheet assumption and includes regulatory transitional floors.
• National supervisory authorities may include additional mitigating measures not fully recognised by EBA in the capital ratio calculation.
• The results are not forecasts and should not be directly compared to other financial reports.