EBA欧洲银行-SE084_10页_1mb

Summary of the 2011 EBA EU-wide Stress Test Results: Nordea Bank AB (publ)

Core Tier 1 Capital Ratio

• Actual results at 31 December 2010:

  • Core Tier 1 capital ratio: 8.9%
  • Core Tier 1 capital: 19,103 million EUR
  • Risk weighted assets (RWA): 214,760 million EUR

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

  • Core Tier 1 capital ratio: 9.5%
  • Core Tier 1 capital: 20,053 million EUR
  • RWA: 210,519 million EUR

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

  • Not specified in the table, but implied to be less than the current level.

Impact of Mitigating Measures

• Mitigating measures taken between 31 December 2010 and 30 April 2011:

  • These measures are included in the calculation of the Core Tier 1 capital ratio and RWA, which results in a Core Tier 1 capital ratio of 9.5% at 31 December 2012.
  • Capital after mitigating measures: 20,053 million EUR
  • RWA after mitigating measures: 210,519 million EUR

• Effects of capital raisings and government support:

  • Equity raisings: Not specified in value
  • Government support: Not specified in value
  • Mandatory restructuring plans: Not specified in value

• Supervisory recognised capital ratio:

  • 9.5% after all mitigating actions as of 31 December 2012.

Profit and Loss Outcomes

• Operating profit before impairments:

  • 2010: 4,262 million EUR
  • 2011 (Baseline): 3,680 million EUR
  • 2012 (Baseline): 3,596 million EUR
  • 2011 (Adverse): 3,285 million EUR
  • 2012 (Adverse): 3,174 million EUR

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

  • 2010: -879 million EUR
  • 2011 (Baseline): -814 million EUR
  • 2012 (Baseline): -722 million EUR
  • 2011 (Adverse): -1,804 million EUR
  • 2012 (Adverse): -2,495 million EUR

• Other operating income:

  • 2010: 453 million EUR
  • 2011 (Baseline): 471 million EUR
  • 2012 (Baseline): 424 million EUR
  • 2011 (Adverse): 471 million EUR
  • 2012 (Adverse): 424 million EUR

• Net profit after tax:

  • 2010: 2,523 million EUR
  • 2011 (Baseline): 2,161 million EUR
  • 2012 (Baseline): 2,168 million EUR
  • 2011 (Adverse): 1,135 million EUR
  • 2012 (Adverse): 543 million EUR

• Retained earnings:

  • 2011 (Baseline): 1,223 million EUR
  • 2012 (Baseline): 1,227 million EUR
  • 2011 (Adverse): 643 million EUR
  • 2012 (Adverse): 307 million EUR

• Dividends distributed:

  • 2011 (Baseline): 938 million EUR
  • 2012 (Baseline): 941 million EUR
  • 2011 (Adverse): 493 million EUR
  • 2012 (Adverse): 236 million EUR

Additional Information

• Deferred tax assets:

  • 266 million EUR (constant over 2010-2012)

• Stock of provisions:

  • 2010: 2,534 million EUR
  • 2011 (Baseline): 3,348 million EUR
  • 2012 (Baseline): 4,069 million EUR
  • 2011 (Adverse): 4,342 million EUR
  • 2012 (Adverse): 6,840 million EUR

• Provisions for non-defaulted exposures:

  • Sovereigns: 5 million EUR (2011 Adverse) to 10 million EUR (2012 Adverse)
  • Institutions: 68 million EUR (2011 Adverse) to 115 million EUR (2012 Adverse)
  • Corporate: 730 million EUR (2011 Adverse) to 946 million EUR (2012 Adverse)
  • Retail: 351 million EUR (2011 Adverse) to 425 million EUR (2012 Adverse)
  • Commercial real estate: 71 million EUR (2011 Adverse) to 136 million EUR (2012 Adverse)

• Coverage ratio:

  • Corporate: 33.5% (2010) to 40.9% (2012 Adverse)
  • Retail: 15.6% (2010) to 25.5% (2012 Adverse)
  • Commercial real estate: 4.6% (2010) to 10.9% (2012 Adverse)

• Loss rates:

  • Corporate: 0.4% (2010) to 1.0% (2012 Adverse)
  • Retail: 0.1% (2010) to 0.5% (2012 Adverse)
  • Commercial real estate: 0.1% (2010) to 0.2% (2012 Adverse)

Notes and Methodology

• The stress test was conducted using the EBA common methodology, which includes a static balance sheet assumption and incorporates regulatory transitional floors where binding.

• Capital elements and ratios are presented in accordance with the EBA definition of Core Tier 1 capital, which may differ from national supervisory definitions or public disclosures.

• Baseline and adverse scenarios are not forecasts and should not be compared to the bank’s other published information.

• Regulatory transitional floors are applied where binding, and RWA for credit risk is calculated assuming an additional floor for both IRB and STA portfolios.

• Other operating income and Other income are explained as follows:

  • Other income: +66 million EUR (Share of profits in associates and joint ventures) - 4 million EUR (Impairments of intangible assets)
  • Other operating income: +30 million EUR (Sale of global custody operations) + 8 million EUR (Income from Real Estate) + 2 million EUR (Disposal of tangible and intangible assets) + 76 million EUR (Other) + 1,837 million EUR (Total)

• Valuation losses due to sovereign shock are reported as -50 million EUR (2011 Adverse) and -25 million EUR (2012 Adverse).

• Mitigating measures include:

  • Use of provisions and reserves (including countercyclical provisions)
  • Divestments and other management actions
  • Other disinvestments and restructuring measures
  • Future capital raisings and government support
  • Back-stop measures approved by national supervisory authorities

• The supervisory recognised capital ratio is computed based on the EBA definition, but may also include national supervisory measures not recognized by the EBA methodology.

• Details of all mitigating measures are provided in the worksheet "3 - Mitigating measures".

Capital Composition as of 31 December 2010

• Common equity before deductions: 19,443 million EUR (9.1% of RWA)
• Eligible capital and reserves: 22,587 million EUR (10.5% of RWA)
• Intangible assets (including goodwill): -3,144 million EUR (-1.5% of RWA)
• Adjustment to valuation differences in other AFS assets: +1 million EUR (0.0% of RWA)
• Deductions from common equity: -340 million EUR (-0.2% of RWA)
• Securitisation exposures not included in RWA: Not specified
• IRB provision shortfall and equity expected loss amounts: -234 million EUR (-0.1% of RWA)
• Core Tier 1 capital: 19,103 million EUR (8.9% of RWA)
• Hybrid instruments not subscribed by government: 1,946 million EUR (0.9% of RWA)
• Tier 1 capital: 21,049 million EUR (9.8% of RWA)
• Tier 2 capital: 3,685 million EUR (1.7% of RWA)
• Total capital: 24,734 million EUR (11.5% of RWA)
• Holdings, participations and subordinated claims in credit, financial and insurance institutions: 1,253 million EUR (0.6% of RWA)
• Deferred tax assets: 266 million EUR (0.1% of RWA)
• Minority interests (excluding hybrid instruments): 10 million EUR (0.0% of RWA)
• Valuation differences eligible as original own funds: - (Not specified)

Summary of Key Findings

• Nordea Bank AB (publ) maintained a Core Tier 1 capital ratio of 9.5% at 31 December 2012, even after the adverse scenario, which includes the impact of mitigating actions taken up to 30 April 2011.
• The Core Tier 1 capital increased from 19,103 million EUR in 2010 to 20,053 million EUR in 2012.
• The RWA decreased from 214,760 million EUR in 2010 to 210,519 million EUR in 2012.
• The operating profit before impairments declined under the adverse scenario, with 2012 Adverse showing 3,174 million EUR, compared to 4,262 million EUR in 2010.
• Impairment losses increased significantly in the adverse scenario, reaching -2,495 million EUR in 2012.
• Net profit after tax also declined under the adverse scenario, from 2,523 million EUR in 2010 to 543 million EUR in 2012.
• The stock of provisions increased under the adverse scenario, from 2,534 million EUR in 2010 to 6,840 million EUR in 2012.
• Coverage ratios improved significantly for all segments under the adverse scenario, with Corporate increasing from 33.5% to 40.9%, Retail from 15.6% to 25.5%, and Commercial real estate from 4.6% to 10.9%.
• Loss rates increased in the adverse scenario, particularly for Corporate and Retail segments.
• The capital adequacy of the bank remained above the 5% Core Tier 1 capital benchmark, indicating resilience under stress conditions.