EBA欧洲银行-ES_80H66LPTVDLM0P28XF25_16页_3mb

2014 EU-wide Stress Test Summary for Banco Popular Espanol, S.A.

Core Information

• Bank Name: ES - Banco Popular Espanol, S.A.
• LEI Code: 80H66LPTVDLM0P28XF25

Summary: Adverse Scenario

Actual Figures as of 31 December 2013

• Operating profit before impairments: 2,771 min EUR
• Impairment losses on financial and non-financial assets in the banking book: 3,034 min EUR
• Common Equity Tier 1 (CET1) capital: 8,481 min EUR
• Total Risk Exposure: 84,293 min EUR
• CET1 ratio: 10.1%

Outcome as of 31 December 2016

• 3-year cumulative operating profit before impairments: 2,867 min EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 5,194 min EUR
• 3-year cumulative losses from the stress in the trading book: 107 min EUR
• Valuation losses due to sovereign shock after tax and prudential filters: 342 min EUR
• CET1 capital: 6,434 min EUR
• Total Risk Exposure: 85,052 min EUR
• CET1 ratio: 7.6%

Memorandum Items

• Common EU-wide CET1 Threshold (5.5%): 4,678 min EUR
• Total amount of instruments with mandatory conversion into ordinary shares (cumulative conversions): 773 min EUR
• Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital under the CRR provisions: 500 min EUR
• Of which: eligible instruments whose trigger is above CET1 capital ratio in the adverse scenario: 0 min EUR

Summary: Baseline Scenario

Actual Figures as of 31 December 2013

• Operating profit before impairments: 2,771 min EUR
• Impairment losses on financial and non-financial assets in the banking book: 3,034 min EUR
• CET1 capital: 8,481 min EUR
• Total Risk Exposure: 84,293 min EUR
• CET1 ratio: 10.1%

Outcome as of 31 December 2016

• 3-year cumulative operating profit before impairments: 4,924 min EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 3,065 min EUR
• 3-year cumulative losses from the stress in the trading book: 69 min EUR
• CET1 capital: 9,258 min EUR
• Total Risk Exposure: 84,664 min EUR
• CET1 ratio: 10.9%

Memorandum Items

• Common EU-wide CET1 Threshold (8.0%): 6,773 min EUR

Risk Exposure and Impairment Analysis

Exposure Values (as of 31/12/2013)

• F-IRB: Non-defaulted: 13,684 min EUR, Defaulted: 591 min EUR
• A-IRB: Non-defaulted: 46,195 min EUR, Defaulted: 10,844 min EUR
• STA: Non-defaulted: 66,884 min EUR, Defaulted: 6,145 min EUR

Risk Exposure Amounts (as of 31/12/2013)

• F-IRB: Non-defaulted: 8,657 min EUR, Defaulted: 148 min EUR
• A-IRB: Non-defaulted: 21,350 min EUR, Defaulted: 1,547 min EUR
• STA: Non-defaulted: 32,203 min EUR, Defaulted: 6,630 min EUR

Value Adjustments and Provisions (as of 31/12/2013)

• F-IRB: Non-defaulted: 120 min EUR, Defaulted: 210 min EUR
• A-IRB: Non-defaulted: 368 min EUR, Defaulted: 3,583 min EUR
• STA: Non-defaulted: 425 min EUR, Defaulted: 3,477 min EUR

Summary of Impairment Rates and Provisions

Baseline Scenario

• Impairment Rate: 0.07% (2014), 0.38% (2015), 1.65% (2016)
• Stock of Provisions: 14 (2014), 18 (2015), 21 (2016)
• Coverage Ratio - Default Stock: 44.16% (2014), 44.39% (2015), 44.25% (2016)

Adverse Scenario

• Impairment Rate: 0.41% (2014), 0.40% (2015), 0.39% (2016)
• Stock of Provisions: 31 (2014), 50 (2015), 69 (2016)
• Coverage Ratio - Default Stock: 42.03% (2014), 41.62% (2015), 41.31% (2016)

Key Observations

• The CET1 ratio decreased from 10.1% to 7.6% under the Adverse Scenario, indicating a significant stress impact.
• Under the Baseline Scenario, the CET1 ratio increased slightly to 10.9%, suggesting a more resilient performance.
• Impairment losses were higher under the Adverse Scenario, with cumulative losses reaching 5,194 min EUR by 2016, compared to 3,065 min EUR under the Baseline Scenario.
• The Trading book losses were also higher under the Adverse Scenario, with cumulative losses of 107 min EUR by 2016, versus 69 min EUR under the Baseline Scenario.
• Securitisation and re-securitisation positions were deducted from capital and not included in risk-weighted assets (RWA) in both scenarios.