EBA欧洲银行-ES083_11页_944kb

报告摘要

2011 EBA EU-wide Stress Test Summary: CAJA DE AHORROS DEL MEDITERRANEO

Core Tier 1 Capital and Capital Ratios

Actual Results at 31 December 2010

Operating profit before impairments: 582 million EUR
Impairment losses on financial and non-financial assets in the banking book: -450 million EUR
Risk weighted assets (RWA): 48,251 million EUR
Core Tier 1 capital: 1,843 million EUR
Core Tier 1 capital ratio: 3.8%
Additional capital needed to reach a 5% Core Tier 1 capital benchmark: 570 million EUR

Outcomes of the Adverse Scenario at 31 December 2012 (Excluding Mitigating Actions)

Core Tier 1 capital ratio: -2.8%

Outcomes of the Adverse Scenario at 31 December 2012 (Including Recognised Mitigating Measures)

Core Tier 1 capital: 1,468 million EUR
Core Tier 1 capital ratio: 3.0%
Additional capital needed to reach a 5% Core Tier 1 capital benchmark: 947 million EUR

Effects of Recognised Mitigating Measures

Equity Raisings and Government Support

Equity raisings announced and fully committed (31 December 2010 to 30 April 2011): 0 million EUR
Effect of government support on Core Tier 1 capital ratio: +5.8 percentage points
Effect of mandatory restructuring on Core Tier 1 capital ratio: 0 percentage points

Core Tier 1 Capital After Mitigating Measures

Core Tier 1 capital: 3,527 million EUR (2011), 3,084 million EUR (2012)
Tier 1 capital: 4,389 million EUR (2011), 3,945 million EUR (2012)
Total regulatory capital: 5,793 million EUR (2011), 5,349 million EUR (2012)

Profit and Loss Outcomes

Baseline Scenario

Net interest income: 811 million EUR (2010), 762 million EUR (2011), 689 million EUR (2012)
Trading income: 5 million EUR (2010), -2 million EUR (2011), -2 million EUR (2012)
Other operating income: 435 million EUR (2010), 129 million EUR (2011), 132 million EUR (2012)
Operating profit before impairments: 582 million EUR (2010), 262 million EUR (2011), 198 million EUR (2012)
Impairments on financial and non-financial assets in the banking book: -450 million EUR (2010), -824 million EUR (2011), -820 million EUR (2012)
Operating profit after impairments: 133 million EUR (2010), -563 million EUR (2011), -622 million EUR (2012)
Other income: 91 million EUR (2010), -71 million EUR (2011), -12 million EUR (2012)
Net profit after tax: 166 million EUR (2010), -443 million EUR (2011), -444 million EUR (2012)

Adverse Scenario

Operating profit before impairments: 6 million EUR (2011), -192 million EUR (2012)
Impairments on financial and non-financial assets in the banking book: -1,629 million EUR (2011), -1,668 million EUR (2012)
Operating profit after impairments: -1,187 million EUR (2011), -1,316 million EUR (2012)
Net profit after tax: -1,187 million EUR (2011), -1,316 million EUR (2012)

Additional Information

Deferred Tax Assets

2010: 1,070 million EUR
2011: 1,260 million EUR
2012: 1,450 million EUR (Baseline), 1,579 million EUR (Adverse)

Stock of Provisions

2010: 2,851 million EUR
2011: 3,665 million EUR
2012: 4,474 million EUR (Baseline), 5,864 million EUR (Adverse)
Provisions for non-defaulted assets:
- Sovereigns: 2 million EUR (2011), 4 million EUR (2012)
- Institutions: 10 million EUR (2011), 22 million EUR (2012)
- Corporate (excluding Commercial real estate): 903 million EUR (2011), 903 million EUR (2012)
- Retail (excluding Commercial real estate): 332 million EUR (2011), 332 million EUR (2012)
- Commercial real estate: 195 million EUR (2011), 195 million EUR (2012)

Coverage Ratios

Corporate (excluding Commercial real estate): 29.7% (2010), 32.1% (2011), 32.8% (2012), 41.0% (Baseline 2011), 45.1% (Adverse 2012)
Retail (excluding Commercial real estate): 33.5% (2010), 29.6% (2011), 22.7% (2012), 37.5% (Baseline 2011), 27.9% (Adverse 2012)
Commercial real estate: 15.7% (2010), 10.9% (2011), 20.9% (2012), 13.8% (Baseline 2011), 26.8% (Adverse 2012)

Loss Rates

Corporate (excluding Commercial real estate): 2.2% (2010), 2.8% (2011), 2.8% (2012), 5.0% (Baseline 2011), 5.2% (Adverse 2012)
Retail (excluding Commercial real estate): 0.6% (2010), 0.7% (2011), 0.7% (2012), 1.4% (Baseline 2011), 1.4% (Adverse 2012)
Commercial real estate: 1.1% (2010), 0.5% (2011), 0.5% (2012), 0.9% (Baseline 2011), 0.9% (Adverse 2012)

Funding Cost

2010: 217 bps
2011: 253 bps (Baseline), 353 bps (Adverse)

Capital Adequacy Composition at 31 December 2010

Common equity before deductions: 2,010 million EUR (4.2% of RWA)
Eligible capital and reserves: 2,235 million EUR (4.6% of RWA)
Intangible assets (including goodwill): -225 million EUR (-0.5% of RWA)
Deductions from common equity: -167 million EUR (-0.3% of RWA)
Common equity (A+B): 1,843 million EUR (3.8% of RWA)
Hybrid instruments not subscribed by government: 861 million EUR (1.8% of RWA)
Tier 1 capital (E+F): 2,704 million EUR (5.6% of RWA)
Tier 2 capital: 1,404 million EUR (2.9% of RWA)
Tier 3 capital: 0 million EUR (0.0% of RWA)
Total capital: 4,109 million EUR (8.5% of RWA)

Difference from Benchmark

Difference from 5% Core Tier 1 capital threshold: -570 million EUR (-1.2% of RWA)

Overview of Mitigating Measures

A) Use of Provisions and/or Other Reserves

Collective provisions after the stress test: 1,001 million EUR
RWA impact: 0 million EUR
Capital ratio impact: +2.1 percentage points

B) Divestments and Other Management Actions (by 30 April 2011)

No specific measures listed
RWA impact: 0 million EUR
Capital ratio impact: 0 percentage points

C) Other Disinvestments and Restructuring Measures

No specific measures listed
RWA impact: 0 million EUR
Capital ratio impact: 0 percentage points

D) Future Planned Issuances of Common Equity Instruments

No specific measures listed
Capital ratio impact: 0 percentage points

E) Future Planned Government Subscriptions of Capital Instruments

No specific measures listed
Capital ratio impact: 0 percentage points

F) Other Instruments Recognised as Back-stop Measures

No specific measures listed
RWA impact: 0 million EUR
Capital ratio impact: 0 percentage points

Notes

The stress test was conducted using the EBA common methodology with a static balance sheet assumption.
Capital elements and ratios are based on the EBA definition of Core Tier 1 capital.
The results should not be construed as forecasts or compared directly to other published information.
The supervisory recognised capital ratio includes additional mitigating measures not necessarily aligned with the EBA methodology.
Details of all mitigating measures are provided in the worksheet "3 - Mitigating measures".

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