EBA欧洲银行-NO051_11页_1mb

Summary of the 2011 EBA EU-wide Stress Test Results for DnB NOR Bank ASA

Core Tier 1 Capital and Capital Adequacy

Actual Results at 31 December 2010

• Operating profit before impairments: 2,548 million EUR
• Impairment losses on financial and non-financial assets in the banking book: -384 million EUR
• Risk weighted assets (RWA): 117,777 million EUR
• Core Tier 1 capital: 9,746 million EUR
• Core Tier 1 capital ratio: 8.3%

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

• Core Tier 1 capital ratio: 9.0%

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

• 2-year cumulative operating profit before impairments: 4,373 million EUR
• 2-year cumulative impairment losses on financial and non-financial assets in the banking book: -2,280 million EUR
• 2-year cumulative losses from the stress in the trading book: -299 million EUR
  • Valuation losses due to sovereign shock: -27 million EUR
• Risk weighted assets: 117,695 million EUR
• Core Tier 1 capital: 10,551 million EUR
• Core Tier 1 capital ratio: 9.0%

Additional Mitigating Measures

Recognised Mitigating Measures as of 30 April 2011

• Equity raisings announced and fully committed: 0 million EUR
• Government support: 0 percentage points
• Mandatory restructuring plans: 0 percentage points
• Supervisory recognised capital ratio after all mitigating actions: 9.0%

Effects of Recognised Mitigating Measures

• Equity raised between 31 December 2010 and 30 April 2011: 0 million EUR
• Core Tier 1 capital after government support and restructuring: 10,551 million EUR
• Tier 1 capital after government support and restructuring: 11,631 million EUR
• Total regulatory capital after government support and restructuring: 14,679 million EUR

Profit and Loss Analysis

Baseline and Adverse Scenario Profit and Losses

• Net interest income:
  • 2011: 2,998 million EUR
  • 2012: 3,359 million EUR (Baseline) / 2,998 million EUR (Adverse)
• Trading income:
  • 2011: 469 million EUR
  • 2012: 469 million EUR (Baseline) / 337 million EUR (Adverse)
• Trading losses from stress scenarios:
  • 2011: -18 million EUR
  • 2012: -149 million EUR
• Valuation losses due to sovereign shock:
  • 2012: -13 million EUR (Baseline) / -13 million EUR (Adverse)
• Other operating income:
  • 2011: 606 million EUR
  • 2012: 405 million EUR
• Operating profit before impairments:
  • 2011: 2,617 million EUR (Baseline) / 2,177 million EUR (Adverse)
• Impairment losses on financial and non-financial assets in the banking book:
  • 2011: -569 million EUR (Baseline) / -1,106 million EUR (Adverse)
• Operating profit after impairments and other losses from the stress:
  • 2011: 2,048 million EUR (Baseline) / 1,071 million EUR (Adverse)
• Net profit after tax:
  • 2011: 1,441 million EUR (Baseline) / 738 million EUR (Adverse)
  • Retained earnings: 721 million EUR (Baseline) / 369 million EUR (Adverse)
  • Dividends distributed: 721 million EUR (Baseline) / 369 million EUR (Adverse)

Provisions and Loss Coverage

Stock of Provisions

• Total stock of provisions: 1,513 million EUR
• Stock of provisions for non-defaulted assets: 240 million EUR
  • Sovereigns: 1 million EUR
  • Institutions: 3 million EUR
  • Corporate (excluding Commercial real estate): 219 million EUR
  • Retail (excluding Commercial real estate): 37 million EUR
  • Commercial real estate: 65 million EUR
• Stock of provisions for defaulted assets: 1,273 million EUR
  • Corporate (excluding Commercial real estate): 613 million EUR
  • Retail (excluding Commercial real estate): 373 million EUR
  • Commercial real estate: 286 million EUR

Coverage Ratios

• Corporate (excluding Commercial real estate): 19.4% (Baseline) / 23.3% (Adverse)
• Retail (excluding Commercial real estate): 31.2% (Baseline) / 27.8% (Adverse)
• Commercial real estate: 31.5% (Baseline) / 32.9% (Adverse)

Loss Rates

• Corporate (excluding Commercial real estate): 0.5% (Baseline) / 0.8% (Adverse)
• Retail (excluding Commercial real estate): 0.1% (Baseline) / 0.3% (Adverse)
• Commercial real estate: 0.2% (Baseline) / 0.8% (Adverse)

Capital Composition as of 31 December 2010

• Common equity before deductions: 9,963 million EUR
• Eligible capital and reserves: 10,703 million EUR
• Intangible assets (including goodwill): -740 million EUR
• Deductions from common equity: -217 million EUR
  • Deductions of participations and subordinated claims: -131 million EUR
  • IRB provision shortfall and IRB equity expected loss amounts (before tax): -85 million EUR
• Common equity (A+B): 9,746 million EUR
• Core Tier 1 including existing government support measures (C+D): 9,746 million EUR
• Difference from benchmark capital threshold (CT1 5%): 3,857 million EUR
• Hybrid instruments not subscribed by government: 1,080 million EUR
• Tier 1 capital (E+F): 10,826 million EUR
• Tier 2 capital: 2,963 million EUR
• Tier 3 capital: Not provided
• Total capital: 13,788 million EUR

Notes and Definitions

• The stress test was conducted using the EBA common methodology, which assumes a static balance sheet and incorporates regulatory transitional floors.
• All capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national supervisory definitions.
• The results are not forecasts and should not be compared directly to the bank's published information.
• The capital adequacy ratios and figures are based on the full static balance sheet assumption, excluding any mitigating actions, restructuring, or capital raisings after 31 December 2010.
• "Other income" includes various adjustments such as write-downs, depreciation, and profit from equity method investments.
• Provisions for non-defaulted exposures are computed using EBA benchmark risk parameters.
• The capital ratio is based on the EBA definition, but may include other measures not recognised by EBA, as approved by national supervisory authorities.
• All elements are reported net of tax effects.

Overview of Mitigating Measures

A) Use of Provisions and Other Reserves

• No specific details provided in the table.

B) Divestments and Management Actions by 30 April 2011

• No specific details provided in the table.

C) Other Disinvestments and Restructuring Measures

• No specific details provided in the table.

D) Future Planned Common Equity Issuances

• No specific details provided in the table.

E) Future Government Subscriptions

• No specific details provided in the table.

F) Other Back-Stop Measures

• No specific details provided in the table.

Additional Information

• Deferred tax assets: -42 million EUR
• Minority interests: 0 million EUR
• Valuation differences eligible as original own funds: 44 million EUR
• Effects from other mitigating measures: 0 million EUR (RWA impact), 0 percentage points (capital ratio impact)

Conclusion

The 2011 EBA EU-wide stress test for DnB NOR Bank ASA shows that the bank maintained a Core Tier 1 capital ratio of 9.0% at 31 December 2012, after incorporating recognised mitigating measures. The bank's capital adequacy and profitability were impacted by the adverse scenario, but the implementation of mitigating actions helped stabilise its capital position. The capital composition and provisions are aligned with the EBA methodology, with no additional capital needed to meet the 5% Core Tier 1 capital benchmark.