EBA欧洲银行-ES066_11页_837kb

Summary of the 2011 EBA EU-wide Stress Test Results for CAIXA D'ESTALVIS DE CATALUNYA, TARRAGONA I MANRESA

Core Tier 1 Capital Ratio

• As of 31 December 2010 (Baseline): 6.4%
• After 2011 (Baseline Scenario): 5.3%
• After 2012 (Baseline Scenario): 4.3%
• After 2011 (Adverse Scenario): 4.2%
• After 2012 (Adverse Scenario): 1.4%
• After Incorporating Mitigating Measures (Adverse Scenario): 4.8%
• After All Mitigating Actions (Adverse Scenario): 6.3%

Capital Adequacy and Risk Weighted Assets (RWA)

• RWA as of 31 December 2010: 48,595 million EUR
• RWA in 2011 (Baseline): 48,784 million EUR
• RWA in 2012 (Baseline): 48,917 million EUR
• RWA in 2011 (Adverse): 49,828 million EUR
• RWA in 2012 (Adverse): 49,754 million EUR
• RWA after Mitigating Measures (Adverse): 48,805 million EUR

Capital Composition

• Common equity (before deductions): 1,900 million EUR
• Eligible capital and reserves: 2,039 million EUR
• Deductions from common equity: -46 million EUR
• Common equity after deductions: 1,854 million EUR
• Other existing government support measures: 1,250 million EUR
• Core Tier 1 capital (including government support): 3,104 million EUR
• Tier 1 capital (including government support): 3,614 million EUR
• Tier 2 capital: 1,585 million EUR
• Tier 3 capital: 0 million EUR
• Total capital: 5,199 million EUR

Additional Capital Needed

• To reach 5% Core Tier 1 capital ratio (Adverse Scenario with Mitigating Measures): 75 million EUR

Profit and Loss (P&L) Impact

• Operating profit before impairments (2010): 270 million EUR
• Operating profit before impairments (2011, Baseline): 32 million EUR
• Operating profit before impairments (2012, Baseline): -33 million EUR
• Operating profit before impairments (2011, Adverse): -14 million EUR
• Operating profit before impairments (2012, Adverse): -288 million EUR
• Impairment losses (2010): -154 million EUR
• Impairment losses (2011, Baseline): -769 million EUR
• Impairment losses (2012, Baseline): -642 million EUR
• Impairment losses (2011, Adverse): -1,413 million EUR
• Impairment losses (2012, Adverse): -1,689 million EUR
• Operating profit after impairments (2010): 116 million EUR
• Operating profit after impairments (2011, Baseline): -737 million EUR
• Operating profit after impairments (2012, Baseline): -674 million EUR
• Operating profit after impairments (2011, Adverse): -1,427 million EUR
• Operating profit after impairments (2012, Adverse): -1,977 million EUR
• Net profit (2010): 110 million EUR
• Net profit (2011, Baseline): -516 million EUR
• Net profit (2012, Baseline): -472 million EUR
• Net profit (2011, Adverse): -999 million EUR
• Net profit (2012, Adverse): -1,384 million EUR

Provisions and Losses

• Stock of provisions (2010): 2,402 million EUR
• Stock of provisions for non-defaulted assets (2010): 924 million EUR
• Stock of provisions for defaulted assets (2010): 1,478 million EUR
• Loss rates (2010):
  • Corporate (excluding Commercial real estate): 1.5%
  • Retail (excluding Commercial real estate): 0.6%
  • Commercial real estate: 2.4%
• Coverage ratio (2010):
  • Corporate (excluding Commercial real estate): 30.9%
  • Retail (excluding Commercial real estate): 35.8%
  • Commercial real estate: 22.4%

Mitigating Measures

A) Use of Provisions and Other Reserves

• Impact on Core Tier 1 capital (CT1): +525 million EUR
• Impact on CT1 ratio: +1.1 percentage points

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

• Divestment of equities (Available for Sale): 124 million EUR
  • Impact on RWA: -738 million EUR
  • Impact on CT1 ratio: +0.3 percentage points
• Divestment of securitization securities: 27 million EUR
  • Impact on RWA: -211 million EUR
  • Impact on CT1 ratio: +0.1 percentage points

C) Other Disinvestments and Restructuring Measures

• Impact on RWA: 0 million EUR
• Impact on CT1: 0 million EUR
• Impact on CT1 ratio: 0 percentage points

Additional Information

• Deferred tax assets: 496 million EUR
• Minority interests (excluding hybrids): 1 million EUR
• Valuation differences eligible as original own funds: - (not applicable)
• Total assets after all mitigating actions: 77,732 million EUR

Notes

• The stress test is based on the EBA common methodology, assuming a constant balance sheet and uniform treatment of securitisation exposures.
• The baseline scenario is for comparison only and should not be interpreted as a forecast.
• Capital elements are presented according to EBA definitions.
• The Core Tier 1 capital ratio is computed using the full static balance sheet assumption, with adjustments for mitigating actions.
• All elements are reported net of tax effects.