EBA欧洲银行-EBA_RECAP_2012GB088_10页_2mb

文档内容总结

核心内容概述

本文档主要展示了根据CRD3规则对银行资本状况和风险加权资产（RWA）的计算，涉及多个国家的直接和间接主权资产和负债的详细分类。内容包括资本结构、风险加权资产、主权资本缓冲以及相关调整项。

主要观点

• 资本结构：文档分为几个主要部分，包括普通股（Common equity）、其他工具（Other instruments）、核心一级资本（Core Tier 1）、一级资本（Tier 1 Capital）等，用于评估银行资本充足情况。
• 风险加权资产（RWA）：展示了不同风险类别下的RWA，如信用风险、市场风险和操作风险，以及总RWA的计算。
• 主权资本缓冲：涉及主权资产的估值调整和减值，用于计算资本缓冲的缺口或盈余。
• 调整项：包括对估值差异的调整、减记项、监管过滤器等，用于更精确地计算资本缓冲。

关键信息

资本结构

项目	Dec-11 (百万欧元)	Jun-12 (百万欧元)
A) 普通股（不含混合工具和政府支持措施）	64,239	67,009
Of which: 合格资本和储备	83,520	85,502
Of which: 减记项（包括无形资产）	-17,788	-18,453
Of which: 调整项（其他AFS资产估值差异）	1,275	645
B) 普通股减记项	-10,263	-8,647
Of which: 减记项（参与和次级索赔）	-407	-388
Of which: 不计入RWA的证券化暴露	-5,725	-4,436
Of which: IRB准备金缺口和预期损失	-4,131	-3,823
C) 普通股（A+B）	53,976	58,362
Of which: 政府普通股	55,900	55,900
D) 其他可转换工具	0	0
E) 其他现有政府支持措施	0	0
F) 核心一级资本（C+D+E）	53,976	58,362
G) 非政府持有的混合工具	12,060	12,222
Tier 1 Capital (F+G)	66,036	70,585
RWA	525,603	538,772

风险加权资产（RWA）细分

项目	Dec-11 (百万欧元)	Jun-12 (百万欧元)
RWA 总计	525,603	538,772
RWA 信用风险	403,538	415,052
RWA 证券化和再证券化	12,526	7,444
RWA 其他信用风险	391,012	407,608
RWA 市场风险	76,666	66,886
RWA 操作风险	45,399	56,833
过渡性底线	0	0
其他RWA	0	0

主权资本缓冲

项目	Dec-11 (百万欧元)	Jun-12 (百万欧元)
H) 监管过滤器（EEA主权资产）	-1,301	-1,301
I) 主权资产账面价值与公允价值差异	82	82
主权资本缓冲（H+I）	0	0
J) 主权暴露额外减值	-268	-36
主权资本缓冲前9%缺口	-6,672	-9,873
包括主权资本缓冲和额外减值后的总体缺口	-6,940	-9,909

国家数据

奥地利

Residual Maturity	GROSS DIRECT LONG EXPOSURES	NET DIRECT POSITIONS	DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES	INDIRECT SOVEREIGN EXPOSURES	Memo Item	Provisions and write-off	Prudential filter	Reserve AFS	Fair value of Cash flow
[0 - 3M]	0	0	-1	0	0	0	-1	0	0
[3M - 1Y]	23	0	20	6	0	0	14	0	0
[1Y - 2Y]	16	0	-17	1	0	0	-18	10	0
[2Y - 3Y]	22	0	-69	0	0	0	-69	0	0
[3Y - 5Y]	93	0	92	0	0	0	92	527	-8
[5Y - 10Y]	111	0	-122	4	0	0	-126	0	13
[10Y - more]	330	0	365	322	0	0	43	0	0
Total	595	0	268	333	0	0	-65	537	8

比利时

Residual Maturity	GROSS DIRECT LONG EXPOSURES	NET DIRECT POSITIONS	DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES	INDIRECT SOVEREIGN EXPOSURES	Memo Item	Provisions and write-off	Prudential filter	Reserve AFS	Fair value of Cash flow
[0 - 3M]	24	0	-17	8	0	0	-25	0	0
[3M - 1Y]	16	0	-101	0	0	0	-101	0	0
[1Y - 2Y]	29	0	-42	0	0	0	-42	0	0
[2Y - 3Y]	55	0	-10	0	0	0	-10	0	0
[3Y - 5Y]	90	0	-60	8	0	0	-68	104	-10
[5Y - 10Y]	1,019	0	723	506	0	0	217	0	19
[10Y - more]	384	0	257	365	0	0	-108	0	0
Total	1,616	0	752	888	0	0	-136	106	11

保加利亚

Residual Maturity	GROSS DIRECT LONG EXPOSURES	NET DIRECT POSITIONS	DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES	INDIRECT SOVEREIGN EXPOSURES	Memo Item	Provisions and write-off	Prudential filter	Reserve AFS	Fair value of Cash flow
[0 - 3M]	0	0	0	0	0	0	0	0	0
[3M - 1Y]	0	0	0	0	0	0	0	0	0
[1Y - 2Y]	0	0	0	0	0	0	0	0	0
[2Y - 3Y]	0	0	0	0	0	0	0	0	0
[3Y - 5Y]	0	0	-1	0	0	0	-1	0	-4
[5Y - 10Y]	0	0	0	0	0	0	0	0	2
[10Y - more]	0	0	0	0	0	0	0	0	0
Total	0	0	0	0	0	0	0	0	-2

塞浦路斯

Residual Maturity	GROSS DIRECT LONG EXPOSURES	NET DIRECT POSITIONS	DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES	INDIRECT SOVEREIGN EXPOSURES	Memo Item	Provisions and write-off	Prudential filter	Reserve AFS	Fair value of Cash flow
[0 - 3M]	0	0	0	0	0	0	0	0	0
[3M - 1Y]	0	0	0	0	0	0	0	0	0
[1Y - 2Y]	0	0	0	0	0	0	0	0	0
[2Y - 3Y]	0	0	0	0	0	0	0	0	0
[3Y - 5Y]	0	0	-1	0	0	0	-1	0	-4
[5Y - 10Y]	0	0	0	0	0	0	0	0	0
[10Y - more]	0	0	0	0	0	0	0	0	0
Total	0	0	0	0	0	0	0	0	0

捷克共和国

Residual Maturity	GROSS DIRECT LONG EXPOSURES	NET DIRECT POSITIONS	DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES	INDIRECT SOVEREIGN EXPOSURES	Memo Item	Provisions and write-off	Prudential filter	Reserve AFS	Fair value of Cash flow
[0 - 3M]	0	0	0	0	0	0	0	0	0
[3M - 1Y]	117	0	117	12	0	0	105	0	0
[1Y - 2Y]	1	0	1	0	0	0	1	0	0
[2Y - 3Y]	1	0	1	0	0	0	1	4	1
[3Y - 5Y]	65	0	65	55	0	0	10	78	0
[5Y - 10Y]	69	0	61	65	0	0	538	0	0
[10Y - more]	10	0	6	2	0	0	4	0	0
Total	263	0	7,51	134	0	0	92	0	0

丹麦

Residual Maturity	GROSS DIRECT LONG EXPOSURES	NET DIRECT POSITIONS	DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES	INDIRECT SOVEREIGN EXPOSURES	Memo Item	Provisions and write-off	Prudential filter	Reserve AFS	Fair value of Cash flow
[0 - 3M]	1,474	0	1,470	504	0	0	966	0	0
[3M - 1Y]	397	0	401	0	0	0	401	0	0
[1Y - 2Y]	0	0	0	0	0	0	0	0	0
[2Y - 3Y]	0	0	0	0	0	0	0	0	-1
[3Y - 5Y]	0	0	0	0	0	0	0	0	3
[5Y - 10Y]	0	0	0	0	0	0	0	0	0
[10Y - more]	0	0	0	0	0	0	0	0	0
Total	1,871	0	1,871	504	0	0	1,367	0	-1

爱沙尼亚

Residual Maturity	GROSS DIRECT LONG EXPOSURES	NET DIRECT POSITIONS	DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES	INDIRECT SOVEREIGN EXPOSURES	Memo Item	Provisions and write-off	Prudential filter	Reserve AFS	Fair value of Cash flow
[0 - 3M]	0	0	0	0	0	0	0	0	0
[3M - 1Y]	0	0	0	0	0	0	0	0	0
[1Y - 2Y]	0	0	0	0	0	0	0	0	0
[2Y - 3Y]	0	0	0	0	0	0	0	0	0
[3Y - 5Y]	0	0	0	0	0	0	0	0	0
[5Y - 10Y]	0	0	0	0	0	0	0	0	0
[10Y - more]	0	0	0	0	0	0	0	0	0
Total	446	145	381	134	0	0	92	0	0

法国

Residual Maturity	GROSS DIRECT LONG EXPOSURES	NET DIRECT POSITIONS	DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES	INDIRECT SOVEREIGN EXPOSURES	Memo Item	Provisions and write-off	Prudential filter	Reserve AFS	Fair value of Cash flow
[0 - 3M]	265	0	51	0	0	0	51	0	0
[3M - 1Y]	7,810	0	6,650	262	0	0	6,388	7	-1
[1Y - 2Y]	704	0	-3,143	594	0	0	-3,736	12	1
[2Y - 3Y]	1,293	0	965	1,261	0	0	-295	0	-1
[3Y - 5Y]	1,738	0	1,177	346	0	0	408	0	34
[5Y - 10Y]	1,105	0	935	389	0	0	503	0	6
[10Y - more]	1,194	0	743	318	0	0	-108	0	0
Total	14,168	576	7,380	3,170	0	0	3,635	0	-1

德国

Residual Maturity	GROSS DIRECT LONG EXPOSURES	NET DIRECT POSITIONS	DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES	INDIRECT SOVEREIGN EXPOSURES	Memo Item	Provisions and write-off	Prudential filter	Reserve AFS	Fair value of Cash flow
[0 - 3M]	2,861	0	2,696	573	0	0	2,123	1	0
[3M - 1Y]	419	0	403	265	0	0	139	0	0
[1Y - 2Y]	1,234	0	917	1,140	0	0	-223	0	0
[2Y - 3Y]	2,162	0	2,064	2,008	0	0	47	0	0
[3Y - 5Y]	4,647	0	3,808	3,442	0	0	366	12	0
[5Y - 10Y]	5,970	0	5,573	5,490	0	0	83	0	0
[10Y - more]	2,066	0	1,413	1,490	0	0	-78	0	0
Total	19,361	0	16,865	14,408	0	0	2,457	396	0

希腊

Residual Maturity	GROSS DIRECT LONG EXPOSURES	NET DIRECT POSITIONS	DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES	INDIRECT SOVEREIGN EXPOSURES	Memo Item	Provisions and write-off	Prudential filter	Reserve AFS	Fair value of Cash flow
[0 - 3M]	1,528	9	1,528	1,518	0	0	1	0	0
[3M - 1Y]	13	0	13	0	0	0	13	0	0
[1Y - 2Y]	16	0	12	0	0	0	12	0	0
[2Y - 3Y]	22	0	22	0	0	0	22	0	0
[3Y - 5Y]	93	0	92	0	0	0	92	0	0
[5Y - 10Y]	111	0	935	389	0	0	503	0	0
[10Y - more]	330	0	365	322	0	0	43	0	0
Total	595	0	268	333	0	0	-65	537	8

列支敦士登

Residual Maturity	GROSS DIRECT LONG EXPOSURES	NET DIRECT POSITIONS	DIRECT SOVEREIGN EXPOSURES IN DERIVATIVES	INDIRECT SOVEREIGN EXPOSURES	Memo Item	Provisions and write-off	Prudential filter	Reserve AFS	Fair value of Cash flow
[0 - 3M]	0	0	0	0	0	0	0	0	0
[3M - 1Y]	0	0	0	0	0	0	0	0	0
[1Y - 2Y]	0	0	0	0	0	0	0	0	0
[2Y - 3Y]	0	0	0	0	0	0	0	0	0
[3Y - 5Y]	0	0	0	0	0	0	0	0	0
[5Y - 10Y]	0	0	0	0	0	0	0	0	0
[10Y - more]	0	0	0	0	0	0	0	0	0
Total	446	145	381	134	0	0	92	0	0

结论

文档提供了银行在CRD3规则下的资本状况和RWA的详细数据，包括不同国家的主权资产和负债的分类。数据涵盖了普通股、减记项、混合工具、资本缓冲、减值项等关键财务指标，并根据风险类别进行了细分。这些数据对于评估银行的资本充足性和风险敞口具有重要意义。