EBA欧洲银行-FR015_11页_994kb

报告摘要

Summary of the 2011 EBA EU-wide Stress Test Results for Groupe BPCE

Core Tier 1 Capital Ratio

Actual Results at 31 December 2010

Operating profit before impairments: 7,175 million EUR
Impairment losses on financial and non-financial assets in the banking book: -1,911 million EUR
Risk weighted assets (RWA): 407,316 million EUR
Core Tier 1 capital (CT1): 31,943 million EUR
Core Tier 1 capital ratio: 7.8%
Additional capital needed to reach a 5% CT1 benchmark: Not explicitly stated but can be calculated as 407,316 * 5% = 20,365.8 million EUR, so additional capital needed is 20,365.8 - 31,943 = -11,577.2 million EUR (i.e., CT1 was above the 5% benchmark).

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

Core Tier 1 capital ratio: 6.7%

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

2-year cumulative operating profit before impairments: 11,619 million EUR
2-year cumulative impairment losses on financial and non-financial assets in the banking book: -7,913 million EUR
2-year cumulative losses from the stress in the trading book: -1,979 million EUR
- Valuation losses due to sovereign shock: -187 million EUR
Risk weighted assets: 512,504 million EUR
Core Tier 1 capital: 34,631 million EUR
Core Tier 1 capital ratio: 6.8%
Additional capital needed to reach a 5% CT1 benchmark: Not explicitly stated, but CT1 was above the 5% benchmark.

Mitigating Measures

Capital Raisings and Government Support

Equity raisings announced and fully committed between 31 December 2010 and 30 April 2011: 219 million EUR
Effect on CT1 capital ratio: Improved the capital ratio by 0.1 percentage points (from 6.7% to 6.8%)
Supervisory recognised capital ratio after all current and future mitigating actions: 6.8%

Additional Mitigating Measures

Use of provisions and/or other reserves (including release of countercyclical provisions): Not specified in the table but mentioned in the notes as a mitigating measure.
Divestments and other management actions taken by 30 April 2011: Not specified in the table.
Other disinvestments and restructuring measures (including future mandatory restructuring): Not specified in the table.
Future planned issuances of common equity instruments (private issuances): Not specified in the table.
Future planned government subscriptions of capital instruments (including hybrids): Not specified in the table.
Other instruments recognised as appropriate back-stop measures by national supervisory authorities: Not specified in the table.

Capital Adequacy and Profit and Loss Analysis

Capital Adequacy

Risk weighted assets (RWA) after mitigating measures (B+C+F): 426,349 million EUR (2011), 440,570 million EUR (2012), 465,832 million EUR (2011), 512,504 million EUR (2012)
Core Tier 1 capital after mitigating measures: 34,874 million EUR (2011), 37,700 million EUR (2012), 33,529 million EUR (2011), 34,631 million EUR (2012)
Core Tier 1 capital ratio after mitigating measures: 8.2% (2011), 8.6% (2012), 7.2% (2011), 6.8% (2012)

Profit and Loss

Net interest income: 12,343 million EUR
Trading income: -2,126 million EUR
- Trading losses from stress scenarios: -512 million EUR (Baseline) and -989 million EUR (Adverse)
- Valuation losses due to sovereign shock: -93 million EUR
Operating profit before impairments: 7,175 million EUR (2010), 6,934 million EUR (Baseline 2011), 6,934 million EUR (Baseline 2012), 5,862 million EUR (Adverse 2011), 5,757 million EUR (Adverse 2012)
Impairment losses on financial and non-financial assets in the banking book: -1,911 million EUR (2010), -2,369 million EUR (Baseline 2011), -2,156 million EUR (Baseline 2012), -3,772 million EUR (Adverse 2011), -4,142 million EUR (Adverse 2012)
Operating profit after impairments and other losses from the stress: 5,265 million EUR (2010), 4,565 million EUR (Baseline 2011), 4,778 million EUR (Baseline 2012), 2,090 million EUR (Adverse 2011), 1,615 million EUR (Adverse 2012)
Other income: 439 million EUR (2010), 439 million EUR (Baseline 2011), 439 million EUR (Baseline 2012), 395 million EUR (Adverse 2011), 352 million EUR (Adverse 2012)
Net profit after tax: 4,026 million EUR (2010), 3,389 million EUR (Baseline 2011), 3,533 million EUR (Baseline 2012), 1,683 million EUR (Adverse 2011), 1,332 million EUR (Adverse 2012)
Retained earnings (carried over to capital): 3,176 million EUR (2010), 2,711 million EUR (Baseline 2011), 2,826 million EUR (Baseline 2012), 1,347 million EUR (Adverse 2011), 1,065 million EUR (Adverse 2012)
Dividends distributed: 850 million EUR (2010), 678 million EUR (Baseline 2011), 707 million EUR (Baseline 2012), 337 million EUR (Adverse 2011), 266 million EUR (Adverse 2012)

Capital Composition at 31 December 2010

Common equity before deductions (Original own funds without hybrid instruments and government support measures other than ordinary shares): 34,401 million EUR
Eligible capital and reserves: 36,895 million EUR
Intangibles assets (including goodwill): -6,718 million EUR
Adjustment to valuation differences in other AFS assets: 530 million EUR
Deductions from common equity: -2,458 million EUR
- Deductions of participations and subordinated claims: -892 million EUR
- Securitisation exposures not included in RWA: -1,443 million EUR
- IRB provision shortfall and IRB equity expected loss amounts (before tax): -123 million EUR
Common equity (A+B): 31,943 million EUR
Core Tier 1 capital including existing government support measures (C+D): 31,943 million EUR
Tier 1 capital (E+F): 38,817 million EUR
Tier 2 capital: 5,957 million EUR
Tier 3 capital: 0 million EUR
Total capital: 44,774 million EUR
Deferred tax assets: 4,457 million EUR
Minority interests (excluding hybrid instruments): 2,892 million EUR
Valuation differences eligible as original own funds: -1,798 million EUR

Notes and Definitions

The stress test was conducted using the EBA common methodology with static balance sheet assumptions.
Capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national definitions or public disclosures.
The results should not be construed as forecasts or compared to other published information.
Regulatory transitional floors are applied where binding.
"Other operating income" includes Gains on financial assets, net dividend income, and contribution to P&L of non-financial participations.
"Other income" includes shares of the profit of investments in entities accounted for using the equity method.
Provisions for non-defaulted exposures to sovereigns and financial institutions are based on hypothetical rating downgrades.
The coverage ratio is defined as stock of provisions on defaulted assets divided by stock of defaulted assets in EAD.
Loss rate is defined as total impairment flow divided by total EAD for the specific portfolio.
All elements are reported net of tax effects.
Supervisory recognised capital ratio may include measures not recognised by the EBA methodology but considered appropriate by national authorities.