EBA欧洲银行-GR034_11页_1015kb

报告摘要

Summary of the 2011 EBA EU-wide Stress Test for ATEbank

Core Tier 1 Capital Ratio and Capital Adequacy

ATEbank's Core Tier 1 (CT1) capital ratio under the 2010 baseline was 6.3%. However, under the adverse scenario without any mitigating actions, the CT1 capital ratio at the end of 2012 dropped to -6.0%, indicating a severe capital shortfall. When considering mitigating measures announced and fully committed by 30 April 2011, the CT1 capital ratio improved to -0.8%, and additional capital needed to reach the 5% CT1 benchmark was 713 million EUR.

Capital and Risk Weighted Assets (RWA)

Risk weighted assets (RWA) at the end of 2010 were 12,636 million EUR.
Under the full static balance sheet assumption (excluding mitigating actions), RWA increased in the baseline scenario and remained relatively stable in the adverse scenario.
The RWA after mitigating measures (up to 30 April 2011) were 12,398 million EUR, with a reduction in RWA due to restructuring and capital raisings.

Capital Adequacy with Mitigating Measures

Equity raisings fully committed between 31 December 2010 and 30 April 2011 amounted to 585 million EUR, contributing to the capital ratio.
Mandatory restructuring plans had a positive impact on the CT1 capital ratio, adding 213 million EUR in 2011 and 440 million EUR in 2012.
The Core Tier 1 capital after all mitigating actions was -93 million EUR at the end of 2012, while the Tier 1 capital was -93 million EUR as well.
Total regulatory capital after all mitigating actions was 154 million EUR in 2011 and -93 million EUR in 2012.

Profit and Loss (P&L) Outcomes

Operating profit before impairments in 2010 was 209 million EUR.
In the baseline scenario, operating profit before impairments was 381 million EUR in 2012, while impairment losses were -324 million EUR.
In the adverse scenario, operating profit before impairments was 289 million EUR, with impairment losses amounting to -1,027 million EUR.
Net profit after tax was -440 million EUR in 2010, but improved to 46 million EUR in the baseline scenario and -590 million EUR in the adverse scenario.

Provisions and Losses

Stock of provisions increased significantly, from 1,709 million EUR in 2010 to 4,355 million EUR in 2012.
Provisions for non-defaulted assets rose from 750 million EUR to 1,732 million EUR.
Provisions for defaulted assets increased from 959 million EUR to 2,622 million EUR.
Loss rates for different portfolios were:
- Corporate (excluding Commercial real estate): 1.0% in 2010 to 1.8% in 2012.
- Retail (excluding Commercial real estate): 0.4% in 2010 to 0.9% in 2012.
- Commercial real estate: 4.3% in 2010 to 7.4% in 2012.
Valuation losses due to sovereign shock were -7 million EUR in both the baseline and adverse scenarios in 2012.

Additional Mitigating Measures

Use of provisions and reserves had a 4.8% impact on the capital ratio.
Future planned equity issuances (private) had a 235 million EUR capital impact, contributing 235% to the capital ratio.
Other disinvestments and restructuring measures were considered as back-stop measures, with national supervisory authorities recognizing them as appropriate for the stressed conditions.

Notes and Definitions

The stress test was conducted using the EBA common methodology with a static balance sheet assumption.
The CT1 capital ratio is calculated based on the EBA definition, which may differ from national supervisory definitions.
Mitigating actions such as equity raisings, government support, and restructuring plans were taken into account for the capital ratio calculation.
Deferred tax assets and minority interests are included in the capital adequacy calculations.
Provisions for defaulted assets were calculated based on external credit ratings and hypothetical rating downgrades.

Summary of Key Findings

ATEbank faced significant capital challenges under the adverse scenario without mitigating actions, with a CT1 ratio of -6.0% in 2012.
The capital ratio improved to -0.8% when mitigating measures were applied.
Equity raisings and government support were crucial in improving capital levels.
Provisions and losses increased substantially, reflecting the impact of the stress scenario on the bank's assets.
The Core Tier 1 capital was 792 million EUR at the end of 2010, but fell to -803 million EUR in the adverse scenario.
Additional capital needed to meet the 5% CT1 benchmark was 713 million EUR after all mitigating actions.