EBA欧洲银行-ES069_11页_850kb

Summary of the 2011 EBA EU-wide Stress Test for BANKINTER, S.A.

Core Tier 1 Capital Ratio

• Actual results at 31 December 2010:

  • Operating profit before impairments: 423 million EUR
  • Impairment losses on financial and non-financial assets: -236 million EUR
  • Risk weighted assets (RWA): 30,962 million EUR
  • Core Tier 1 capital: 1,920 million EUR
  • Core Tier 1 capital ratio: 6.2%

• Outcomes of the adverse scenario at 31 December 2012 (excluding mitigating actions taken in 2011):

  • Core Tier 1 capital ratio: 5.3%

• Outcomes of the adverse scenario at 31 December 2012 (including mitigating measures as of 30 April 2011):

  • Core Tier 1 capital: 1,704 million EUR
  • Core Tier 1 capital ratio: 5.3%
  • Additional capital needed to reach 5% benchmark: Not specified in this section

• Supervisory recognised capital ratio after all current and future mitigating actions as of 31 December 2012:

  • Core Tier 1 capital ratio: 6.8%

Mitigating Measures

• Additional taken or planned mitigating measures:
  • Use of provisions and/or other reserves (including countercyclical provisions): 0.2 percentage points
  • Divestments and other management actions taken by 30 April 2011: 0 percentage points
  • Other disinvestments and restructuring measures (including future mandatory restructuring): 0 percentage points
  • Future planned issuances of common equity instruments (private): 0 percentage points
  • Future planned government subscriptions of capital instruments: 0 percentage points
  • Other instruments recognised as back-stop measures by national supervisory authorities: 1.3 percentage points

Capital Adequacy and Profitability

• Baseline scenario (2011-2012):

  • Risk weighted assets: 31,354 million EUR (2011), 31,457 million EUR (2012)
  • Core Tier 1 capital: 2,075 million EUR (2011), 2,201 million EUR (2012)
  • Core Tier 1 capital ratio: 6.6% (2011), 7.0% (2012)

• Adverse scenario (2011-2012):

  • Risk weighted assets: 31,777 million EUR (2011), 32,259 million EUR (2012)
  • Core Tier 1 capital: 1,871 million EUR (2011), 1,704 million EUR (2012)
  • Core Tier 1 capital ratio: 5.9% (2011), 5.3% (2012)

• Profit and losses:

  • Net interest income: 511 million EUR (2010), 469 million EUR (Baseline 2011), 527 million EUR (Adverse 2011)
  • Trading income: 74 million EUR (2010), 90 million EUR (Baseline 2011), 64 million EUR (Adverse 2011)
  • Operating profit before impairments: 423 million EUR (2010), 385 million EUR (Baseline 2011), 443 million EUR (Adverse 2011)
  • Impairment losses on financial and non-financial assets in the banking book: -236 million EUR (2010), -297 million EUR (Baseline 2011), -542 million EUR (Adverse 2012)
  • Operating profit after impairments and other losses from stress: 187 million EUR (2010), 88 million EUR (Baseline 2011), 229 million EUR (Adverse 2011)
  • Net profit after tax: 151 million EUR (2010), 65 million EUR (Baseline 2011), 169 million EUR (Adverse 2011)

Provisions and Loss Coverage

• Stock of provisions:

  • Total: 883 million EUR (2010), 1,181 million EUR (Baseline 2011), 1,867 million EUR (Adverse 2012)
  • Provisions for non-defaulted assets: 195 million EUR (2010), 196 million EUR (Baseline 2011), 209 million EUR (Adverse 2012)
  • Provisions for non-defaulted sovereigns: 1 million EUR (Baseline 2011), 8 million EUR (Adverse 2012)
  • Provisions for non-defaulted institutions: 1 million EUR (Baseline 2011), 7 million EUR (Adverse 2012)
  • Provisions for defaulted assets: 689 million EUR (2010), 985 million EUR (Baseline 2011), 1,658 million EUR (Adverse 2012)
    • Corporate (excluding commercial real estate): 491 million EUR (2010), 710 million EUR (Baseline 2011), 1,230 million EUR (Adverse 2012)
    • Retail (excluding commercial real estate): 197 million EUR (2010), 271 million EUR (Baseline 2011), 420 million EUR (Adverse 2012)
    • Commercial real estate: 1 million EUR (2010), 4 million EUR (Baseline 2011), 6 million EUR (Adverse 2012)

• Coverage ratio:

  • Corporate (excluding commercial real estate): 66.4% (2010), 43.4% (Baseline 2011), 45.4% (Adverse 2012)
  • Retail (excluding commercial real estate): 39.2% (2010), 32.9% (Baseline 2011), 33.4% (Adverse 2012)
  • Commercial real estate: 8.6% (2010), 28.5% (Baseline 2011), 36.4% (Adverse 2012)

• Loss rates:

  • Corporate (excluding commercial real estate): 1.0% (2010), 1.1% (Baseline 2011), 2.0% (Adverse 2012)
  • Retail (excluding commercial real estate): -0.1% (2010), 0.4% (Baseline 2011), 0.5% (Adverse 2012)
  • Commercial real estate: 0.5% (2010), 1.1% (Baseline 2011), 0.8% (Adverse 2012)

Notes and Methodology

• 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 definitions.
• The baseline scenario and adverse scenario are not forecasts and should not be compared directly to the bank's published information.
• The Core Tier 1 capital ratio is calculated using RWA and capital elements.
• Other operating income includes income from stockholdings not included in the trading book.
• Other income includes losses from the sale of non-financial assets.
• Deferred tax assets are included in the capital calculation as per the Basel 3 framework.
• Provisions include both collective and specific provisions, as well as countercyclical provisions.
• The coverage ratio is defined as the stock of provisions on defaulted assets / EAD of defaulted assets.
• The loss rate is defined as total impairment flow / total EAD.
• All elements are reported net of tax effects.
• The supervisory recognised capital ratio may include mitigating measures not recognized by the EBA methodology, as deemed appropriate by national supervisory authorities.

Summary of Capital Composition at 31 December 2010

• Common equity before deductions: 2,095 million EUR (6.8% of RWA)
• Eligible capital and reserves: 2,358 million EUR (7.6% of RWA)
• Intangible assets (including goodwill): -266 million EUR (-0.9% of RWA)
• Deductions from common equity: -175 million EUR (-0.6% of RWA)
  • Participations and subordinated claims: -69 million EUR (-0.2% of RWA)
  • Securitisation exposures not included in RWA: -11 million EUR (0.0% of RWA)
  • IRB provision shortfall and IRB equity expected loss amounts: -95 million EUR (-0.3% of RWA)
• Common equity (after deductions): 1,920 million EUR (6.2% of RWA)
• Core Tier 1 capital including government support measures: 1,920 million EUR (6.2% of RWA)
• Difference from 5% benchmark: 372 million EUR (1.2% of RWA)
• Hybrid instruments not subscribed by government: 343 million EUR (1.1% of RWA)
• Tier 1 capital (including hybrid instruments): 2,263 million EUR (7.3% of RWA)
• Tier 2 capital: 707 million EUR (2.3% of RWA)
• Total capital: 2,971 million EUR (9.6% of RWA)

Memorandum Items

• Holdings, participations and subordinated claims in credit, financial and insurance institutions: 138 million EUR (0.4% of RWA)
• Securitisation exposures not included in RWA: 22 million EUR (0.1% of RWA)
• Deferred tax assets: 78 million EUR (0.3% of RWA)
• Minority interests: Not specified
• Valuation differences eligible as original own funds: Not specified

Additional Information

• Mitigating measures worksheet contains details on all measures, including those not included in the above tables.
• The supervisory recognised capital ratio is computed based on additional mitigating measures and may include items not recognized by the EBA methodology.