2011 EBA STRESS TEST: PRESENTATION OF THE RESULTS FOR THE SPANISH INSTITUTIONS.

Transcription

1 2011 EBA STRESS TEST: PRESENTATION OF THE RESULTS FOR THE SPANISH INSTITUTIONS. PART TWO RESULTS OF THE 2011 EBA EU-WIDE STRESS TEST: PRESENTATION OF THE RESULTS FOR THE SPANISH INSTITUTIONS PART TWO 16th July 2011

2 GENERAL OVERVIEW OF EBA TEMPLATES Template 0: Summary Template 1: Aggregate information and evolution of capital Template 2: Capital composition as of 31 December 2010 Template 3: Overview of mitigating measures Template 4: Credit risk exposures (EAD) as of 31 December 2010 Template 5: Exposures to sovereigns (central and local governments) as of 31 December

3 COMPARING EBA AND SPANISH TEMPLATES Template 1: Aggregate information and evolution of capital Summary of the results of the baseline and adverse scenarios under full static balance sheet assumptions: A. Without any mitigating actions, mandatory restructuring or capital raisings post 31 December Spanish additional templates : Section A: Gross impairment cumulative Section B: Available resources cumulative Section C: impact on Core Tier 1 EBA Section D: Other loss-absorbing elements. B. Recognising capital issuance and mandatory restructuring plans publicly announced and fully committed before 31 December C. Recognising capital issuance and mandatory restructuring plans publicly announced and fully committed before 30 April 2011, together with additional information on P&L and provisions. D. Other mitigating measures. 3

4 COMPARISON EBA AGGREGATE INFORMATION AND SPANISH TEMPLATE A1. Credit assets A. Results of the stress test based on the full static balance sheet assumption without any mitigating actions, Soverreign & Financial institutions mandatory restructuring or capital raisings post 31 December 2010 (all government support measures fully paid in Corporates before 31 December 2010 are included) Property developers and foreclosures Baseline scenario SMEs Capital adequacy Mortgages Risk weighted assets (full static balance sheet Other retail assumption) Common equity according to EBA definition of which ordinary shares subscribed by government A2. Trading assets and other equity A3. GROSS IMPAIRMENT (A1+ A2) Other existing subscribed government capital (before 31 B1. SPECIFIC PROVISIONS December 2010) B2. NET OPERATING INCOME AND OTHER INCOME Core Tier 1 capital (full static balance sheet assumption) Core Tier 1 capital ratio (%) B3. TAX EFFECT B4. NET IMPAIRMENT (B1 + B2 + B3) Benchmark scenario million % assets million % assets B. Results of the stress test recognising capital issuance and mandatory restructuring plans publicly announced and fully committed before 31 December 2010 Baseline scenario Capital adequacy Risk weighted assets (full static balance sheet assumption) Effect of mandatory restructuring plans, publicly announced and fully committed before 31 December 2010 on RWA (+/-) Risk weighted assets after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010 Core Tier 1 Capital (full static balance sheet assumption) Effect of mandatory restructuring plans, publicly announced and fully committed before 31 December 2010 on Core Tier 1 capital (+/-) Core Tier 1 capital after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010 Core Tier 1 capital ratio (%) Benchmark scenario INITIAL SITUATION 2010 million % RWA 2010 million % RWA 2010 C1. Core Tier 1 dec FINAL SITUATION 2012 million % RWA 2012 million % RWA 2012 C2. Net impairment (B4) C3. Dividend and others C4. Core Tier 1 Dec 2012 before RDL 2/2011 and before capital increases (C1 + C2 +C3) C5. RDL 2/2011 or capital increases C6. Core Tier 1 Dec 2012 (C4 + C5) C7. Additional capital to reach Core Tier1 5% TAKING INTO ACCOUNT GENERAL PROVISIONS C8. General provisions C9.Core C Tier 1 dec plus general provisions i C10. Additional capital to reach Core Tier1 5% after general provisions FINAL SITUATION 2012 AFTER INCLUDING OTHER Benchmark scenario LOSS-ABSORBING ELEMENTS million % RWA 2010 million % RWA 2010 D1. Disinvestments and other business decisions up to D2. Other bonds subject to mandatory conversion D3. Others D4. Core TIER 1 dec plus other loss-absorbing elements (C9 + D1 +D2 +D3) D5. Additional capital to reach Core TIER 1 5%, after 4 including other loss-absorbing elements

5 COMPARISON EBA AGGREGATE INFORMATION AND SPANISH TEMPLATE C. Results of the stress test recognising capital issuance and mandatory restructuring plans publicly announced and fully committed before 30 April 2011 Benchmark scenario million % assets million % assets A1. Credit assets Baseline scenario plans publicly announced and fully committed before 31 December 2010 Effect of mandatory restructuring plans, publicly announced and Capital adequacy Risk weighted assets after the effects of mandatory restructuring Soverreign & Financial institutions Corporates Property developers and foreclosures SMEs fully committed in period from 31 December 2010 to 30 April 2011 Mortgages on RWA (+/-) Other retail Risk weighted assets after the effects of mandatory restructuring plans publicly announced and fully committed before 30 April 2011 A2. Trading assets and other equity of which RWA in banking book of which RWA in trading book A3. GROSS IMPAIRMENT (A1+ A2) RWA on securitisation positions (banking and trading book) Total assets after the effects of mandatory restructuring plans B1. SPECIFIC PROVISIONS publicly announced and fully committed and equity raised and fully B2. NET OPERATING INCOME AND OTHER INCOME committed by 30 April 2011 B3. TAX EFFECT Core Tier 1 capital after the effects of mandatory restructuring plans publicly announced and fully committed before 31 December 2010 B4. NET IMPAIRMENT (B1 + B2 + B3) Equity raised between 31 December 2010 and 30 April 2011 Equity raisings fully committed (but not paid in) between 31 December 2010 and 30 April 2011 Benchmark scenario Effect of government support publicly announced and fully INITIAL SITUATION 2010 million % RWA 2010 million % RWA 2010 committed in period from 31 December 2010 to 30 April 2011 on Core Tier 1 capital (+/-) C1. Core Tier 1 dec Effect of mandatory restructuring plans, publicly announced and fully committed in period from 31 December 2010 to 30 April 2011 FINAL SITUATION 2012 million % RWA 2012 million % RWA 2012 on Core Tier 1 capital (+/-) C2. Net impairment (B4) Core Tier 1 capital after government support, capital raisings and effects of restructuring plans fully committed by 30 April 2011 C3. Dividend and others Tier 1 capital after government support, capital raisings and effects C4. Core Tier 1 Dec 2012 before RDL 2/2011 and of restructuring plans fully committed by 30 April 2011 before e capital increases (C1 + C2 +C3) Total regulatory capital after government support, capital raisings C5. RDL 2/2011 or capital increases and effects of restructuring plans fully committed by 30 April 2011 Core Tier 1 capital ratio (%) C6. Core Tier 1 Dec 2012 (C4 + C5) Additional capital needed to reach a 5% Core Tier 1 capital C7. Additional capital to reach Core Tier1 5% benchmark TAKING INTO ACCOUNT GENERAL PROVISIONS Baseline scenario Profit and losses C8. General provisions Net interest income C9.Core C Tier 1 dec plus general provisions i Trading income C10. Additional capital to reach Core Tier1 5% after of which trading losses from stress scenarios general provisions of which valuation losses due to sovereign shock Other operating income (5) Operating profit before impairments Impairments on financial and non-financial assets in the banking book (6) Operating profit after impairments i and other losses from the stress Other income (5,6) Net profit after tax (7) of which carried over to capital (retained earnings) of which distributed as dividends FINAL SITUATION 2012 AFTER INCLUDING OTHER Benchmark scenario LOSS-ABSORBING ELEMENTS million % RWA 2012 million % RWA 2012 D1. Disinvestments and other business decisions up to D2. Other bonds subject to mandatory conversion D3. Others D4. Core TIER 1 dec plus other loss-absorbing elements (C9 + D1 +D2 +D3) D5. Additional capital to reach Core TIER 1 5%, after 5 including other loss-absorbing elements

6 COMPARISON EBA AGGREGATE INFORMATION AND SPANISH TEMPLATE Baseline scenario Benchmark scenario Additional information million % assets million % assets Deferred Tax Assets (8) Stock of provisions (9) of which stock of provisions for non-defaulted assets of which Sovereigns (10) of which Institutions (10) of which Corporate (excluding Commercial real estate) A1. Credit assets Soverreign & Financial institutions Corporates Property developers and foreclosures of which Retail (excluding Commercial real estate) SMEs of which Commercial real estate (11) of which stock of provisions for defaulted assets Mortgages of which Corporate (excluding Commercial real estate) of which Retail (excluding commercial real estate) Other retail A2. Trading assets and other equity of which Commercial real estate Coverage ratio (%) (12) A3. GROSS IMPAIRMENT (A1+ A2) Corporate (excluding Commercial real estate) Retail (excluding Commercial real estate) B1. SPECIFIC PROVISIONS Commercial real estate Loss rates (%) (13) Corporate (excluding Commercial real estate) Retail (excluding Commercial real estate) Commercial real estate B2. NET OPERATING INCOME AND OTHER INCOME B3. TAX EFFECT B4. NET IMPAIRMENT (B1 + B2 + B3) Funding cost (bps) Benchmark scenario All effects as compared to regulatory aggregates as reported in Baseline scenario INITIAL SITUATION 2010 million % RWA 2010 million % RWA 2010 D. Other mitigating measures (see Mitigating measures worksheet for details), million EUR (14) Section C C1. Core Tier 1 dec A) Use of provisions and/or other reserves (including release of countercyclical provisions), capital ratio effect (6) FINAL SITUATION 2012 million % RWA 2012 million % RWA 2012 B) Divestments and other management actions taken by 30 April 2011, RWA effect (+/-) B1) Divestments and other business decisions taken by 30 April 2011, capital ratio effect (+/-) C2. Net impairment (B4) C3. Dividend and others C4. Core Tier 1 Dec 2012 before RDL 2/2011 and C) Other disinvestments and restructuring measures, including also future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules, RWA effect (+/-) C1) Other disinvestments and restructuring measures, including also future mandatory restructuring not yet approved with the EU Commission under the EU State Aid rules, capital ratio effect (+/-) D) Future planned issuances of common equity instruments before capital increases (C1 + C2 +C3) C5. RDL 2/2011 or capital increases C6. Core Tier 1 Dec 2012 (C4 + C5) C7. Additional capital to reach Core Tier1 5% TAKING INTO ACCOUNT GENERAL PROVISIONS C8. General provisions (private issuances), capital ratio effect E) Future planned government subscriptions of capital instruments (including hybrids), capital ratio effect F) Other (existing and future) instruments recognised as C9.Core Tier 1 dec plus general provisions C10. Additional capital to reach Core Tier1 5% after general provisions appropriate back-stop measures by national supervisory authorities, RWA effect (+/-) F1) Other (existing and future) instruments recognised as appropriate back-stop measures by national supervisory authorities, capital ratio effect (+/-) Risk weighted assets after other mitigating measures (B+C+F) Capital after other mitigating measures (A+B1+C1+D+E+F1) Supervisory recognised capital ratio (%) (15) FINAL SITUATION 2012 AFTER INCLUDING OTHER Benchmark scenario LOSS-ABSORBING ELEMENTS million % RWA 2010 million % RWA 2010 D1. Disinvestments and other business decisions up to D2. Other bonds subject to mandatory conversion D3. Others D4. Core TIER 1 dec plus other loss-absorbing elements (C9 + D1 +D2 +D3) 6 D5. Additional capital to reach Core TIER 1 5%, after including other loss-absorbing elements

7 SPANISH TEMPLATES Including loans and receivables, non-trading book fixed income and securitisations Section A: gross impairment cumulative Two Benchmark scenario scenarios million % assets million % assets SECTION A Gross impairment A1. Credit assets Sovereigns and financial institutions Corporates Property developers and foreclosures SMEs Mortgages Other retail A2. Trading book and other equity Results in absolute and relative terms Breakdown by exposure tipe A3. GROSS IMPAIRMENT (A1 + A2) Including sovereign exposures belonging to the trading book 7

8 SPANISH RESULTS: GROSS IMPAIRMENT Gross impairment in the adverse scenario Total Estimated Impairment Credit exposures Real estate development 168,811 M (79,594 M SB) 159,176 M (75,642 M SB) 65,900 M (43,441 M in SB) 5,4% aggregated assets of total sector (6,5% in SB) 94% of total impairment (95% in SB) 41% of credit exposures impairment (57% in SB) Minor impact of impairment from sovereign shock 8

9 SPANISH TEMPLATES Section B: available resources cumulative Not including general provisions Benchmark scenario SECTION B Available resources B1. SPECIFIC PROVISIONS B2. NET OPERATING INCOME AND OTHER INCOME AND EXPENSES B3. TAX IMPACT million % assets million % assets Net operating income under severe stress (19% average decrease) Unrealized gains not included NET IMPAIRMENT/SURPLUS Losses not covered through P&L 9

10 SPANISH RESULTS: RESOURCES TO COVER LOSSES Impairments in the adverse scenario (168,811 M ) Available resources for loss coverage Net impairment Provisions Pre-impairment income and other income and expenses 65,469 M (39%) 79,056 M (47%) Total banking sector 13,599 M 33,651 M in SB (42%) 10,456 M in SB (13%) Saving Banks 23,701 M 10

11 SPANISH TEMPLATES Section C: impact on Core TIER 1 INITIAL SITUATION 2010 C1. Core Tier 1 Dec 2010 Benchmark scenario million % RWA 2010 million % RWA 2010 FINAL SITUATION 2012 million % RWA 2012 million % RWA 2012 C2. Net impairment/surplus (B4) SECTION C Impact on Tier 1 own funds C3. Dividend and others C4. Core Tier 1 Dec 2012 without RDL 2/2011 and before capital increases (C1 + C2 + C3) C5. RDL 2/2011 or capital increases EBA Benchmark: C6. Core Tier 1 Dec 2012 (C4 + C5) Capital needs before general provisions and other loss-absorbing elements C7. Additional capital to reach Core Tier1 5% TAKING INTO ACCOUNT GENERAL PROVISIONS C8. General provisions Public support (FROB) and capital issuances and bonds conversion during the stress test period C9. Core Tier 1 Dec plus general provisions (C6 + C8) C10. Additional capital to reach Core Tier 1 5%, after including general provisions

12 SPANISH RESULTS: CORE TIER 1 Total Core Tier 1 (dec. 2010) Total Spanish banking sector 139,863 M Total Saving Banks 57,288 M 7.4% 7.3% Deterioro no cubierto: 37,328 Net impairment: M 13,599 M (23,701 M SB) Dividends and others: 3,798 M (139 M SB) Core Tier 1 before capital increase and RDL 2/2011: 130,063 M (33,727 M SB) RDL 2/2011 and capital increases: 14,471 M (13,924 M SB) Core Tier 1: 144,534 M (47,651 M SB) (Dec 2012) Additional capital needed to reach 5% benchmark Core TIER 1 ratio M * (1.247 M SB) *Before general provisions and other loss-absorbing elements Core Tier 1 Dec adverse 7.3% scenario after capital increases and RDL 2/ % (SB) EBA Benchmark 12

13 SPANISH RESULTS: INCLUDING GENERAL PROVISIONS If general provisions are added to the Core Tier 1 General provisions: 17,573 M (11,659 M SB) Core Tier 1 plus general provisions: 162,107 M (59,309 M SB) Additional capital to reach Core Tier 1 5% after general provisions: 143 M (0 M SB)

14 SPANISH TEMPLATES Section D: Other loss- absorbing elements SECTION D Other lossabsorbing elements FINAL SITUATION AFTER INCLUDING OTHER LOSS ABSORBING ELEMENTS D1. Disinvestments and other business decisions up to D2. Other bonds subject to mandatory conversion D3. Others D4. Core Tier 1 Dec plus other loss absorbing elements (C9 + D1 +D2 +D3) D5. Additional capital to reach Core Tier 1 5%, after including other loss absorbing elements Benchmark scenario million % RWA 2012 million % RWA 2012 Including other convertible bonds not included in template C: M Final capital needs in Spanish entities to meet the benchmark: 0 M 14

15 SPANISH RESULTS 25 groups 7 banks 1 below the benchmark ratio before general provisions and bonds subject to mandatory conversion Remaining entities above the benchmark 18 saving banks 4 below the benchmark ratio before general provisions Remaining entities above the benchmark But no additional capital needed due to general provision and bonds subject to mandatory conversion 15

16 SUMMARY OF THE RESULTS ALL BANKS 16

17 SUMMARY OF THE RESULTS SAVINGS BANKS 17

18 RECAPITALISATION. GROUPS UNDER BENCHMARK 5 entities (1 bank and 4 saving banks) below the benchmark core TIER 1 ratio in the adverse scenario CAM 30% 3.0% Pastor 3.3% All of them are above regulatory minimum in both scenarios Caja3 Unnim 40% 4.0% 4.5% Including general provisions and other loss-absorbing elements, all comply with the benchmark Catalunya Caixa 4.8% No further capital needs 18

19 INDIVIDUAL RESULTS Market share dec-2010 Accumulated market share dec Core Tier 1 capital ratio (EBA benchmark) Core TIER 1 capital ratio after general provisions and other loss-absorbing elements SANTANDER 17,4 17,4 8,4 8,9 BBVA 13,6 31,0 9,2 10,2 BFA-BANKIA 13,0 44,0 5,4 6,5 CAIXA 11,1 55,1 6,4 9,2 POPULAR 4,8 59,9 5,3 7,4 SABADELL 3,7 63,7 5,7 8,0 CATALUNYA CAIXA 3,1 66,8 4,8 6,2 NOVACAIXAGALICIA 2,9 69,6 5,3 6,5 BANCA CÍVICA 2,9 72,5 5,6 9,4 CAM 2,9 75,4 3,0 5,1 BMN 2,8 78,2 6,1 9,3 BANKINTER 2,2 80,4 5,3 6,8 ESPIGA 1,8 82,2 7,3 8,4 IBERCAJA 1,7 83,9 6,7 7,3 UNICAJA 1,4 85,3 9,4 12,3 EFFIBANK 1,4 86,7 6,8 8,3 PASTOR 1,2 87,9 3,3 5,6 BBK 1,2 89,1 8,8 11,3 UNNIM 1,1 90,3 4,5 6,2 KUTXA 0,8 91,1 10,1 10,5 CAJA 3 0,8 91,9 4,0 6,6 MARCH 0,5 92,4 23,5 27,8 VITAL 0,3 92,8 8,7 9,2 ONTINYENT 0,0 92,8 5,6 7,2 POLLENSA 0,0 92,8 6,2 8,0 European minimum scope Spanish wider scope 19