STRESS TEST: Dexia solid, SNS weaker on Commercial Real Estate

We have compared ten banks in the Benelux, France and Spain. If we compare the difference between baseline and adverse core capital ratios (CT1) for 2012 (including measures taken Jan-April) the most impacted banks seem to be SNS Bank (-34%), Commerzbank (-28%) and KBC (-26%) compared with the average impact of -21% for all 90 banks. The Spanish large cap banks, BBVA and Santander screen surprisingly well at -6% respectively, which seems rather counterintuitive. The average CT1 ratio of the ten banks analysed is 8.7% vs the EU average of 7.7%. Probability weighted stress on GIIPS sovereigns would have negative impact of 50bp (see comment below and this does not include stress other credit exposures). We believe banks that have a CT1 capital ratio below 7% are at risk to be treated with some caution. Of the ten banks we analysed this leaves Commerzbank at 6.4% (Deutsche at 6.5%), SocGen at 6.6% and SNS Bank just at 7.0% vulnerable.

Dexia to our surprise has a still solid ratio of 10.4% (2012) in the adverse scenario. However, were we to stress the sovereign holdings to Greece, Portugal and Ireland this would knock off an estimated 1.3% and if the contagion spiral hits Spain and Italy we see risk of 1.7%. This still leaves an adequate buffer, but the ratio would fall below the 10% hurdle imposed by the EC. For Commerzbank the same impact would be 0.4% and 0.6%, pushing the ratio below the 6% threshold. The relatively large impact for SNS Bank is fully explained by stress on commercial real estate (€9.4bn portfolio o/w €7.7bn is in the Netherlands). In the baseline scenario the CT1 ratio would be at a strong 10.6%. The earnings projections of SNS in the baseline scenario are in line with our forecasts; as such the test gives comfort. If one were to stress the sovereigns we see an estimated impact of 0.3% and 0.5%, respectively (but based on 2010 data, ie, likely halved by now). SocGen commented in a separate press release that 1Q11 profits, the scrip dividend on 2010 profit and the employee shareholder subscription campaign would boost its CT1 ratio by 0.5% under the adverse scenario. These measures, already implemented, allow the bank to top the 7% limit. SocGen also mentions that further deleveraging of the group’s legacy assets portfolio would improve its capital ratio an additional 0.4%, effectively bringing its 2012F CT1 ratio to 7.5% under the adverse scenario. The sovereign haircuts are manageable at 0.2-0.3%. Spread sheet with stress analysis available upon request


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10:02 Écrit par swingteam-cc | Lien permanent | Commentaires (1) |  Facebook |


bon retour

c'est les soldes ce matin
j'ai fais le plein dans bcp d'actions(bnp dexia kbca bekaert ) et dans le cac


Écrit par : franklin | 18/07/2011

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