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DEXIA's adverse scenario

DEXIA's adverse scenario

18.7.2011 9:59

The stress test conducted using the scenarios, methodology and key assumptions provided by EBA would see the estimated consolidated Core Tier 1 capital ratio of Dexia change to 10.4% under the adverse scenario in 2012 compared to 12.1% as of the end of 2010.
This result incorporates the effects of the measures announced and fully committed up to 30 April 2011 and the mandatory restructuring plans agreed with the European Commission before 30 April 2011 and does not take into account future mitigating actions planned by Dexia.
The estimated consolidated Core Tier 1 capital would change from € 17.0bn at the end of 2010 to € 15.2bn at the end of 2012 as a result of the assumed shock under the adverse scenario. This would suggest a buffer of € 7.9bn of the Core Tier 1 capital against the benchmark of 5% of Core Tier 1 capital adequacy ratio as agreed exclusively for the purpose of this exercise.
At 31 December 2010, Dexia Bank’s net sovereign exposure on a consolidated basis was € 56,245m of which € 30,295m the AFS banking book, € 38m in the FVO banking book (MtM via P&L) and € 502m in the trading book. The PIIGS countries represented € 21,842m o/w € 15,009m for Italy. Total credit risk exposure to PIIGS amounted to € 93,828m o/w € 49,928m for Italy.
Under the adverse scenario, Dexia would see € 3,120m 2year cumulative impairment losses on financial and non-financial assets in the banking book and € 156m (o/w € 4m sovereign) 2 year cumulative losses from the stress in the trading book.
The accelerated restructuring as announced on May 27, 2011 is not included in the assessment but would, according to Dexia have no significant impact on the Group’s solvency, as the Core Tier 1 ratio remains at 10.4% factoring in these measures under the adverse scenario.
Figures are including Dexia’s 70% stake in Dexia Crediop and its 60% stake in Dexia Sabadell which are to be divested by respectively 31 October 2012 and 31 December 2013.

Our View:
Dexia ranks one of the highest in Europe in terms of solvency under and adverse scenario. The main weakness of the test however is that it does not include a sovereign default. A divestment (though unlikely in the current market environment) of the Crediop and Sabadell stakes would also strongly reduce the exposure to the PIIGS countries.

We remain Accumulating with an unchanged target of € 3.50.

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