EBA欧洲银行-DE029_11页_198kb

Summary of the 2011 EBA EU-wide Stress Test for WGZ BANK

Core Tier 1 Capital Ratio

• As of 31 December 2010 (before any stress test):

  • Core Tier 1 capital: 1,904 million EUR
  • Core Tier 1 capital ratio: 10.8%
  • Additional capital needed to reach a 5% Core Tier 1 capital benchmark: 1,019 million EUR (5.8% of RWA)

• Under the adverse scenario (without mitigating actions):

  • Core Tier 1 capital ratio: 8.1%

• Under the adverse scenario (including mitigating actions up to 30 April 2011):

  • Core Tier 1 capital ratio: 8.7%
  • Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

Capital Adequacy and Risk Weighted Assets (RWA)

• RWA as of 31 December 2010: 17,691 million EUR

• Baseline scenario (2011–2012):

  • RWA: 18,105 million EUR (2011), 18,732 million EUR (2012)

• Adverse scenario (2011–2012):

  • RWA: 21,046 million EUR (2011), 22,705 million EUR (2012)

Capital and Profit Impact

• Operating profit before impairments:

  • 2010: 183 million EUR
  • 2011 (Baseline): 257 million EUR
  • 2012 (Baseline): 243 million EUR
  • 2011 (Adverse): 202 million EUR
  • 2012 (Adverse): 158 million EUR

• Impairment losses on financial and non-financial assets in the banking book:

  • 2010: -28 million EUR
  • 2011 (Baseline): -52 million EUR
  • 2012 (Baseline): -52 million EUR
  • 2011 (Adverse): -142 million EUR
  • 2012 (Adverse): -198 million EUR

• Operating profit after impairments and losses from stress:

  • 2011 (Baseline): 206 million EUR
  • 2012 (Baseline): 191 million EUR
  • 2011 (Adverse): 60 million EUR
  • 2012 (Adverse): -40 million EUR

• Net profit after tax:

  • 2010: 142 million EUR
  • 2011 (Baseline): 172 million EUR
  • 2012 (Baseline): 163 million EUR
  • 2011 (Adverse): 69 million EUR
  • 2012 (Adverse): 4 million EUR

• Capital impact from mitigating measures:

  • Equity raisings announced and fully committed between 31 December 2010 and 30 April 2011: 135 million EUR
  • Core Tier 1 capital after these measures: 1,969 million EUR
  • Tier 1 capital after these measures: 1,969 million EUR
  • Total regulatory capital after these measures: 2,556 million EUR

Mitigating Measures

• Recognised mitigating measures as of 30 April 2011:

  • Equity raisings: 135 million EUR
  • Government support: 0 million EUR
  • Mandatory restructuring plans: 0 million EUR

• Supervisory Recognised Capital Ratio:

  • Baseline scenario (2011–2012): 11.7% (2011), 11.9% (2012)
  • Adverse scenario (2011–2012): 9.6% (2011), 8.7% (2012)

• Additional Mitigating Measures:

  • Use of provisions and/or other reserves (including countercyclical provisions): Not specified
  • Divestments and other management actions taken by 30 April 2011: Not specified
  • Other disinvestments and restructuring measures (including future mandatory restructuring): Not specified
  • Future planned issuances of common equity instruments: Not specified
  • Future planned government subscriptions of capital instruments: Not specified
  • Other instruments recognised as appropriate back-stop measures: Not specified

Provisions and Losses

• Stock of provisions (2010–2012):

  • 2010: 389 million EUR
  • 2011 (Baseline): 440 million EUR
  • 2012 (Baseline): 492 million EUR
  • 2011 (Adverse): 531 million EUR
  • 2012 (Adverse): 729 million EUR

• Provisions for non-defaulted exposures:

  • Sovereigns: 42 million EUR (2011), 84 million EUR (2012)
  • Institutions: 10 million EUR (2010–2012)
  • Corporate (excluding commercial real estate): 32 million EUR (2010–2012)
  • Retail (excluding commercial real estate): 8 million EUR (2010–2012)
  • Commercial real estate: 6 million EUR (2010–2012)

• Coverage ratio (2010–2012):

  • Corporate: 76.7% (2010), 67.6% (2011), 61.6% (2012)
  • Retail: 18.9% (2010), 13.4% (2011), 10.1% (2012)
  • Commercial real estate: 33.0% (2010), 27.9% (2011), 21.7% (2012)

• Loss rates (2010–2012):

  • Corporate: 0.3% (2010), 0.3% (2011), 0.3% (2012), 0.4% (2011), 0.7% (2012)
  • Retail: 0.1% (2010), 0.0% (2011), 0.0% (2012), 0.1% (2011), 0.3% (2012)
  • Commercial real estate: 0.3% (2010), 0.0% (2011), -0.1% (2012), 0.7% (2011), 0.9% (2012)

Notes

• The stress test was conducted using the EBA common methodology, which includes static balance sheet assumptions and regulatory transitional floors.
• Capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national supervisory definitions or public disclosures.
• The results of the stress test should not be interpreted as forecasts or compared to other published information.
• The impact of government support, capital raisings, and restructuring plans is included in the capital ratio for the adverse scenario.
• The capital ratio after all mitigating actions is based on the EBA methodology, but may also include measures not recognized by the EBA.
• All elements are reported net of tax effects.
• The coverage ratio is calculated as the stock of provisions on defaulted assets divided by the stock of defaulted assets in EAD.
• The loss rate is calculated as the total impairment flow for a year divided by the total EAD for the specific portfolio (excluding securitisation and counterparty credit risk).