2014 EU-wide Stress Test Summary for Landesbank Baden-Württemberg
Core Information
Bank Name: DE - Landesbank Baden-Württemberg
LEI Code: B81CK4ESI35472RHJ606
Summary of Adverse Scenario
Actual Figures as of 31 December 2013
Operating profit before impairments: 807 min EUR
Impairment losses on financial and non-financial assets in the banking book: 651 min EUR
Common Equity Tier 1 (CET1) capital: 11,923 min EUR
Total Risk Exposure: 88,542 min EUR
CET1 ratio: 13.5%
Outcome as of 31 December 2016
3-year cumulative operating profit before impairments: -828 min EUR
3-year cumulative impairment losses on financial and non-financial assets in the banking book: 2,920 min EUR
3-year cumulative losses from the stress in the trading book: 1,711 min EUR
Valuation losses due to sovereign shock after tax and prudential filters: 647 min EUR
CET1 capital: 7,526 min EUR
Total Risk Exposure: 101,382 min EUR
CET1 ratio: 7.4%
Memorandum Items
Common EU-wide CET1 Threshold (5.5%): 5,576 min EUR
Total amount of instruments with mandatory conversion into ordinary shares in 2014–2016 (cumulative conversions): 0 min EUR
Total Additional Tier 1 and Tier 2 instruments eligible as regulatory capital under CRR provisions: 0 min EUR
Of which: eligible instruments whose trigger is above CET1 capital ratio in the adverse scenario: 0 min EUR
Summary of Baseline Scenario
Actual Figures as of 31 December 2013
Operating profit before impairments: 807 min EUR
Impairment losses on financial and non-financial assets in the banking book: 651 min EUR
CET1 capital: 11,923 min EUR
Total Risk Exposure: 88,542 min EUR
CET1 ratio: 13.5%
Outcome as of 31 December 2016
3-year cumulative operating profit before impairments: 726 min EUR
3-year cumulative impairment losses on financial and non-financial assets in the banking book: 695 min EUR
3-year cumulative losses from the stress in the trading book: 1,560 min EUR
CET1 capital: 11,198 min EUR
Total Risk Exposure: 91,141 min EUR
CET1 ratio: 12.3%
Memorandum Items
Common EU-wide CET1 Threshold (8.0%): 7,291 min EUR
Exposure and Risk Analysis
Baseline Scenario (as of 31/12/2013)
Asset Type
LTV %
Exposure Values (F-IRB)
Exposure Values (A-IRB)
Exposure Values (STA)
Risk Exposure Amounts (F-IRB)
Risk Exposure Amounts (A-IRB)
Risk Exposure Amounts (STA)
Value Adjustments and Provisions (F-IRB)
Value Adjustments and Provisions (A-IRB)
Value Adjustments and Provisions (STA)
Central banks and central governments
42,714
0
0
0
14,969
0
3,691
0
0
0
Institutions
62,914
0
0
0
59,630
1
8,248
0
0
0
Corporates
77,934
4,037
0
0
8,489
446
36,037
0
0
0
Corporates - Of Which: Specialised Lending
16,646
1,085
0
0
0
0
10,411
0
0
0
Corporates - Of Which: SME
6,331
194
0
0
1,479
44
3,137
0
0
0
Retail
0
0
0
0
13,827
280
0
0
0
0
Retail - Secured on real estate property
67.6%
0
0
0
6,895
0
3,137
0
0
0
Retail - Other Retail
0
0
0
0
6,633
280
4,712
0
0
0
Retail - Other Retail - Of Which: SME
0
0
0
0
1,277
0
729
0
0
0
Retail - Other Retail - Of Which: non-SME
0
0
0
0
5,356
280
3,983
0
0
0
Equity
823
0
0
0
1,040
0
1,725
0
0
0
Securitisation
3,288
0
0
0
356
0
1,229
0
0
0
Other non-credit obligation assets
1,430
0
0
0
642
0
1,430
0
0
0
TOTAL
189,103
4,040
0
0
98,953
727
52,360
0
0
0
Adverse Scenario (as of 31/12/2013)
Asset Type
LTV %
Exposure Values (F-IRB)
Exposure Values (A-IRB)
Exposure Values (STA)
Risk Exposure Amounts (F-IRB)
Risk Exposure Amounts (A-IRB)
Risk Exposure Amounts (STA)
Value Adjustments and Provisions (F-IRB)
Value Adjustments and Provisions (A-IRB)
Value Adjustments and Provisions (STA)
Central banks and central governments
31,023
0
0
0
14,577
0
3,691
0
0
0
Institutions
17,341
0
0
0
59,000
1
8,248
0
0
0
Corporates
62,232
3,000
0
0
4,737
268
27,800
0
0
0
Corporates - Of Which: Specialised Lending
9,200
409
0
0
0
0
4,891
0
0
0
Corporates - Of Which: SME
6,236
191
0
0
1,226
41
3,088
0
0
0
Retail
0
0
0
0
13,317
260
0
0
0
0
Retail - Secured on real estate property
67.6%
0
0
0
6,462
0
3,137
0
0
0
Retail - Other Retail
0
0
0
0
6,558
260
4,657
0
0
0
Retail - Other Retail - Of Which: SME
0
0
0
0
1,277
0
729
0
0
0
Retail - Other Retail - Of Which: non-SME
0
0
0
0
5,281
260
3,928
0
0
0
Equity
757
0
0
0
984
0
1,398
0
0
0
Securitisation
2,735
0
0
0
79
0
641
0
0
0
Other non-credit obligation assets
1,408
0
0
0
588
0
1,408
0
0
0
TOTAL
115,496
3,000
0
0
93,282
529
33,765
0
0
0
Additional Tables
Baseline Scenario (as of 31/12/2014–31/12/2016)
Year
Impairment Rate
Stock of Provisions
Coverage Ratio - Default Stock
2014
0.01%
33
14.02%
2014
0.01%
31
17.24%
2014
0.22%
2,069
36.27%
2015
0.01%
39
14.46%
2015
0.01%
22
19.18%
2015
0.22%
2,213
36.19%
2016
0.01%
47
14.81%
2016
0.01%
28
17.52%
2016
0.24%
2,369
36.11%
Adverse Scenario (as of 31/12/2014–31/12/2016)
Year
Impairment Rate
Stock of Provisions
Coverage Ratio - Default Stock
2014
0.01%
35
14.53%
2014
0.01%
18
16.66%
2014
0.27%
2,789
34.35%
2015
0.02%
46
15.55%
2015
0.02%
56
14.46%
2015
0.36%
3,454
39.11%
2016
0.02%
61
16.50%
2016
0.02%
80
13.97%
2016
0.44%
4,275
44.52%
United Kingdom Data (as of 31/12/2013)
Asset Type
LTV %
Exposure Values (F-IRB)
Exposure Values (A-IRB)
Exposure Values (STA)
Risk Exposure Amounts (F-IRB)
Risk Exposure Amounts (A-IRB)
Risk Exposure Amounts (STA)
Value Adjustments and Provisions (F-IRB)
Value Adjustments and Provisions (A-IRB)
Value Adjustments and Provisions (STA)
Central banks and central governments
111
0
0
0
52
0
0
0
0
0
Institutions
17,625
0
0
0
80
0
1,049
0
0
0
Corporates
1,031
2
0
0
44
1
351
0
0
0
Corporates - Of Which: Specialised Lending
405
0
0
0
0
0
247
0
0
0
Corporates - Of Which: SME
0
0
0
0
0
0
0
0
0
0
Retail
0
0
0
0
14
2
7
0
0
0
Retail - Secured on real estate property
61.3%
0
0
0
10
0
4
0
0
0
Retail - Other Retail
0
0
0
0
4
2
3
0
0
0
Retail - Other Retail - Of Which: non-SME
0
0
0
0
4
2
3
0
0
0
Equity
0
0
0
0
6
0
0
0
0
0
Securitisation
136
0
0
0
122
0
14
0
0
0
Other non-credit obligation assets
0
0
0
0
0
0
0
0
0
0
TOTAL
18,903
2
0
0
318
3
1,414
0
0
0
United Kingdom Baseline Scenario (as of 31/12/2014–31/12/2016)
Year
Impairment Rate
Stock of Provisions
Coverage Ratio - Default Stock
2014
0.00%
0
2.63%
2014
0.01%
2
7.96%
2014
0.04%
2
12.75%
2015
0.00%
0
2.63%
2015
0.01%
4
7.96%
2015
0.04%
2
10.18%
2016
0.00%
0
2.63%
2016
0.01%
6
7.96%
2016
0.05%
3
9.12%
Key Observations
The Baseline Scenario shows a more stable performance with a CET1 ratio of 12.3% as of 2016, compared to the Adverse Scenario which results in a CET1 ratio of 7.4%.
The Adverse Scenario indicates significant financial stress, with a 3-year cumulative operating profit before impairments of -828 min EUR and 3-year cumulative impairment losses of 2,920 min EUR.
The CET1 ratio drops below the EU-wide threshold of 5.5% in the Adverse Scenario, highlighting the bank's vulnerability.
The Baseline Scenario also shows a drop in the CET1 ratio to 12.3%, but it remains above the threshold.
The Impairment rate and Stock of Provisions are generally low in both scenarios, indicating minimal provision requirements.
Coverage Ratio - Default Stock decreases over time in both scenarios, reflecting increased risk exposure.
