EBA欧洲银行-DE027_11页_200kb

Summary of the 2011 EBA EU-wide Stress Test Results: Landesbank Berlin

Core Tier 1 Capital Ratio

• As of 31 December 2010 (actual results):

  • Operating profit before impairments: 352 million EUR
  • Impairment losses on financial and non-financial assets in the banking book: -120 million EUR
  • Risk weighted assets (RWA): 35,257 million EUR
  • Core Tier 1 capital: 5,162 million EUR
  • Core Tier 1 capital ratio: 14.6%

• Outcomes of the adverse scenario at 31 December 2012 (excluding mitigating actions):

  • Core Tier 1 capital ratio: 10.4%

• Outcomes of the adverse scenario at 31 December 2012 (including mitigating measures as of 30 April 2011):

  • Core Tier 1 capital ratio: 10.4%
  • Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

Capital Adequacy and Profit and Loss Outcomes

• Capital adequacy under the full static balance sheet assumption (no mitigating actions):

  • Risk weighted assets (RWA) for 2010: 35,257 million EUR
  • Common equity: 5,162 million EUR
  • Core Tier 1 capital: 5,162 million EUR
  • Core Tier 1 capital ratio: 14.6%

• Baseline scenario results (2011-2012):

  • Core Tier 1 capital ratio: 13.8% (2011), 13.9% (2012)

• Adverse scenario results (2011-2012):

  • Core Tier 1 capital ratio: 10.4% (2011), 10.4% (2012)

• Profit and losses under the adverse scenario:

  • 2-year cumulative operating profit before impairments: 684 million EUR
  • 2-year cumulative impairment losses: -734 million EUR
  • 2-year cumulative losses from the stress in the trading book: 7 million EUR
    • Valuation losses due to sovereign shock: -1 million EUR
  • Core Tier 1 capital: 5,090 million EUR
  • Tier 1 capital: 5,090 million EUR
  • Total regulatory capital: 5,713 million EUR
  • Net profit after tax: -1 million EUR
    • Of which carried over to capital (retained earnings): -1 million EUR
    • Of which distributed as dividends: 0 million EUR

Provisions and Losses

• Stock of provisions (as of 31 December 2010):

  • Total: 1,064 million EUR
    • Of which: provisions for non-defaulted assets: 110 million EUR
    • Of which: provisions for defaulted assets: 954 million EUR
      • Corporate (excluding commercial real estate): 545 million EUR
      • Retail (excluding commercial real estate): 163 million EUR
      • Commercial real estate: 233 million EUR

• Coverage ratio for defaulted assets:

  • Corporate (excluding commercial real estate): 22.4%
  • Retail (excluding commercial real estate): 20.9%
  • Commercial real estate: 36.2%

• Loss rates (excluding securitisation and counterparty credit risk):

  • Corporate (excluding commercial real estate): 0.1%
  • Retail (excluding commercial real estate): 0.4%
  • Commercial real estate: 0.6%

Mitigating Measures

• Mitigating measures taken by 30 April 2011:

  • No measures were implemented or planned for the following categories:
    • Use of provisions and/or other reserves (including countercyclical provisions)
    • Divestments and other management actions
    • Other disinvestments and restructuring measures
    • Future planned issuances of common equity instruments
    • Future planned government subscriptions of capital instruments
    • Other instruments recognised as back-stop measures

• Effects of mitigating measures on capital and RWA:

  • No impact on Core Tier 1 capital ratio
  • No impact on RWA
  • Supervisory recognised capital ratio: 10.4%

Notes and Definitions

• The stress test was conducted using the EBA common methodology, which includes a static balance sheet assumption and regulatory transitional floors where binding.
• Capital elements and ratios are based on the EBA definition of Core Tier 1 capital, which may differ from national supervisory definitions.
• The results are not forecasts and should not be directly compared to other published information.
• The EBA methodology does not allow for the release of countercyclical provisions in the 2011-2012 period, which are instead included in Section D.
• All capital elements are reported net of tax effects.
• The supervisory recognised capital ratio may include measures not acknowledged by the EBA methodology but considered appropriate by national authorities.

Capital Composition as of 31 December 2010

• Common equity before deductions: 5,390 million EUR (15.3% of RWA)
• Deductions from common equity: -228 million EUR (0.6% of RWA)
  • Deductions include participations and subordinated claims, securitisation exposures, and IRB provision shortfall
• Common equity (after deductions): 5,162 million EUR (14.6% of RWA)
• Core Tier 1 capital (including government support): 5,162 million EUR (14.6% of RWA)
• Tier 1 capital: 5,162 million EUR (14.6% of RWA)
• Tier 2 capital: 623 million EUR (1.8% of RWA)
• Tier 3 capital: 0 million EUR (0.0% of RWA)
• Total capital: 5,785 million EUR (16.4% of RWA)
• Deferred tax assets: 183 million EUR (0.5% of RWA)
• Minority interests: 49 million EUR (0.1% of RWA)
• Amount of holdings, participations and subordinated claims: 40 million EUR (0.1% of RWA)
• Amount of securitisation exposures not included in RWA: 0 million EUR
• Valuation differences eligible as original own funds: Not specified

Conclusion

The stress test results for Landesbank Berlin indicate that under the adverse scenario, the Core Tier 1 capital ratio drops to 10.4% by 31 December 2012, even after incorporating some mitigating measures. However, no additional capital raisings or restructuring actions were implemented or planned during the period from 31 December 2010 to 30 April 2011, and these measures had no impact on the capital ratio. The bank’s capital composition and provisions were also analyzed, with specific provisions for defaulted assets and a detailed breakdown of loss rates across different portfolio segments. The results highlight the bank's capital adequacy under stressed conditions and the lack of significant mitigating actions taken.