EBA欧洲银行-DE021_11页_203kb

报告摘要

Summary of the 2011 EBA EU-wide Stress Test Results for Bayerische Landesbank

Core Tier 1 Capital Ratio and Capital Adequacy

The 2011 EBA EU-wide stress test for Bayerische Landesbank evaluates the bank's capital adequacy under different scenarios and considers various mitigating actions taken up to specific dates.

Actual Results at 31 December 2010

Operating profit before impairments: 1,794 million EUR
Impairment losses on financial and non-financial assets in the banking book: -783 million EUR
Risk weighted assets (RWA): 123,850 million EUR
Core Tier 1 capital: 11,501 million EUR
Core Tier 1 capital ratio: 9.3%

Adverse Scenario at 31 December 2012 (excluding mitigating actions)

Core Tier 1 capital ratio: 7.1%

Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not explicitly stated but implied by the ratio.

Adverse Scenario at 31 December 2012 (including mitigating measures as of 30 April 2011)

2-year cumulative operating profit before impairments: 1,155 million EUR
2-year cumulative impairment losses on financial and non-financial assets in the banking book: -2,343 million EUR
2-year cumulative losses from the stress in the trading book (valuation losses due to sovereign shock): -1,008 million EUR (includes -112 million EUR from sovereign shock)
Risk weighted assets: 134,536 million EUR
Core Tier 1 capital: 9,583 million EUR
Core Tier 1 capital ratio: 7.1%

Supervisory Recognised Capital Ratio (after all current and future mitigating actions)

Core Tier 1 capital ratio: 8.3%

Profit and Loss Outcomes

Baseline and Adverse Scenario Profit and Losses (2010–2012)

Net interest income:
- 2010: 1,904 million EUR
- 2011: 2,008 million EUR
- 2012: 2,136 million EUR (Baseline) / 1,890 million EUR (Adverse)
Trading income:
- 2010: 1,043 million EUR
- 2011: -246 million EUR
- 2012: -246 million EUR (Baseline) / -549 million EUR (Adverse)
Trading losses from stress scenarios:
- 2011: -201 million EUR
- 2012: -504 million EUR (Baseline) / -504 million EUR (Adverse)
- Valuation losses due to sovereign shock: -56 million EUR (Adverse)
Operating profit before impairments:
- 2010: 1,794 million EUR
- 2011: 1,062 million EUR (Baseline) / 589 million EUR (Adverse)
- 2012: 1,365 million EUR (Baseline) / 566 million EUR (Adverse)
Impairments on financial and non-financial assets in the banking book:
- 2010: -783 million EUR
- 2011: -833 million EUR (Baseline) / -1,300 million EUR (Adverse)
- 2012: -646 million EUR (Baseline) / -1,044 million EUR (Adverse)
Operating profit after impairments and other losses from the stress:
- 2010: 1,011 million EUR
- 2011: 229 million EUR (Baseline) / -710 million EUR (Adverse)
- 2012: 489 million EUR (Baseline) / -477 million EUR (Adverse)
Net profit after tax:
- 2010: 590 million EUR
- 2011: 62 million EUR (Baseline) / 489 million EUR (Adverse)
- 2012: -755 million EUR (Baseline) / -551 million EUR (Adverse)

Provisions and Loss Coverage

Stock of provisions (non-defaulted assets):
- 2010: 550 million EUR
- 2011: 550 million EUR
- 2012: 686 million EUR (Adverse)
Stock of provisions (defaulted assets):
- 2010: 3,355 million EUR
- 2011: 3,827 million EUR
- 2012: 4,987 million EUR (Adverse)
Loss rates (non-defaulted assets):
- Corporate (excluding Commercial real estate): 0.6% (2010) / 0.3% (2011) / 0.3% (2012)
- Retail (excluding Commercial real estate): 0.9% (2010) / 0.9% (2011) / 0.4% (2012)
Loss rates (defaulted assets):
- Corporate: 0.6% (2010) / 0.5% (2011) / 0.6% (2012)
- Retail: 0.9% (2010) / 0.9% (2011) / 0.4% (2012)
- Commercial real estate: 0.0% (2010) / 1.0% (2011) / 2.1% (2012)
Coverage ratio (defaulted assets):
- Corporate: 121.2% (2010) / 75.2% (2011) / 59.3% (2012)
- Retail: 24.8% (2010) / 30.9% (2011) / 29.4% (2012)
- Commercial real estate: 0.0% (2010) / 5.4% (2011) / 7.3% (2012)

Capital Composition at 31 December 2010

Common equity before deductions: 9,758 million EUR (7.9% of RWA)
Deductions from common equity:
- Participations and subordinated claims: -149 million EUR
- Securitisation exposures not included in RWA: -537 million EUR
- IRB provision shortfall and IRB equity expected loss amounts: -118 million EUR
Common equity (after deductions): 8,954 million EUR (7.2% of RWA)
Other existing government support measures: 2,547 million EUR (2.1% of RWA)
Core Tier 1 capital (including government support): 11,501 million EUR (9.3% of RWA)
Tier 1 capital: 13,644 million EUR (11.0% of RWA)
Tier 2 capital: 4,841 million EUR (3.9% of RWA)
Tier 3 capital: 0 million EUR (0.0% of RWA)
Total capital: 18,485 million EUR (14.9% of RWA)

Mitigating Measures

Mitigating Measures Recognised by Supervisory Authorities

Use of provisions and/or other reserves (including release of countercyclical provisions): Impact of 1.2 percentage points on Core Tier 1 capital ratio
Divestments and other management actions taken by 30 April 2011: Not quantified in the summary
Other disinvestments and restructuring measures (including future mandatory restructuring not yet approved): Impact of 1.2 percentage points on Core Tier 1 capital ratio

Effects of Mitigating Measures

Risk weighted assets after other mitigating measures: 122,604 million EUR (Baseline) / 120,637 million EUR (Adverse)
Capital after other mitigating measures: 11,862 million EUR (Baseline) / 12,211 million EUR (Adverse)
Supervisory recognised capital ratio:
- 2011: 9.7%
- 2012: 10.1% (Baseline) / 8.7% (Adverse)

Notes and Methodology

The stress test was conducted using the EBA common methodology, which assumes a static balance sheet and incorporates regulatory transitional floors where applicable.
Core Tier 1 capital is defined according to EBA standards and may differ from national definitions.
The results are not forecasts and should not be compared to other published information.
All capital elements and ratios are reported net of tax effects.
The supervisory recognised capital ratio may include measures not recognized by EBA but deemed appropriate by national authorities.

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