EBA欧洲银行-DE_529900HNOAA1KXQJUQ27_16页_3mb

2014 EU-wide Stress Test Summary for DZ Bank AG

Core Information

• Bank Name: DE - DZ Bank AG Deutsche Zentral-Genossenschaftsbank
• LEI Code: 529900HNOAA1KXQJUQ27

Summary: Adverse Scenario

Actual Figures as of 31 December 2013

• Operating profit before impairments: 1,385 min EUR
• Impairment losses on financial and non-financial assets in the banking book: -264 min EUR
• Common Equity Tier 1 (CET1) capital: 8,963 min EUR
• Total Risk Exposure: 99,715 min EUR
• CET1 ratio: 9.0%

Outcome as of 31 December 2016

• 3-year cumulative operating profit before impairments: 2,314 min EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 2,677 min EUR
• 3-year cumulative losses from the stress in the trading book: 1,766 min EUR
• Valuation losses due to sovereign shock after tax and prudential filters: 256 min EUR
• CET1 capital: 7,444 min EUR
• Total Risk Exposure: 124,653 min EUR
• CET1 ratio: 6.0%

Memorandum Items

• Common EU-wide CET1 Threshold (5.5%): 6,856 min EUR
• Total amount of instruments with mandatory conversion into ordinary shares (2014-2016): 0 min EUR
• Additional Tier 1 and Tier 2 instruments eligible for regulatory capital (CRR): 0 min EUR
• Eligible instruments whose trigger is above CET1 ratio in adverse scenario: 0 min EUR

Summary: Baseline Scenario

Actual Figures as of 31 December 2013

• Operating profit before impairments: 1,385 min EUR
• Impairment losses on financial and non-financial assets in the banking book: -264 min EUR
• CET1 capital: 8,963 min EUR
• Total Risk Exposure: 99,715 min EUR
• CET1 ratio: 9.0%

Outcome as of 31 December 2016

• 3-year cumulative operating profit before impairments: 3,618 min EUR
• 3-year cumulative impairment losses on financial and non-financial assets in the banking book: 1,203 min EUR
• 3-year cumulative losses from the stress in the trading book: 1,277 min EUR
• CET1 capital: 9,128 min EUR
• Total Risk Exposure: 105,210 min EUR
• CET1 ratio: 8.7%

Memorandum Items

• Common EU-wide CET1 Threshold (8.0%): 8,417 min EUR

Key Financial Metrics

Adverse Scenario Impairment and Provisions

Baseline Scenario Impairment and Provisions

Exposure Breakdown (as of 31 December 2013)

Risk Exposure by Sector

Value Adjustments and Provisions

Main Observations

• The CET1 ratio of DZ Bank AG decreased from 9.0% to 6.0% under the Adverse Scenario by 2016, indicating a significant impact on capital adequacy.
• Under the Baseline Scenario, the CET1 ratio remained relatively stable at 8.7% by 2016, showing less severe capital erosion.
• The impairment losses increased in both scenarios over the three-year period, with more pronounced growth in the Adverse Scenario.
• Valuation losses due to sovereign shocks were recorded in the Adverse Scenario, but not in the Baseline Scenario.
• The risk exposure increased from 99,715 min EUR to 124,653 min EUR in the Adverse Scenario, while it rose to 105,210 min EUR in the Baseline Scenario.
• Securitisation exposure was deducted from capital and not included in risk-weighted assets (RWA) in both scenarios.