EBA欧洲银行-DE018_11页_205kb

Summary of the 2011 EBA EU-wide Stress Test Results for COMMERZBANK AG

Core Tier 1 Capital Ratio

• As of 31 December 2010:

  • Operating profit before impairments: 3,728 million EUR
  • Impairment losses on financial and non-financial assets in the banking book: -2,386 million EUR
  • Risk weighted assets (RWA): 267,500 million EUR
  • Core Tier 1 capital: 26,728 million EUR
  • Core Tier 1 capital ratio: 10.0%

• Adverse Scenario at 31 December 2012 (excluding mitigating actions taken in 2011):

  • Core Tier 1 capital ratio: 7.4%

• Adverse Scenario at 31 December 2012 (including mitigating actions up to 30 April 2011):

  • Core Tier 1 capital ratio: 6.4%
  • Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not explicitly provided, but it is implied that capital measures were required to meet this target.

Capital Adequacy and Mitigating Measures

• Baseline Scenario (2010–2012):

  • Core Tier 1 capital ratio: 8.3% (2011), 8.9% (2012)
  • Risk weighted assets (RWA): 277,176 million EUR (2011), 273,520 million EUR (2012)

• Adverse Scenario (2011–2012):

  • Core Tier 1 capital ratio: 6.8% (2011), 6.4% (2012)
  • Risk weighted assets (RWA): 300,826 million EUR (2011), 310,726 million EUR (2012)

• Mitigating Measures (as of 30 April 2011):

  • Equity raisings: 11,000 million EUR (not paid in yet)
  • Government support: -14.936 million EUR (impact on Core Tier 1 capital)
  • Mandatory restructuring plans: Impact on Core Tier 1 capital ratio: -4.9 percentage points
  • Core Tier 1 capital after mitigating measures: 19,802 million EUR (2012)
  • Supervisory recognised capital ratio: 6.4% (after all mitigating actions)

Profit and Loss Overview

• Operating profit before impairments:

  • 2010: 3,728 million EUR
  • 2011 (Baseline): 1,799 million EUR
  • 2012 (Baseline): 3,202 million EUR
  • 2011 (Adverse): 1,029 million EUR
  • 2012 (Adverse): 2,650 million EUR

• Impairment losses:

  • 2010: -2,386 million EUR
  • 2011 (Baseline): -2,369 million EUR
  • 2012 (Baseline): -2,121 million EUR
  • 2011 (Adverse): -3,778 million EUR
  • 2012 (Adverse): -3,693 million EUR

• Operating profit after impairments:

  • 2010: 1,341 million EUR
  • 2011 (Baseline): -570 million EUR
  • 2012 (Baseline): 1,080 million EUR
  • 2011 (Adverse): -2,750 million EUR
  • 2012 (Adverse): -1,043 million EUR

• Net profit after tax:

  • 2010: 1,489 million EUR
  • 2011 (Baseline): -639 million EUR
  • 2012 (Baseline): 1,298 million EUR
  • 2011 (Adverse): -3,162 million EUR
  • 2012 (Adverse): -777 million EUR

• Valuation losses due to sovereign shock:

  • 2011 (Adverse): -108 million EUR
  • 2012 (Adverse): -108 million EUR

Provisions and Risk Exposure

• Stock of provisions:

  • Total: 9,890 million EUR (2010)
  • 2011 (Baseline): 12,172 million EUR
  • 2012 (Baseline): 14,246 million EUR
  • 2011 (Adverse): 13,344 million EUR
  • 2012 (Adverse): 16,747 million EUR

• Provisions for non-defaulted exposures:

  • Sovereigns: 15 million EUR (2010), 49 million EUR (2011), 46 million EUR (2012)
  • Financial institutions: 56 million EUR (2010), 65 million EUR (2011), 65 million EUR (2012)

• Provisions for defaulted assets:

  • Corporate (excluding commercial real estate): 4,059 million EUR (2010), 5,293 million EUR (2011), 6,491 million EUR (2012)
  • Retail (excluding commercial real estate): 1,378 million EUR (2010), 1,752 million EUR (2011), 2,101 million EUR (2012)
  • Commercial real estate: 2,379 million EUR (2010), 2,722 million EUR (2011), 3,021 million EUR (2012)

• Coverage ratios:

  • Corporate (excluding commercial real estate): 48.1% (2010), 45.9% (2011), 44.5% (2012)
  • Retail (excluding commercial real estate): 53.5% (2010), 46.5% (2011), 42.6% (2012)
  • Commercial real estate: 35.0% (2010), 34.4% (2011), 34.0% (2012)

• Loss rates:

  • Corporate (excluding commercial real estate): 0.5% (2010), 0.8% (2011), 0.8% (2012)
  • Retail (excluding commercial real estate): 0.5% (2010), 0.5% (2011), 0.4% (2012)
  • Commercial real estate: 1.6% (2010), 0.5% (2011), 0.4% (2012)

Additional Key Information

• Deferrals and tax assets:

  • Deferred tax assets: 1,676 million EUR (2010), 1,674 million EUR (2011), 1,825 million EUR (2012)

• Funding costs:

  • 2011 (Baseline): 219 bps
  • 2012 (Baseline): 290 bps
  • 2011 (Adverse): 360 bps

• Mitigating Measures (Not Fully Detailed):

  • Includes use of provisions, divestments, restructuring plans, and future capital raisings.
  • These measures are considered by national supervisory authorities as appropriate back-stop measures, though not all are recognized under the EBA methodology.

• Notes and Methodology:

  • The stress test uses the EBA common methodology with static balance sheet assumptions.
  • Core Tier 1 capital is defined in accordance with EBA rules, which may differ from national definitions.
  • The results are not forecasts and should not be directly compared to other published information.
  • Capital adequacy ratios and RWA are calculated with regulatory transitional floors where applicable.