Summary of the 2011 EBA EU-wide Stress Test Results for HSH Nordbank
Core Tier 1 Capital Ratio
Actual results at 31 December 2010:
Operating profit before impairments: 261 million EUR
Impairment losses on financial and non-financial assets in the banking book: -182 million EUR
Risk weighted assets (RWA): 41,388 million EUR
Core Tier 1 capital: 4,434 million EUR
Core Tier 1 capital ratio: 10.7%
Adverse scenario at 31 December 2012 (excluding mitigating actions taken in 2011):
Core Tier 1 capital ratio: 5.5%
Additional capital needed to reach a 5% Core Tier 1 capital benchmark:
Not specified in the table, but the capital ratio after all mitigating actions is reported as 9.1%.
Capital Adequacy and Profit and Loss Results
A. Stress Test Results (Full Static Balance Sheet Assumption)
Item
2010 (Million EUR)
2011 (Baseline)
2012 (Baseline)
2011 (Adverse)
2012 (Adverse)
Risk Weighted Assets
41,388
40,597
40,918
44,569
71,504
Common Equity
4,434
4,204
4,305
4,367
3,951
Core Tier 1 Capital
4,434
4,204
4,305
4,367
3,951
Core Tier 1 Capital Ratio (%)
10.7
10.4
10.5
9.8
5.5
B. Stress Test Results (Including Recognised Mitigating Measures)
Item
2010 (Million EUR)
2011 (Baseline)
2012 (Baseline)
2011 (Adverse)
2012 (Adverse)
2-Year Cumulative Operating Profit Before Impairments
-561
-270
-336
-615
-970
2-Year Cumulative Impairment Losses
-1,059
-634
-875
-2,403
-2,403
2-Year Cumulative Losses from Trading Book Stress
-272
-649
-970
-272
-272
Valuation Losses Due to Sovereign Shock
-24
-12
-12
-136
-136
Core Tier 1 Capital
3,951
4,367
3,951
4,367
3,951
Tier 1 Capital
5,311
5,943
5,311
5,943
5,311
Total Regulatory Capital
8,136
9,075
8,136
9,075
8,136
Core Tier 1 Capital Ratio (%)
5.5
10.5
5.5
10.5
5.5
Profit and Loss Breakdown
Item
2010 (Million EUR)
2011 (Baseline)
2012 (Baseline)
2011 (Adverse)
2012 (Adverse)
Net Interest Income
1,502
1,412
1,324
1,388
1,277
Trading Income
-359
-382
-382
-401
-401
Trading Losses from Stress
-117
-136
-136
-136
-136
Valuation Losses Due to Sovereign Shock
-12
-12
-12
-12
-12
Operating Profit Before Impairments
261
-183
-270
-225
-336
Impairments on Financial and Non-Financial Assets in Banking Book
-182
-208
-345
-424
-634
Operating Profit After Impairments and Stress Losses
79
-391
-615
-649
-970
Net Profit After Tax
48
-553
-520
-779
-875
Coverage and Loss Rates
Portfolio
2010 (%)
2011 (Baseline) (%)
2012 (Baseline) (%)
2011 (Adverse) (%)
2012 (Adverse) (%)
Corporate (excluding Commercial Real Estate)
26.5%
27.6%
30.5%
28.0%
31.9%
Retail (excluding Commercial Real Estate)
n/a
25.7%
27.4%
27.1%
28.9%
Commercial Real Estate
57.0%
50.8%
47.0%
54.1%
52.7%
Portfolio
2010 (%)
2011 (Baseline) (%)
2012 (Baseline) (%)
2011 (Adverse) (%)
2012 (Adverse) (%)
Corporate (excluding Commercial Real Estate)
1.1%
0.8%
1.3%
1.0%
1.7%
Retail (excluding Commercial Real Estate)
n/a
0.5%
0.5%
0.7%
0.8%
Commercial Real Estate
0.6%
0.0%
0.1%
0.8%
1.1%
Mitigating Measures
Measure
Capital / P&L Impact (Million EUR)
RWA Impact (Million EUR)
Capital Ratio Impact (%)
Use of provisions and/or other reserves (including countercyclical provisions)
0
0
0
Divestments and other management actions taken by 30 April 2011
0
0
0
Other disinvestments and restructuring measures (including future mandatory restructuring)
476
-22,979
3.6%
Future planned issuances of common equity instruments (private issuances)
0
0
0
Future planned government subscriptions of capital instruments (including hybrids)
0
0
0
Other (existing and future) instruments recognised as appropriate back-stop measures
0
0
0
Supervisory Recognised Capital Ratio
Baseline scenario: 11.6%
Adverse scenario: 9.1%
Notes and Definitions
The stress test was conducted using the EBA common methodology with static balance sheet assumptions.
Capital elements and ratios are based on the EBA definition of Core Tier 1 capital.
The results are not forecasts and should not be compared directly to other published information.
Regulatory transitional floors are applied where binding.
"Other operating income" and "Other income" are not defined in the document.
The release of countercyclical provisions is reported in Section D.
Net profit includes profit attributable to minority interests.
Deferred tax assets are as per Basel 3 guidelines.
Stock of provisions includes collective, specific, and countercyclical provisions.
Provisions for non-defaulted exposures to sovereigns and financial institutions are based on EBA benchmark risk parameters.
Commercial real estate is defined in the worksheet "4 - EADs".
Coverage ratio = stock of provisions on defaulted assets / EAD of defaulted assets.
Loss rate = total impairment flow / total EAD of the portfolio (excluding securitisation and counterparty credit risk).
All elements are reported net of tax effects.
The supervisory recognised capital ratio includes measures not necessarily recognised by the EBA methodology but considered appropriate by national authorities.
