EBA欧洲银行-DE024_11页_181kb

报告摘要

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

Core Tier 1 Capital Ratio and Capital Adequacy

Actual Results at 31 December 2010

Operating profit before impairments: 721 million EUR
Impairment losses on financial and non-financial assets in the banking book: -250 million EUR
Risk weighted assets (RWA): 48,615 million EUR
Core Tier 1 capital: 4,218 million EUR
Core Tier 1 capital ratio: 8.7%

Outcomes of the Adverse Scenario at 31 December 2012 (Excluding Mitigating Actions)

Core Tier 1 capital ratio: 6.1%

Outcomes of the Adverse Scenario at 31 December 2012 (Including Recognised Mitigating Measures)

2-year cumulative operating profit before impairments: 878 million EUR
2-year cumulative impairment losses on financial and non-financial assets in the banking book: -736 million EUR
2-year cumulative losses from the stress in the trading book: -230 million EUR
- Valuation losses due to sovereign shock: -30 million EUR
Risk weighted assets: 67,970 million EUR
Core Tier 1 capital: 4,160 million EUR
Core Tier 1 capital ratio: 6.1%
Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

Profit and Losses

Net Profit and Impairment Effects

Net interest income:
- 2010: 1,359 million EUR
- 2011: 1,277 million EUR
- 2012: 1,321 million EUR
Trading income:
- 2010: -85 million EUR
- 2011: -39 million EUR
- 2012: -39 million EUR
- Trading losses from stress scenarios: -115 million EUR
- Valuation losses due to sovereign shock: -15 million EUR
Other operating income:
- 2010: 71 million EUR
- 2011: -32 million EUR
- 2012: -21 million EUR
Operating profit before impairments:
- 2010: 721 million EUR
- 2011: 497 million EUR
- 2012: 537 million EUR
Impairments on financial and non-financial assets in the banking book:
- 2010: -250 million EUR
- 2011: -175 million EUR
- 2012: -159 million EUR
Operating profit after impairments and other losses from the stress:
- 2010: 471 million EUR
- 2011: 322 million EUR
- 2012: 378 million EUR
Net profit after tax:
- 2010: 151 million EUR
- 2011: 297 million EUR
- 2012: 266 million EUR
- Carried over to capital (retained earnings):
  - 2010: 151 million EUR
  - 2011: 195 million EUR
  - 2012: 157 million EUR

Loss Rates and Coverage Ratios

Loss rates (%):
- Corporate (excluding Commercial real estate): 0.4% (2010), 0.3% (2011), 0.3% (2012), 0.5% (2011 adverse), 0.5% (2012 adverse)
- Retail (excluding Commercial real estate): 0.2% (2010), 0.1% (2011), 0.1% (2012), 0.1% (2011 adverse), 0.4% (2012 adverse)
- Commercial real estate: 0.3% (2010), 0.2% (2011), 0.2% (2012), 0.4% (2011 adverse), 1.1% (2012 adverse)
Coverage ratios (%):
- Corporate (excluding Commercial real estate): 52.4% (2010), 45.6% (2011), 42.2% (2012), 45.3% (2011 adverse), 42.6% (2012 adverse)
- Retail (excluding Commercial real estate): 100.0% (2010), 60.5% (2011), 45.5% (2012), 59.7% (2011 adverse), 50.2% (2012 adverse)
- Commercial real estate: 36.1% (2010), 35.4% (2011), 34.9% (2012), 38.9% (2011 adverse), 53.2% (2012 adverse)

Mitigating Measures

Recognised Mitigating Measures as of 30 April 2011

Equity raisings announced and fully committed between 31 December 2010 and 30 April 2011: 0 million EUR
Government support publicly announced and fully committed: 0 percentage points
Mandatory restructuring plans publicly announced and fully committed: 0 percentage points
Supervisory recognised capital ratio after all current and future mitigating actions as of 31 December 2012: 6.1%

Additional Mitigating Measures

Use of provisions and/or other reserves (including release of countercyclical provisions): Not specified
Divestments and other management actions taken by 30 April 2011: Not specified
Other disinvestments and restructuring measures (including future mandatory restructuring not yet approved): Not specified
Future planned issuances of common equity instruments (private issuances): Not specified
Future planned government subscriptions of capital instruments (including hybrids): Not specified
Other instruments recognised as appropriate back-stop measures: Not specified

Capital Composition at 31 December 2010

Common equity before deductions: 1,555 million EUR (3.2% of RWA)
Eligible capital and reserves: 1,608 million EUR (3.3% of RWA)
Adjustment to intangible assets (including goodwill): -53 million EUR (-0.1% of RWA)
Deductions from common equity:
- Participations and subordinated claims: -227 million EUR (-0.5% of RWA)
- Securitisation exposures not included in RWA: 0 million EUR
- IRB provision shortfall and IRB equity expected loss amounts (before tax): -109 million EUR (-0.2% of RWA)
Common equity (A+B): 1,219 million EUR (2.5% of RWA)
Ordinary shares subscribed by government: 172 million EUR (0.4% of RWA)
Other existing government support measures: 2,999 million EUR (6.2% of RWA)
Core Tier 1 including existing government support measures (C+D): 4,218 million EUR (8.7% of RWA)
Difference from benchmark capital threshold (CT1 5%): 1,787 million EUR (3.7% of RWA)
Hybrid instruments not subscribed by government: 1,310 million EUR (2.7% of RWA)
Tier 1 capital (E+F): 5,528 million EUR (11.4% of RWA)
Tier 2 capital: 2,193 million EUR (4.5% of RWA)
Tier 3 capital: 0 million EUR (0.0% of RWA)
Total capital: 7,721 million EUR (15.9% of RWA)

Notes and Definitions

The stress test was conducted using the EBA common methodology with a static balance sheet assumption.
Capital elements and ratios are based on the EBA definition of Core Tier 1 capital and may differ from national definitions.
The results should not be construed as forecasts or compared to other published information.
Regulatory transitional floors are applied where binding.
Other operating income includes bank levies, dividends, and revaluation gains/losses on profit participations.
Other income in 2010 mainly comprises restructuring expenses for assets to be sold.
Net profit includes profit attributable to minority interests.
Deferred tax assets are based on the Basel 3 framework.
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 / stock of defaulted assets expressed in EAD.
Loss rate = total impairment flow (specific and collective) / total EAD (excluding securitisation and counterparty credit risk).
All elements are reported net of tax effects.
Supervisory recognised capital ratio may include measures not recognised by EBA but considered appropriate by national authorities.

Summary of Mitigating Measures

Use of provisions and reserves (including countercyclical provisions): Not specified
Divestments and management actions taken by 30 April 2011: Not specified
Other disinvestments and restructuring measures (including future mandatory restructuring): Not specified
Future planned equity issuances (private): Not specified
Future planned government subscriptions (including hybrids): Not specified
Other instruments as back-stop measures: Not specified

The results indicate that WestLB AG's Core Tier 1 capital ratio declined from 8.7% in 2010 to 6.1% in 2012 under the adverse scenario, despite the inclusion of mitigating measures. The bank's capital adequacy and profitability were significantly affected by the stress scenario, with increased impairment losses and lower operating profits. The bank had not announced any equity raisings or government support measures between 31 December 2010 and 30 April 2011, and the supervisory recognised capital ratio remained at 6.1% after all mitigating actions.

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