EBA欧洲银行-DE019_11页_180kb

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

Core Tier 1 Capital and Risk Weighted Assets (RWA)

• Actual Results at 31 December 2010:

  • Operating profit before impairments: 488 million EUR
  • Impairment losses on financial and non-financial assets: -538 million EUR
  • RWA: 120,697 million EUR
  • Core Tier 1 capital: 9,838 million EUR
  • Core Tier 1 capital ratio: 8.2%

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

  • Core Tier 1 capital ratio: 7.1%

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

  • 2-year cumulative operating profit before impairments: 710 million EUR
  • 2-year cumulative impairment losses: -3,288 million EUR
  • 2-year cumulative losses from the stress in the trading book: -1,038 million EUR
  • Valuation losses due to sovereign shock: -33 million EUR
  • RWA: 124,086 million EUR
  • Core Tier 1 capital: 8,851 million EUR
  • Core Tier 1 capital ratio: 7.1%

• Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not explicitly stated in the table, but the ratio was below the benchmark in both scenarios.

Capital Adequacy with Mitigating Measures

• Capital adequacy results with mitigating actions up to 30 April 2011:

  • Core Tier 1 capital after mitigating actions: 8,851 million EUR
  • Supervisory recognised capital ratio: 7.5%

• Impact of mitigating measures:

  • Divestments and other management actions taken by 30 April 2011 contributed a 0.3% increase in the capital ratio.
  • No additional capital was raised between 31 December 2010 and 30 April 2011.
  • No government support or restructuring plans were publicly announced and fully committed in that period.

Profit and Loss Analysis

• Net interest income:

  • 2010: 2,055 million EUR
  • 2011 (Baseline): 1,989 million EUR
  • 2012 (Baseline): 1,988 million EUR
  • 2011 (Adverse): 1,942 million EUR
  • 2012 (Adverse): 1,878 million EUR

• Trading income:

  • 2010: -828 million EUR
  • 2011 (Baseline): -197 million EUR
  • 2012 (Baseline): -197 million EUR
  • 2011 (Adverse): -541 million EUR
  • 2012 (Adverse): -541 million EUR

• Trading losses from stress scenarios:

  • 2011: -174 million EUR
  • 2012: -174 million EUR

• Valuation losses due to sovereign shock:

  • 2011: -17 million EUR
  • 2012: -17 million EUR

• Operating profit before impairments:

  • 2010: 488 million EUR
  • 2011 (Baseline): 757 million EUR
  • 2012 (Baseline): 799 million EUR
  • 2011 (Adverse): 365 million EUR
  • 2012 (Adverse): 345 million EUR

• Operating profit after impairments and other losses:

  • 2010: -50 million EUR
  • 2011 (Baseline): 117 million EUR
  • 2012 (Baseline): 512 million EUR
  • 2011 (Adverse): -1,451 million EUR
  • 2012 (Adverse): -1,127 million EUR

• Net profit after tax:

  • 2010: -347 million EUR
  • 2011 (Baseline): -38 million EUR
  • 2012 (Baseline): 145 million EUR
  • 2011 (Adverse): -1,135 million EUR
  • 2012 (Adverse): -863 million EUR

Provisions and Loss Coverage

• Stock of provisions:

  • 2010: 3,840 million EUR
  • 2011 (Baseline): 4,373 million EUR
  • 2012 (Baseline): 4,589 million EUR
  • 2011 (Adverse): 5,203 million EUR
  • 2012 (Adverse): 6,262 million EUR

• Loss coverage ratios:

  • Corporate (excluding Commercial real estate): 56.8% (2010), 54.6% (2011 Baseline), 53.1% (2012 Baseline), 56.3% (2011 Adverse), 56.1% (2012 Adverse)
  • Retail (excluding Commercial real estate): 35.1% (2010), 28.9% (2011 Baseline), 25.0% (2012 Baseline), 29.0% (2011 Adverse), 25.1% (2012 Adverse)
  • Commercial real estate: 32.4% (2010), 32.5% (2011 Baseline), 32.5% (2012 Baseline), 32.6% (2011 Adverse), 32.9% (2012 Adverse)

• Loss rates:

  • Corporate (excluding Commercial real estate): 0.2% (2010), 0.4% (2011 Baseline), 0.2% (2012 Baseline), 0.9% (2011 Adverse), 0.7% (2012 Adverse)
  • Retail (excluding Commercial real estate): 0.0% (2010), 0.1% (2011 Baseline), 0.1% (2012 Baseline), 0.1% (2011 Adverse), 0.1% (2012 Adverse)
  • Commercial real estate: 1.3% (2010), 1.0% (2011 Baseline), 0.1% (2012 Baseline), 1.6% (2011 Adverse), 1.1% (2012 Adverse)

Capital Composition at 31 December 2010

• Common equity before deductions: 10,504 million EUR (8.7% of RWA)
• Eligible capital and reserves: 9,688 million EUR (8.0% of RWA)
• Intangible assets (including goodwill): -131 million EUR (-0.1% of RWA)
• Deductions from common equity: -666 million EUR (-0.6% of RWA)
• Common equity (A+B): 9,838 million EUR (8.2% of RWA)
• Ordinary shares subscribed by government: 1,164 million EUR (1.0% of RWA)
• Core Tier 1 capital including government support: 9,838 million EUR (8.2% of RWA)
• Tier 1 capital: 13,951 million EUR (11.6% of RWA)
• Tier 2 capital: 4,331 million EUR (3.6% of RWA)
• Tier 3 capital: 502 million EUR (0.4% of RWA)
• Total capital: 18,785 million EUR (15.6% of RWA)

Summary of Mitigating Measures

• Use of provisions and/or other reserves:

  • Capital ratio impact: 0%
  • RWA impact: 0 million EUR

• Divestments and other management actions taken by 30 April 2011:

  • RWA impact: -5,539 million EUR
  • Capital ratio impact: +0.3%

• Other disinvestments and restructuring measures:

  • No data provided for RWA and capital ratio impact

• Future planned capital raisings:

  • No planned equity issuances or government subscriptions

• Supervisory recognised capital ratio after all mitigating actions: 7.5%

Notes and Methodology

• The stress test was conducted using the EBA common methodology with a static balance sheet assumption.
• Core Tier 1 capital is defined according to EBA rules and may differ from national definitions.
• The results should not be interpreted as forecasts or compared to other published information.
• Regulatory transitional floors are applied where binding.
• The capital ratio after mitigating actions is based on the EBA definition, but may include measures not recognized by the EBA methodology.