EBA欧洲银行-DE020_11页_185kb

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

Core Tier 1 Capital and Risk Weighted Assets (RWA)

Actual Results at 31 December 2010

• Operating profit before impairments: 2,398 million EUR
• Impairment losses on financial and non-financial assets in the banking book: -1,097 million EUR
• Risk weighted assets (RWA): 88,689 million EUR
• Core Tier 1 capital: 7,299 million EUR
• Core Tier 1 capital ratio: 8.2%

Adverse Scenario at 31 December 2012 (Excluding Mitigating Actions)

• Core Tier 1 capital ratio: 5.9%

Adverse Scenario at 31 December 2012 (Including Mitigating Measures as of 30 April 2011)

• 2-year cumulative operating profit before impairments: 2,677 million EUR
• 2-year cumulative impairment losses on financial and non-financial assets in the banking book: -2,293 million EUR
• 2-year cumulative losses from the stress in the trading book: -488 million EUR
  • Valuation losses due to sovereign shock: -110 million EUR
• Risk weighted assets: 124,052 million EUR
• Core Tier 1 capital: 8,601 million EUR
• Core Tier 1 capital ratio: 6.9%

Additional Capital Needed to Reach 5% Core Tier 1 Benchmark

• Without mitigating actions: Additional capital needed to reach 5% is implied by the difference between 8.2% and 5%, which is 3.2 percentage points.
• With mitigating actions as of 30 April 2011: Additional capital needed to reach 5% is implied by the difference between 6.9% and 5%, which is 1.9 percentage points.

Profit and Loss Outcomes

Baseline Scenario (2010–2012)

• Net interest income:
  • 2010: 2,470 million EUR
  • 2011: 2,389 million EUR
  • 2012: 2,382 million EUR
• Trading income:
  • 2010: 1,015 million EUR
  • 2011: 196 million EUR
  • 2012: 196 million EUR
  • Trading losses from stress scenarios: -78 million EUR (2011), -78 million EUR (2012)
  • Valuation losses due to sovereign shock: -55 million EUR (2012)
• Other operating income:
  • 2010: 279 million EUR
  • 2011: 301 million EUR
  • 2012: 303 million EUR
• Operating profit before impairments:
  • 2010: 2,398 million EUR
  • 2011: 1,520 million EUR
  • 2012: 1,515 million EUR
• Impairments on financial and non-financial assets in the banking book:
  • 2010: -1,097 million EUR
  • 2011: -731 million EUR
  • 2012: -629 million EUR
• Operating profit after impairments and other losses from the stress:
  • 2011: 789 million EUR
  • 2012: 886 million EUR
• Net profit after tax:
  • 2011: 626 million EUR
  • 2012: 714 million EUR
  • Retained earnings: 480 million EUR (2011), 568 million EUR (2012)
  • Dividends distributed: 146 million EUR (2011), 146 million EUR (2012)

Adverse Scenario (2011–2012)

• Operating profit before impairments:
  • 2011: 1,326 million EUR
  • 2012: 1,351 million EUR
• Impairments on financial and non-financial assets in the banking book:
  • 2011: -1,180 million EUR
  • 2012: -1,113 million EUR
• Operating profit after impairments and other losses from the stress:
  • 2011: 146 million EUR
  • 2012: 238 million EUR
• Net profit after tax:
  • 2011: 9 million EUR
  • 2012: 96 million EUR

Coverage Ratio and Loss Rates

• Coverage ratio for defaulted assets:
  • Corporate (excluding Commercial real estate): 28.2% (2011), 27.7% (2012)
  • Retail (excluding Commercial real estate): 61.8% (2011), 63.9% (2012)
  • Commercial real estate: 26.0% (2011), 32.1% (2012)
• Loss rates:
  • Corporate (excluding Commercial real estate): 0.6% (2011), 0.6% (2012)
  • Retail (excluding Commercial real estate): 0.5% (2011), 0.6% (2012)
  • Commercial real estate: 0.2% (2011), 0.5% (2012)

Capital Adequacy Composition as of 31 December 2010

• Common equity before deductions: 8,565 million EUR (9.7% of RWA)
• Deductions from common equity: -1,266 million EUR (1.4% of RWA)
• Common equity (after deductions): 7,299 million EUR (8.2% of RWA)
• Core Tier 1 capital (including government support measures): 7,299 million EUR (8.2% of RWA)
• Tier 1 capital: 9,839 million EUR (11.1% of RWA)
• Tier 2 capital: 1,807 million EUR (2.0% of RWA)
• Total capital: 11,646 million EUR (13.1% of RWA)

Mitigating Measures

Recognised Mitigating Measures as of 30 April 2011

• Equity raisings announced and fully committed between 31 December 2010 and 30 April 2011: 1,240 million EUR
• Core Tier 1 capital after government support, capital raisings and restructuring: 8,601 million EUR
• Core Tier 1 capital ratio after all mitigating actions: 6.9%

Additional Mitigating Measures

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

Notes and Methodology

• 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, which may differ from national supervisory definitions.
• The results should not be interpreted as forecasts or compared to other published information.
• Regulatory transitional floors are applied where binding.
• The Core Tier 1 capital ratio includes the effects of government support, capital raisings, and mandatory restructuring plans.
• The supervisory recognised capital ratio is based on the EBA definition but may also include other measures not recognised by the EBA methodology.