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Results of the EU-wide stress testing exercise

EU-wide stress test 2010

On 17 June 2010, the heads of state or government of the European Union resolved to publish results of the EU-wide stress tests carried out by the Committee of European Banking Supervisors (CEBS) in cooperation with the national supervisory authorities and the European Central Bank (ECB). A total of 91 credit institutions from 20 member countries took part in this EU-wide stress test exercise, thereof 14 institutions from Germany.

The average tier 1 capital ratio of the 14 participating banks at end-2011 according to the first stress scenario is 8.9%, and 8.5% when the rise in risk premiums on European government bonds is also included. This constitutes a decline of 1.6 and 2.0 percentage points respectively compared with the end of 2009.

Overview: Results of German Banks

Tier 1 capital ratio
Bank Actual result Benchmark scenario1 Stress scenario2 Stress scenario+3
year-end 2009 year-end 2011* year-end 2011* year-end 2011*
Bayerische Landesbank 10,9 % 11,9 % 9,1 % 8,8 %
Commerzbank AG 10,5 % 10,5 % 9,3 % 9,1 %
DekaBank Deutsche Girozentrale 9,8 % 11,1 % 9,5 % 8,4 %
Deutsche Bank AG 12,6 % 13,2 % 10,3 % 9,7 %
Deutsche Postbank AG 7,1 % 7,9 % 6,7 % 6,6 %
DZ Bank AG 9,9 % 10,4 % 9,2 % 8,7 %
HRE Holding AG 9,4 % 7,8 % 5,3 % 4,7 %
HSH Nordbank AG 10,5 % 14,9 % 9,9 % 9,7 %
Landesbank Berlin AG 13,3 % 12,8 % 11,3 % 11,2 %
Landesbank Baden-Württemberg 9,8 % 9,8 % 8,4 % 8,1 %
Landesbank Hessen-Thüringen 8,8 % 8,9 % 7,9 % 7,3 %
Norddeutsche Landesbank 7,5 % 8,0 % 6,4 % 6,2 %
WestLB AG 14,4 % 12,4 % 8,9 % 7,1 %
WGZ Bank AG 9,7 % 10,8 % 9,5 % 9,1 %

1 The macroeconomic benchmark scenario is based on the European Commission's spring economic forecasts for 2010 and 2011, which was overly pessimistic from today's point of view, covering areas such as gross domestic product, unemployment and housing prices.

2 Amongst other things, the EU stress scenarios assume a slowdown in euro-area economic activity for 2010 and 2011 by a cumulative 3.0 percentage points, with German economic activity to drop by as much as 3.3 percentage points (measured as the deviation from the benchmark scenario). Moreover, in the first stress scenario a distinct increase in the yield curve with a simultaneous flattening is assumed. A marked deterioration of four credit rating notches, cumulated over two years, was simulated for securitisations.

3 In the supplementary stress scenario, a rise in risk premiums for European government bonds is assumed.

* Cumulative stress test results for 2010 and 2011.

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