Results of the EU-wide stress testing exercise

EU-wide stress test 2011

The EBA conducted the bank stress test in the European Union member states and Norway in the first half of 2011 in cooperation with national supervisory authorities, the European Central Bank (ECB) and the European Systemic Risk Board (ESRB). The sample contained 91 banks from 21 countries, representing at least 50% of the total assets of each respective national banking sector or 65% of the assets of the entire European banking system.

As at 31 December 2010, the German banks in the sample had an average capital ratio of 11.3%. In the adverse scenario, the unweighted average core tier 1 capital ratio of the participating German banks falls to 7.5% by end-2012. This decline of 3.8 percentage points from the 31 December 2010 reference value is attributable to an increase in RWA and simultaneous capital-reducing effects, such as from higher credit risk parameters or higher funding costs.

The 2011 bank stress test is based on two scenarios. Whereas the baseline scenario describes expected economic developments, the stress scenario assumes a significant deterioration in macroeconomic conditions. Compared with the US stress test under the Federal Reserve’s Comprehensive Capital Analysis and Review (CCAP) of March 2011, the standards institutions have to meet in the 2011 EU-wide stress tests are more stringent.

Capital ratios per Bank1-3

Risk-weighted assets (€ mill) Core Tier 1 Capital ratio
Sum 1.222.402 1.571.805
Arithmetic average 11,3% 7,5% 7,9%
Aggregation6 9,4% 6,8% 7,0%
Name of the bank End 2010 Adverse Scenario 2012 End 2010

Adverse Scenario 2012

(including capital raised until 30 April 20114)

Adverse scenario 2012

(including additional mitigating measures5)

Impact of additional taken or planned mitigating measures
Bayerische Landesbank 123.850 134.536 9,3% 7,1% 8,3% 1,2
Commerzbank AG 267.500 310.726 10,0% 6,4% 6,4% 0,0
DekaBank Deutsche Girozentrale 25.770 35.967 13,0% 9,2% 9,2% 0,0
Deutsche Bank AG 346.608 499.897 8,8% 6,5% 6,5% 0,0
DZ Bank AG 88.689 124.052 8,2% 6,9% 6,9% 0,0
HRE Holding AG 19.487 23.711 28,4% 10,0% 10,0% 0,0
HSH Nordbank AG 41.388 71.504 10,7% 5,5% 9,1% 3,6
Landesbank Berlin AG 35.257 48.790 14,6% 10,4% 10,4% 0,0
Landesbank Baden-Württemberg 120.697 124.086 8,2% 7,1% 7,5% 0,4
Norddeutsche Landesbank 86.850 107.861 4,6% 5,6% 5,6% 0,0
WestLB AG 48.615 67.970 8,7% 6,1% 6,1% 0,0
WGZ Bank AG 17.691 22.705 10,8% 8,7% 8,7% 0,0

1 The stress test was carried out using the EBA common methodology, which includes a static balance sheet assumption and incorporates regulatory transitional floors, where binding (details on the EBA methodology).

2 All capital elements and ratios are presented in accordance with the EBA definition of core tier 1 capital set up for the purposes of the EU-wide stress test, and therefore may differ from the definitions used by national supervisory authorities and/or reported by institutions in public disclosures.

3 Neither baseline scenario nor the adverse scenario and results of the stress test should in any way be construed as a bank's forecast or directly compared to bank's other published information.

4 Including capital raisings, government support and mandatory restructuring plans publicly announced and fully committed in the period from 31 December 2010 to 30 April 2011.

5 The supervisory recognised capital ratio calculated on the basis of additional mitigating measures (including the use of provisions and/or other reserves, future planned issuances of common equity instruments, and other disinvestments and restructuring measures not yet approved by the European Commission). The ratio is based primarily on the EBA definition but may include other mitigating measures not recognised by the EBA methodology as having impacts on core tier 1 capital but which are considered by national supervisors as appropriate mitigating measures for the stressed conditions.

6 Core tier 1 capital aggregated over all participating banks divided by the risk-weighted assets aggregated over all participating banks.

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