Deutsche Bank publishes CEBS stress test results
Deutsche Bank (XETRA: DBKGn.DE / NYSE: DB) was subject to the 2010 EU-wide stress testing exercise coordinated by the Committee of European Banking Supervisors (CEBS), in cooperation with the European Central Bank (ECB), Deutsche Bundesbank, and the German Federal Financial Supervisory Authority (BaFin).
Deutsche Bank acknowledges the outcomes of the EU-wide stress tests.
This stress test complements the risk management procedures and regular stress testing programs set up in Deutsche Bank under the Pillar 2 framework of Basel II and the Capital Requirements Directive (CRD).
The exercise was conducted using the scenarios, methodology and key assumptions provided by CEBS (see the aggregate report published on the CEBS website). As a result of the assumed shock under the adverse scenario, the estimated consolidated Tier 1 capital ratio would change to 10.3% in 2011 compared to 12.6% as of end of 2009. An additional sovereign risk scenario would have a further impact of 0.6 percentage points on the estimated Tier 1 capital ratio, bringing it to 9.7% at the end of 2011, compared with the regulatory minimum of 4%.
The results of the most severe stress scenario (including sovereign shock) suggest for Deutsche Bank a buffer of EUR 14.1 bn of Tier 1 capital against the threshold of a 6% Tier 1 capital adequacy ratio agreed exclusively for the purposes of this exercise. This threshold should by no means be interpreted as a regulatory minimum (the regulatory minimum for the Tier 1 capital ratio is 4%), nor as a capital target reflecting the risk profile of the institution determined as a result of the supervisory review process in Pillar 2 of the CRD.
Given that the stress test was carried out under a number of key common simplifying assumptions (e.g. constant balance sheet, however, acquisitions were to be added) the information on the benchmark scenario is provided only for comparison purposes and should in no way be construed as a forecast.
In the interpretation of the outcome of the exercise, it is imperative to differentiate between the results obtained under the different scenarios developed for the purposes of the EU-wide exercise. The results of the adverse scenario should not be considered as representative of the current situation or possible present capital needs. A stress testing exercise does not provide forecasts of expected outcomes since the adverse scenarios are designed as "what-if" scenarios including plausible but extreme assumptions, which are therefore not very likely to materialise. Different stresses may produce different outcomes depending on the circumstances of each institution.
The objective of the 2010 EU-wide stress test exercise conducted under the mandate from the EU Council of Ministers of Finance (ECOFIN) and coordinated by CEBS in cooperation with the ECB, national supervisory authorities and the EU Commission, is to assess the overall resilience of the EU banking sector and the banks’ ability to absorb further possible shocks on credit and market risks, including sovereign risks.
The exercise has been conducted on a bank-by-bank basis for a sample of 91 EU banks from 20 EU Member States, covering at least 50% of the banking sector, in terms of total consolidated assets, in each of the 27 EU Member States, using commonly agreed macro-economic scenarios (benchmark and adverse) for 2010 and 2011, developed in close cooperation with the ECB and the European Commission.
More information on the scenarios, methodology, aggregate and detailed individual results is available from CEBS. Information can also be obtained from the website of BaFin or Deutsche Bundesbank.
Attached please find the CEBS stress test results.
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This release contains forward-looking statements. Forward-looking statements are statements that are not historical facts; they include statements about our beliefs and expectations and the assumptions underlying them. These statements are based on plans, estimates and projections as they are currently available to the management of Deutsche Bank. Forward-looking statements therefore speak only as of the date they are made, and we undertake no obligation to update publicly any of them in light of new information or future events.
By their very nature, forward-looking statements involve risks and uncertainties. A number of important factors could therefore cause actual results to differ materially from those contained in any forward-looking statement. Such factors include the conditions in the financial markets in Germany, in Europe, in the United States and elsewhere from which we derive a substantial portion of our trading revenues, potential defaults of borrowers or trading counterparties, the implementation of our strategic initiatives, the reliability of our risk management policies, procedures and methods, and other risks referenced in our filings with the U.S. Securities and Exchange Commission. Such factors are described in detail in our SEC Form 20-F of 16 March 2010 under the heading "Risk Factors." Copies of this document are readily available upon request or can be downloaded from www.deutsche-bank.com/ir .
This release may also contain non-IFRS financial measures. For a reconciliation to directly comparable figures reported under IFRS, refer to the 1Q2010 Financial Data Supplement, which is available at www.deutsche-bank.com/ir.
Deutsche Bank CEBS stress test results July 2010