EBA欧洲银行-IT042_11页_642kb

Summary of the 2011 EBA EU-wide Stress Test for Banca Monte dei Paschi di Siena

Core Tier 1 Capital and Risk Weighted Assets (RWA)

Actual Results as of 31 December 2010

• Operating profit before impairments: 2,140 million EUR
• Impairment losses on financial and non-financial assets in the banking book: -1,194 million EUR
• Risk weighted assets (RWA): 109,238 million EUR
• Core Tier 1 capital: 6,301 million EUR
• Core Tier 1 capital ratio: 5.8%
• Additional capital needed to reach a 5% Core Tier 1 capital benchmark: 839 million EUR (or 0.8 percentage points)

Adverse Scenario Results as of 31 December 2012 (Excluding Mitigating Actions)

• Core Tier 1 capital ratio: 4.7%
• Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

Adverse Scenario Results as of 31 December 2012 (Including Recognised Mitigating Measures)

• 2-year cumulative operating profit before impairments: 3,809 million EUR
• 2-year cumulative impairment losses: -3,995 million EUR
• 2-year cumulative losses from the stress in the trading book: -369 million EUR
  • Valuation losses due to sovereign shock: -201 million EUR
• Risk weighted assets: 113,072 million EUR
• Core Tier 1 capital: 7,119 million EUR
• Core Tier 1 capital ratio: 6.3%
• Additional capital needed to reach a 5% Core Tier 1 capital benchmark: Not specified

Effects of Recognised Mitigating Measures (As of 30 April 2011)

• Equity raisings announced and fully committed: 1,841 million EUR
• Supervisory recognised capital ratio after all mitigating actions: 8.8%

Capital Adequacy Results (Full Static Balance Sheet Assumption)

Capital Adequacy Overview

• Risk weighted assets (RWA): 109,238 million EUR (2010), increasing to 113,072 million EUR by 2012
• Core Tier 1 capital: 6,301 million EUR (2010), rising to 7,119 million EUR by 2012
• Core Tier 1 capital ratio:
  • 2010: 5.8%
  • 2011 (Baseline): 5.9%
  • 2012 (Baseline): 6.1%
  • 2011 (Adverse): 5.1%
  • 2012 (Adverse): 4.7%

Profit and Loss (P&L) Results

Operating Profit and Impairments

• Operating profit before impairments:
  • 2010: 2,140 million EUR
  • 2011 (Baseline): 2,238 million EUR
  • 2012 (Baseline): 2,327 million EUR
  • 2011 (Adverse): 1,830 million EUR
  • 2012 (Adverse): 1,979 million EUR
• Impairments on financial and non-financial assets in the banking book:
  • 2010: -1,194 million EUR
  • 2011 (Baseline): -1,091 million EUR
  • 2012 (Baseline): -1,108 million EUR
  • 2011 (Adverse): -1,929 million EUR
  • 2012 (Adverse): -2,066 million EUR
• Operating profit after impairments and other losses from the stress:
  • 2011 (Baseline): 1,147 million EUR
  • 2012 (Baseline): 1,219 million EUR
  • 2011 (Adverse): -99 million EUR
  • 2012 (Adverse): -86 million EUR

Net Profit After Tax

• 2010: 985 million EUR
• 2011 (Baseline): 430 million EUR
• 2012 (Baseline): 473 million EUR
• 2011 (Adverse): -461 million EUR
• 2012 (Adverse): -481 million EUR

Provisions and Losses

• Stock of provisions (2010): 8,989 million EUR

  • Provisions for non-defaulted assets:
    • Sovereigns: 1 million EUR
    • Institutions: 12 million EUR
    • Corporate (excluding Commercial real estate): 388 million EUR
    • Retail (excluding Commercial real estate): 299 million EUR
  • Provisions for defaulted assets:
    • Corporate (excluding Commercial real estate): 4,391 million EUR
    • Retail (excluding Commercial real estate): 3,611 million EUR
    • Commercial real estate: 100 million EUR

• Coverage ratio:

  • Corporate: 41.7% (2010), 40.8% (2011), 40.8% (2012)
  • Retail: 42.3% (2010), 42.0% (2011), 42.7% (2012)
  • Commercial real estate: 7.1% (2010), 12.9% (2011), 16.6% (2012)

• Loss rates:

  • Corporate: 0.7% (2010), 0.7% (2011), 0.6% (2012)
  • Retail: 0.7% (2010), 0.7% (2011), 0.7% (2012)
  • Commercial real estate: 0.7% (2010), 0.7% (2011), 0.7% (2012)

Mitigating Measures

Recognised Mitigating Measures (Up to 30 April 2011)

• Equity raisings: 1,841 million EUR
• Government support: Effects on Core Tier 1 capital ratio (not specified)
• Mandatory restructuring plans: Effects on Core Tier 1 capital ratio (not specified)
• Supervisory recognised capital ratio: 8.8%

Additional Mitigating Measures

• Use of provisions and/or other reserves: Capital ratio impact (not specified)
• Divestments and other management actions: RWA impact (not specified)
• Other disinvestments and restructuring measures: RWA impact (not specified)
• Future planned issuances of common equity instruments (private): Capital ratio impact (not specified)
• Future planned government subscriptions of capital instruments (including hybrids): Capital ratio impact (not specified)
• Other instruments recognised as appropriate back-stop measures:
  • RWA impact: 2.5 percentage points
  • Capital ratio impact: 2.5 percentage points

Notes and Definitions

• The stress test was conducted using the EBA common methodology, which includes a static balance sheet assumption and regulatory transitional floors.
• Capital elements and ratios are based on the EBA definition of Core Tier 1 capital and may differ from national supervisory definitions.
• The results are not forecasts and should not be directly compared to other published information.
• Deferred tax assets: 3,179 million EUR
• Other operating income: Includes net dividend income, hedging losses, gains on asset disposal, and losses from fair value financial instruments.
• Other income: Composed of risk provisions, depreciation expenses, and purchase price allocation effects.
• Countercyclical provisions: Can be released for mitigating purposes in the adverse scenario.
• Securitisation exposures: Not included in RWA but are part of the capital calculation.
• Coverage ratio = stock of provisions on defaulted assets / EAD of defaulted assets.
• Loss rate = total impairment flow / EAD of the portfolio (excluding securitisation and counterparty credit risk).
• Mitigating measures are detailed in the worksheet "3 - Mitigating measures".