EBA欧洲银行-EBA_TR_IT_J4CP7MHCXR8DAQMKIL78_29页_5mb

2016 EU-wide Stress Test Summary for Banca Monte dei Paschi di Siena S.p.A.

Core Information

• Bank Name: Banca Monte dei Paschi di Siena S.p.A.
• LEI Code: J4CP7MHCXR8DAQMKIL78
• Country Code: IT (Italy)

Summary of Financial Performance

Key Observations

• Profitability under Stress Scenarios:

  • In the Baseline Scenario, the bank reported a profit of 1,496.65 mln EUR over three years.
  • In the Adverse Scenario, the bank reported a loss of 5,239.17 mln EUR, indicating a significant decline in profitability under stress conditions.

• Capital Adequacy Ratios:

  • The CET1 ratio remains stable at 12.0% in the Baseline Scenario but drops to -2.2% in the Adverse Scenario, suggesting a potential capital shortfall.
  • The Fully loaded CET1 ratio also shows a slight decline in the Adverse Scenario, from 12.2% to -2.4%.
  • Tier 1 capital decreases in the Adverse Scenario, from 9,001.15 mln EUR to -1,134.63 mln EUR.

• Risk Exposure:

  • The Total risk exposure amount increases slightly in the Adverse Scenario to 72,013.84 mln EUR from 70,828.48 mln EUR in the Baseline Scenario.
  • The Leverage ratio drops from 5.2% to -0.7%, indicating a higher leverage risk in adverse conditions.

• Default Stock Coverage:

  • The coverage ratio - default stock is 50.42% in the Adverse Scenario, which is higher than the Baseline Scenario's 47.01%, indicating better coverage of default risk in adverse conditions.

Credit Risk IRB Analysis

Exposure Values and Risk Exposure Amounts

Summary of Key Points

• The bank's net interest income declines significantly in the Adverse Scenario.
• Gains on financial assets turn negative in the Adverse Scenario, while impairment losses increase.
• The profit for the year is positive in the Baseline Scenario but becomes negative in the Adverse Scenario.
• The CET1 ratio remains at 12.0% in the Baseline Scenario but drops in the Adverse Scenario.
• Risk exposure increases slightly in the Adverse Scenario, indicating a potential increase in credit risk.
• The coverage ratio - default stock improves in the Adverse Scenario, showing better coverage of default risk.
• The leverage ratio decreases, suggesting increased leverage risk in adverse conditions.
• The IRB analysis shows the bank's exposure to various categories, with retail being the largest risk exposure segment.

Additional Notes

• There are no instruments with mandatory conversion into ordinary shares in the 2016–2018 period.
• No Additional Tier 1 or Tier 2 instruments are eligible for conversion or write-down in the adverse scenario.
• The coverage ratio for default stock is calculated using the stock of provisions for defaulted stock / default stock, as defined in the Methodological note.