EBA欧洲银行-IT_J4CP7MHCXR8DAQMKIL78_TR_2018_18页_1mb

2018 EU-wide Transparency Exercise Summary - Banca Monte dei Paschi di Siena SpA

Core Capital and Capital Ratios

Own Funds (Transitional Period)

• Own Funds: Increased from 9,064 mln EUR (31/12/2017) to 9,244 mln EUR (30/06/2018)
• CET1 Capital: Decreased from 8,951 mln EUR (31/12/2017) to 8,373 mln EUR (30/06/2018)
  • CET1 Capital (fully loaded): Decreased from 8,564 mln EUR (31/12/2017) to 6,744 mln EUR (30/06/2018)
• Tier 1 Capital: Decreased from 8,951 mln EUR (31/12/2017) to 8,373 mln EUR (30/06/2018)
• Tier 2 Capital: Increased from 112 mln EUR (31/12/2017) to 871 mln EUR (30/06/2018)

Capital Ratios (Transitional Period)

• CET1 Capital Ratio: Decreased from 14.78% (31/12/2017) to 13.03% (30/06/2018)
• Tier 1 Capital Ratio: Decreased from 14.78% (31/12/2017) to 13.03% (30/06/2018)
• Total Capital Ratio: Decreased from 14.97% (31/12/2017) to 14.38% (30/06/2018)

Transitional Adjustments

• Transitional adjustments to CET1 Capital: Increased from 1,094 mln EUR (31/12/2017) to 1,629 mln EUR (30/06/2018)
• Other transitional adjustments to CET1 Capital: Increased from 1,094 mln EUR (31/12/2017) to 1,629 mln EUR (30/06/2018)

Risk Exposure Amounts

• Total Risk Exposure Amount: Increased from 60,563 mln EUR (31/12/2017) to 64,274 mln EUR (30/06/2018)
• Credit Risk Exposure: Increased from 47,713 mln EUR (31/12/2017) to 50,590 mln EUR (30/06/2018)
• Securitisation Risk Exposure: Increased from 8 mln EUR (31/12/2017) to 156 mln EUR (30/06/2018)
• Market Risk Exposure:
  • Foreign Exchange Risk: Decreased from 208 mln EUR (31/12/2017) to 158 mln EUR (30/06/2018)
  • Commodities Risk: Decreased from 165 mln EUR (31/12/2017) to 156 mln EUR (30/06/2018)
  • Total Market Risk Exposure: Increased from 2,470 mln EUR (31/12/2017) to 3,054 mln EUR (30/06/2018)

Profit and Loss (P&L)

• Total Operating Income, Net: Decreased from 4,236 mln EUR (31/12/2017) to 1,873 mln EUR (30/06/2018)
• Net Fee and Commission Income: Decreased from 1,564 mln EUR (31/12/2017) to 810 mln EUR (30/06/2018)
• Gains or (-) Losses on Derecognition: Decreased from 587 mln EUR (31/12/2017) to 103 mln EUR (30/06/2018)
• Gains or (-) Losses on Financial Assets Held for Trading: Decreased from -39 mln EUR (31/12/2017) to -11 mln EUR (30/06/2018)
• Gains or (-) Losses on Financial Assets at Fair Value Through Profit or Loss: Decreased from 20 mln EUR (31/12/2017) to -49 mln EUR (30/06/2018)
• Profit or (-) Loss Before Tax from Continuing Operations: Increased from -4,746 mln EUR (31/12/2017) to 173 mln EUR (30/06/2018)
• Profit or (-) Loss After Tax from Continuing Operations: Increased from -4,024 mln EUR (31/12/2017) to 289 mln EUR (30/06/2018)
• Profit or (-) Loss for the Year: Increased from -3,502 mln EUR (31/12/2017) to 289 mln EUR (30/06/2018)

Credit Risk - Standardised Approach

• Standardised Total Risk Exposure Amount: Decreased from 87,900 mln EUR (31/12/2017) to 54,711 mln EUR (30/06/2018)
• Key Exposures:
  • Central Governments or Central Banks: Increased from 24,568 mln EUR (31/12/2017) to 21,538 mln EUR (30/06/2018)
  • Regional Governments or Local Authorities: Decreased from 3,090 mln EUR (31/12/2017) to 2,672 mln EUR (30/06/2018)
  • Public Sector Entities: Decreased from 1,119 mln EUR (31/12/2017) to 860 mln EUR (30/06/2018)
  • Corporates: Decreased from 9,306 mln EUR (31/12/2017) to 9,233 mln EUR (30/06/2018)
  • Retail: Decreased from 2,631 mln EUR (31/12/2017) to 2,476 mln EUR (30/06/2018)
  • Exposures in Default: Decreased from 2,972 mln EUR (31/12/2017) to 2,272 mln EUR (30/06/2018)

Credit Risk - IRB Approach

• IRB Total Risk Exposure Amount: Increased from 27,014 mln EUR (31/12/2017) to 31,021 mln EUR (30/06/2018)
• Key Exposures:
  • Corporates: Decreased from 67,833 mln EUR (31/12/2017) to 55,199 mln EUR (30/06/2018)
  • Corporates - SME: Decreased from 40,728 mln EUR (31/12/2017) to 28,881 mln EUR (30/06/2018)
  • Retail: Decreased from 65,302 mln EUR (31/12/2017) to 55,360 mln EUR (30/06/2018)
  • Retail - Secured on Real Estate Property: Decreased from 32,842 mln EUR (31/12/2017) to 32,254 mln EUR (30/06/2018)
  • Retail - Secured on Real Estate Property - SME: Decreased from 6,421 mln EUR (31/12/2017) to 5,628 mln EUR (30/06/2018)
  • Retail - Secured on Real Estate Property - Non-SME: Decreased from 26,421 mln EUR (31/12/2017) to 26,626 mln EUR (30/06/2018)
  • Securitisation: Increased from 80 mln EUR (31/12/2017) to 3,070 mln EUR (30/06/2018)

Sovereign Exposure

• Total Gross Carrying Amount of Non-Derivative Financial Assets: 21,317.1 mln EUR (31/12/2017)
• Total Carrying Amount of Non-Derivative Financial Assets (net of short positions): 18,703.6 mln EUR (31/12/2017)
• Breakdown by Accounting Portfolio:
  • Financial Assets Held for Trading: 2,613.5 mln EUR
  • Financial Assets Designated at Fair Value Through Profit or Loss: 14,117.4 mln EUR
  • Financial Assets at Fair Value Through Other Comprehensive Income: 2,946.3 mln EUR
  • Financial Assets at Amortised Cost: 332.8 mln EUR

Notes

• The fully loaded CET1 capital ratio is calculated using the formula stated in the "COREP CODE" column.
• The information reported covers exposures to "General governments" as defined in the CRR.
• The "Original Exposure" is reported before applying credit conversion factors or credit risk mitigation techniques.