Pillar 3 Disclosure
Update as at
30 June 2020
Pillar 3 Disclosure
Update as at
30 June 2020
4
Banca Monte dei Paschi di Siena SpA
Company Head Office in Siena, Piazza Salimbeni 3, www.mps.it
Recorded in the Arezzo-Siena Company Register - Registration no. and tax code 00884060526 MPS VAT Group - VAT no. 01483500524
Member of the Italian Interbank Deposit Protection Fund. Bank Register no. 5274
Parent Company of the Monte dei Paschi di Siena Banking Group, registered with the Banking Groups Register
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5
Index
Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
Own Funds . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
Capital requirements, liquidity ratios and leverage . . . . . . . . . . . . . . . . . . 22
Credit Risk. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
Credit Risk: general disclosure. . . . . . . . . . . . . . . . . . . . . . . . . . 36
Credit Risk: Standard approach. . . . . . . . . . . . . . . . . . . . . . . . . . 40
Credit Risk: use of the AIRB approach . . . . . . . . . . . . . . . . . . . . . .44
Credit Risk: credit quality . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
Credit Risk: use of risk mitigation techniques. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72
Counterparty Risk. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76
Market Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86
Operational Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92
Liquidity Ratios. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95
Leverage Ratio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96
Declaration of the Financial Reporting Officer . . . . . . . . . . . . . . . . . . . . 98
List of Tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | 99 |
Appendix 1 - Summary of Information published in line with CRR requirements. . . . . 102
Appendix 2 - Details of Information provided in
compliance with EBA Guidelines GL 2016/11. . . . . . . . . . . . . . . . . . . . 103
Appendix 3 - Details of Information provided in
compliance with EBA Guidelines GL 2018/01. . . . . . . . . . . . . . . . . . . . 104
Appendix 4 - Details of Information provided in compliance
with EBA Guidelines GL 2018/10.. . . . . . . . . . . . . . . . . . . . . . . . 104
Appendix 5 - Details of Information provided in
compliance with EBA Guidelines GL 2020/07. . . . . . . . . . . . . . . . . . . . 104
Contacts .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106
G R U P P O M O N T E P A S C H I
6
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Introduction | 7 |
Introduction
The New Regulations for the Prudential Supervision of banks and banking groups entered into force as of 1 January 2014.
The regulations aim to align national requirements with the changes introduced to the International regulatory framework, following reforms in the Basel Committee agreements (Basel 3), particularly the European Union's New Regulatory and Institutional Framework for Banking Supervision.
In particular, the contents of the "Basel 3 framework" have been adopted within the EU through two capital requirement rules:
- CRR - Capital Requirements Regulation (EU) 575/2013 of the European Parliament and Council of 26 June 2013 regarding prudential requirements for credit institutions and investment firms, which amends Regulation (EU) 648/2012;
- CRD IV - Capital Requirements of the European Parliament and Council of
26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC.
The current regulatory package includes application criteria, set out in the Regulatory Technical Standards (RTS) and Implementing Technical Standards (ITS)
adopted by the European Commission, upon the proposal of the European Supervisory Authorities.
At national level, the new harmonized framework has been implemented by Bank of Italy with Circular No 285 of 17 December 2013 and subsequent updates
-
Supervisory Provisions for Banks, which contains the prudential supervision regulations applicable to Italian banks and banking groups, reviewed and updated to adjust the internal regulations to the new elements of the international regulatory framework, with special reference to the new regulatory and institutional structure of banking supervision of the European Union and taking into account the needs detected while supervising banks and other intermediaries.
The current regulatory framework aims to improve the ability of banks to absorb shocks arising from financial and economic stress, whatever the source, improve risk management and governance and strengthen the bank's transparency and disclosures, while taking into account developments from the financial crisis.
The Basel Committee has maintained a three Pillars-based approach which was at the basis of the previous capital accord known as "Basel 2", but has integrated and strengthened it to increase the quantity and
G R U P P O M O N T E P A S C H I
Introduction | 8 |
quality of banks' capital base and introduce countercyclical supervisory tools as well as new standards for liquidity risk management and financial deleveraging.
More specifically, Pillar 3 was designed on the notion that Market Discipline can be harnessed to reinforce capital regulation to promote stability and soundness in banks and financial systems.
Pillar 3, therefore, aims to complement the minimum capital requirements (Pillar 1) and supervisory review process (Pillar 2) by developing a set of transparent disclosure requirements which will allow market participants to have access to key, fully comprehensive and reliable information on capital adequacy, risk exposures and risk identification, measurement and management processes.
Public Disclosure (Pillar3) is now governed directly by European Regulation no. 575/2013 of 26 June 2013 of the European Parliament and Council, Part 8 and Part 10, Title I, Chapter 3 (hereinafter referred to as "The Regulations" or "CRR").
Under the new regulations, the CRR requires banks to publish information at least on an annual basis along with their financial statements and to evaluate the need to publish some or all disclosures more frequently than once a year depending on their specific activities. Institutions are to assess the possible need for more frequent disclosure of items of information laid down in Article 437 (Own Funds), and Article 438
(Capital Requirements), and information on risk exposure and other items prone to rapid change.
The EBA (European Banking Authority) subsequently issued its guidelines (EBA/ GL/2014/14 of 23-12-2014), on the need to publish information more frequently than once a year.
In view of the above regulations and in the interest of transparency and continuity, the Group publishes summary information on its Own Funds, Capital Requirements and Leverage in its quarterly reports, providing further information on exposures subject to internal models in its half-year report.
In December 2016, the European Banking Association (EBA) published its Guidelines on disclosure requirements under Part Eight of the Capital Requirement Regulation (CRR), providing financial institutions with specifications on the information requested in specific articles of Part Eight of the CRR. The EBA has also integrated the outcomes as expected from the aforementioned guidelines, by issuing the LCR Guidelines from art. 435, CRR of June 2017 and the reports guidelines in accordance with the law of Art. 473 bis, CRR of January 2018 on transitional arrangements aimed at lessening the impact of the introduction of the IFRS9 on own funds, by introducing additional informational requisites.
Subsequent to the public consultation process launched in April, in December 2018 the EBA published the final version of the
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Introduction | 9 |
document "Guidelines on disclosures of non- performing and forborne exposures" (EBA/ GL/2018/10), effective as of 31 December 2019 (in line with the "Guidelines for banks on non-performing loans", published by the ECB in March 2017) and aimed at promoting consistency in NPL disclosure requirements.
Lastly, on 2 June 2020, the EBA published its Guidelines on reporting and disclosure of exposures subject to measures applied in response to the COVID-19 crisis (EBA/ GL/2020/07).
The current document, therefore, provides an update as at 30 June 2020 of quantitative information deemed most significant by the Group and, in particular, the quantitative information on Own Funds, Capital requirements, the Leverage Ratio, Credit and Counterparty risk's exposures and the use of risk mitigation techniques.
For additional information not contained in this document, particularly regarding the general, organizational and methodological aspects relating to the different types of risk, please refer to the Annual Report as at 31 December 2019. Further information on the Group's risk profile, pursuant to Art. 434 of the CRR, is also published in the Consolidated Half-year Report as at 30 June 2020, the Report on Corporate Governance and the Compensation Report.
The current update introduces the information templates required by the Basel 3 framework and also reports values as at 31
December 2019.
Pillar 3 Disclosure is prepared at consolidated level by the Parent Company.
Unless otherwise indicated, all the amounts in this report are stated in TEUR (thousand Euros).
The Montepaschi Group regularly publishes its Pillar 3 disclosure on its website at: english.mps.it/investors.
G R U P P O M O N T E P A S C H I
Own Funds | 10 |
Own Funds
Own | funds, an element of Pillar 1, |
are | calculated according to Basel 3 |
rules | implemented in Europe throug |
a comprehensive body of regulations, consisting of the Capital Requirements Regulation (CRR), European Regulation No. 575/2013, and related integrations, by the Capital Requirements Directive (CRD IV), by Regulatory Technical Standards and Implementing Technical Standards issued by the EBA, and by supervisory instructions issued by Bank of Italy (specifically, Circular nos. 285 and 286). The introduction of a new regulatory framework is subject to a transition period that extends the full application of the rules to 2019 (2022 for the phase-out of certain capital instruments) and during which the new rules will be applied in an increasing proportion.
Own funds, calculated according to the transitional arrangements in force, differ from the net equity book value since prudential regulations aim to protect the quality of assets and reduce any potential volatility caused by the application of IAS/IFRS. The items that constitute own funds, therefore, must be fully available to the Group so that they may be used to cover risks and losses without any restrictions. Institutions are, in fact, required to demonstrate the quality and quantity of own funds in compliance with applicable European legislation.
Own funds are made up of Tier 1 capital
(T1), in turn consisting of Common Equity Tier 1 (CET1) and of Additional Tier 1 (AT1), and of Tier 2 (T2).
For a detailed description of the items included in Own Funds (CET1, AT1, T2) whether relating to transitional or final requirements, please refer to the Pillar 3 Report as at 31 December 2019.
On 1 January 2018, the new accounting standard IFRS 9 "Financial Instruments", which replaces IAS 39 (on the classification and evaluation of financial assets and liabilities), came into effect. In January 2018, the Montepaschi Group, availing itself of the option provided for by Regulation UE 2395/2017, has communicated to the competent supervisory authorities the intention to apply the IFRS9 transitional arrangements aimed at mitigating the impact on the own funds linked to the introduction of the new accounting standards. Such transitional regime, applicable from 1 January 2018 to 31 December 2022, under Article 473a, Regulation (UE) No 575/2013, allows the isolation of the CET1 through a mechanism of gradual introduction of the IFRS 9 impact relative to the amendments carried out during FTA. In particular, coherently with the diminution of the equity linked to the major rectifications arisen from the application of the impairment model introduced by the IFRS 9, it is allowed to be included, as positive element, a decreasing
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Own Funds | 11 |
progressive quota of the increased reserves for attended credit losses in the Common Equity Tier 1, according to the following percentages:
-
95% during the period from 1 January
2018 to 31 December 2018 - 85% during the period from 1 January
2019 to 31 December 2019 - 70% during the period from 1 January
2020 to 31 December 2020 - 50% during the period from 1 January
2021 to 31 December 2021 - 25% during the period from 1 January
2022 to 31 December 2022.
On 26 June 2020, Regulation (EU) 2020/873 was published in the Official Journal of the European Union, amending the CRR and CRR II regulations, in order to adjust the prudential regulation framework to the requirements linked to the COVID-19 emergency. The Regulation introduces, inter alia, measures to relax the capital requirements applicable as of 27 June 2020, such as changing the IFRS 9 transitional provisions, which allows banks to sterilise the capital impacts associated with the increase in credit value adjustments recognised in the period 2020-2024 with respect to 1 January 2020 for stage 1 and 2 portfolios. In particular, the Regulation provides for the re-introduction into common equity Tier 1 capital of a progressively decreasing share of the effect of the higher adjustments, equal to
100% in 2020 and 2021, 75% in 2022, 50% in 2023 and 25% in 2024. In addition, banks are allowed to re-introduce within CET 1 capital any increase in value adjustments recognized at 1 January 2020 with respect to 1 January 2018 for exposures classified in stages 1 and 2 (progressively decreasing until 2022; that is, 95% in 2018, 85% in 2019, 70% in 2020, 50% in 2021 and 25% in 2022).
For the purposes of the calculation of minimum capital requirements for credit risk, starting from 30 June 2020, the Montepaschi Group, has availed itself of the option set out in paragraph 7bis of Article 473bis, which allows institution to replace the rescaling of all exposure values that are reduced by ECL provisions with a standard risk weight of 100% to be assigned to the amounts added back to CET1 capital.
On 26 June 2020, BMPS, availing itself of the option provided for by Article 648 of CRR, as amended by Regulation (EU) 2020/873, has communicated to the competent supervisory authorities the intention to apply, at consolidated and individual level, the prudential filter relating to the OCI reserve on government bonds to attenuate the negative impact of the levels of volatility in the financial markets and the debt of central administrations on regulatory capital. The temporary treatment, applicable in the period from 1 January 2020 to 31 December 2022, allows banks to exclude from common equity Tier 1 capital the
G R U P P O M O N T E P A S C H I
Own Funds | 12 |
progressively decreasing amount of unrealised profits and losses accumulated starting from 31 December 2019, accounted for in the financial statement item "Changes in the fair value of debt instruments measured at fair value through other comprehensive income", with reference to exposures to central administrations, provided such exposures are not classified as non-performing financial assets. Institutions shall apply the following percentages:
-
100% during the period from 1 January
2020 to 31 December 2020; - 70% during the period from 1 January
2021 to 31 December 2021; - 40% during the period from 1 January
2022 to 31 December 2022.
The following table is based on the templates from Implementing Regulation (EU) no. 1423 of 20 December 2013, which lays out the implementing technical standards for disclosure of own fund requirements for institutions according to Regulation (EU) no. 575/2013 of the European Parliament and of the Council. In particular, Annex
- of the Regulation contains a specific template for publication of the main features of equity instruments. The table provides a description of instruments issued by the Bank and eligible for calculation within Tier 2 Capital.
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Own Funds | 13 |
MAIN FEATURES OF THE INSTRUMENT (*)
- Issuer
- Unique identifier (e.g., CUSIP, ISIN or Bloomberg identifier for private placement)
-
Governing law(s) of the instrument
Regulatory treatment - Current treatment taking into account, where applicable, transitional CRR rules
- Post-transitionalCRR rules
- Eligible at solo/(sub-)consolidated/solo&(sub-)consolidated
- Instrument type
- Amount recognised in regulatory capital or eligible liabilities (currency in million)
- Nominal amount of instrument (currency in million)
9a Issue price
9b Redemption price
- Accounting classification
- Original date of issuance
- Perpetual or dated
- Original maturity date
- Issuer call subject to prior supervisory approval
- Optional call date, contingent call dates and redemption amount
-
Subsequent call dates, if applicable
Coupons / dividends - Fixed or floating dividend/coupon
- Coupon rate and any related index
- Existence of a dividend stopper
20a Fully discretionary, partially discretionary or mandatory (in terms of timing) 20b Fully discretionary, partially discretionary or mandatory (in terms of amount)
- Existence of step up or other incentive to redeem
- Cumulative or Noncumulative
- Convertible or non-convertible
- If convertible, conversion trigger(s)
- If convertible, fully or partially
- If convertible, conversion rate
- If convertible, mandatory or optional conversion
- If convertible, specify instrument type convertible into
- If convertible, specify issuer of instrument it converts into
- Write-downfeatures
- If write-down,write-down trigger(s)
- If write-down, full or partial
- If write-down, permanent or temporary
- If temporary write-down, description of write-up mechanism
- Position in subordination hierarchy in liquidation
(specify instrument type immediately senior to instrument) - Non-complianttransitioned features
- If yes, specify non-compliant features
Banca Monte dei Paschi di Siena S.p.A.
XS1752894292
English law except for subordination and "Statutory Loss Absorption Powers" conditions which are governed by Italian law
Tier 2 capital Tier 2 capital
Individual entity and consolidated
Tier 2 instrument pursuant to Art. 63 CRR 750 750 100,00 100,00
Liability - amortised cost 18/01/18
On maturity 18/01/28 Yes
Issuer's optional call on 18/01/2023 (the "Issuer Call Date") at par, plus accrued interests. Upon occurrence of a "Capital Event" or for tax reasons at par, plus accrued interests.
N/A
Fixed rate p.a. with reset after 5 years
5.375% till 18/01/2023, thereafter 5y eur mid swap rate +5.005% No
Mandatory
Mandatory No Non-cumulativeNon-convertible N/A
N/A
N/A
N/A
N/A
N/A
No
N/A
N/A
N/A
N/A
Senior
No
N/A
(*)"N/A" if the question is not applicable.
G R U P P O M O N T E P A S C H I
Own Funds | 14 |
MAIN FEATURES OF THE INSTRUMENT (*)
- Issuer
- Unique identifier (e.g., CUSIP, ISIN or Bloomberg identifier for private placement)
-
Governing law(s) of the instrument
Regulatory treatment - Current treatment taking into account, where applicable, transitional CRR rules
- Post-transitionalCRR rules
- Eligible at solo/(sub-)consolidated/solo&(sub-)consolidated
- Instrument type
- Amount recognised in regulatory capital or eligible liabilities (currency in million)
- Nominal amount of instrument (currency in million)
9a Issue price
9b Redemption price
- Accounting classification
- Original date of issuance
- Perpetual or dated
- Original maturity date
- Issuer call subject to prior supervisory approval
- Optional call date, contingent call dates and redemption amount
-
Subsequent call dates, if applicable
Coupons / dividends - Fixed or floating dividend/coupon
- Coupon rate and any related index
- Existence of a dividend stopper
20a Fully discretionary, partially discretionary or mandatory (in terms of timing) 20b Fully discretionary, partially discretionary or mandatory (in terms of amount)
- Existence of step up or other incentive to redeem
- Cumulative or Noncumulative
- Convertible or non-convertible
- If convertible, conversion trigger(s)
- If convertible, fully or partially
- If convertible, conversion rate
- If convertible, mandatory or optional conversion
- If convertible, specify instrument type convertible into
- If convertible, specify issuer of instrument it converts into
- Write-downfeatures
- If write-down,write-down trigger(s)
- If write-down, full or partial
- If write-down, permanent or temporary
- If temporary write-down, description of write-up mechanism
- Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument)
- Non-complianttransitioned features
- If yes, specify non-compliant features
Banca Monte dei Paschi di Siena S.p.A.
XS2031926731
English law except for subordination and "Statutory Loss Absorption Powers" conditions which are governed by Italian law
Tier 2 capital Tier 2 capital
Individual entity and consolidated
Tier 2 instrument pursuant to Art. 63 CRR 300 300 100,00 100,00
Liability - amortised cost 23/07/19
On maturity 23/07/29 Yes
Upon occurrence of a "Capital Event" or for tax reasons at par, plus accrued interests. N/A
Fixed rate p.a. 10,500% No Mandatory Mandatory No Non-cumulativeNon-convertible N/A
N/A
N/A
N/A
N/A
N/A
No
N/A
N/A
N/A
N/A
Senior
No
N/A
(*)"N/A" if the question is not applicable.
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Own Funds | 15 |
MAIN FEATURES OF THE INSTRUMENT (*)
- Issuer
- Unique identifier (e.g., CUSIP, ISIN or Bloomberg identifier for private placement)
-
Governing law(s) of the instrument
Regulatory treatment - Current treatment taking into account, where applicable, transitional CRR rules
- Post-transitionalCRR rules
- Eligible at solo/(sub-)consolidated/solo&(sub-)consolidated
- Instrument type
- Amount recognised in regulatory capital or eligible liabilities (currency in million)
- Nominal amount of instrument (currency in million)
9a Issue price
9b Redemption price
- Accounting classification
- Original date of issuance
- Perpetual or dated
- Original maturity date
- Issuer call subject to prior supervisory approval
- Optional call date, contingent call dates and redemption amount
-
Subsequent call dates, if applicable
Coupons / dividends - Fixed or floating dividend/coupon
- Coupon rate and any related index
- Existence of a dividend stopper
20a Fully discretionary, partially discretionary or mandatory (in terms of timing) 20b Fully discretionary, partially discretionary or mandatory (in terms of amount)
- Existence of step up or other incentive to redeem
- Cumulative or Noncumulative
- Convertible or non-convertible
- If convertible, conversion trigger(s)
- If convertible, fully or partially
- If convertible, conversion rate
- If convertible, mandatory or optional conversion
- If convertible, specify instrument type convertible into
- If convertible, specify issuer of instrument it converts into
- Write-downfeatures
- If write-down,write-down trigger(s)
- If write-down, full or partial
- If write-down, permanent or temporary
- If temporary write-down, description of write-up mechanism
- Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument)
- Non-complianttransitioned features
- If yes, specify non-compliant features
Banca Monte dei Paschi di Siena S.p.A.
XS2106849727
English law except for subordination and "Statutory Loss Absorption Powers" conditions which are governed by Italian law
Tier 2 capital Tier 2 capital
Individual entity and consolidated
Tier 2 instrument pursuant to Art. 63 CRR 400 400 100,00 100,00
Liability - amortised cost 22/01/20
On maturity 22/01/30 Yes
Issuer's optional call on 18/01/2023 (the "Issuer Call Date") at par, plus accrued interests. Upon occurrence of a "Capital Event" or for tax reasons at par, plus accrued interests.
N/A
Fixed rate p.a. with reset after 5 years
8,000% till 22/01/2025, thereafter 5y eur mid swap rate +8,149% No
Mandatory
Mandatory No Non-cumulativeNon-convertible N/A
N/A
N/A
N/A
N/A
N/A
No
N/A
N/A
N/A
N/A
Senior
No
N/A
(*)"N/A" if the question is not applicable.
Here follows the Own Funds quantitative information exposed according to the general model for the publication of the information on the Own Funds (Annex IV of the Rule of Execution (UE) No 1423/2013 if the European Committee), with the application
of the transitional regime IFRS 9 and of the other transitional arrangements in force. Moreover, the comparison with 31 December 2019 is brought according to the rules in force on 31 December 2019.
G R U P P O M O N T E P A S C H I
Own Funds | 16 | |||
Own Funds disclosure template | ||||
Common Equity Tier 1: instruments and reserves | Jun-2020 | Dec-2019 | ||
1 | Capital instruments and the related share premium accounts | 10,328,618 | 10,328,618 | |
of which: Paid up capital instruments | 10,328,618 | 10,328,618 | ||
2 | Retained earnings | -1,768,045 | -734,190 | |
3 | Accumulated other comprehensive income (and other reserves, to include unrealised gain | 215 | 31,411 | |
and losses under the applicable accounting standards) | ||||
3a | Funds for general banking risk | - | - | |
4 | Amount of qualifying items referred to in Article 484 (3) and the related share premiun | - | - | |
account subkect to phase out from CET1 | ||||
5 | Minority Interests (amount allowed in consolidated CET1) | - | - | |
5a | Independently reviewed interim profits net of any foreseeable change or dividend | -1,088,711 | -1,033,011 | |
6 | Common Equity Tier 1 (CET1) capital before regulatory adjustments | 7,472,077 | 8,592,829 | |
Common Equity Tier 1 (CET1) capital: regulatory adjustments | ||||
7 | Additional value adjustments (negative amount) | -41,257 | -47,063 | |
8 | Intangible assets (net of related tax liability) (negative amount) | -236,424 | -225,209 | |
Deferred tax assets that rely on future probability excluding those arising from temporary | ||||
10 | differences (net of related tax liability where the conditions in Article 38 (3) are met) | -122,754 | -344,817 | |
(negative amount) |
- Fair value reserves related to gains or losses on cash flow hedges
- Negative amounts resulting from the calculation of expected loss amounts
- Any increase in equity that results from securitised assets (negative amount)
- Gains or losses on liabilities valued at fair value resullting from changes in own credit standing
- Defined-benefitpension fund assets
- Direct and indirect holdings by an institution of own CET1 instruments (negative amount) Holdings of the CET1 instruments of financial sector entitites where those entities have
-
reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)
Direct and indirect holdings by the institution of the CET1 instruments of financial sector - entities where the institution does not have a significant investment in those entities (amount above the 10% threshold and net of eligible short positions) (negarive amount)
Direct, indirect and synthetic holdings by the institution of the CET1 instruments of - financial sector entitites where the institution has a significant investment in those entities (amount above 10% threshold and net the eligible short positions) (negative amount)
20a Exposure amount of the following items which quality for a RW of 1250%, where the institution opts for the deduction alternative
20b of which: qualifying holdings outside the financial sector (negative amount)
20c of which: securitisation positions (negative amount)
20d of which: free deliveries (negative amount)
- Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability where the conditions in 38 (3) are met) (negative amount)
- Amount exceeding the 15% threshold (negative amount)
- of which: direct and indirect holdings by the institution of the CET1 instruments of financial sector entites where the institution has a significatn investment in those entitites
25 of which: deferred tax assets arising from temporary differences
25a Losses for the current financial year (negative amount)
26b Amount to be deducted from or added to Common Equity Tier 1 capital with regard to additional filters and deductions required pre CRR 1
- Qualifying AT1 deductions that exceed the AT1 capital of the institution (negative amount)
- Total regulatory adjustments to Common equity Tier 1 (CET1)
- Common Equity Tier 1 (CET1) Capital
-1,306 | -1,328 |
- | - |
- | - |
-37,582 | -39,486 |
- | - |
-313,710 | -313,710 |
- | - |
- | - |
-133,262 | -22,414 |
- | - |
- | - |
- | - |
- | - |
- | - |
- | -149,715 |
- | -90,039 |
- | -59,676 |
- | - |
1,138,086 | 1,171,237 |
- | - |
251,791 | 27,495 |
7,723,868 | 8,620,324 |
1Such item includes IFRS 9 transitional adjustments for 1,129,452 €/thousand (1,169,984 €/thousand as of 31/12/2019), and Regulatory adjustments to unrealised gains and losses pursuant to Articles 467 and 468 for 8,634 €/thousand.
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Own Funds | 17 |
Own Funds: Additional Tier 1 (AT1) capital
Additional Tier 1 (AT1) capital: instruments
- Capital instruments and the related share premium accounts
- of which: classified as equity under applicable accounting standards
- of which: classified as liablilities under applicable accounting standards
- Amount of qualifying items referred to in Article 484 (4) and the related share premium accounts subject to phase out from AT1
- Qualifying Tier 1 capital included in consolidated AT1 capital (including minority interests not included in row 5) issued by subsidiaries and held by third parties
- of which: instruments issued by subsidiaries subject to phase out
- Additional Tier 1 (AT1) capital before regulatory adjustments
Additional Tier 1 (AT1) capital: regulatory adjustments
Jun-2020 | Dec-2019 |
- | - |
- | - |
- | - |
- | - |
- | - |
- | - |
- | - |
37 | Direct and indirect holdings by an institution of own AT1 instruments (negative amount) | - | - |
Holdings of the AT1 instruments of financial sector entities where those entitites have | |||
38 | reciprocal cross holdings with the institution designed to inflate artificially the own funds | - | - |
of the institution (negative amount) | |||
Direct and indirect holdings of the AT1 instruments of financial sector entities where the | |||
39 | institution does not have a significant investment in those entities (amount above the 10% | - | - |
threshold and net of eligible short positions) (negative amount) | |||
Direct and indirect holdings of the AT1 instruments of financial sector entities where the | |||
40 | institution has a significant investment in those entities (amount above the 10% threshold | - | - |
and net of eligible short positions) (negative amount) | |||
42 | Qualifying T2 deductions that exceed the T2 capital of the institution (negative amount) | - | - |
43 | Total regulatory adjustments to Additional Tier 1 (AT1) capital | - | - |
44 | Additional Tier 1 (AT1) capital | - | - |
45 | Tier 1 capital (T1 = CET1 + AT1) | 7,723,868 | 8,620,324 |
G R U P P O M O N T E P A S C H I
Own Funds | 18 | |||
Own Funds: Tier 2 (T2) capital | ||||
Tier 2 (T2) capital: instruments and provisions | Jun-2020 | Dec-2019 | ||
46 | Capital instruments and the realted share premium accounts | 1,450,000 | 1,050,000 | |
47 | Amopunt of qualifying items referred to in Articole 484 (5) and the related share premium | - | - | |
accounts subject to phase out from T2 | ||||
Qualifying own funds instruments included in consolidated T2 capital (including minority | ||||
48 | interests and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by | - | - | |
third parties | ||||
49 | of which: instruments issued by subsidiaries subject to phase out | - | - | |
50 | Credit risk adjustments | 160,730 | 169,999 | |
51 | Tier 2 (T2) capital before regulatory adjustments | 1,610,730 | 1,219,999 | |
Tier 2 (T2) capital: regulatory adjustments | ||||
52 | Direct and indirect holdings by an institution of own T2 instruments and subordinated loans | - | - | |
(negative amount) | ||||
Holdings iof the T2 instruments and subordinated loans of financial sector entitites where those | ||||
53 | entitites have recirpocal cross holdings with the institution designed to inflate artificialli the own | - | - | |
funds of the institution (negative amount) | ||||
Direct and indirect holdings of the T2 instruments and subordinated loans of financial sector | ||||
54 | entitites where the institution does not have a significant investment in those entities (amount | - | - | |
above 10% threshdol and net of eligible short positions) (negative amount) | ||||
Direct and indrect holdings by the institution of the T2 instruments and subordinated loans fo | ||||
55 | financial sector entitites where the institution has a significant investment in those entities (net | -65,861 | -65,663 | |
eligible of short positions) | ||||
Residual amounts deducted from Tier 2 capital with regard to deduction from Common Equity | ||||
Tier 1 capital during the transitional period pursuant to article 472 of Regulation (EU) No. | - | - | ||
575/2013 | ||||
of whichi: Losses for the current year | - | - | ||
of which: Significant financial instruments | - | - | ||
of which: Not Significant financial instruments | - | - | ||
of which: outstanding amount related to the excess of expected | - | - | ||
losses with respect to adjustments for IRB positions | ||||
of which: unrealised gains | - | - | ||
57 | Total regulatory adjustments to Tier 2 (T2) capital | -65,861 | -65,663 | |
58 | Tier 2 (T2) capital | 1,544,869 | 1,154,336 | |
59 | Total Capital (TC= T1+T2) | 9,268,738 | 9,774,660 | |
60 | Total Risk Weighted Assets | 57,799,860 | 58,559,094 |
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Own Funds | 19 |
Own Funds: Capital ratios and buffers
Capital ratios and buffer
- Common Equity Tier 1 (as a percentage of risk exposure amount)
- Tier 1 (as a percentage of risk exposure amount)
-
Total capital (as a percentage of risk exposure amount)
Institution specific buffer requirement (CET1 requirement in accordance with article 92 - (1) (a) plus capital conservation and countercyclical buffer requirements, plus systemic risk buffer, plus the systemically important institution buffer (G-SII or O-SII buffer), expressed as a percentage of risk exposure amount)
- of which: capital conservation buffer requirement
- of which: countercyclical buffer requirement
- of which: systemic risk buffer requirement
67a | of which: Global Systemically Important Institution (G-SII) or Other Systemically |
Important Institution (O-SII) buffer |
68 Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount) 2
Amounts below the thresholds for deduction (before risk weighting)
Direct and indirect holdings of the capital of financial sector entities where the
-
institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions)
Direct and indirect holdings by the institution of the CET 1 instruments of financial - sector entities where the institution has a significant investment in those entities (amount below 10% threshold and net of eligible short positions)
75 Deferred tax assets arising from temporary differences (amount below 10% threshold, net of related tax liability where the conditions in Article 38 (3) are met)
Applicable caps on the inclusion of provisions in Tier 2
- Credit risk adjustments included in T2 in respect of exposures subject to standardized approach (prior to the application of the cap)
- Cap on inclusion of credit risk adjustments in T2 under standardised approach
- Credit risk adjustments included in T2 in respect of exposures subject to sIRB approach (prior to the application of the cap)
- Cap on inclusion of credit risk adjustments in T2 under IRB approach
Capital instruments subject to phase-out arrangements (only 1 Jan 2014 and 1 Jan 2022)
- Current cap on CET1 instruments subject to phase out arrangements
- Amount excluded from CET1 due to cap (excess mover cap after redemptions and maturities)
- Current cap on AT1 instruments subject to phase out arrangements
-
Amount excluded from AT1 due to cap
(excess over cap after redemptions and maturities) - Current cap on T2 instruments subject to phase out arrangements
-
Amount excluded from T2 due to cap
(excess over cap after redemptions and maturities)
Jun-2020Dec-2019
13.36% 14.72%
13.36% 14.72%
16.04% 16.69%
7.13% 7.01%
2.500% 2.500%
0.001% 0.011%
--
0.13%-
7.36% 8.69%
161,683 162,340
671,904 762,122
302,626 505,115
--
--
824,594 490,751
160,730 169,999
--
--
--
--
--
--
2 Tier 1 capital available for reserves is calculated as the difference between the Common Equity Tier 1 and the requirement referring to Tier 1 capital for the portion covered by Common Equity Tier 1 Capital and Tier total capital components, expressed as a percentage of risk exposure amount.
G R U P P O M O N T E P A S C H I
Own Funds | 20 |
Reconciliation of shareholders' equity and the Common Equity Tier 1
Items | Jun-2020 | Dec-2019 |
Group Equity | 7,158,368 | 8,279,119 |
Minority Equity | 1,371 | 1,770 |
Net Assets of the Balance Sheet | 7,159,739 | 8,280,889 |
Net Assets after distribution to shareholders | 7,159,739 | 8,280,889 |
Adjustments for instruments computable in AT1 or T2 | ||
- Capital share computable in AT1 | - | - |
- Minority interests computable | -1,371 | -1,770 |
- Own shares included in the regulatory adjustments | - | -313,710 |
- Other components non computable in regime | -1,306 | -1,328 |
Common Equity Tier 1 (CET1) before the regulatory adjustments | 7,157,061 | 8,277,791 |
Regulatory adjustments (including adjustments of the transitional period) | 566,807 | 342,533 |
Common Equity Tier 1 (CET1) net of regulatory adjustments | 7,723,868 | 8,620,324 |
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Own Funds | 21 |
Full reconciliation of the components of Common Equity Tier 1, Additional Tier 1 and Tier 2 capital, as well as the filters and deductions applied to the institution's own funds and the balance sheet of the financial statements
Items | Financial | Prudential | Information | Relevant amount | See Table |
(Euro th) | Statement | Statement | about | for the purpose | "Own Funds |
differences | of Own Funds | Disclosure | |||
Template" | |||||
Assets | |||||
70 Equity investments | 953,920 | 1,008,600 | 54,680 | -182,373 | 8, 18, 19, 23 |
of which: implicit goodwill | 49,112 | 49,112 | - | -49,112 | 8 |
100 Intangible assets | 187,313 | 187,313 | 8 | ||
of which: goodwill | 7,900 | 7,900 | - | -187,313 | 8 |
of which: other intangible assets | 179,413 | 179,413 | - | -7,900 | 8 |
110 Tax assets | 2,193,131 | 2,193,131 | - | -179,413 | 10, 21, 25 |
of which: tax assets that rely on future profitability and do not | |||||
arise from temporary differences net of the related | 135,675 | 135,675 | 10 | ||
deferred tax liability | |||||
Liabilities and Shareholders' Equity | |||||
Financial liabilities measured at amortised cost - c) debts | |||||
10 securities issued | 12,009,431 | 12,009,431 | - | 1,450,000 | 32, 33, 46, 52 |
30 Financial liabilities designated at fair value | 240,655 | 240,655 | - | - | 33 |
120 Valuation reserves | 35,203 | 35,203 | - | 7,747 | 3, 11 |
of which: FVOCI | 103,663 | 103,663 | - | - | 3 (FVOCI) |
of which: CFH | 1,306 | 1,306 | - | -1,306 | 3(CFH),11 |
of which: legally-required revaluations | 9,053 | 9,053 | - | 9,053 | 3(rival) |
of which: other | -78,820 | -78,820 | - | - | 3(other) |
150 Reserves | -1,803,033 | -1,803,033 | - | -1,776,883 | 2, 3 |
160 Share premium reserve | - | - | - | - | - |
170 Share Capital | 10,328,618 | 10,328,618 | - | 10,328,618 | 1, 2, 31 |
180 Treasury shares | -313,710 | -313,710 | - | -313,710 | 16 |
200 Profit/loss for the period | -1,088,711 | -1,088,711 | - | -1,088,711 | 5a, 25a |
Fair value gains and losses arising from the institution's own credit | - | - | - | -37,582 | 14 |
risk related to derivative liabilities | |||||
Value adjustments due to the | - | - | - | -41,257 | 7 |
requirements for prudent valuation | |||||
IRB Shortfall of credit risk adjustments to expected losses | - | - | - | - | 12 |
IRB Excess of provisions over expected losses eligible | - | - | - | 160,730 | 50 |
Filter on double tax realignment | - | - | - | - | 26b |
Filter for IAS 39 and IFRS 9 | - | - | - | 1,138,086 | 26b |
Direct and indirect holdings of the AT1 instruments of | |||||
financial sector entities where the institution does not | - | - | - | - | 39 |
have a significant investment in those entities | |||||
Direct and indirect holdings of Tier 2 | |||||
instruments of financial sector entities where the institution | - | - | - | -65,861 | 54, 55 |
has a significant investment | |||||
Indirect investments | - | - | - | - | - |
Total Own Funds | - | - | - | 9,268,738 | - |
The information was summarized according to the methodology described in Annex I of the Implementing Regulation (EU)
No. 1423/2013 which establishes technical standards implementation with regard to the disclosure on Own Funds.
G R U P P O M O N T E P A S C H I
Capital requirements | 22 |
Capital requirements
For additional information not contained in this document, particularly regarding risk management objective and policies, capital and liquidity adequacy, please refer to the Pillar 3 disclosure report as at 31 December 2019.
Capital requirements
The reference for quantification of capital requirements is the prudential legislation, which sets under Pillar 1, a minimum regulatory capital requirement in terms of CET1, Tier 1 and Total Capital in relation to the Risk Weighted Assets (RWA) for credit, market and operational risk.
These coefficients, set by the CRR (Art. 92), are the following: a CET1 ratio of at least 4.5%, a Tier 1 ratio of at least 6% and a Total Capital ratio of at least 8% of the Group's total risk exposure. Additionally, Banks are also required to hold the following buffers against Pillar 1 risks. In addition to maintaining these minimum requirements against Pillar 1 risk, there is a further Core Equity Tier 1 component against Pillar 2 risk, established following the CRD IV and the national legislation transposing the European directives, as well as the following buffers:
- Capital conservation buffer ("CCB") aimed at conserving the minimum level of regulatory capital during difficult periods
in the market, through the allocation of high quality capital in periods in which there are no market tensions.
- Countercyclical capital buffer ("CCB") aimed at protecting the banking sector in phases of excessive growth in loans. The buffer provides for the accumulation of CET1 capital during phases of rapid growth in the credit cycle, which can then be used to absorb losses in the downward phase of the cycle. As opposed to the Capital Conservation Buffer, the Countercyclical buffer is imposed only during periods of loan growth and it is calculated according to CRD IV provisions by the competent national authorities;
- a non-cyclical systemic risk or macroprudential buffer to be set by the Member States and currently not yet determined by the Bank of Italy.
- A G-SII capital buffer for global
systematically important banks and
a O-SII capital buffer for other systematically important institutions
- impose higher capital requirements on those entities that may determine spillover effects on the international or domestic financial system.
The combination of these buffers determines the combined buffer requirement (CBR).
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Capital requirements | 23 |
In addition to maintaining the minimum capital requirements against Pillar 1 risk and the above mentioned buffers, there is an additional The Pillar 2 Requirement (P2R, which applies in addition to, and covers risks which are underestimated or not covered by, the minimum capital requirement (known as Pillar 1). The P2R is determined via the Supervisory Review and Evaluation Process (SREP). P2Rs are binding and, together with the Pillar 1 Requirement, determine the Total SREP Capital Requirement ("TSCR"). The capital demand resulting from the SREP also includes the Pillar 2 Guidance (P2G), which indicates to banks the adequate level of capital to be maintained to provide a sufficient buffer to withstand stressed situations.
Please note that failure to comply with the Pillar 2 Guidance (P2G) requirement is not equivalent to failure to comply with capital requirements; however, in the case of a reduction of capital below the level that includes the P2G requirement, BMPS will need to promptly disclose the reasons for non-observance to the Supervisory Authority, which will evaluate and communicate any measures on a case by case basis.
Capital adequacy
As a result of the conclusion of the SREP conducted with reference to the figures as at 31 December 2018 and taking into account the information received after that date, with the submission on 10 December 2019 of the
2019 SREP Decision, the ECB asked the Parent Company to comply with a CET1 ratio of at least 4.5%, a Tier 1 ratio of at least 6% and a Total capital Ratio of at least 8% of the Group's total risk exposure.
In addition to maintaining these minimum requirements against Pillar 1 risks, there is an additional Pillar 2 requirement (P2R) of 3%, unchanged from 2019, to be held entirely in the form of CET1 capital.
According to this decision, in 2020 the Group must fulfil a Total SREP Capital Requirement (TSCR) of 11% on a consolidated basis, with a minimum requirement of 7.5% and 9% in terms of CET1 capital and Tier 1 capital, respectively. In terms of CBR:
- 2.50% Capital Conservation Buffer;
- 0.001% Countercyclical Capital Buffer;
- 0.13% O-SII Buffer.
Note that, on 30 November 2019, Bank of Italy identified MPS Group as a systematically important institution in Italy for 2020 and therefore, starting from 1 January 2020, MPS Group is required to maintain a capital reserve of 0.13% (0.19% from 1 January 2021 and 0.25% from 1 January 2022).
The CBR is therefore equal to 2.63%.
The overall minimum requirement in terms of Total Capital Ratio is 13.63%, while the overall minimum requirement in terms of CET1 ratio is 8.82%.
In consideration of the potential impacts on the activities of significant banks linked to the spread of COVID-19, on 8 April
G R U P P O M O N T E P A S C H I
Capital requirements | 24 |
2020 the ECB communicated to the Parent Company the modification, effective from 12 March 2020, of the 2019 SREP Decision, with reference to the composition of the additional Pillar 2 capital requirement.
In particular, the additional Pillar II capital requirement to be held in the form of CET1 must be met by at least 56.25% Common Equity Tier 1 (CET1) and at least 75% by Tier 1 Equity (Tier 1). Accordingly, the Group must meet the following requirements at the consolidated level as at 30 June 2020:
Capital adequacy indicators | CET 1 | Tier 1 | Total |
as of 30 June 2020 | Ratio | Ratio | Capital |
Ratio | |||
Pillar I minimum Requirements (art. 92 CRR) | 4.50% | 6.00% | 8.00% |
TSCR (P1R+P2R) | 6.19% | 8.25% | 11.00% |
Combined Buffer Requirement (CBR) | 2.63% | 2.63% | 2.63% |
OCR (TSCR+CBR) | 8.82% | 10.88% | 13.63% |
Capital ratios | 13.36% | 13.36% | 16.04% |
TSCR - Total SREP Capital Requirement
P2R - Pillar 2 Requirement
CBR - Combined Buffer Requirement
OCR - Overall Capital Requirement
As of 30 June 2020, the Bank had a CET 1
ratio of 13.36%, higher than the minimum
requirements set. Likewise, the Tier 1 ratio
and the Total Capital ratio equal to 13.36%
and 16.04% are higher than the minimum
requirements established.
With regard to Pillar II Capital Guidance, the
ECB expects the Parent Company to adapt,
on a consolidated basis, to a requirement
of 1.3%, to be fully met with Common
Equity Tier 1 capital in addition to the
overall capital requirement (OCR)(not only
in terms of CET1 capital, as defined in the
previous decision). It should be noted that
as at 30 June 2020 the Group complies with the Pillar 2 Guidance.
For additional information on the Group's risk profile in the context of the Covid-19 outbreak, please refer to the Interim Report on operations as at 30 June 2020, with specific reference to regulatory and supervisory interventions, MPS Group initiatives within the context of the COVID-19 pandemic, business continuity, and disclosure on risk.
Countercyclical Capital Buffer
As of 30 June 2020, the Montepaschi Group is required to hold a countercyclical capital buffer of EUR 578.0. This buffer, as established by Article 130 of the CRD IV, is equal to the total risk exposure amount
(expressed in terms of risk-weighted
assets) multiplied by the institution's specific countercyclical rate, which, for the Montepaschi Group, stands at 0.001%. The latter is equal to the weighted average
of | the | countercyclical | rates | applicable |
in | the | countries where | the | Institution |
has exposures. Each Member State, in accordance with article 130, paragraph 1 of Directive 2013/36/UE of the European Parliament and Council (CRD), shall require institutions to maintain an institution- specific countercyclical capital buffer against exposures to their own Country and establish the related countercyclical buffer rate. In particular, the Bank of Italy has set the countercyclical buffer rate for exposures to
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Capital requirements | 25 |
Italian counterparties at 0% for 2019 and the second quarter of 2020. As far as the other credit exposures are concerned, the Group uses the rates established by the competent authorities of the State in order to calculate its own indicator. As of 30 June 2020, only the competent authorities of Bulgaria, Hong Kong, Lithuania, Luxembourg, Norway, Czech Republic and Slovakia, among the countries to which the Group has relevant exposures for the purpose of calculating
the countercyclical buffer, have established a non-zero countercyclical capital buffer rate. The Montepaschi Group holds 95.8% of relevant exposures to Italy, which has a 0% rate, for the purpose of calculating the countercyclical buffer. Reported below are the main items of calculation of the countercyclical capital buffer, presented in the standard format shown in table 2, Attachment I of Commission Delegated Regulation (EU) 1555/2015.
Amount of institution-specific countercyclical buffer
Jun-20 | ||
10 | Total risk exposure amount (RWA) | 57,799,860 |
20 | Specific countercyclical coefficient of the institution | 0.001% |
30 | Specific countercyclical capital buffer requirement of the institution | 578.0 |
G R U P P O M O N T E P A S C H I
Capital requirements | 26 | ||
The table below provides details on the | June 2020 and 31 December 2019. | ||
Group's various capital requirements as at 30 | |||
Capital requirements and Regulatory capital ratios | |||
Regulatory Capital Requirements | Jun-20 | Dec-19 | |
Credit and Counterparty Risk | 3,492,786 | 3,618,890 | |
Standardised Approach | 1,338,591 | 1,340,481 | |
Advanced IRB Approach | 2,154,195 | 2,278,409 | |
Market Risks | 212,727 | 211,703 | |
Standardised Approach | 212,727 | 211,703 | |
Internal Models | - | - | |
Operational Risk | 884,032 | 825,620 | |
Foundation Approach | 7,307 | 7,743 | |
Standardised Approach | - | - | |
Advanced Approach | 876,726 | 817,877 | |
CVA Risk | 34,443 | 28,515 | |
Originary Exposure Method (OEM) | - | - | |
Standardised Approach | 34,443 | 28,515 | |
Advanced Approach | - | - | |
Concentration Risk | - | - | |
Settlement Risk | - | - | |
Regulatory Capital Requirements | 4,623,989 | 4,684,728 | |
Risk Weighted Assets | 57,799,860 | 58,559,094 | |
CET1 Capital Ratio | 13.36% | 14.72% | |
Tier1 Capital Ratio | 13.36% | 14.72% | |
Total Capital Ratio | 16.04% | 16.69% |
Report on IFRS 9
Having opted for the adoption of the transitional arrangements, the Group, under the EBA Guidelines GL 2018/01, is required to provide a comparison between own funds, risk-weighted assets, capital and leverage ratios, with and without the application
of the IFRS9 transitional arrangements or equal losses on credits. Here follows the required information, according to the specified informative model in the Annex I of EBA Guidelines GL 2018/01 on uniform disclosure requirements of IFRS9.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Capital requirements | 27 |
EU IFRS 9 - Comparison of institutions' own funds and capital and leverage ratios with and without the application of transitional arrangements for IFRS 9 or analogous ECLs
Available capital (amounts)
- Common Equity Tier 1 (CET1) capital
- Common Equity Tier 1 (CET1) capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied
- Tier 1 capital
- Tier 1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied
- Total capital
-
Total capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied
Risk-weighted assets (amounts) - Total risk-weighted assets
- Total risk-weighted assets as if IFRS 9 or analogous ECLs transitional arrangements had not been applied
Capital Ratios - Common Equity Tier 1 (as a percentage of risk exposure amount)
- Common Equity Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs tran- sitional arrangements had not been applied
- Tier 1 (as a percentage of risk exposure amount)
- Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arran- gements had not been applied
- Total capital (as a percentage of risk exposure amount)
-
Total capital (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied
Leverage ratio - Leverage ratio total exposure measure
- Leverage ratio
- Leverage ratio as if IFRS 9 or analogous ECLs transitional arrangements had not been applied
a | b | c | d |
Jun-20 | Mar-20 | Dec-19 | Sep-19 |
7,723,868 8,049,172 8,620,324 8,596,789
6,594,351 7,013,684 7,450,340 7,327,907
7,723,868 8,049,172 8,620,324 8,596,789
6,594,351 7,013,684 7,450,340 7,327,907
9,268,738 9,604,658 9,774,660 9,751,013
8,139,221 8,569,170 8,604,676 8,482,131
57,799,860 59,257,978 58,559,094 58,217,402
58,063,032 59,350,924 58,634,894 58,041,854
13.36% 13.58% 14.72% 14.77%
11.36% 11.82% 12.71% 12.63%
13.36% 13.58% 14.72% 14.77%
11.36% 11.82% 12.71% 12.63%
16.04% 16.21% 16.69% 16.75%
14.02% 14.44% 14.68% 14.61%
156,278,504 148,953,773 141,097,698 140,537,131
4.94% 5.40% 6.11% 6.12%
4.25% 4.72% 5.29% 5.23%
The application of the IFRS 9 fully loaded without considering the impact deriving from the cohesion with the transitional regime expected from 2018, would have entailed a reduction of 200bp and 202 bp respectively of CET1 ratio and total capital ratio. Such coefficients would have resulted in 11.36% (instead of 13.36% transitional
arrangements) and 14.02% (instead of 16.04%).
IFRS 9 fully loaded application would have entailed a total CET1 decrease of about EUR 1.0 bn linked to major provisions implemented during FTA on IRB credit exposure.
G R U P P O M O N T E P A S C H I
Capital requirements | 28 |
Report on Temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income in view of the COVID-19 pandemic
Having opted for the adoption of the transitional arrangements, the Group, under Regulation (EU) 2020/837 of 24 June 2020, is required to provide the amounts of own funds, Common Equity Tier 1 capital and Tier 1 capital, the total capital ratio, the Common Equity Tier 1 capital ratio, the Tier 1 capital ratio, and the leverage ratio they would have in case they were not to apply the temporaty treatment in accordance with Article 468 of the above-mentioned
Regulation. In particular, Total capital as if the temporary treatment of unrealised gains and losses measured at fair value through OCI in accordance with Article 468 of the CRR had not been applied would be equal to 9,260,104 €/thousand, while the CET1 capital and Tier 1 capital would be equal to 7,715,235 €/thousand. The coefficients would have resulted in 16.01% (instead of 16.04% - with the temporaty prudential filter) and 13.34% (instead of 13.36%) in terms of Total capital ratio, CET1 ratio and Tier1 ratio, respectively.
The leverage ratio calculated pursuant to Article 468 of Regulation (EU) 2020/873, is equal to 4.937%.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Capital requirements | 29 |
As to the definition of regulatory capital requirements, in June 2008 the Montepaschi Group was authorised to use the Advanced Internal Rating Based (AIRB) models for the measurement of capital requirements against credit risk in the retail and corporate portfolios and the Advanced Measurement Approach (AMA) for operational risk. The AIRB model's scope of application currently includes the Parent Company Banca MPS, MPS Capital Services Banca per le Imprese and MPS Leasing & Factoring, for the regulatory portfolios "Retail Exposures" and "Exposures to corporates". For the remaining portfolios and Group entities, capital requirements against Credit Risk are calculated using the standard approach. Capital requirements against Counterparty
Risk are calculated independently of the portfolio. More specifically, the Market value method is applied for OTC derivatives and the comprehensive approach for the treatment of financial collateral is used for repos, sell-buy backs and security lending.
Capital requirements against CVA Risk are calculated according to the standard approach.
Capital requirements for Operational Risk are calculated almost completely according to the AMA - Advanced Measurement Approach. The standardized approach is used for the remaining part of the scope.
Capital requirements in relation to Market Risk are instead calculated for all Group entities by adopting the standard approach.
G R U P P O M O N T E P A S C H I
Capital requirements | 30 | ||||||
The following table provides a general | requirements. | ||||||
overview of the total RWAs and capital | |||||||
EU OV1 - Overviews of RWAs | |||||||
RWA | Capital requirements | ||||||
Jun-20 | Mar-20 | Jun-20 | Mar-20 | ||||
1 | Credit risk (excluding CCR) | 39,881,702 | 41,360,902 | 3,190,536 | 3,308,872 | ||
Article 438(c)(d) | 2 | Of which the standardised approach | 13,371,808 | 13,076,032 | 1,069,745 | 1,046,083 | |
Article 438(c)(d) | 3 | Of which the foundation IRB (FIRB) approach | - | - | - | - | |
Article 438(c)(d) | 4 | Of which the advanced IRB (AIRB) approach | 26,509,894 | 28,284,870 | 2,120,792 | 2,262,790 | |
Article 438(d) | 5 | Of which equity IRB under the simple risk-weighted | - | - | - | - | |
approach or the IMA | |||||||
Article 107 Article 438(c)(d) | 6 | CCR | 1,832,874 | 1,817,585 | 146,630 | 145,407 | |
Article 438(c)(d) | 7 | Of which mark to market | 755,370 | 757,530 | 60,430 | 60,602 | |
Article 438(c)(d) | 8 | Of which original exposure | - | - | - | - | |
9 | Of which the standardised approach | - | - | - | - | ||
10 | Of which internal model method (IMM) | - | - | - | - | ||
Article 438(c)(d) | 11 | Of which risk exposure amount for contributions to | 4,149 | 17,846 | 332 | 1,428 | |
the default fund of a CCP | |||||||
Article 438(c)(d) | 12 | Of which CVA | 430,543 | 383,616 | 34,443 | 30,689 | |
Article 438(e) | 13 | Settlement risk | - | - | - | - | |
Article 449(o)(i) | 14 | Securitisation exposures in the banking book (after the cap) | 172,582 | 207,170 | 13,807 | 16,574 | |
15 | Of which SEC-IRBA approach | 139,046 | 167,634 | 11,124 | 13,411 | ||
16 | Of which SEC-ERBA approach | 13,877 | 14,194 | 1,110 | 1,136 | ||
17 | Of which SEC-SA approach | 19,659 | 25,342 | 1,573 | 2,027 | ||
18 | Of which 1250% deduction | - | - | - | - | ||
Article 438(e) | 19 | Of which standardised approach | 2,659,088 | 2,795,075 | 212,727 | 223,606 | |
20 | Of which the standardised approach | 2,659,088 | 2,795,075 | 212,727 | 223,606 | ||
21 | Of which IMA | - | - | - | |||
Article 438(e) | 22 | Large exposures | - | - | - | - | |
Article 438(f) | 23 | Operational risk | 11,050,406 | 10,379,222 | 884,032 | 830,338 | |
24 | Of which basic indicator approach | 91,332 | 96,790 | 7,307 | 7,743 | ||
25 | Of which standardised approach | - | - | - | - | ||
26 | Of which advanced measurement approach | 10,959,074 | 10,282,432 | 876,726 | 822,595 | ||
Article 437(2), Article 48 and | 27 | Amounts below the thresholds for deduction | 2,203,208 | 2,698,023 | 176,257 | 215,842 | |
Article 60 | (subject to 250% risk weight) | ||||||
Article 500 | 28 | Floor adjustment | - | - | - | - | |
29 | Total | 57,799,860 | 59,257,978 | 4,623,989 | 4,740,638 |
The sum of rows 1,6 (excluding row 12), 14 and 27 is consistent with the item of total credit and counterparty risk of tables "Capital requirements for Credit and Counterparty Risk". Row 6(consistent with table EU CCR1), in addition to rows 7,8,9,10,11, and 12, includes the amount related to the financial collateral comprehensive method (for SFTs) equal to 642,812 of RWA as of 30/06/2020.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Capital requirements | 31 |
Further information on exposures (non- weighted amounts) and RWAs (weighted amounts), are reported:
- for exposures subject to the standard approach - Credit Risk in Section "Credit Risk: Standard approach" (which also contains the amounts of off-balance sheet
transactions after weighting by credit conversion factors - CCF);
- for exposures subject to internal credit risk models in section "Credit Risk: use of the AIRB approach";
- for exposures subject to the Counterparty Risk in specific section.
G R U P P O M O N T E P A S C H I
Capital requirements | 32 |
As of 30 June 2020, RWAs recorded a decrease due to lower RWAs relating to credit and counterparty risk resulting to a significant extent from the application of the amendments introduced by Regulation (EU) 2020/873 of 24 June 2020, particularly with reference to the calculation of the supporting
factor relating to loans to small and medium enterprises, and higher RWAs relating to market risk, essentially due to exchange rate risk. and operational risk, mainly attributable to the effetcs of provisions on NPL disposal and updates to the scenario analysis carried out in the first half of 2020.
Capital requirements for Credit and Counterparty Risk
Jun-20 | Dec-19 | ||
Requirements | Requirements | ||
Standard Approach | |||
Standard Approach Total | 1,338,591 | 1,340,481 | |
of which: Counterparty Risk | 89,575 | 85,139 | |
IRB Approach | |||
IRB Approach Total | 2,154,195 | 2,278,409 | |
of which: Counterparty Risk | 22,280 | 19,374 | |
Total | 3,492,786 | 3,618,890 | |
of which: Counterparty Risk | 111,855 | 104,512 |
The capital requirement for Counterparty Risk amounts to 111,855 €/thousand and has been calculated on both the Trading Portfolio and the Banking Book. The requirement, summarised by methodology in
the table above, is reported in the individual regulatory portfolios of the Standard Apporach and the AIRB Approach in the table below.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Capital requirements | 33 | ||
Capital requirements for Credit and Counterparty Risk | |||
Standard Approach | Jun-20 | Dec-19 | |
Exposures to central governments or central banks | 111,941 | 139,689 | |
Exposures to regional governments or local authorities | 24,750 | 24,657 | |
Exposures to public sector entities | 30,640 | 28,966 | |
Exposures to multilateral development banks | - | - | |
Exposures to International organisations | - | - | |
Exposures to institutions | 158,071 | 161,965 | |
Exposures to Corporates | 296,256 | 266,280 | |
Retail exposures | 36,938 | 47,422 | |
Exposures secured by mortgages on immovable property | 36,187 | 44,566 | |
Exposures in default | 32,778 | 36,424 | |
Exposures associated with high risk | 32,148 | 39,754 | |
Exposures in the form of covered bonds | 6,893 | 6,843 | |
Exposures to institutions and corporates with | - | - | |
a short-term credit assessment | |||
Exposures to collective investments undertaking | 13,091 | 18,362 | |
Equity exposures | 162,600 | 179,493 | |
Other exposures | 393,283 | 344,224 | |
Securitization positions * | 2,683 | 712 | |
Exposures to Central Counterparties in the form of pre-funded | 332 | 1,123 | |
contributions to the guarantee fund | |||
Total standardised approach | 1,338,591 | 1,340,481 | |
AIRB Approach | |||
Exposures to or secured by corporates: | 1,435,602 | 1,578,584 | |
- SMEs | 596,123 | 717,067 | |
- Other companies | 728,944 | 740,363 | |
- Specialized lending | 110,535 | 121,154 | |
Retail exposures: | 707,470 | 688,067 | |
- secured by real estate: SMEs | 159,022 | 148,355 | |
- secured by real estate: Individuals | 304,998 | 292,365 | |
- Qualifying revolving | 450 | 597 | |
- Other retail exposures: SMEs | 221,468 | 223,332 | |
- Other retail exposures: Individuals | 21,532 | 23,418 | |
Securitization positions ** | 11,124 | 11,757 | |
Total AIRB approach | 2,154,195 | 2,278,409 | |
Total Credit and Counterparty Risk | 3,492,786 | 3,618,890 |
- Securitization positions subject to Standard approach include securitizations under the SEC-ERBA and SEC-SA.
- Securitization positions subject to AIRB approach include securitizations under the SEC-IRBA.
Below is a breakdown of capital requirements for Credit and Counterparty Risk (IRB method) - Specialised Lending - slotting
criteria, for Market Risk and Operational Risk.
G R U P P O M O N T E P A S C H I
Capital requirements | 34 |
Capital requirements for Credit and Counterparty Risk (IRB methods) - Specialised lending - slotting criteria
Risk Weight | Jun-20 | Dec-19 | ||
Category 1 - | 50% | 668 | 118 | |
Category 1 - | 70% equal to or greater than 2.5 years | 12,633 | 9,787 | |
Category 2 - | 70% less than 2.5 years | 12,974 | 7,502 | |
Category 2 - | 90% | 56,777 | 68,762 | |
Category 3 | - | 115% | 25,143 | 27,213 |
Category 4 | - | 250% | 2,341 | 7,771 |
Category 5 | - | 0% | - | - |
Total | 110,535 | 121,154 | ||
Capital requirements for Market Risk
Standardised Approach | Jun-20 | Dec-19 |
Position risk on debt instruments | 153,264 | 125,313 |
Position risk on equity | 28,046 | 45,442 |
Foreign exchange risk | 10,724 | 14,451 |
Commodities risk | 13,551 | 9,960 |
CIU Risk | 7,142 | 16,536 |
Total standardised approach | 212,727 | 211,703 |
Internal models | ||
Total internal models | - | - |
Total Market Risks | 212,727 | 211,703 |
The capital requirement included in Marekt Risk for securitisaiton positions in the Regulatory Trading Portfolio amount 21,631 (expressed in thousands of Euros) as of 30/06/2020.
Capital requirements for Operational Risk
Requirements by approach | Jun-20 | Dec-19 |
Foundation approach | 7,307 | 7,743 |
Standardised approach | - | - |
Advanced Measurement approach | 876,726 | 817,877 |
Total Operational Risk | 884,032 | 825,620 |
The following table shows the main changes Risk under the IRB approach.
in RWA and capital requirements for Credit
EU CR8 - RWA flow statements of Credit Risk exposures under the IRB approach
a | b | ||
RWA amounts | Capital requirements | ||
1 | RWAs as of 31/03/2020 | 28,284,870 | 2,262,790 |
9 | RWAs as of 30/06/2020 | 26,509,894 | 2,120,792 |
The amounts are net of the counterparty risk component. The values correspond to the row 4 of the EU OV1 table.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Capital requirements | 35 |
Details on the impact on RWAs in terms of the authorisation granted to entities not to deduct instruments of own funds held in a
financial entity in which the entities hold a significant investment are provided below.
EU INS1 - Non-deducted participations in insurance undertakings
Jun-20
Holdings of own funds instruments of a financial sector entity where the
institution has a significant investment not deducted from own funds673,012 (before risk-weighting)
Total RWAs | 1,682,530 |
G R U P P O M O N T E P A S C H I
Credit Risk | 36 |
Credit Risk
Credit Risk: general disclosure
The MPS group gives special attention to the management and the measurement of Credit Risk, which represents the greatest risk to which the Group is exposed, accounting for approximately 76% of total capital requirements. The main objective of the Credit Risk Management function is to promote a culture of "responsible lending" within the Group and pursue a sustainable growth in lending transactions that is in line with risk appetite and value creation. The Group's strategies in the area of risk management are aimed at limiting the economic impact from defaulting loans and containing the cost of credit. The credit risk management function is involved in defining credit policy guidelines by identifying the customer segments with greater opportunities from risk-return perspective, promoting risk diversification, limiting the concentration of risk exposure in single business groups/sectors and geographical areas. The function also defines the supports available to Credit disbursement strategies. The use and allocation of ratings is crucial, since they are the synthetic measurement of a customer's creditworthiness both during the loan disbursement and monitoring processes. This forms the basis of the preliminary procedure that is followed as a loan proposal is processed and then subsequently monitored. The assignment of a rating to
each borrower means that borrowers can be classified into actual levels of risk and that both an overall or broken-down objective assessment of risk components may be made; this system, therefore, provides the basis of information for supporting both strategic decisions and the ordinary management of risk positions. Credit policy guidelines are thus provided by the sales network according to customer segments, rating categories, business sector, Regional Area, loan type and types of collateral used. In addition, operational guidelines are structured into quantitative and qualitative objectives to develop and reclassify the loan portfolio, according to business sector and regional units. The Credit Risk Management function is also involved in the monitoring phase and verifies that the Network Structures achieve their goals of credit quality and alignment with established benchmarks, identifying the appropriate remedial actions to be implemented, reviewing objectives and, on a more general level, analysing trends in the quality of the loan portfolio in terms of market/product/customer segment and related causes. For a detailed description of the tasks of the Credit Risk function, please refer to Chapter 1 of the Pillar 3 Report as of 31 December 2019.
As concerns capital requirements, for credit risks the Group uses the Advanced Internal
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Credit Risk | 37 |
Rating Based (AIRB) method with reference to the "Retail exposures" and "Exposures to corporates" regulatory portfolios. The scope of application of the AIRB method currently includes the Parent Company Banca MPS, MPS Capital Services Banca per le Imprese and MPS Leasing & Factoring. For the remaining portfolios and Group entities,
capital requirements relative to credit risks are calculated according to the standard method.
RWAs by credit risk show a prevalence of exposures treated under the advanced approach (62%) over those subject to the Standard Approach (38%).
Credit Risk's RWAs by approach
62%
Standard
A(IRB) / F(IRB) Approach
38%
An analysis by type of exposure reveals that 70.9% of Credit Risk refers to the Corporate and Retail portfolios. The remaining 29.1%
is mainly concentrated in the Public Sector and Institutions (9.3%).
RWAs by type pf exposure | |||
0.4% 12.8% | |||
4.7% | Corporate_AIRB+Std | ||
0.9% | |||
Retail_AIRB+Std | |||
1.0% | |||
Public Sector and Institutions* | |||
9.3% | Exposures Secured by Real Estate Property | ||
Default Exposures | |||
Equity Exposures | |||
Securitization Positions | |||
21.3% | 49.6% | Other** | |
- Includes the following portfolios: Central Governments or Central Banks, Regional Governments or Local Authorities, Public sector entities, Multilateral Development Banks, International Organisations, and Institutions.
- Includes the following portfolios: Exposures associated with a particularly high risk, Exposures in the form of covered bonds, Exposures to institutions and corporates with a short-term credit assessment, Exposures to CIUs, Exposures to Central Counterparties in the form of pre-funded contributions to the guarantee fund, Other exposures.
G R U P P O M O N T E P A S C H I
Credit Risk | 38 |
The following table shows a breakdown of exposures and RWAs by approach (Standard/ AIRB) and by regulatory portfolio. In compliance with regulatory standards, in the case of the standard approach, the EAD value corresponds to the value of the exposure, which takes account of the prudential filters, risk mitigation techniques and credit conversion factors. In the case of the Internal Ratings Based Approach, the EAD value reported corresponds to the
"Exposure At Default" calculated according to the rules of prudential supervision and therefore expressed gross of value adjustments and without the impacts from risk mitigation techniques which, in the case of exposures subject to an internal models- based approach, are directly included in the weighting factor applied. Instead, the EAD value takes into account the credit conversion factors for guarantees issued and commitments to disburse funds.
EAD and RWA overview between Credit Risk and Counterparty Risk
Jun-20 | Dec-19 | |||||||
EAD | RWA | EAD | RWA | EAD | RWA | |||
Standard Approach | ||||||||
Total standard approach | 62,649,072 | 16,732,383 | 56,119,352 | 16,747,111 | 6,529,720 | -14,728 | ||
of which: Counterparty Risk | ||||||||
3,759,642 | 1,119,682 | 3,301,542 | 1,064,236 | 458,099 | 55,446 | |||
IRB approach | ||||||||
Total IRB approach | 74,757,442 | 26,927,441 | 75,048,349 | 28,480,112 | -290,906 | -1,552,672 | ||
of which: Counterparty Risk | 682,295 | 278,500 | 759,357 | 242,170 | -77,063 | 36,331 | ||
Total | 137,406,514 | 43,659,823 | 131,167,701 | 45,227,223 | 6,238,813 | -1,567,400 | ||
of which: Counterparty Risk | ||||||||
4,441,936 | 1,398,182 | 4,060,900 | 1,306,406 | 381,037 | 91,776 |
The following table shows a breakdown of AIRB) and by regulatory portfolio.
exposures and RWAs by approach (Standard/
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Credit Risk | 39 |
Exposure and RWA Distribution of Credit and Counterparty Risk
Regulatory portfolios | Jun-20 | Dec-19 | |||
Standardised approach | |||||
EAD | RWA | EAD | RWA | ||
Exposures to central governments or central banks | 36,071,854 | 1,399,267 | 29,868,127 | 1,746,118 | |
Exposures to regional governments or local authorities | 1,549,688 | 309,371 | 1,542,472 | 308,211 | |
Exposures to public sector entities | 498,316 | 382,996 | 403,830 | 362,070 | |
Exposures to multilateral development banks | 73,586 | - | 111,402 | - | |
Exposures to International organisations | - | - | - | - | |
Exposures to institutions | 9,716,404 | 1,975,890 | 9,568,602 | 2,024,563 | |
Exposures to corporates | 3,938,276 | 3,703,205 | 3,467,782 | 3,328,505 | |
Retail exposures | 659,662 | 461,726 | 858,019 | 592,771 | |
Exposures secured by mortgages on immovable property | 1,194,352 | 452,340 | 1,477,102 | 557,071 | |
Exposures in default | 367,895 | 409,727 | 424,348 | 455,305 | |
Exposures associated with high risk | 267,898 | 401,848 | 331,285 | 496,928 | |
Exposures in the form of covered bonds | 713,091 | 86,158 | 705,148 | 85,542 | |
Exposures to institutions and corporates | - | - | - | - | |
with a short-term credit assessment | |||||
Exposures to collective investments undertakings | 163,634 | 163,634 | 229,524 | 229,524 | |
Equity exposures | 1,029,963 | 2,032,502 | 1,115,714 | 2,243,660 | |
Other exposures | 6,303,804 | 4,916,035 | 6,015,995 | 4,302,804 | |
Securitization positions * | 100,649 | 33,536 | 8,898 | 8,898 | |
Exposures to Central Counterparties in the form | - | 4,149 | - | 14,039 | |
of pre-funded contributions to the guarantee fund | |||||
Total standardised approach | 62,649,072 | 16,732,383 | 56,128,250 | 16,756,009 | |
AIRB approach | |||||
Exposures to or secured by corporates: | 31,318,358 | 17,945,023 | 31,169,669 | 19,732,305 | |
- SMEs | 16,390,002 | 7,451,537 | 16,731,364 | 8,963,341 | |
- Other companies | 13,169,558 | 9,111,800 | 12,613,289 | 9,254,542 | |
- Specialized lending | 1,758,797 | 1,381,686 | 1,825,016 | 1,514,422 | |
Retail exposures: | 43,372,035 | 8,843,372 | 43,783,366 | 8,600,843 | |
- secured by real estate: SMEs | 5,728,543 | 1,987,773 | 5,801,907 | 1,854,434 | |
- secured by real estate: Individuals | 28,137,360 | 3,812,474 | 27,907,035 | 3,654,559 | |
- Qualifying revolving | 72,709 | 5,621 | 93,584 | 7,469 | |
- Other retail exposures: SMEs | 7,827,793 | 2,768,353 | 8,252,376 | 2,791,655 | |
- Other retail exposures: Individuals | 1,605,629 | 269,151 | 1,728,465 | 292,725 | |
- Securitization positions ** | 67,050 | 139,046 | 95,314 | 146,964 | |
Total AIRB approach | 74,757,442 | 26,927,441 | 75,048,349 | 28,480,112 | |
Total Credit and Counterparty Risk | 137,406,514 | 43,659,823 | 131,176,599 | 45,236,121 |
- Securitization positions subject to Standard approach include securitizations under the SEC-ERBA and SEC-SA.
- Securitization positions subject to AIRB approach include securitizations under the SEC-IRBA.
G R U P P O M O N T E P A S C H I
Credit Risk | 40 |
Credit Risk: Standard approach
Quantitative disclosure
The table below shows the details of the banking Group's exposures subject to Credit Risk - standard approach, determined according to the rules of Prudential Supervision and including the effects from risk mitigation techniques (netting agreements, guarantees, etc.).
The quantitative disclosures in this Section complement those provided in section "Use of risk mitigation techniques". In fact, each regulatory portfolio provided for by regulations under the standard approach is broken down as follows:
- amount of on- and off-balance exposures, "without" the risk mitigation (Exposure before CRM), which does not take into account the decrease in exposure arising
from the application of collateral and guarantees; in the case of guarantees, which transfer risk in respect of the guaranteed portion, reference is made to the guarantor's regulatory portfolios and weightings, while as to the residual exposure, reference is made to the guaranteed party's information;
- amount of the same exposures "with" the risk mitigation effect (Exposure after CRM), i.e. net of the guarantees mentioned in the previous point, thus the difference between exposures "with" and "without" credit risk mitigation represents the amount of approved collateral, disclosed also in section "Use of risk mitigation techniques".
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Credit Risk | 41 | ||||||||
Standard approach: Ante and Post CRM Exposure Value | |||||||||
Jun-20 | Dec-19 | ||||||||
Ante CRM | Post CRM | Credit Risk | Ante CRM | Post CRM | Credit Risk | ||||
Regulatory Portfolio (Standard Approach) | Mitigation | Mitigation | |||||||
Exposure | Exposure | Exposure | Exposure | ||||||
Techniques | Techniques | ||||||||
Exposures to central governments or central banks | 36,233,119 | 36,233,119 | - | 29,994,417 | 29,994,417 | 0 | |||
Exposures to regional governments or local authorities | 2,806,758 | 2,806,758 | - | 2,302,900 | 2,302,900 | - | |||
Exposures to public sector entities | 694,931 | 680,034 | -14,897 | 654,231 | 639,387 | -14,844 | |||
Exposures to multilateral development banks | 88,586 | 88,586 | - | 126,402 | 126,402 | - | |||
Exposures to international organisations | - | - | - | - | - | - | |||
Exposures to institutions | 60,352,296 | 12,528,910 | -47,823,386 | 40,996,762 | 12,406,244 | -28,590,518 | |||
Exposures to corporates | 6,254,415 | 5,653,527 | -600,889 | 5,962,470 | 5,305,353 | -657,117 | |||
Retail exposures | 1,561,771 | 1,539,248 | -22,523 | 1,888,520 | 1,852,477 | -36,043 | |||
Exposures secured by mortgages on immovable property | 1,206,024 | 1,205,009 | -1,015 | 1,482,948 | 1,482,928 | -20 | |||
Exposures in default | 560,185 | 557,328 | -2,857 | 618,177 | 612,426 | -5,751 | |||
Exposures associated with particularly high risk | 280,703 | 280,115 | -588 | 370,168 | 367,909 | -2,258 | |||
Exposures in the form of covered bonds | 713,091 | 713,091 | - | 705,148 | 705,148 | - | |||
Exposures to institutions and corporates with | - | - | - | - | - | - | |||
a short-term credit assessment | |||||||||
Exposures to collective investments undertakings | 314,983 | 168,928 | -146,055 | 444,617 | 303,701 | -140,916 | |||
Equity exposures | 1,029,963 | 1,029,963 | - | 1,115,714 | 1,115,714 | - | |||
Other exposures | 6,303,804 | 6,303,804 | - | 6,016,015 | 6,016,015 | - | |||
Items representing securitization positions | 167,699 | 167,699 | - | 8,898 | 8,898 | - | |||
Exposures to Central Counterparties in the form of pre-funded | - | - | - | - | - | - | |||
contributions to the guarantee fund | |||||||||
Total | 118,568,328 | 69,956,118 | -48,612,210 | 92,687,387 | 63,239,920 | -29,447,468 |
The table shows the Group's exposures reported by regulatory exposure classes and also contains off-balance sheet exposures relating to guarantees and commitments before the application of credit conversion factors (CCF).
G R U P P O M O N T E P A S C H I
Credit Risk | 42 |
As of 30 June 2020, the total amount of exposures deducted from Funds came to EUR 321.9 million. The exposures reported in the table "Standard approach: Distribution in classes of creditworthiness (EAD post CRM)" also include the off balance- sheet exposures relating to guarantees and commitments (including undrawn credit lines) subsequent to the application of the Credit Conversion Factors (CFFs) required
by prudential regulations. The off-balance sheet exposures in relation to guarantees and commitments are disclosed side by side with the counterparty weighting factor. The exposure value shown in the tables of this section is stated net of adjustments in accordance with the prudential regulations. Reported below are the Post CRM exposures broken down by weighting factor.
Standard approach: Distribution in classes of creditworthiness (EAD post CRM)
Classes of credit worthiness (Weighting Factors) | ||||||||||
Regulatory Portfolio | 0% | Until | 35% | 50% | 70% - 100% | 150% | 225% - 250% | 370% | 1250% | Total |
(Standardised approach) | 20% | as at 30/06/20 | ||||||||
Exposures to central governments or central banks | 34,974,639 | - | - | 20,404 | 868,539 | - | 208,271 | - | - | 36,071,854 |
Exposures to regional governments or local authorities | - | 1,549,688 | - | - | - | - | - | - | - | 1,549,688 |
Exposures to public sector entities | 2,769 | 140,689 | - | - | 354,858 | - | - | - | - | 498,316 |
Exposures to multilateral development banks | 73,586 | - | - | - | - | - | - | - | - | 73,586 |
Exposures to international organisations | - | - | - | - | - | - | - | - | - | - |
Exposures to institutions | 41,680 | 7,534,253 | - | 1,864,908 | 275,563 | - | - | - | - | 9,716,404 |
Exposures to corporates | - | 38,711 | - | 109,658 | 3,749,276 | 40,631 | - | - | - | 3,938,276 |
Retail exposures | - | - | 1,649 | - | 658,013 | - | - | - | - | 659,662 |
Exposures secured by mortgages on immovable property | - | - | 787,994 | 406,358 | - | - | - | - | - | 1,194,352 |
Exposures in default | - | - | - | - | 284,231 | 83,664 | - | - | - | 367,895 |
Exposures associated with particularly high risk | - | - | - | - | - | 267,898 | - | - | - | 267,898 |
Exposures in the form of covered bonds | - | 710,075 | - | 3,016 | - | - | - | - | - | 713,091 |
Exposures to institutions and corporates | - | - | - | - | - | - | - | - | - | - |
with a short-term credit assessment | ||||||||||
Exposures to collective investments undertaking | - | - | - | - | 163,634 | - | - | - | - | 163,634 |
Equity exposures | - | - | - | - | 361,603 | - | 668,359 | - | - | 1,029,963 |
Other exposures | 758,448 | 789,147 | - | 370 | 4,751,476 | 4,363 | - | - | - | 6,303,804 |
Exposures to Central Counterparties in the | - | - | - | - | - | - | - | - | - | - |
form of pre-funded contributions to the guarantee fund | ||||||||||
Total as at 30/06/2020 | 35,851,123 | 10,762,562 | 789,644 | 2,404,714 | 11,467,194 | 396,556 | 876,630 | - | - | 62,548,423 |
Total as at 31/12/2019 | 29,660,453 11,056,877 1,048,931 | 2,058,145 | 10,806,091 | 445,682 | 1,052,072 | - | - | 56,128,250 |
The table shows the Group's exposures reported by regulatory exposure classes and also contains off-balance sheet exposures relating to guarantees and commitments post application of credit conversion factors (CCF).
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Credit Risk | 43 | ||||||
EU CR5 - Standard approach | |||||||
Exposures | Classes of credit worthiness (Weighting Factors) | Total | |||||
Without | |||||||
classes | 2% | 4% 10% 20% | 35% | 50% 70% 75% 100% 150% 225 - 250% | rating | ||
0% | 370% 1250% Deducted |
1 | Central governments | - | - | - | - | - | 20,404 | |
or central banks | 34,974,185 | |||||||
2 | Regional governments | - | - | - | - | 1,537,089 | - | - |
or local authorities | ||||||||
3 | Public sector | 2,769 | - | - | - | 140,687 | - | - |
entities | ||||||||
Multilateral | ||||||||
4 | development | 73,586 | - | - | - | - | - | - |
banks | ||||||||
5 | International | - | - | - | - | - | - | - |
organisations | ||||||||
6 | Institutions | 41,680 | 2,266,441 | 71,486 | - | 3,179,264 | - | 468,690 |
7 | Corporates | - | - | - | - | 38,711 | - | 109,658 |
8 | Retail | - | - | - | - | - | 1,649 | - |
9 | Secured by mortgages | - | - | - | - | - | 787,994 | 406,358 |
on immovable property | ||||||||
10 | Exposures in default | - | - | - | - | - | - | - |
11 | Higher-risk categories | - | - | - | - | - | - | - |
12 | Covered bonds | - | - | - | 573,654 | 136,421 | - | 3,016 |
Institutions and | ||||||||
13 | corporates with a | - | - | - | - | - | - | - |
short-term | ||||||||
credit assessment | ||||||||
Collective | ||||||||
14 | investment | - | - | - | - | - | - | - |
undertakings | ||||||||
15 | Equity | - | - | - | - | - | - | - |
16 | Other items | 758,448 | - | - | - | 789,147 | - | 370 |
17 | Total as at | 35,850,669 | 2,266,441 | 71,486 | 573,654 | 5,821,318 | 789,644 | 1,008,496 |
30/06/2020 | ||||||||
18 | Total as at | 29,659,620 | 1,783,766 | 50,121 | 563,893 | 6,808,269 | 1,048,931 | 914,753 |
31/12/2019 |
- | - | 865,986 | - | 208,271 | - | - | 122,754 | 36,068,846 | - |
- | - | - | - | - | - | - | 1,537,089 | - | |
- | - | 348,598 | - | - | - | - | 492,054 | - | |
- | - | - | - | - | - | - | 73,586 | - | |
- | - | - | - | - | - | - | - | - | |
- | - | 262,477 | - | - | - | - | 6,290,038 | - | |
- | - | 3,501,366 | 40,631 | - | - | - | 3,690,366 | - | |
- | 657,886 | - | - | - | - | - | 659,535 | - | |
- | - | - | - | - | - | - | 1,194,352 | - | |
- | - | 284,210 | 79,806 | - | - | - | 364,016 | - | |
- | - | - | 267,898 | - | - | - | 267,898 | - | |
- | - | - | - | - | - | - | 713,091 | - | |
- | - | - | - | - | - | - | - | - | |
- | - | 104,143 | - | - | - | - | 104,143 | - | |
- | - | 361,603 | - | 668,359 | - | - | 133,262 | 1,029,963 | - |
- | - | 4,751,476 | 4,363 | - | - | - | 6,303,804 | - | |
- | 657,886 | 10,479,859 | 392,699 | 876,630 | - | - | 256,015 | 58,788,782 | - |
- | 858,019 | 9,632,764 | 445,677 | 1,052,072 | - | - | 516,945 | 52,817,883 | - |
The exposure shown in the table does not include the counterparty credit risk (CCR). The deducted items include exposures required to be deducted in accordance with Part Two of the CRR.
G R U P P O M O N T E P A S C H I
Credit Risk | 44 |
Credit Risk: use of the AIRB approach
AIRB Authorization
With decree no. 647555 of 12 June 2008, the Bank of Italy authorised Montepaschi Group to use Advanced Internal Ratings Based (AIRB) systems to calculate the capital requirements for Credit Risk and Operational Risk. In particular, whereas the Montepaschi Group uses the standard approach ratios for Exposure at default (EAD) pending validation by the Supervisory Authorities, the Group is instead authorised to use:
- Internal Probability of Default (PD) estimates, for the portfolio of exposures to corporates and retail exposures;
- Internal Loss Given Default (LGD) estimates for the portfolio of exposures to corporates and retail exposures.
For portfolios other than those mentioned above, the standard approach is used. As for legal entities, the scope of application of the authorised approaches shall be the following:
- AIRB: Banca Monte dei Paschi di Siena, MPS Capital Services, Banca Antonveneta, MPS Leasing & Factoring;
- the remaining legal entities of the Montepaschi Group use the standard approach.
Quantitative information
The following table reports the Group's exposure to Credit Risk - AIRB, as of 30 June 2020 divided by classes of regulatory activities. The exposure values reported are determined according to prudential supervisory requirements and as such are inclusive of value adjustments and do not factor in the effects of risk mitigation techniques which, in the case of exposures subject to an internal models-based approach, are directly included in the risk-weighting factor applied. As for guarantees issued and commitments to disburse funds, the values reported take into account credit conversion factors. The exposure value reported in the table, therefore, shows the credit equivalent. Following are the values of Risk Weighted Assets (RWAs), Expected Loss (EL), and Actual Losses (AL) as at the end of June 2020. It is noted that the amount of value adjustments on general-purpose and special- purpose receivables relating to securitisation exposures are not included in the calculation of the Expected Loss Delta, as required by the CRR.
The nominal value in following tables show the exposure value before applying the credit conversion factor.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Credit Risk | 45 | ||||
AIRB Approach: Summary of Exposures, RWAs, expected and actual losses | |||||
Jun-20 | |||||
Regulatory Portfolio | EAD | RWA | EL | AL | |
Exposures to or secured by corporates: | |||||
31,318,358 | 17,945,023 | 3,220,286 | 3,808,134 | ||
- SMEs | 16,390,002 | 7,451,537 | 2,334,727 | 2,807,209 | |
- Other companies | 13,169,558 | 9,111,800 | 758,707 | 868,591 | |
- Specialized lending | 1,758,797 | 1,381,686 | 126,852 | 132,334 | |
Retail exposures: | 43,372,035 | 8,843,372 | 2,480,703 | 2,717,449 | |
- Secured by real estate: SMEs | 5,728,543 | 1,987,773 | 661,803 | 601,665 | |
- Secured by real estate: Individuals | 28,137,360 | 3,812,474 | 524,592 | 538,940 | |
- Qualifying revolving | 72,709 | 5,621 | 326 | 648 | |
- Other retail exposures: SMEs | 7,827,793 | 2,768,353 | 1,076,915 | 1,291,190 | |
- Other retail exposures: Individuals | 1,605,629 | 269,151 | 217,067 | 285,007 | |
Total as at 30/06/2020 | 74,690,393 | 26,788,395 | 5,700,988 | 6,525,583 | |
Total as at 31/12/2019 | 75,048,349 | 28,480,112 | 5,931,480 | 6,422,232 |
Reported below is the breakdown by PD class, identified by the MPS Group to allow for a significant distinction to be made for
credit risk (see para. "Credit Risk: use of the AIRB approach") by Group exposures and regulatory portfolio.
G R U P P O M O N T E P A S C H I
Credit Risk | 46 |
IRB Approach: Exposures, expected and actual losses distribution by regulatory portfolio and PD classes (except for Specialized lending)
Jun-20 | |||||
Classes of | |||||
Corporates | Retail | AIRB Total | AIRB | AIRB | |
creditworthiness | Exposure | Exposure | Exposures | Total EL | Total AL |
Class 01 | |||||
Class 02 | 168,897 | 19,064 | 187,961 | 24 | 360 |
Class 03 | 132,197 | 69,058 | 201,255 | 42 | 314 |
Class 04 | 445,334 | 120,558 | 565,892 | 204 | 853 |
Class 05 | 821,469 | 7,404,515 | 8,225,985 | 1,710 | 2,382 |
Class 06 | 1,190,636 | 5,330,564 | 6,521,200 | 2,532 | 3,095 |
Class 07 | 2,482,457 | 3,864,578 | 6,347,035 | 4,935 | 11,220 |
Class 08 | 3,212,315 | 3,160,046 | 6,372,362 | 8,170 | 10,752 |
Class 09 | 2,850,750 | 4,606,456 | 7,457,206 | 13,238 | 16,381 |
Class 10 | 3,406,337 | 4,687,077 | 8,093,415 | 22,862 | 32,453 |
Class 11 | 2,766,931 | 2,612,179 | 5,379,110 | 26,506 | 42,447 |
Class 12 | 1,610,500 | 2,008,838 | 3,619,339 | 26,889 | 48,782 |
Class 13 | 2,600,476 | 1,972,969 | 4,573,445 | 59,378 | 145,822 |
Class 14 | 1,138,082 | 1,008,892 | 2,146,975 | 38,772 | 107,261 |
Class 15 | 484,505 | 528,735 | 1,013,241 | 28,594 | 63,669 |
Class 16 | 174,397 | 298,019 | 472,416 | 20,610 | 37,778 |
Class 17 | 120,656 | 131,834 | 252,490 | 14,719 | 23,014 |
Class 18 | 54,721 | 105,937 | 160,657 | 12,441 | 18,854 |
Class 19 | 95,005 | 67,585 | 162,590 | 21,896 | 23,985 |
Class 20 | 5,803,895 | 5,375,131 | 11,179,025 | 5,270,613 | 5,803,827 |
Total as at 30/06/2020 | 29,559,560 | 43,372,035 | 72,931,595 | 5,574,137 | 6,393,249 |
Totale as at 31/12/2019 | 29,344,652 | 43,783,366 | 73,128,019 | 5,794,829 | 6,275,021 |
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Credit Risk | 47 |
The following table shows a breakdown by | divided by regulatory asset class: |
PD band with quantitative details for the | - Specialized lending - slotting criteria; |
Advanced IRB approach of the Portfolio | - SMEs; |
"Exposures to or secured by corporates" | - Other companies. |
EU CR10 - IRB (Specialized lending and equities)
Nominal | Exposure | Off-balance- | Value | Expected | |||
Rating Class | sheet | RWA | |||||
Value | Value | adjustments | Loss | ||||
amount | |||||||
Category 1 - 50% | 16,698 | 16,695 | 180 | 8,347 | 34 | - | |
Category 1 - 70% equal to or greater than 2.5 years | 227,678 | 225,583 | 4,190 | 157,908 | 655 | 902 | |
Category 2 -70% less than 2.5 years | 353,187 | 231,676 | 159,794 | 162,173 | 375 | 927 | |
Category 2 - 90% | 874,508 | 788,574 | 173,167 | 709,717 | 5,351 | 6,309 | |
Category 3 | - 115% | 284,482 | 273,289 | 25,715 | 314,282 | 12,755 | 7,652 |
Category 4 | - 250% | 11,709 | 11,703 | 6 | 29,258 | 844 | 936 |
Category 5 | - 0% | 214,943 | 211,277 | 7,224 | - | 112,319 | 110,126 |
Total as at 30/06/2020 | 1,983,206 | 1,758,797 | 370,275 | 1,381,686 | 132,334 | 126,852 | |
Totale as at 31/12/2019 | 2,002,651 | 1,825,016 | 319,562 | 1,514,422 | 147,211 | 136,651 |
G R U P P O M O N T E P A S C H I
Credit Risk | 48 | ||||||||||||||
EU CR6 - IRB approach: Exposures to or secured by corporates - SMEs | |||||||||||||||
On-balance- | Nominal | Exposure | Revocable and | CCF% | Number | Weighted | Weighted | Average | Average | Value | Expected | RWA | |||
Rating | sheet gross | Value | Value | Irrevocable | (Average) | of obligors | Average | Average | maturity | Risk | adjustments | Loss | |||
Class | exposures | Margins | PD (%) | LGD (%) | Weight | ||||||||||
%(RW%) | |||||||||||||||
Class 01 | |||||||||||||||
Class 02 | 166,549 | 160,728 | 39,851 | 127,212 | 4.98% | 122 | 0.03% | 39.67% | 2,26 | 7.32% | 86 | 5 | 2,916 | ||
Class 03 | 303,763 | 291,797 | 73,447 | 231,444 | 5.66% | 265 | 0.05% | 41.73% | 1,77 | 9.92% | 96 | 15 | 7,286 | ||
Class 04 | 619,174 | 592,524 | 239,349 | 384,967 | 8.26% | 584 | 0.09% | 37.45% | 2,50 | 15.24% | 499 | 81 | 36,473 | ||
Class 05 | 810,931 | 773,927 | 333,843 | 476,545 | 7.65% | 629 | 0.13% | 38.77% | 2,13 | 18.45% | 777 | 168 | 61,597 | ||
Class 06 | 1,076,700 | 1,013,163 | 522,560 | 533,991 | 8.13% | 841 | 0.20% | 36.54% | 2,35 | 22.68% | 906 | 382 | 118,512 | ||
Class 07 | 1,915,691 | 1,827,563 | 1,017,914 | 901,021 | 10.14% | 1,327 | 0.30% | 38.36% | 2,27 | 30.96% | 5,155 | 1,171 | 315,102 | ||
Class 08 | 1,758,775 | 1,677,119 | 1,049,540 | 681,678 | 7.94% | 1,251 | 0.46% | 34.19% | 2,80 | 36.07% | 3,746 | 1,650 | 378,544 | ||
Class 09 | 1,989,525 | 1,882,675 | 1,226,659 | 720,330 | 8.93% | 1,611 | 0.69% | 34.92% | 2,56 | 41.97% | 5,421 | 2,956 | 514,783 | ||
Class 10 | 2,289,476 | 2,177,949 | 1,510,814 | 721,951 | 7.59% | 1,877 | 1.05% | 34.55% | 2,70 | 49.19% | 10,093 | 5,481 | 743,213 | ||
Class 11 | 2,293,459 | 2,179,865 | 1,655,362 | 583,320 | 10.08% | 1,856 | 1.59% | 32.59% | 2,97 | 55.11% | 15,778 | 8,577 | 912,326 | ||
Class 12 | 1,625,025 | 1,553,766 | 1,181,223 | 423,164 | 11.96% | 1,441 | 2.42% | 32.32% | 2,80 | 59.06% | 15,288 | 9,240 | 697,646 | ||
Class 13 | 1,879,956 | 1,825,464 | 1,492,290 | 415,881 | 19.89% | 1,455 | 3.99% | 33.03% | 3,01 | 70.95% | 59,424 | 19,664 | 1,058,749 | ||
Class 14 | 1,007,515 | 987,530 | 818,124 | 200,977 | 15.71% | 756 | 6.31% | 29.72% | 3,42 | 74.34% | 46,925 | 15,341 | 608,215 | ||
Class 15 | 500,946 | 488,213 | 418,801 | 81,302 | 14.63% | 385 | 9.95% | 28.25% | 3,13 | 82.06% | 22,462 | 11,771 | 343,670 | ||
Class 16 | 171,996 | 169,056 | 145,079 | 26,668 | 10.09% | 186 | 16.03% | 28.30% | 3,47 | 99.65% | 12,655 | 6,581 | 144,566 | ||
Class 17 | 126,565 | 123,701 | 117,857 | 6,690 | 12.64% | 89 | 22.12% | 29.50% | 3,46 | 114.42% | 10,833 | 7,690 | 134,857 | ||
Class 18 | 62,821 | 60,706 | 51,545 | 9,665 | 5.22% | 50 | 31.63% | 27.32% | 3,86 | 113.14% | 8,101 | 4,454 | 58,318 | ||
Class 19 | 77,568 | 76,986 | 69,573 | 8,681 | 14.61% | 56 | 45.00% | 30.95% | 4,23 | 130.74% | 11,282 | 9,691 | 90,960 | ||
Class 20 | 4,733,838 | 4,626,770 | 4,426,170 | 252,337 | 20.50% | 2,634 | 100.00% | 49.31% | 1,81 | 27.65% | 2,577,681 | 2,229,808 | 1,223,804 | ||
Total as at | 23,410,272 | 22,489,502 | 16,390,002 | 6,787,825 | 9.74% | 17,415 | 2.83% | 33.79% | 2,53 | 2,807,209 | 2,334,727 | 7,451,537 | |||
30/06/2020 | |||||||||||||||
Total as at | 22,617,809 | 21,999,823 | 16,731,364 | 6,022,083 | 11.51% | 17,630 | 2.65% | 34.04% | 2,83 | 2,744,080 | 2,421,943 | 8,963,341 | |||
31/12/2019 | |||||||||||||||
For reporting purposes, Unused Margin refer to issued guarantees and revocable and irrevocable commitments to disburse funds. The weighted average PD (%) and weighted average LDG (%) under Total does not include class 20.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Credit Risk | 49 | |||||||||||||||
EU CR6 - IRB approach: Exposures to or secured by corporates - Other companies | ||||||||||||||||
On-balance- | Nominal | Exposure | Revocable and | CCF% | Number | Weighted | Weighted | Average | Average | Value | Expected | RWA | ||||
Rating | sheet gross | Value | Value | Irrevocable | (Average) | of obligors | Average | Average | maturity | Risk | adjustments | Loss | ||||
Class | exposures | Margins | PD (%) | LGD (%) | Weight | |||||||||||
%(RW%) | ||||||||||||||||
Class 01 | ||||||||||||||||
Class 02 | 467,664 | 467,664 | 129,046 | 448,441 | 24.49% | 34 | 0.03% | 44.50% | 2,77 | 16.48% | 215 | 17 | 21,264 | |||
Class 03 | 273,146 | 269,755 | 58,750 | 220,816 | 4.44% | 68 | 0.05% | 42.82% | 1,64 | 14.31% | 82 | 13 | 8,408 | |||
Class 04 | 639,541 | 636,670 | 205,985 | 485,992 | 11.38% | 136 | 0.09% | 43.26% | 2,27 | 26.10% | 168 | 80 | 53,757 | |||
Class 05 | 1,599,718 | 1,584,441 | 487,626 | 1,252,586 | 12.44% | 205 | 0.13% | 43.64% | 1,82 | 29.66% | 757 | 277 | 144,638 | |||
Class 06 | 1,555,373 | 1,540,827 | 668,076 | 1,019,413 | 14.39% | 271 | 0.20% | 43.07% | 1,97 | 39.29% | 967 | 576 | 262,467 | |||
Class 07 | 3,140,378 | 3,133,718 | 1,464,543 | 1,862,537 | 10.38% | 501 | 0.30% | 42.60% | 2,11 | 49.11% | 4,043 | 1,872 | 719,308 | |||
Class 08 | 4,060,719 | 4,025,724 | 2,162,775 | 2,286,130 | 18.51% | 441 | 0.46% | 39.47% | 2,35 | 56.95% | 4,165 | 3,926 | 1,231,799 | |||
Class 09 | 2,846,835 | 2,828,311 | 1,624,091 | 1,421,720 | 15.30% | 451 | 0.69% | 42.99% | 1,80 | 72.02% | 4,716 | 4,818 | 1,169,724 | |||
Class 10 | 3,140,276 | 3,113,206 | 1,895,524 | 1,497,481 | 18.68% | 568 | 1.05% | 42.61% | 1,77 | 83.29% | 10,905 | 8,480 | 1,578,752 | |||
Class 11 | 1,647,302 | 1,620,324 | 1,111,569 | 586,108 | 13.20% | 388 | 1.59% | 42.45% | 1,92 | 97.74% | 6,894 | 7,503 | 1,086,436 | |||
Class 12 | 661,631 | 652,163 | 429,278 | 254,206 | 12.32% | 223 | 2.42% | 41.51% | 1,56 | 104.70% | 4,264 | 4,313 | 449,449 | |||
Class 13 | 1,546,168 | 1,518,882 | 1,108,186 | 557,213 | 26.29% | 266 | 3.99% | 43.39% | 2,01 | 136.02% | 20,250 | 19,186 | 1,507,344 | |||
Class 14 | 410,145 | 408,530 | 319,958 | 131,165 | 32.47% | 120 | 6.31% | 30.07% | 1,19 | 104.86% | 11,599 | 6,072 | 335,505 | |||
Class 15 | 106,791 | 104,945 | 65,704 | 48,013 | 18.27% | 53 | 9.95% | 38.62% | 1,73 | 151.46% | 6,501 | 2,525 | 99,516 | |||
Class 16 | 36,205 | 36,205 | 29,318 | 9,586 | 28.15% | 20 | 16.03% | 39.97% | 1,59 | 198.53% | 2,047 | 1,878 | 58,206 | |||
Class 17 | 4,411 | 4,411 | 2,799 | 1,664 | 3.10% | 10 | 22.12% | 40.97% | 1,23 | 200.45% | 469 | 254 | 5,611 | |||
Class 18 | 3,540 | 3,540 | 3,175 | 728 | 49.96% | 5 | 31.63% | 46.95% | 1,01 | 241.47% | 206 | 472 | 7,667 | |||
Class 19 | 30,262 | 30,262 | 25,432 | 5,430 | 11.04% | 8 | 45.00% | 41.34% | 1,15 | 216.33% | 4,510 | 4,731 | 55,016 | |||
Class 20 | 1,766,138 | 1,765,229 | 1,377,724 | 568,904 | 31.89% | 357 | 100.00% | 49.97% | 1,59 | 23.00% | 785,829 | 691,717 | 316,934 | |||
Total as at | 23,936,245 | 23,744,806 | 13,169,558 | 12,658,131 | 15.73% | 4,125 | 1.39% | 41.83% | 1,93 | 868,591 | 758,707 | 9,111,800 | ||||
30/06/2020 | ||||||||||||||||
Total as at | 23,709,546 | 23,671,114 | 12,613,289 | 13,206,316 | 15.39% | 4,182 | 1.92% | 41.37% | 2,21 | 1,039,453 | 970,701 | 9,254,542 | ||||
31/12/2019 | ||||||||||||||||
For reporting purposes, Unused Margin refer to issued guarantees and revocable and irrevocable commitments to disburse funds. The weighted average PD (%) and weighted average LDG (%) under Total does not include class 20.
The following table shows a breakdown by | - Secured by real estate - SMEs, | |
PD band | with quantitative details for the | - Secured by real estate - Individuals, |
advanced | IRB approach of the Portfolio | - Qualifying revolving, |
"Retail Exposures" divided by regulatory | - Other retail exposures - SMEs, | |
asset class: | - Other retail exposures - Individuals. |
G R U P P O M O N T E P A S C H I
Credit Risk | 50 |
EU CR6 - IRB approach: Retail Exposures Secured by real estate - SMEs
On-balance- | Nominal | Exposure | Revocable and | CCF% | Number | Weighted | Weighted | Average | Average | Value | Expected | RWA | |
Rating | sheet gross | Value | Value | Irrevocable | (Average) | of obligors | Average | Average | maturity | Risk | adjustments | Loss | |
Class | exposures | Margins | PD (%) | LGD (%) | Weight | ||||||||
%(RW%) | |||||||||||||
Class 01 | |||||||||||||
Class 02 | 1,267 | 1,267 | 1,267 | - | 0.00% | 9 | 0.03% | 17.97% | - | 1.45% | 1 | 0 | 18 |
Class 03 | 12,034 | 12,034 | 10,799 | 1,335 | 7.50% | 50 | 0.05% | 19.27% | - | 2.27% | 8 | 1 | 245 |
Class 04 | 25,177 | 24,767 | 21,182 | 4,800 | 25.29% | 162 | 0.09% | 19.38% | - | 3.84% | 13 | 4 | 814 |
Class 05 | 47,099 | 47,075 | 41,401 | 7,763 | 26.91% | 315 | 0.13% | 19.02% | - | 5.04% | 36 | 10 | 2,086 |
Class 06 | 94,426 | 93,061 | 87,363 | 5,862 | 2.80% | 644 | 0.20% | 19.41% | - | 7.18% | 87 | 34 | 6,269 |
Class 07 | 214,823 | 212,794 | 196,550 | 16,377 | 0.81% | 1,426 | 0.30% | 19.81% | - | 9.86% | 315 | 117 | 19,385 |
Class 08 | 316,738 | 315,676 | 287,307 | 28,888 | 1.80% | 1,982 | 0.46% | 19.87% | - | 13.79% | 516 | 263 | 39,624 |
Class 09 | 499,898 | 496,804 | 453,909 | 44,271 | 3.11% | 3,268 | 0.69% | 19.80% | - | 18.24% | 1,268 | 620 | 82,772 |
Class 10 | 726,801 | 722,915 | 648,625 | 75,051 | 1.01% | 4,286 | 1.05% | 20.10% | - | 24.36% | 2,721 | 1,369 | 157,995 |
Class 11 | 846,212 | 839,598 | 755,297 | 85,945 | 1.91% | 5,021 | 1.59% | 20.18% | - | 31.62% | 5,131 | 2,424 | 238,797 |
Class 12 | 698,549 | 690,201 | 615,500 | 75,842 | 1.50% | 3,821 | 2.42% | 20.31% | - | 41.48% | 7,418 | 3,025 | 255,283 |
Class 13 | 617,390 | 612,302 | 551,216 | 62,112 | 1.65% | 3,062 | 3.99% | 20.13% | - | 53.88% | 17,480 | 4,427 | 296,969 |
Class 14 | 355,763 | 350,141 | 311,259 | 38,897 | 0.04% | 1,624 | 6.31% | 20.43% | - | 68.13% | 11,952 | 4,013 | 212,048 |
Class 15 | 146,981 | 146,129 | 131,434 | 14,864 | 1.13% | 655 | 9.95% | 20.46% | - | 83.56% | 7,458 | 2,675 | 109,821 |
Class 16 | 101,132 | 100,642 | 90,025 | 10,769 | 1.41% | 440 | 16.03% | 20.61% | - | 99.05% | 6,076 | 2,974 | 89,168 |
Class 17 | 44,649 | 44,279 | 40,845 | 3,434 | 0.00% | 207 | 22.12% | 20.19% | - | 103.97% | 3,249 | 1,824 | 42,466 |
Class 18 | 38,081 | 37,893 | 32,103 | 5,790 | 0.00% | 146 | 31.63% | 19.90% | - | 109.96% | 3,013 | 2,021 | 35,300 |
Class 19 | 32,728 | 32,521 | 27,341 | 5,181 | 0.00% | 126 | 45.00% | 20.48% | - | 98.90% | 2,573 | 2,519 | 27,041 |
Class 20 | 1,447,505 | 1,441,341 | 1,425,120 | 19,686 | 17.60% | 5,938 | 100.00% | 41.75% | - | 26.08% | 532,352 | 633,484 | 371,670 |
Total as at | 6,267,253 | 6,221,441 | 5,728,543 | 506,864 | 2.16% | 33,182 | 3.25% | 20.11% | 0,00 | 601,665 | 661,803 | 1,987,773 | |
30/06/2020 | |||||||||||||
Total as at | 5,866,130 | 5,829,220 | 5,801,907 | 44,269 | 37.34% | 33,699 | 3.18% | 19.82% | 0,00 | 558,566 | 654,355 | 1,854,434 | |
31/12/2019 | |||||||||||||
For reporting purposes, Unused Margin refer to issued guarantees and revocable and irrevocable commitments to disburse funds. The weighted average PD (%) and weighted average LDG (%) under Total does not include class 20.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Credit Risk | 51 |
EU CR6 - IRB approach: Retail Exposures Secured by real estate - Individuals
On-balance- | Nominal | Exposure | Revocable and | CCF% | Number | Weighted | Weighted | Average | Average | Value | Expected | RWA | |
Rating | sheet gross | Value | Value | Irrevocable | (Average) | of obligors | Average | Average | maturity | Risk | adjustments | Loss | |
Class | exposures | Margins | PD (%) | LGD (%) | Weight | ||||||||
%(RW%) | |||||||||||||
Class 01 | |||||||||||||
Class 02 | - | - | - | - | 0.00% | - | 0.00% | 0.00% | - | 0.00% | - | - | - |
Class 03 | - | - | - | - | 0.00% | - | 0.00% | 0.00% | - | 0.00% | - | - | - |
Class 04 | - | - | - | - | 0.00% | - | 0.00% | 0.00% | - | 0.00% | - | - | - |
Class 05 | 7,408,847 | 7,188,675 | 7,133,999 | 56,069 | 2.48% | 84,924 | 0.13% | 12.46% | - | 3.84% | 582 | 1,156 | 273,590 |
Class 06 | 5,462,318 | 4,959,602 | 4,892,959 | 66,962 | 0.48% | 63,019 | 0.20% | 13.05% | - | 5.55% | 675 | 1,277 | 271,601 |
Class 07 | 3,431,093 | 3,209,533 | 3,157,826 | 51,914 | 0.40% | 40,013 | 0.30% | 12.60% | - | 7.22% | 813 | 1,193 | 228,033 |
Class 08 | 2,507,727 | 2,345,784 | 2,296,126 | 50,341 | 1.36% | 30,420 | 0.46% | 12.53% | - | 9.76% | 908 | 1,324 | 224,192 |
Class 09 | 3,563,187 | 3,426,426 | 3,357,081 | 69,708 | 0.52% | 44,802 | 0.69% | 11.69% | - | 12.09% | 1,982 | 2,708 | 405,769 |
Class 10 | 3,238,482 | 3,159,438 | 3,097,655 | 61,878 | 0.15% | 41,006 | 1.05% | 11.38% | - | 15.61% | 3,350 | 3,700 | 483,548 |
Class 11 | 889,285 | 855,801 | 825,553 | 30,430 | 0.60% | 10,980 | 1.59% | 12.06% | - | 21.64% | 3,637 | 1,583 | 178,685 |
Class 12 | 486,469 | 470,269 | 449,875 | 20,810 | 2.00% | 5,644 | 2.42% | 12.04% | - | 27.98% | 3,772 | 1,310 | 125,889 |
Class 13 | 617,748 | 604,600 | 584,263 | 20,352 | 0.07% | 7,123 | 3.99% | 12.04% | - | 37.27% | 13,610 | 2,806 | 217,767 |
Class 14 | 249,687 | 244,075 | 232,060 | 12,015 | 0.00% | 2,717 | 6.31% | 11.74% | - | 46.06% | 5,941 | 1,719 | 106,882 |
Class 15 | 146,192 | 142,968 | 139,536 | 3,432 | 0.00% | 1,663 | 9.95% | 11.67% | - | 56.05% | 4,270 | 1,620 | 78,216 |
Class 16 | 92,954 | 91,204 | 89,409 | 1,796 | 0.06% | 1,054 | 16.03% | 11.38% | - | 64.41% | 3,083 | 1,631 | 57,586 |
Class 17 | 49,840 | 49,011 | 47,481 | 1,533 | 0.22% | 577 | 22.12% | 11.14% | - | 67.60% | 1,773 | 1,170 | 32,096 |
Class 18 | 45,131 | 44,400 | 41,787 | 2,613 | 0.00% | 513 | 31.63% | 12.71% | - | 78.48% | 1,745 | 1,680 | 32,794 |
Class 19 | 16,495 | 16,368 | 16,170 | 198 | 0.00% | 228 | 45.00% | 10.74% | - | 60.80% | 686 | 781 | 9,831 |
Class 20 | 1,803,193 | 1,796,204 | 1,775,580 | 20,659 | 0.17% | 16,973 | 100.00% | 23.41% | - | 61.16% | 492,113 | 498,933 | 1,085,993 |
Total as at | 30,008,647 | 28,604,358 | 28,137,360 | 470,710 | 0.82% | 351,656 | 0.82% | 12.32% | 0,00 | 538,940 | 524,592 | 3,812,474 | |
30/06/2020 | |||||||||||||
Total as at | 29,150,505 | 27,916,297 | 27,907,035 | 13,044 | 41.65% | 348,527 | 0.77% | 12.28% | 0,00 | 460,769 | 492,304 | 3,654,559 | |
31/12/2019 | |||||||||||||
For reporting purposes, Unused Margin refer to issued guarantees and revocable and irrevocable commitments to disburse funds. The weighted average PD (%) and weighted average LDG (%) under Total does not include class 20.
G R U P P O M O N T E P A S C H I
Credit Risk | 52 |
EU CR6 - IRB approach: Qualifying revolving Retail Exposures
On-balance- | Nominal | Exposure | Revocable and | CCF% | Number | Weighted | Weighted | Average | Average | Value | Expected | RWA | |
Rating | sheet gross | Value | Value | Irrevocable | (Average) | of obligors | Average | Average | maturity | Risk | adjustments | Loss | |
Class | exposures | Margins | PD (%) | LGD (%) | Weight | ||||||||
%(RW%) | |||||||||||||
Class 01 | |||||||||||||
Class 02 | - | - | - | - | 0.00% | - | 0.00% | 0.00% | - | 0.00% | - | - | - |
Class 03 | - | - | - | - | 0.00% | - | 0.00% | 0.00% | - | 0.00% | - | - | - |
Class 04 | - | - | - | - | 0.00% | - | 0.00% | 0.00% | - | 0.00% | - | - | - |
Class 05 | 41,121 | 41,121 | 18,890 | 22,231 | 0.00% | 34,224 | 0.13% | 21.40% | - | 1.70% | 7 | 5 | 321 |
Class 06 | 18,893 | 18,893 | 8,174 | 10,719 | 0.00% | 14,674 | 0.20% | 26.91% | - | 3.04% | 5 | 4 | 249 |
Class 07 | 25,105 | 25,105 | 9,998 | 15,107 | 0.00% | 16,602 | 0.30% | 22.02% | - | 3.46% | 9 | 7 | 346 |
Class 08 | 12,724 | 12,724 | 5,067 | 7,656 | 0.00% | 7,193 | 0.46% | 25.81% | - | 5.71% | 7 | 6 | 290 |
Class 09 | 14,496 | 14,496 | 6,790 | 7,707 | 0.00% | 9,346 | 0.69% | 22.70% | - | 6.92% | 18 | 11 | 470 |
Class 10 | 12,742 | 12,742 | 7,406 | 5,337 | 0.00% | 9,441 | 1.05% | 22.15% | - | 9.33% | 37 | 17 | 691 |
Class 11 | 7,782 | 7,782 | 5,078 | 2,704 | 0.00% | 6,416 | 1.59% | 22.69% | - | 13.06% | 45 | 18 | 663 |
Class 12 | 5,741 | 5,741 | 3,723 | 2,018 | 0.00% | 4,840 | 2.42% | 22.51% | - | 17.60% | 50 | 20 | 655 |
Class 13 | 3,074 | 3,074 | 2,170 | 905 | 0.00% | 2,716 | 3.99% | 24.33% | - | 26.98% | 40 | 21 | 585 |
Class 14 | 4,239 | 4,239 | 3,908 | 330 | 0.00% | 4,465 | 6.31% | 15.66% | - | 23.47% | 101 | 39 | 917 |
Class 15 | 623 | 623 | 350 | 273 | 0.00% | 483 | 9.95% | 23.68% | - | 46.66% | 17 | 8 | 163 |
Class 16 | 277 | 277 | 159 | 118 | 0.00% | 227 | 16.03% | 21.89% | - | 55.28% | 11 | 6 | 88 |
Class 17 | 201 | 201 | 49 | 152 | 0.00% | 111 | 22.12% | 24.27% | - | 70.06% | 4 | 3 | 34 |
Class 18 | 255 | 255 | 208 | 47 | 0.00% | 314 | 31.63% | 13.95% | - | 44.46% | 20 | 9 | 92 |
Class 19 | 262 | 262 | 123 | 140 | 0.00% | 277 | 45.00% | 14.35% | - | 46.09% | 16 | 8 | 56 |
Class 20 | 1,089 | 1,089 | 617 | 473 | 0.00% | 1,046 | 100.00% | 23.33% | - | 0.00% | 257 | 144 | - |
Total as at | 148,624 | 148,624 | 72,709 | 75,915 | 0.00% | 112,375 | 1.27% | 22.52% | 0,00 | 648 | 326 | 5,621 | |
30/06/2020 | |||||||||||||
Total as at | 183,014 | 183,014 | 93,584 | 89,430 | 0.00% | 120,397 | 1.31% | 22.81% | 0,00 | 657 | 365 | 7,469 | |
31/12/2019 | |||||||||||||
For reporting purposes, Unused Margin refer to issued guarantees and revocable and irrevocable commitments to disburse funds. The weighted average PD (%) and weighted average LDG (%) under Total does not include class 20.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Credit Risk | 53 |
EU CR6 - IRB approach: Other retail Exposures - SMEs
On-balance- | Nominal | Exposure | Revocable and | CCF% | Number | Weighted | Weighted | Average | Average | Value | Expected | RWA | |
Rating | sheet gross | Value | Value | Irrevocable | (Average) | of obligors | Average | Average | maturity | Risk | adjustments | Loss | |
Class | exposures | Margins | PD (%) | LGD (%) | Weight | ||||||||
%(RW%) | |||||||||||||
Class 01 | |||||||||||||
Class 02 | 62,015 | 56,123 | 17,797 | 40,881 | 6.25% | 495 | 0.03% | 44.63% | - | 3.79% | 59 | 2 | 674 |
Class 03 | 200,848 | 189,146 | 58,259 | 135,957 | 3.73% | 1,021 | 0.05% | 43.73% | - | 5.41% | 127 | 13 | 3,150 |
Class 04 | 732,522 | 701,787 | 99,376 | 619,489 | 2.76% | 10,698 | 0.09% | 43.55% | - | 8.48% | 172 | 39 | 8,424 |
Class 05 | 423,909 | 390,435 | 129,145 | 274,983 | 4.98% | 2,962 | 0.13% | 43.08% | - | 11.11% | 186 | 72 | 14,343 |
Class 06 | 732,044 | 672,243 | 256,826 | 438,270 | 5.21% | 5,405 | 0.20% | 43.21% | - | 15.00% | 416 | 222 | 38,532 |
Class 07 | 1,003,624 | 912,440 | 385,439 | 566,514 | 6.97% | 8,755 | 0.30% | 42.98% | - | 19.57% | 802 | 497 | 75,422 |
Class 08 | 1,031,863 | 923,872 | 441,429 | 522,219 | 7.62% | 10,610 | 0.46% | 42.53% | - | 25.60% | 1,248 | 864 | 113,007 |
Class 09 | 1,386,262 | 1,237,065 | 642,455 | 638,749 | 6.91% | 15,576 | 0.69% | 42.68% | - | 32.32% | 2,617 | 1,892 | 207,644 |
Class 10 | 1,579,827 | 1,383,771 | 775,918 | 648,627 | 6.29% | 19,878 | 1.05% | 42.42% | - | 39.20% | 4,506 | 3,456 | 304,179 |
Class 11 | 1,776,381 | 1,553,668 | 882,014 | 732,979 | 8.37% | 23,431 | 1.59% | 41.96% | - | 44.60% | 9,205 | 5,885 | 393,345 |
Class 12 | 1,571,703 | 1,371,325 | 822,475 | 588,241 | 6.70% | 21,615 | 2.42% | 41.95% | - | 49.45% | 15,738 | 8,350 | 406,693 |
Class 13 | 1,330,259 | 1,153,931 | 745,751 | 440,865 | 7.41% | 19,479 | 3.99% | 41.88% | - | 52.50% | 31,552 | 12,462 | 391,483 |
Class 14 | 718,756 | 615,255 | 424,555 | 205,265 | 7.10% | 14,623 | 6.31% | 41.32% | - | 53.83% | 28,930 | 11,071 | 228,533 |
Class 15 | 342,786 | 297,674 | 222,036 | 91,391 | 17.24% | 5,282 | 9.95% | 40.68% | - | 58.05% | 21,821 | 8,988 | 128,896 |
Class 16 | 174,205 | 146,865 | 108,399 | 43,877 | 12.33% | 3,133 | 16.03% | 41.25% | - | 71.30% | 13,099 | 7,168 | 77,292 |
Class 17 | 61,275 | 51,122 | 39,888 | 12,508 | 10.18% | 1,162 | 22.12% | 40.72% | - | 81.53% | 6,377 | 3,593 | 32,520 |
Class 18 | 42,882 | 36,732 | 29,412 | 8,700 | 15.86% | 1,446 | 31.63% | 39.11% | - | 87.03% | 5,518 | 3,639 | 25,597 |
Class 19 | 30,986 | 26,831 | 21,392 | 5,755 | 5.49% | 3,051 | 45.00% | 40.77% | - | 92.44% | 4,545 | 3,925 | 19,775 |
Class 20 | 2,002,589 | 1,851,448 | 1,725,228 | 164,213 | 23.14% | 49,321 | 100.00% | 57.62% | - | 17.32% | 1,144,272 | 1,004,778 | 298,844 |
Total as at | 15,204,737 | 13,571,731 | 7,827,793 | 6,179,481 | 6.61% | 217,943 | 2.86% | 42.19% | 0,00 | 1,291,190 | 1,076,915 | 2,768,353 | |
30/06/2020 | |||||||||||||
Total as at | 14,102,719 | 13,198,312 | 8,252,376 | 5,401,073 | 7.83% | 216,898 | 2.79% | 42.30% | 0,00 | 1,195,810 | 1,058,065 | 2,791,655 | |
31/12/2019 | |||||||||||||
For reporting purposes, Unused Margin refer to issued guarantees and revocable and irrevocable commitments to disburse funds. The weighted average PD (%) and weighted average LDG (%) under Total does not include class 20.
G R U P P O M O N T E P A S C H I
Credit Risk | 54 |
EU CR6 - IRB approach: Other retail Exposures - Individuals
On-balance- | Nominal | Exposure | Revocable and | CCF% | Number | Weighted | Weighted | Average | Average | Value | Expected | RWA | |
Rating | sheet gross | Value | Value | Irrevocable | (Average) | of obligors | Average | Average | maturity | Risk | adjustments | Loss | |
Class | exposures | Margins | PD (%) | LGD (%) | Weight | ||||||||
%(RW%) | |||||||||||||
Class 01 | |||||||||||||
Class 02 | - | - | - | - | 0.00% | - | 0.00% | 0.00% | - | 0.00% | - | - | - |
Class 03 | - | - | - | - | 0.00% | - | 0.00% | 0.00% | - | 0.00% | - | - | - |
Class 04 | 15 | 15 | - | 15 | 0.00% | 0 | 0.09% | 0.00% | - | 0.00% | - | - | - |
Class 05 | 506,831 | 506,612 | 81,080 | 438,591 | 2.98% | 81 | 0.13% | 20.72% | - | 6.59% | 38 | 22 | 5,340 |
Class 06 | 209,542 | 209,223 | 85,241 | 135,674 | 8.62% | 17 | 0.20% | 21.92% | - | 9.41% | 40 | 37 | 8,023 |
Class 07 | 249,483 | 249,054 | 114,765 | 150,445 | 10.74% | 28 | 0.30% | 22.82% | - | 12.79% | 82 | 79 | 14,678 |
Class 08 | 233,279 | 232,034 | 130,118 | 120,816 | 15.64% | 16 | 0.46% | 23.00% | - | 16.72% | 161 | 138 | 21,753 |
Class 09 | 289,004 | 287,289 | 146,222 | 160,830 | 12.29% | 25 | 0.69% | 23.18% | - | 21.00% | 359 | 234 | 30,711 |
Class 10 | 283,962 | 282,450 | 157,473 | 138,251 | 9.60% | 26 | 1.05% | 21.64% | - | 23.82% | 841 | 358 | 37,515 |
Class 11 | 232,558 | 231,532 | 144,238 | 96,526 | 9.56% | 23 | 1.59% | 22.54% | - | 28.86% | 1,757 | 517 | 41,631 |
Class 12 | 172,627 | 171,837 | 117,266 | 59,875 | 8.86% | 20 | 2.42% | 22.23% | - | 31.69% | 2,252 | 631 | 37,160 |
Class 13 | 109,752 | 109,462 | 89,569 | 22,482 | 11.52% | 12 | 3.99% | 22.73% | - | 34.80% | 3,466 | 812 | 31,172 |
Class 14 | 44,765 | 44,354 | 37,110 | 8,050 | 10.01% | 19 | 6.31% | 22.13% | - | 35.54% | 1,812 | 518 | 13,190 |
Class 15 | 37,958 | 37,884 | 35,379 | 13,988 | 82.10% | 4 | 9.95% | 28.61% | - | 50.83% | 1,140 | 1,007 | 17,985 |
Class 16 | 11,416 | 11,408 | 10,027 | 1,582 | 12.70% | 2 | 16.03% | 23.13% | - | 49.70% | 806 | 372 | 4,983 |
Class 17 | 3,940 | 3,936 | 3,571 | 437 | 16.32% | 1 | 22.12% | 23.57% | - | 57.94% | 309 | 186 | 2,069 |
Class 18 | 2,675 | 2,675 | 2,426 | 418 | 40.39% | 4 | 31.63% | 21.73% | - | 59.56% | 250 | 167 | 1,445 |
Class 19 | 2,753 | 2,721 | 2,559 | 167 | 3.14% | 11 | 45.00% | 20.88% | - | 58.44% | 373 | 240 | 1,496 |
Class 20 | 461,489 | 460,525 | 448,585 | 14,136 | 15.54% | 92 | 100.00% | 44.97% | - | 0.00% | 271,323 | 211,749 | - |
Total as at | 2,852,048 | 2,843,010 | 1,605,629 | 1,362,281 | 9.10% | 379 | 1.97% | 22.56% | 0,00 | 285,007 | 217,067 | 269,151 | |
30/06/2020 | |||||||||||||
Total as at | 2,989,626 | 2,985,141 | 1,728,465 | 1,389,308 | 9.52% | 406 | 2.12% | 22.85% | 0,00 | 275,686 | 197,096 | 292,725 | |
31/12/2019 | |||||||||||||
For reporting purposes, Unused Margin refer to issued guarantees and revocable and irrevocable commitments to disburse funds. The weighted average PD (%) and weighted average LDG (%) under Total does not include class 20.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Credit Risk | 55 |
Exposures subject to the AIRB approach
broken down by geographical location
The Montepaschi Group operates almost exclusively in the domestic market. If the geographical location of the counterparties is considered, 100% of AIRB exposures are towards counterparties resident in Italy.
For the purposes of this disclosure and in accordance with Article 452 of the CRR, the relevant geographical location of credit exposures means exposures in the Member States in which the institution has been authorized and Member States or third countries in which institutions carry out activities through a branch or subsidiary. As far as credit risk is concerned, the Group is currently authorized to use internal estimates of PD, LGD parameters for portfolios of loans to locals counterparties (Corporate and Retail Exposures) of the main Italian subsidiaries of the Group, namely Banca Monte dei Paschi di Siena, MPS Capital Services and MPS Leasing & Factoring. The other foreign subsidiaries (MP Banque) adopt standard models and their exposures are included among those subject to Credit Risk - Standard approach. The Group also operates in Member States or third countries via foreign branches, whose operations focus on supporting the expansion of Italian businesses and investments abroad and in the major foreign financial markets. AIRB credit exposures (net of default) held by foreign branches amount to 0% and are
entirely towards local counterparties (with headquarters/residence or domicile in Italy). The exposures are towards counterparties that were assigned an internal PD and LGD estimate since they are already counterparties of Italian subsidiaries and are reported under the Parent Company Banca MPS for regulatory purposes. Accordingly, the values of the exposure-weighted average PD and LGD by geographical location coincide with those reported in the tables above which show the AIRB exposures of authorized Italian subsidiaries broken down by class of exposure. Reported below are the credit exposures subject to the AIRB approach (net of default) according to the definition of geographical location described above, i.e. by Member State in which the institution has been authorized (Italy) and by Member State or third country in which the institution operates through a branch.
G R U P P O M O N T E P A S C H I
Italy | |
Other EU | |
Countries | |
Exposures | Other not EU |
to or secured | Countries |
by corporates | Total as at |
30/06/2020 | |
Total as at | |
31/12/2019 |
Italy
Other EU
Countries Other not EU
Retail Countries exposures Total as at
30/06/2020
Total as at 31/12/2019
Credit Risk | 56 |
IRB approach: Exposures to or secured by corporates - Geographic Segmentation
EAD | Incidence | Weighted | Weighted | RWA | EL | AL |
Average PD | Average LGD | |||||
23,755,666 | 100.00% | 2.12% | 37.78% | 15,022,599 | 171,909 | 312,290 |
- | - | - | - | - | - | - |
- | - | - | - | - | - | - |
23,755,666 | 100.00% | 2.12% | 37.78% | 15,022,599 | 171,909 | 312,290 |
22,255,552 | 100.00% | 2.42% | 37.32% | 16,177,128 | 182,268 | 258,658 |
IRB approach: Retail Exposures - Geographic Segmentation
EAD | Incidence | Weighted | Weighted | RWA | EL | AL |
Average PD | Average LGD | |||||
37,996,904 | 100.00% | 1.46% | 18.33% | 7,086,864 | 131,615 | 277,132 |
- | - | - | - | - | - | - |
- | - | - | - | - | - | - |
37,996,904 | 100.00% | 1.46% | 18.33% | 7,086,864 | 131,615 | 277,132 |
38,505,432 | 100.00% | 1.43% | 18.60% | 6,848,519 | 133,568 | 197,786 |
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Credit Risk | 57 |
Credit Risk: credit quality
Quantitative information
The following table provide a comprehensive picture of the credit quality of the Group.
EU CR1-A - Credit quality of exposures by exposure class and instrument
a | b | c | d | e | f | ||
Gross carrying values of: | Specific | General | Accumulated | Credit risk | |||
adjustments charges | |||||||
Defaulted | Non-defaulted | credit risk | credit risk | write-off | of the period | ||
adjustments | adjustment | ||||||
exposures | exposures | ||||||
1 | Central governments or central banks | - | - | - | |||
2 | Institutions | - | - | - | |||
3 | Corporates | 4,836,361 | 42,510,156 | 3,675,800 | |||
4 | Of which: SMEs | 1,989,525 | 21,420,747 | 2,807,209 | |||
5 | Of which: other corporates | 2,846,835 | 21,089,409 | 868,591 | |||
6 | Retail | 5,752,848 | 48,728,461 | 2,717,449 | |||
7 | Secured by real estate property | 4,063,085 | 32,212,814 | 1,140,604 | |||
8 | SMEs | 499,898 | 5,767,354 | 601,665 | |||
9 | Non-SMEs | 3,563,187 | 26,445,460 | 538,940 | |||
10 | Qualifying revolving | 14,496 | 134,128 | 648 | |||
11 | Other retail | 1,675,266 | 16,381,519 | 1,576,197 | |||
12 | SMEs | 1,386,262 | 13,818,475 | 1,291,190 | |||
13 | Non-SMEs | 289,004 | 2,563,044 | 285,007 | |||
14 | Equity | ||||||
15 | Total AIRB approach | 10,589,208 | 91,238,617 | 6,393,249 | - | ||
16 | Central governments or central banks | - | 29,920,682 | 36,052 | |||
17 | Regional governments or local authorities | - | 2,778,988 | 3,446 | |||
18 | Public sector entities | - | 733,718 | 2,214 | |||
19 | Multilateral development banks | - | 88,589 | 3 | |||
20 | International organisations | - | - | - | |||
21 | Institutions | - | 59,112,251 | 4,368 | |||
22 | Corporates | - | 6,486,046 | 13,293 | |||
23 | Of which: SMEs | 1,392,048 | 2,792 | ||||
24 | Retail | - | 1,635,683 | 8,043 | |||
25 | Of which: SMEs | 702,669 | 846 | ||||
26 | Secured by mortgages on immovable property | - | 1,217,779 | 5,613 | |||
27 | Of which: SMEs | 283,801 | 2,807 | ||||
28 | Exposures in default | 1,107,453 | - | 543,458 | |||
29 | Items associated with particularly high risk | 90,953 | 234,060 | 44,272 | |||
30 | Covered bonds | - | 713,657 | 566 | |||
31 | Exposures to institutions and corporates with a short- | - | - | - | |||
term credit assessment | |||||||
32 | Collective investments undertakings | - | 315,353 | 370 | |||
33 | Equity exposures | 1,054 | 1,028,908 | - | |||
34 | Other exposures | - | 6,317,776 | 27,128 | |||
35 | Total standardised approach | 1,199,461 | 110,583,491 | - | 688,825 | ||
36 | Total | 11,788,669 | 201,822,108 | 6,393,249 | 688,825 | ||
37 | Of which: Loans | 126,568,166 | 6,353,065 | 682,450 | |||
38 | Of which: Debt securities | 39,992,896 | 34,495 | 1,524 | |||
39 | Of which: Off-balance-sheet exposures | 49,032,921 | 138,022 | 4,851 |
g
Net value (a+b-c-d)
-
-
43,670,717
20,603,062
23,067,654
51,763,860
35,135,295
5,665,588
29,469,707
147,976
16,480,588
13,913,547
2,567,041
-
95,434,577
29,884,630
2,775,542
731,503
88,586
-
59,107,883
6,472,754
1,389,256
1,627,640
701,823
1,212,166
280,994
563,995
280,742
713,091
-
314,983
1,029,963
6,290,648
111,094,127
206,528,704
119,532,651
39,956,876
48,890,048
The figures shown in the table under IRB approach do not include specialised lending-slotting criteria.
G R U P P O M O N T E P A S C H I
Credit Risk | 58 |
Subsequent to the public consultation process launched in April, in December 2018 the EBA published the final version of the document "Guidelines on disclosures of non- performing and forborne exposures" (EBA/ GL/2018/10), effective as of 31 December 2019 (in line with the "Guidelines for
banks on non-performing loans", published by the ECB in March 2017) and aimed at promoting consistency in NPL disclosure requirements. This document has been taken into account in the preparation of the following tables.
Credit quality Credit quality of forborne exposures (Template 1 - EBA GL 2018/10)
a | b | c | d | e | f | g | h | ||
Gross carrying amount/nominal amount | Accumulated impairment, accumulated negative | Collateral received and financial | |||||||
of exposures with forbearance measures | changes in fair value due to credit risk and provisions | guarantees received on forborne exposures | |||||||
Non-performing forborne | Of which collate- | ||||||||
ral and financial | |||||||||
Performing | On performing | On non-performing | guarantees received | ||||||
forborne | Of which | Of which | forborne exposures | forborne exposures | on non-performing | ||||
exposures with forbe- | |||||||||
defaulted | impaired | ||||||||
arance measures | |||||||||
1 | Loans and advances | 1,817,997 | 4,190,321 | 4,190,321 | 3,954,438 | -139,504 | -1,725,191 | 3,260,164 | 2,012,286 |
2 | Central banks | - | - | - | - | - | - | ||
- | - | ||||||||
3 | General governments | 4,965 | 164 | 164 | 164 | -65 | -74 | - | - |
4 | Credit institutions | - | - | - | - | - | - | - | - |
5 | Other financial corporations | 43,298 | 111,371 | 111,371 | 55,685 | -670 | -68,366 | 76,059 | 34,963 |
6 | Non-financial corporations | 1,205,241 | 3,043,016 | 3,043,016 | 2,863,920 | -111,743 | -1,375,105 | 1,978,037 | 1,267,448 |
7 | Households | 564,493 | 1,035,770 | 1,035,770 | 1,034,669 | -27,026 | -281,647 | 1,206,068 | 709,875 |
8 | Debt securities | 225,478 | 2,052 | 2,052 | - | -2 | -2,052 | - | - |
9 | Loan commitments given | 52,188 | 61,940 | 61,940 | 61,940 | - | - | 36,139 | 14,877 |
10 | Total | 2,095,663 | 4,254,313 | 4,254,313 | 4,016,378 | -139,507 | -1,727,244 | 3,296,304 | 2,027,164 |
The figures shown in the table do not include the amounts relating to assets held for sale. Forborne exposures were not significantly affected by contract amendments granted by the Group to performing debtors as of 31 December 2019, in difficulty following the outbreak of the COVID-19 pandemic, as laid down by the specific indications published by the EBA.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Credit Risk | 59 | |
Credit Quality of performing and non performing exposures by past due days (Template | ||
3 - EBA GL 2018/10) |
a | b | c | d | e | f | g | h | i | j | k | l | |||
Gross carrying amount/nominal amount | ||||||||||||||
Performing exposures | Non-performing exposures | |||||||||||||
Not past due | Past due | Unlikely to pay | Past due | Past due | Past due | Past due | Past due | |||||||
Total | Total | that are not past | Past due | Of which | ||||||||||
or past due | > 30 days | > 90 days | > 180 days | > 1 year | > 2 years | > 5 years | ||||||||
due or are past | > 7 years | defaulted | ||||||||||||
≤ 30 days | ≤ 90 days | ≤ 180 days | ≤ 1 year | ≤ 2 years | ≤ 5 years | ≤ 7 years | ||||||||
due ≤ 90 days | ||||||||||||||
1 | Loans and advances | 81,748,240 | 81,005,368 | 742,872 | 11,374,150 | 1,979,336 | 346,079 | 805,672 | 1,208,537 | 2,941,318 | 2,187,303 | 1,905,906 | 11,374,150 | |
2 | Central banks | - | - | - | - | - | - | - | - | - | - | |||
255,571 | 255,571 | |||||||||||||
3 | General governments | 2,085,148 | 2,049,597 | 35,551 | 243,793 | 42,888 | 733 | 721 | 574 | 2,735 | 195,645 | 497 | 243,793 | |
4 | Credit institutions | 4,193,829 | 4,175,846 | 17,983 | 4,666 | - | - | 1,494 | - | 3,172 | - | - | 4,666 | |
5 | Other financial corporations | 8,540,646 | 8,540,348 | 298 | 172,996 | 50,271 | 3,184 | 14,479 | 45,925 | 33,690 | 8,004 | 17,443 | 172,996 | |
6 | Non-financial corporations | 32,812,927 | 32,390,087 | 422,840 | 7,926,184 | 1,526,935 | 212,871 | 537,461 | 878,478 | 1,825,495 | 1,464,369 | 1,480,575 | 7,926,184 | |
7 | Of which SMEs | 21,245,081 | 20,965,658 | 279,423 | 6,477,373 | 1,085,941 | 160,455 | 421,794 | 671,139 | 1,538,301 | 1,302,237 | 1,297,505 | 6,477,373 | |
8 | Households | 33,860,119 | 33,593,919 | 266,200 | 3,026,512 | 359,242 | 129,291 | 251,518 | 283,560 | 1,076,226 | 519,285 | 407,391 | 3,026,512 | |
9 | Debt securities | 16,618,175 | 16,535,766 | 82,410 | 33,284 | 14,584 | - | - | - | 18,700 | - | - | 33,284 | |
10 | Central banks | - | - | - | - | - | - | - | - | - | - | - | - | |
11 | General governments | 12,385,949 | 12,334,866 | 51,084 | - | - | - | - | - | - | - | - | - | |
12 | Credit institutions | 1,302,868 | 1,276,777 | 26,091 | - | - | - | - | - | - | - | - | - | |
13 | Other financial corporations | 2,500,701 | 2,500,701 | - | 18,700 | - | - | - | - | 18,700 | - | - | 18,700 | |
14 | Non-financial corporations | 428,657 | 423,422 | 5,235 | 14,584 | 14,584 | - | - | - | - | - | - | 14,584 | |
15 | Off-balance-sheet exposures | 46,367,756 | 1,224,853 | 1,224,853 | ||||||||||
16 | Central banks | 70 | - | - | ||||||||||
17 | General governments | 1,680,201 | 120,135 | 120,135 | ||||||||||
18 | Credit institutions | 2,094,329 | 9,815 | 9,815 | ||||||||||
19 | Other financial corporations | 15,183,189 | 5,741 | 5,741 | ||||||||||
20 | Non-financial corporations | 24,705,835 | 1,051,309 | 1,051,309 | ||||||||||
21 | Households | 2,704,132 | 37,854 | 37,854 | ||||||||||
22 | Total | 144,734,171 | 97,541,134 | 825,281 | 12,632,288 | 1,993,920 | 346,079 | 805,672 | 1,208,537 | 2,960,018 | 2,187,303 | 1,905,906 | 12,632,288 | |
Exposures relating to Loans and Advances and to Debt Securities are represented by assets valued at amortised cost and by assets that must necessarily be valued at fair value. The figures shown in the table do not include the amounts relating to assets held for sale and debt securities and derivatives included in the item Financial assets held for trading. The gross NPL ratio, which is calculated as column (d) row (1) divided by the sum of column (d) row (1) plus column (a) row (1), is equal to 12.21%.
As of 30 June 2020, figures still include insolvency flows which do not fall within the initiatives implemented by the banking system to support business and households particularly affected by the economic crisis.
G R U P P O M O N T E P A S C H I
Credit Risk | 60 | |
Performing and non-performing exposures and related provisions (Template 4 - EBA | ||
GL 2018/10) |
a | b | c | d | e | f | g | h | i | j | h | l | m | n | o | |||||
Gross carrying amount/nominal amount | Accumulated impairment, accumulated negative changes | Collateral and financial | |||||||||||||||||
in fair value due to credit risk and provisions | guarantees received | ||||||||||||||||||
Non-performing exposures | Accumulated | ||||||||||||||||||
partial | On | On non- | |||||||||||||||||
Performing exposures - accumulated | - accumulated impairment, | ||||||||||||||||||
Performing exposures | Non-performing exposures | write-off | performing | performing | |||||||||||||||
impairment and provisions | accumulated negative changes in fair | ||||||||||||||||||
exposures | exposures | ||||||||||||||||||
value due to credit risk and provisions | |||||||||||||||||||
Total | of which | of which | Total | of which | of which | Total | of which | of which | Total | of which | of which | ||||||||
STAGE 1 | STAGE 2 | STAGE 2 | STAGE 3 | STAGE 1 | STAGE 2 | STAGE 2 | STAGE 3 | ||||||||||||
1 | Loans and advances | 81,748,240 | 66,050,262 | 15,328,837 | 11,374,150 | - | 11,133,038 | -635,224 | -77,481 | -557,710 | -5,577,246 | - | -5,411,877 | -244,000 | 58,767,885 | 4,674,960 | |||
2 | Central banks | 255,571 | 20,001 | - | - | - | - | - | - | - | - | - | - | - | - | - | |||
3 | General governments | 2,085,148 | 2,013,797 | 71,351 | 243,793 | - | 243,793 | -5,843 | -3,708 | -2,135 | -118,467 | - | -118,467 | -4 | 154,972 | 68 | |||
4 | Credit institutions | 4,193,829 | 4,158,609 | 36,546 | 4,666 | - | 4,666 | -2,047 | -2,214 | -186 | -3,093 | - | -3,093 | - | 1,021,465 | - | |||
5 | Other financial corporations | 8,540,646 | 8,430,317 | 127,781 | 172,996 | - | 117,310 | -5,714 | -2,536 | -3,177 | -113,124 | - | -72,553 | -202 | 7,054,524 | 47,629 | |||
6 | Non-financial corporations | 32,812,927 | 20,818,187 | 11,876,978 | 7,926,184 | - | 7,742,787 | -497,713 | -48,033 | -449,680 | -4,285,162 | - | -4,160,857 | -217,751 | 18,719,030 | 2,877,946 | |||
7 | Of which SMEs | 21,245,081 | 12,325,590 | 8,587,678 | 6,477,373 | - | 6,395,258 | -410,916 | -30,565 | -379,622 | -3,435,709 | - | -3,349,229 | -62,294 | 14,993,382 | 2,631,221 | |||
8 | Households | 33,860,119 | 30,609,350 | 3,216,181 | 3,026,512 | - | 3,024,483 | -123,907 | -20,990 | -102,532 | -1,057,401 | - | -1,056,907 | -26,043 | 31,817,893 | 1,749,317 | |||
9 | Debt securities | 16,618,175 | 16,164,011 | 20,045 | 33,284 | - | 12,532 | -16,874 | -16,116 | -758 | -31,891 | - | -11,139 | - | - | - | |||
10 | Central banks | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||
11 | General governments | 12,385,949 | 12,334,861 | - | - | - | - | -11,650 | -11,650 | - | - | - | - | - | - | - | |||
12 | Credit institutions | 1,302,868 | 1,269,283 | 14,010 | - | - | - | -3,241 | -2,773 | -469 | - | - | - | - | - | - | |||
13 | Other financial corporations | 2,500,701 | 2,290,879 | - | 18,700 | - | - | -1,319 | -1,319 | - | -18,700 | - | - | - | - | - | |||
14 | Non-financial corporations | 428,657 | 268,988 | 6,035 | 14,584 | - | 12,532 | -664 | -374 | -290 | -13,191 | - | -11,139 | - | - | - | |||
15 | Off-balance-sheet exposures | 46,367,756 | 41,762,801 | 2,628,960 | 1,224,853 | - | 1,221,992 | 28,065 | 11,608 | 16,457 | 124,553 | - | 124,553 | 21,983,319 | 252,640 | ||||
16 | Central banks | 70 | 70 | - | - | - | - | - | - | - | - | - | - | - | - | ||||
17 | General governments | 1,680,201 | 1,633,791 | 46,410 | 120,135 | - | 120,135 | 53 | 37 | 16 | - | - | - | 21,831 | - | ||||
18 | Credit institutions | 2,094,329 | 2,043,117 | 23,876 | 9,815 | - | 9,815 | 1,410 | 1,219 | 191 | - | - | - | 3,784,162 | - | ||||
19 | Other financial corporations | 15,183,189 | 13,345,687 | 25,585 | 5,741 | - | 5,741 | 534 | 438 | 96 | 239 | - | 239 | 12,256,769 | 1,348 | ||||
20 | Non-financial corporations | 24,705,835 | 22,222,261 | 2,350,346 | 1,051,309 | - | 1,049,148 | 22,485 | 8,404 | 14,081 | 119,232 | - | 119,232 | 5,431,474 | 242,710 | ||||
21 | Households | 2,704,132 | 2,517,875 | 182,743 | 37,854 | - | 37,153 | 3,582 | 1,509 | 2,073 | 5,083 | - | 5,083 | 489,083 | 8,583 | ||||
22 | Total | 144,734,171 | 123,977,074 | 17,977,841 | 12,632,288 | - | 12,367,562 | -624,034 | -81,989 | -542,011 | -5,484,584 | - | -5,298,463 | -244,000 | 80,751,204 | 4,927,601 | |||
Exposures relating to Loans and Advances and Debt Securities are represented exclusively by assets valued at amortised cost. The total does not include off-balance sheet exposures. The figures shown in the table do not include amounts relating to assets held for sale and debt securities and derivatives included in the item Financial assets held for trading.
Following the outbreak of the COVID-19 pandemic, which has triggered an ongoing economic crisis and caused global and national economic forecasts to undergo important changes, the Group has updated its risk assessment tools and related losses. The forecast macroeconomic scenarios relating to the 2020-2022 period led to a significant change in exposures classified as "significant risk" (stage 2 - IFRS9) as well as an increase in adjustments on the entire portfolio and, in particolar, on non-performing loans deriving from the changed macroeconomic scenario due to the spread of the COVID-19 pandemic.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Credit Risk | 61 |
Quality of non-performing exposures by geography (Template 5 - EBA GL 2018/10)
a | b | c | d | e |
Gross carrying/nominal amount | ||||
Of which: non-performing | Of which: subject | Accumulated | ||
to impairment | impairment | |||
Of which: defaulted
f | g |
Provisions on | Accumulated negative |
off-balancesheet | changes in fair value due |
to credit risk on | |
commitments and | |
nonperforming | |
financial guarantees given | |
exposures |
1 | On-balance-sheet exposures | 126,141,216 | 11,416,443 | 11,416,443 | 125,367,290 | -6,084,733 | -186,121 | |
2 | Abu dhabi | 49,504 | 4 | 4 | 49,504 | -141 | 0 | |
3 | Antigua and barbuda | 321 | 0 | 0 | 321 | -0 | 0 | |
4 | Albania | 78 | 13 | 13 | 78 | -9 | 0 | |
5 | Armenia | 7,725 | 0 | 0 | 7,725 | -0 | 0 | |
6 | Angola | 0 | 0 | 0 | 0 | -0 | 0 | |
7 | Argentina | 4,882 | 132 | 132 | 4,882 | -45 | 0 | |
8 | Austria | 10,747 | 7 | 7 | 10,747 | -13 | 0 | |
9 | Australia | 6,412 | 8 | 8 | 6,412 | -15 | 0 | |
10 | Azerbaijan | 570 | 2 | 2 | 570 | -2 | 0 | |
11 | Bosnia and herzegovina | 389 | 0 | 0 | 389 | -1 | 0 | |
12 | Barbados | 0 | 0 | 0 | 0 | 0 | 0 | |
13 | Bangladesh | 1,239 | 3 | 3 | 1,239 | -4 | 0 | |
14 | Belgium | 49,946 | 9,666 | 9,666 | 49,946 | -1,994 | 0 | |
15 | Burkina faso | 0 | 0 | 0 | 0 | 0 | 0 | |
16 | Bulgaria | 656 | 5 | 5 | 656 | -4 | 0 | |
17 | Bahrain | 14 | 0 | 0 | 14 | -0 | 0 | |
18 | Burundi | 1 | 1 | 1 | 1 | -0 | 0 | |
19 | Benin | 557 | 0 | 0 | 557 | -2 | 0 | |
20 | Bermuda | 1,254 | 0 | 0 | 1,254 | -3 | 0 | |
21 | Brunei darussalam | 109 | 0 | 0 | 109 | -0 | 0 | |
22 | Belize | 0 | 0 | 0 | 0 | 0 | 0 | |
23 | Brazil | 13,897 | 4 | 4 | 13,897 | -57 | 0 | |
24 | Bahamas | 0 | 0 | 0 | 0 | -0 | 0 | |
25 | Botswana | 0 | 0 | 0 | 0 | -0 | 0 | |
26 | Belarus | 17,486 | 0 | 0 | 17,486 | -123 | 0 | |
27 | Canada | 6,027 | 10 | 10 | 6,027 | -19 | 0 | |
28 | Congo, democratic republic of | 570 | 273 | 273 | 570 | -82 | 0 | |
29 | Congo | 1 | 0 | 0 | 1 | -0 | 0 | |
30 | Switzerland | 27,473 | 2,226 | 2,226 | 27,407 | -688 | 0 | |
31 | Cote d'ivoire | 1 | 1 | 1 | 1 | -0 | 0 | |
32 | Chile | 7,345 | 0 | 0 | 7,345 | -59 | 0 | |
33 | Cameroon | 36 | 36 | 36 | 36 | -14 | 0 | |
34 | China | 151,189 | 48 | 48 | 151,189 | -917 | 0 | |
35 | Colombia | 326 | 1 | 1 | 326 | -2 | 0 | |
36 | Costa rica | 685 | 0 | 0 | 685 | -2 | 0 | |
37 | Cuba | 25,790 | 12,181 | 12,181 | 25,790 | -12,375 | 0 | |
38 | Cape verde | 0 | 0 | 0 | 0 | 0 | 0 | |
39 | Curacao | 0 | 0 | 0 | 0 | 0 | 0 | |
40 | Cyprus | 289 | 30 | 30 | 289 | -4 | 0 | |
41 | Czech republic | 812 | 1 | 1 | 812 | -2 | 0 | |
42 | Germany | 416,100 | 1,690 | 1,690 | 416,100 | -955 | 0 | |
43 | Djibouti | 0 | 0 | 0 | 0 | 0 | 0 | |
44 | Denmark | 1,318 | 5 | 5 | 1,318 | -9 | 0 | |
45 | Dominican republic | 4 | 0 | 0 | 4 | -0 | 0 | |
46 | Algeria | 12,963 | 2 | 2 | 12,963 | -104 | 0 | |
47 | Ecuador | 103 | 0 | 0 | 103 | -0 | 0 | |
48 | Estonia | 3 | 1 | 1 | 3 | -1 | 0 | |
49 | Egypt | 1,405 | 512 | 512 | 1,405 | -326 | 0 | |
50 | Eritrea | 1 | 1 | 1 | 1 | -0 | 0 | |
51 | Spain | 2,063,189 | 1,340 | 1,340 | 2,063,189 | -1,317 | 0 | |
52 | Ethiopia | 2 | 0 | 0 | 2 | -0 | 0 | |
53 | Finland | 193 | 0 | 0 | 193 | -0 | 0 | |
54 | France | 1,352,725 | 110,340 | 110,340 | 1,352,725 | -56,628 | 0 | |
55 | Gabon | 5 | 5 | 5 | 5 | -4 | 0 | |
56 | United kingdom | 3,205,322 | 11,306 | 11,306 | 3,205,322 | -6,324 | 0 | |
57 | Georgia | 1 | 0 | 0 | 1 | -0 | 0 | |
58 | Guernsey, c.i. | 0 | 0 | 0 | 0 | 0 | 0 | |
59 | Ghana | 265 | 31 | 31 | 265 | -21 | 0 |
G R U P P O M O N T E P A S C H I
Credit Risk | 62 |
Quality of non-performing exposures by geography (Template 5 - EBA GL 2018/10)
a | b | c | d | e |
Gross carrying/nominal amount | ||||
Of which: non-performing | Of which: subject | Accumulated | ||
to impairment | impairment | |||
Of which: defaulted
f | g |
Provisions on | Accumulated negative |
off-balancesheet | changes in fair value due |
to credit risk on | |
commitments and | |
nonperforming | |
financial guarantees given | |
exposures |
60 | Gibraltar | 0 | 0 | 0 | 0 | -0 | 0 | |
61 | Gambia | 0 | 0 | 0 | 0 | -0 | 0 | |
62 | Guatemala | 0 | 0 | 0 | 0 | 0 | 0 | |
63 | Greece | 56 | 4 | 4 | 56 | -3 | 0 | |
64 | Hong kong | 13,745 | 1 | 1 | 13,745 | -39 | 0 | |
65 | Kyrgyzstan | 0 | 0 | 0 | 0 | -0 | 0 | |
66 | Croatia | 2,151 | 6 | 6 | 2,151 | -19 | 0 | |
67 | Hungary | 1,523 | 1 | 1 | 1,523 | -8 | 0 | |
68 | Indonesia | 3,450 | 520 | 520 | 3,450 | -337 | 0 | |
69 | Ireland | 29,223 | 126 | 126 | 29,223 | -155 | 0 | |
70 | Israel | 1,772 | 1 | 1 | 1,772 | -1 | 0 | |
71 | Isle of man | 0 | 0 | 0 | 0 | -0 | 0 | |
72 | India | 27,855 | 8 | 8 | 27,855 | -88 | 0 | |
73 | Iraq | 18,909 | 0 | 0 | 18,909 | -0 | 0 | |
74 | Iran (islamic republic of) | 41 | 4 | 4 | 41 | -3 | 0 | |
75 | Iceland | 567 | 0 | 0 | 567 | -1 | 0 | |
76 | Italy | 117,644,486 | 11,224,254 | 11,224,254 | 116,870,627 | -5,971,122 | -186,121 | |
77 | Jersey, c.i. | 0 | 0 | 0 | 0 | 0 | 0 | |
78 | Jordan | 37 | 4 | 4 | 37 | -3 | 0 | |
79 | Japan | 5,972 | 1 | 1 | 5,972 | -7 | 0 | |
80 | Kenya | 3,193 | 1 | 1 | 3,193 | -8 | 0 | |
81 | Korea, republic of | 1,982 | 3 | 3 | 1,982 | -8 | 0 | |
82 | Kuwait | 861 | 0 | 0 | 861 | -6 | 0 | |
83 | Cayman islands | 21,157 | 10,152 | 10,152 | 21,157 | -9,242 | 0 | |
84 | Kazakhstan | 7,642 | 1 | 1 | 7,642 | -4 | 0 | |
85 | Lebanon | 300 | 1 | 1 | 300 | -0 | 0 | |
86 | Saint lucia | 0 | 0 | 0 | 0 | 0 | 0 | |
87 | Liechtenstein | 0 | 0 | 0 | 0 | -0 | 0 | |
88 | Sri lanka | 173 | 0 | 0 | 173 | -0 | 0 | |
89 | Lithuania | 413 | 1 | 1 | 413 | -1 | 0 | |
90 | Luxembourg | 186,650 | 5,819 | 5,819 | 186,650 | -927 | 0 | |
91 | Latvia | 296 | 0 | 0 | 296 | -0 | 0 | |
92 | Libya | 3 | 1 | 1 | 3 | -1 | 0 | |
93 | Morocco | 1,421 | 4 | 4 | 1,421 | -7 | 0 | |
94 | Monaco | 6,129 | 734 | 734 | 6,129 | -131 | 0 | |
95 | Moldova, republic of | 18 | 2 | 2 | 18 | -1 | 0 | |
96 | Montenegro | 95 | 0 | 0 | 95 | -0 | 0 | |
97 | Madagascar | 0 | 0 | 0 | 0 | 0 | 0 | |
98 | Marshall islands | 0 | 0 | 0 | 0 | 0 | 0 | |
99 | Macedonia,the former yugoslav republ. of | 1 | 1 | 1 | 1 | -1 | 0 | |
100 | Myanmar | 81 | 2 | 2 | 81 | -2 | 0 | |
101 | Macao | 125 | 0 | 0 | 125 | -0 | 0 | |
102 | Mauritania | 0 | 0 | 0 | 0 | -0 | 0 | |
103 | Malta | 755 | 1 | 1 | 755 | -4 | 0 | |
104 | Mauritius | 482 | 0 | 0 | 482 | -21 | 0 | |
105 | Maldives | 3,409 | 0 | 0 | 3,409 | -9 | 0 | |
106 | Mexico | 29,191 | 94 | 94 | 29,191 | -107 | 0 | |
107 | Malaysia | 1,981 | 3 | 3 | 1,981 | -16 | 0 | |
108 | Mozambique | 0 | 0 | 0 | 0 | 0 | 0 | |
109 | Nigeria | 97 | 1 | 1 | 97 | -1 | 0 | |
110 | Netherlands | 102,486 | 580 | 580 | 102,486 | -141 | 0 | |
111 | Norway | 8,107 | 1 | 1 | 8,107 | -7 | 0 |
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Credit Risk | 63 |
Quality of non-performing exposures by geography (Template 5 - EBA GL 2018/10)
a | b | c | d | e |
Gross carrying/nominal amount | ||||
Of which: non-performing | Of which: subject | Accumulated | ||
to impairment | impairment | |||
Of which: defaulted
f | g |
Provisions on | Accumulated negative |
off-balancesheet | changes in fair value due |
to credit risk on | |
commitments and | |
nonperforming | |
financial guarantees given | |
exposures |
112 | Nepal | 0 | 0 | 0 | 0 | -0 | 0 | |
113 | New zealand | 701 | 0 | 0 | 701 | -1 | 0 | |
114 | Oman | 329 | 0 | 0 | 329 | -0 | 0 | |
115 | Panama | 58 | 0 | 0 | 58 | -0 | 0 | |
116 | Peru | 795 | 1 | 1 | 795 | -4 | 0 | |
117 | Philippines | 7,395 | 1 | 1 | 7,395 | -49 | 0 | |
118 | Pakistan | 1,244 | 1 | 1 | 1,244 | -1 | 0 | |
119 | Poland | 1,787 | 3 | 3 | 1,787 | -16 | 0 | |
120 | Puerto rico | 0 | 0 | 0 | 0 | -0 | 0 | |
121 | Palestinian territory, occupied | 0 | 0 | 0 | 0 | -0 | 0 | |
122 | Portugal | 20,027 | 5 | 5 | 20,027 | -8 | 0 | |
123 | Paraguay | 537 | 0 | 0 | 537 | -1 | 0 | |
124 | Qatar | 15,351 | 1 | 1 | 15,351 | -21 | 0 | |
125 | Reunion | 329 | 0 | 0 | 329 | -5 | 0 | |
126 | Romania | 9,117 | 73 | 73 | 9,117 | -51 | 0 | |
127 | Serbia | 1,375 | 253 | 253 | 1,375 | -34 | 0 | |
128 | Russian federation | 35,088 | 142 | 142 | 35,088 | -87 | 0 | |
129 | Rwanda | 255 | 0 | 0 | 255 | -0 | 0 | |
130 | Saudi Arabia | 25,976 | 153 | 153 | 25,976 | -238 | 0 | |
131 | Sudan | 1 | 0 | 0 | 1 | -0 | 0 | |
132 | Sweden | 1,138 | 581 | 581 | 1,138 | -110 | 0 | |
133 | Singapore | 1,055 | 0 | 0 | 1,055 | -5 | 0 | |
134 Slovenia | 3,711 | 29 | 29 | 3,711 | -23 | 0 | ||
135 | Slovakia | 1,843 | 151 | 151 | 1,843 | -42 | 0 | |
136 | San marino | 2,180 | 152 | 152 | 2,180 | -132 | 0 | |
137 | Yemen | 2 | 2 | 2 | 2 | -2 | 0 | |
138 | Suriname | 31,485 | 0 | 0 | 31,485 | -0 | 0 | |
139 | El salvador | 0 | 0 | 0 | 0 | -0 | 0 | |
140 | Syrian arab republic | 0 | 0 | 0 | 0 | -0 | 0 | |
141 | Chad | 15 | 15 | 15 | 15 | -1 | 0 | |
142 | Togo | 1 | 1 | 1 | 1 | -0 | 0 | |
143 | Thailand | 1,174 | 0 | 0 | 1,174 | -7 | 0 | |
144 | Turkmenistan | 0 | 0 | 0 | 0 | -0 | 0 | |
145 | Tunisia | 1,861 | 13 | 13 | 1,861 | -10 | 0 | |
146 | Turkey | 35,414 | 1 | 1 | 35,414 | -311 | 0 | |
147 | Taiwan | 266 | 0 | 0 | 266 | -1 | 0 | |
148 | Tanzania, united republic of | 5,408 | 1 | 1 | 5,408 | -16 | 0 | |
149 | Ukraine | 17 | 12 | 12 | 17 | -7 | 0 | |
150 | Uganda | 95 | 0 | 0 | 95 | -0 | 0 | |
151 | United states | 255,433 | 10,526 | 10,526 | 255,433 | -8,882 | 0 | |
152 | Uruguay | 26 | 0 | 0 | 26 | -0 | 0 | |
153 | Holy see (vatican city state) | 3 | 0 | 0 | 3 | -0 | 0 | |
154 | Venezuela | 437 | 14 | 14 | 437 | -8 | 0 | |
155 | Virgin islands, british | 12,087 | 12,087 | 12,087 | 12,087 | -9,914 | 0 | |
156 | Viet nam | 1,829 | 0 | 0 | 1,829 | -19 | 0 | |
157 | South africa | 4,698 | 2 | 2 | 4,698 | -27 | 0 | |
158 | Zambia | 0 | 0 | 0 | 0 | -0 | 0 | |
159 | Zimbabwe | 0 | 0 | 0 | 0 | -0 | 0 | |
160 | Other Countries | 93,907 | 1 | 1 | 93,907 | -5 | 0 |
G R U P P O M O N T E P A S C H I
Credit Risk | 64 | |||||||||
Quality of non-performing exposures by geography (Template 5 - EBA GL 2018/10) | ||||||||||
a | b | c | d | e | f | g | ||||
Gross carrying/nominal amount | Provisions on | Accumulated negative | ||||||||
Of which: subject | Accumulated | off-balancesheet | changes in fair value due | |||||||
Of which: non-performing | to credit risk on | |||||||||
to impairment | impairment | commitments and | ||||||||
nonperforming | ||||||||||
Of which: defaulted | financial guarantees given | |||||||||
exposures | ||||||||||
161 | Off-balance-sheet exposures | 45,758,769 | 1,224,853 | 1,224,853 | 152,618 | |||||
162 | Abu dhabi | 72,340 | - | - | 15 | |||||
163 | Albania | 1 | 0 | 0 | 0 | |||||
164 | Armenia | 2,635 | - | - | - | |||||
165 | Argentina | 2,127 | 0 | 0 | 0 | |||||
166 | Austria | 6,303 | - | - | 1 | |||||
167 | Australia | 18,214 | 0 | 0 | 0 | |||||
168 | Bosnia and herzegovina | 227 | - | - | 0 | |||||
169 | Bangladesh | 11,954 | 0 | 0 | 25 | |||||
170 | Belgium | 134,586 | - | - | 6 | |||||
171 | Bulgaria | 4,032 | 0 | 0 | 0 | |||||
172 | Bahrain | 5,273 | - | - | 3 | |||||
173 | Benin | 351 | 0 | 0 | 0 | |||||
174 | Brazil | 30,987 | - | - | 5 | |||||
175 | Belarus | 11,390 | 0 | 0 | 4 | |||||
176 | Canada | 31,025 | - | - | 1 | |||||
177 | Switzerland | 47,785 | 6 | 6 | 33 | |||||
178 | Cote d'ivoire | 101 | - | - | 0 | |||||
179 | Chile | 11,494 | 0 | 0 | 4 | |||||
180 | Cameroon | 1 | - | - | - | |||||
181 | China | 201,859 | 0 | 0 | 76 | |||||
182 | Colombia | 7,109 | - | - | 1 | |||||
183 | Costa rica | 9,000 | 0 | 0 | 3 | |||||
184 | Cuba | 16,829 | 3,172 | 3,172 | 235 | |||||
185 | Cyprus | 256 | 0 | 0 | 2 | |||||
186 | Czech republic | 4,022 | - | - | 0 | |||||
187 | Germany | 22,725 | 0 | 0 | 34 | |||||
188 | Denmark | 11,309 | - | - | 0 | |||||
189 | Dominican republic | 5 | 0 | 0 | 0 | |||||
190 | Algeria | 28,633 | 18 | 18 | 227 | |||||
191 | Estonia | 8,500 | 0 | 0 | 1 | |||||
192 | Egypt | 12,481 | - | - | 21 | |||||
193 | Spain | 22,491 | 0 | 0 | 5 | |||||
194 | Ethiopia | 500 | - | - | 0 | |||||
195 | Finland | 1 | 0 | 0 | 0 | |||||
196 | France | 173,166 | 6,270 | 6,270 | 4 | |||||
197 | United kingdom | 64,319 | 782 | 782 | 11 | |||||
198 | Ghana | 178 | - | - | 0 | |||||
199 | Eritrea | 17 | 0 | 0 | 0 | |||||
200 | Greece | 331 | - | - | 0 | |||||
201 | Hong kong | 26,285 | 0 | 0 | 1 | |||||
202 | Croatia | 7,615 | - | - | 2 | |||||
203 | Hungary | 4,046 | 0 | 0 | 0 | |||||
204 | Indonesia | 30,035 | - | - | 2 | |||||
205 | Ireland | 3,932 | 0 | 0 | 0 | |||||
206 | Israel | 18,926 | - | - | 1 | |||||
207 | India | 80,589 | 0 | 0 | 39 | |||||
208 | Iraq | 3,057 | - | - | - | |||||
209 Iran (islamic republic of) | 10 | 0 | 0 | 0 | ||||||
210 | Iceland | 102 | - | - | 0 | |||||
211 | Italy | 43,898,205 | 1,211,122 | 1,211,122 | 150,957 | |||||
212 | Jordan | 1,285 | - | - | 1 |
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Credit Risk | 65 |
Quality of non-performing exposures by geography (Template 5 - EBA GL 2018/10)
a | b | c | d | e |
Gross carrying/nominal amount | ||||
Of which: non-performing | Of which: subject | Accumulated | ||
to impairment | impairment | |||
Of which: defaulted
f | g |
Provisions on | Accumulated negative |
off-balancesheet | changes in fair value due |
to credit risk on | |
commitments and | |
nonperforming | |
financial guarantees given | |
exposures |
213 | Japan | 16,902 | 0 | 0 | 1 |
214 | Kenya | 2,069 | - | - | 2 |
215 | Korea, republic of | 24,560 | 0 | 0 | 6 |
216 | Kuwait | 19,333 | - | - | 1 |
217 | Kazakhstan | 2,807 | 0 | 0 | 0 |
218 | Lebanon | 92 | - | - | 0 |
219 | Liechtenstein | 21 | 0 | 0 | 0 |
220 | Sri lanka | 1,846 | - | - | 0 |
221 | Lithuania | 1,723 | 0 | 0 | 0 |
222 | Luxembourg | 4,316 | 71 | 71 | 1 |
223 | Latvia | 1,024 | 0 | 0 | 0 |
224 | Morocco | 2,786 | - | - | 1 |
225 | Monaco | 3,052 | 0 | 0 | 0 |
226 | Moldova, republic of | 4 | - | - | 0 |
227 | Montenegro | 588 | 0 | 0 | 1 |
228 | Macedonia,the former yugoslav republ. of | - | - | - | - |
229 | Mongolia | 66 | 0 | 0 | 0 |
230 | Macao | - | - | - | - |
231 | Malta | 1,529 | 292 | 292 | 179 |
232 | Mauritius | 95 | - | - | 0 |
233 | Maldives | 2,531 | 0 | 0 | 0 |
234 | Mexico | 27,962 | - | - | 5 |
235 | Malaysia | 16,509 | 0 | 0 | 1 |
236 | Nigeria | 4,187 | - | - | 7 |
237 | Netherlands | 114,283 | 0 | 0 | 4 |
238 | Norway | 514 | - | - | 0 |
239 | New zealand | 2,784 | 0 | 0 | 0 |
240 | Oman | 11,235 | - | - | 3 |
241 | Panama | 1,048 | 0 | 0 | 2 |
242 | Peru | 11,090 | - | - | 1 |
243 | Philippines | 6,857 | 0 | 0 | 0 |
244 | Pakistan | 5,973 | - | - | 10 |
245 | Poland | 10,183 | 0 | 0 | 0 |
246 | Palestinian territory, occupied | 26 | - | - | 0 |
247 | Portugal | 12,227 | 0 | 0 | 1 |
248 | Paraguay | 2,828 | - | - | 0 |
249 | Qatar | 24,626 | 0 | 0 | 22 |
250 | Romania | 4,112 | - | - | 1 |
251 | Serbia | 167 | 0 | 0 | 0 |
252 | Russian federation | 37,752 | 3,120 | 3,120 | 10 |
253 | Saudi Arabia | 43,990 | 0 | 0 | 15 |
254 | Sweden | 9,029 | 1 | 1 | 1 |
255 | Singapore | 6,920 | 0 | 0 | 0 |
256 | Slovenia | 3,843 | - | - | 1 |
257 | Slovakia | 50 | 0 | 0 | 0 |
258 | San marino | 1,917 | 1 | 1 | 0 |
259 | Senegal | 3 | 0 | 0 | 0 |
260 | Suriname | 5,648 | - | - | - |
261 | Syrian arab republic | 300 | 0 | 0 | 0 |
262 | Thailand | 21,209 | - | - | 2 |
263 | Tunisia | 10,049 | 0 | 0 | 26 |
264 | Turkey | 89,508 | - | - | 564 |
G R U P P O M O N T E P A S C H I
Credit Risk | 66 |
Quality of non-performing exposures by geography (Template 5 - EBA GL 2018/10)
a | b | c | d | e |
Gross carrying/nominal amount | ||||
Of which: non-performing | Of which: subject | Accumulated | ||
to impairment | impairment | |||
Of which: defaulted
f | g |
Provisions on | Accumulated negative |
off-balancesheet | changes in fair value due |
to credit risk on | |
commitments and | |
nonperforming | |
financial guarantees given | |
exposures |
265 | Taiwan | 16,405 | 0 | 0 | 0 | |||
266 | Tanzania, united republic of | 1,471 | - | - | 11 | |||
267 | Ukraine | 200 | 0 | 0 | 0 | |||
268 | United states | 86,856 | - | - | 13 | |||
269 | Uruguay | 1,098 | 0 | 0 | 1 | |||
270 | Venezuela | 5 | - | - | 0 | |||
271 | Viet nam | 9,657 | 0 | 0 | 2 | |||
272 | South africa | 7,257 | - | - | 1 | |||
273 | Other Countries | 15,000 | 0 | 0 | 0 | |||
Total | 171,899,984 | 12,641,296 | 12,641,296 | 125,367,290 | -6,084,733 | 152,618 | -186,121 | |
Credit quality of loans and advances by industry (Template 6 - EBA GL 2018/10)
abc Gross carrying amount
Of which: non-performing
Of which: defaulted
d | e | f |
Accumulated negative | ||
Of which: loans and | Accumulated | changes in fair value due to |
advances subject to | impairment | credit risk on |
impairment | non-performing exposures |
1 | Agriculture, forestry and fishing | 1,478,735 | 306,934 | 306,934 | 1,475,174 | -149,291 | - |
2 | Mining and quarrying | 100,281 | 34,405 | 34,405 | 100,115 | -14,439 | -32 |
3 | Manufacturing | 11,371,425 | 1,608,655 | 1,608,655 | 11,202,462 | -932,398 | -42,824 |
4 | Electricity, gas, steam and air conditioning supply | 1,371,317 | 156,158 | 156,158 | 1,356,489 | -135,910 | - |
5 | Water supply | 772,798 | 90,780 | 90,780 | 772,798 | -72,824 | - |
6 | Construction | 4,725,307 | 1,823,639 | 1,823,639 | 4,692,624 | -1,106,702 | -24,893 |
7 | Wholesale and retail trade | 6,953,146 | 919,612 | 919,612 | 6,939,043 | -587,149 | -3,359 |
8 | Transport and storage | 1,552,868 | 366,211 | 366,211 | 1,552,868 | -176,876 | - |
9 | Accommodation and food service activities | 2,045,218 | 423,254 | 423,254 | 2,034,073 | -218,963 | -9,876 |
10 | Information and communication | 812,126 | 81,472 | 81,472 | 812,126 | -55,709 | - |
11 | Financial and insurance activities | 295,879 | 60,074 | 60,074 | 295,879 | -55,323 | - |
12 | Real estate activities | 5,238,320 | 1,371,685 | 1,371,685 | 5,189,721 | -730,422 | -36,685 |
13 | Professional, scientific and technical activities | 1,312,790 | 235,269 | 235,269 | 1,304,212 | -138,557 | -6,635 |
14 | Administrative and support service activities | 1,098,019 | 226,786 | 226,786 | 1,098,019 | -152,651 | - |
15 | Public administration and defence, compulsory social security | 10,009 | 2,269 | 2,269 | 10,009 | -992 | - |
16 | Education | 35,266 | 3,482 | 3,482 | 35,266 | -2,146 | - |
17 | Human health services and social work activities | 483,588 | 39,719 | 39,719 | 483,588 | -26,536 | - |
18 | Arts, entertainment and recreation | 286,162 | 75,453 | 75,453 | 283,918 | -46,257 | - |
19 | Other services | 795,857 | 100,325 | 100,325 | 795,857 | -55,426 | - |
20 | Total | 40,739,110 | 7,926,184 | 7,926,184 | 40,434,239 | -4,658,570 | -124,304 |
As of 30 June 2020, "Manufacturing activities" posted an increase of €738m on non-performing loans. In the second quarter of 2020, the volumes of growth are mainly linked to the measures implemented by the Italian government to support companies' liquidity.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Credit Risk | 67 |
Changes in the stock of non-performing loans and advances Guidelines NPL (Template 8 - EBA GL 2018/10)
a | b | ||
Gross carrying | Related net | ||
accumulated | |||
amount | |||
recoveries | |||
1 | Initial stock | 11,362,063 | |
2 | Inflows to non-performing portfolios | 1,091,412 | |
3 | Outflows from non-performing portfolios | -1,079,325 | |
4 | Outflow to performing portfolio | -124,385 | |
5 | Outflow due to loan repayment, partial or total | -310,444 | |
6 | Outflow due to collateral liquidation | -71,465 | 56,072 |
7 | Outflow due to taking possession of collateral | - | - |
8 | Outflow due to sale of instruments | -257,343 | 107,412 |
9 | Outflow due to risk transfer | - | - |
10 | Outflow due to write-off | -123,526 | |
11 | Outflow due to other situations | -44,890 | |
12 | Outflow due to reclassification as held for sale | -147,273 | |
13 | Final stock | 11,374,150 |
The figures shown in the table are represented only by assets valued at amortised cost the figures shown in the table do not include amounts relating to assets held for sale and to assets that must necessarily be valued at fair value.
G R U P P O M O N T E P A S C H I
Credit Risk | 68 |
Foreclosed assets (Template 9 - EBA GL 2018/10)
a | b | ||
Collateral obtained | |||
by taking possession | |||
Value at initial | Accumulated | ||
recognition | negative changes | ||
1 | Property, plant and equipment (PP&E) | 750 | - |
2 | Other than PP&E | 702,720 | -447,167 |
3 | Residential immovable property | 62 | -32 |
4 | Commercial Immovable property | 41,858 | -16,976 |
5 | Movable property (auto, shipping, etc.) | - | - |
6 | Equity and debt instruments | 660,799 | -430,159 |
7 | Other | - | - |
8 | Total | 703,470 | -447,167 |
The reason behind the differences relating to foreclosures and repossessions probably lies in the 'operational block' of such activities, due to the longer periods of closure of offices and courts.
On 2 June 2020, the EBA published its Guidelines on reporting and disclosure of exposures subject to measures applied in response to the COVID-19 crisis (EBA/ GL/2020/07). These guidelines require that information be provided on:
- Loans and advances subject to moratoria on loan repayments applied in the light of the COVID-19 crisis, in accordance with EBA/GL/2020/02;
- Loans and advances subject to forbereance measures applied in the light of COVID-19 crisis;
- Newly originated loans and advances
subject to public guarantee schemes introduced in response to COVID-19 crisis.
This document has been taken into account in the preparation of the following tables.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
- Loans and advances subject to moratorium
- of which: Households
- of which: Collateralised by residential immovable property
- of which: Non-financial corporations
- of which: Small and Medium-sized Enterprises
- of which: Collateralised by commercial immo- vable property
Credit Risk | 69 |
Information on loans and advances subject to legislative and non-legislative moratoria (Template 1 - EBA GL 2010/07)
Gross carrying amount | Accumulated impairment, accumulated negative changes in fair value due to credit risk | Gross carrying | |||||||||||
amount | |||||||||||||
Performing | Non performing | In bonis | Deteriorate | ||||||||||
Of which: | Of which: | Of which: | Of which: | Of which: | Of which: | Of which: | Of which: | Inflows to | |||||
exposures with | Instruments | exposures with | Unlikely to | exposures with | Instruments | exposures with | Unlikely to | non- | |||||
forbearance | with significant | forbearance | pay that are | forbearance | with significant | forbearance | pay that are | performing | |||||
measures | increase in credit | measures | not past-due | measures | increase in credit | measures | not past-due or | exposures | |||||
risk since initial | or past-due <= | risk since initial | past-due | ||||||||||
recognition but not | 90 days | recognition but not | <= 90 days | ||||||||||
credit-impaired | credit-impaired | ||||||||||||
(Stage 2) | (Stage 2) | ||||||||||||
12,337,103 | 624,190 | 4,504,861 | 53,980 | 8,320 | 49,100 | -199,418 | -188,695 | -10,722 | - | ||||
5,369,414 | 194,367 | 1,041,711 | 30,870 | 5,225 | 28,027 | -39,945 | -35,738 | -8,957 | -31,199 | -4,208 | -994 | -3,886 | - |
4,844,940 | 148,047 | 869,185 | 26,018 | 4,523 | 23,673 | -30,102 | -27,104 | -5,273 | -23,798 | -2,998 | -658 | -2,732 | - |
6,967,689 | 429,823 | 3,463,150 | 23,109 | 3,095 | 21,073 | -159,472 | -152,958 | -48,076 | -139,351 | -6,514 | -1,033 | -5,738 | - |
5,640,579 | 342,931 | 2,871,498 | 18,894 | 2,486 | 17,171 | -126,769 | -121,465 | -35,357 | -110,632 | -5,304 | -823 | -4,628 | - |
3,082,774 | 265,978 | 1,685,024 | 9,044 | 1,471 | 8,952 | -65,286 | -63,880 | -21,345 | -60,519 | -1,406 | -231 | -1,390 | - |
Measures applied mainly consist of rescheduling of payments related to payment su- spension.
Households accounts for 30% of the mo- ratoria, while Non-financial corporations and Institutions accounts for 66% and 4%, respectively. With regard to Non-financial corporations, the following industry sectors were the most affected by moratoria: real estate activities and construction (31% of
the total), manufacturing (22%), wholesale and retail sale (14%) and accommodation and food service activities (13%).
Economic losses are calculated according to the Delta Net Present Value apporach. This approach implies a substantial actuarial neu- trality, as envisaged in the "Cura Italia" de- cree.
G R U P P O M O N T E P A S C H I
Credit Risk | 70 |
- Loans and advances for which moratorium was offered
- Loans and advances subject to moratorium (granted)
- of which: Households
- of which: Collateralised by residential immovable property
- of which: Non-financial corporations
- of which: Small and Medium-sized Enterprises
- of which: Collateralised by commercial immovable property
Breakdown of loans and advances subject to legislative and non-legislative moratoria by residual maturity of moratoria (Template 2 - EBA GL 2010/07)
Gross carrying amount | ||||||||
Number of obligors | Of which: | Of which: | Residual maturity of moratoria | |||||
<= 3 months | > 3 months | > 6 months | > 9 months | > 1 year | ||||
legislative moratoria | expired | <= 6 months | <= 9 months | <= 12 months | ||||
98,221 | 12,782,973 | |||||||
96,602 | 12,391,083 | |||||||
5,400,285 | 4,826 | 2,839,982 | 2,022,738 | 525,456 | 7,284 | |||
4,870,958 | 2,611,800 | - | 1,073 | 2,367,102 | 1,981,411 | 514,565 | 6,808 | |
6,990,798 | 6,601,317 | - | 71,152 | 6,715,809 | 109,600 | 40,912 | 53,324 | |
5,659,472 | 5,491,099 | - | 44,888 | 5,552,411 | 30,250 | 24,548 | 7,375 | |
3,091,818 | 2,973,102 | - | 36,519 | 3,010,812 | 27,407 | 15,005 | 2,074 | |
In March 2020, legislative measures were implemented to support business and households which faced liquidity shortages following the outbreak of the COVID-19 pandemic by payment suspension.
The "Cura Italia" decree (Law Decree n. 18/2020), converted into Law n. 27/2020 of 29 April 2020, includes suspension of payments until September 30, 2020.
In | addition, | the Group | has undertaken |
a | series of | System-level | initiatives (in |
particular by the ABI) which provide for the suspention (up to 12 months following the
Bank's initiatives) of the capital portion of loan repayment instalments.
In limited cases, due to particular difficulties in timely payment of their financial and other commitments, moratoria with a maturity of more than 12 months was granted. For this reason, at the reference date, most of the loans subject to suspension measures (77% of the total, 98% for SMEs) will resume the payment of the instalments within 6 months (94% of the total within 9 months).
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Credit Risk | 71 | |
Information on newly originated loans and advances provided under newly applicable | ||
public guarantee schemes introduced in response to COVID-19 crisis (Template 3 - | ||
EBA GL 2010/07) |
a | b | c | d | |||
Gross carrying amount | Maximum amount of the | Gross carrying amount | ||||
guarantee that can be considered | ||||||
of which: forborne | Public guarantees received | Inflows to non-performing exposures | ||||
1 | Newly originated loans and advances subject to public guarantee schemes | 1,225,821 | - | 820,267,49 | - | |
2 | of which: Households | 321,808 | - | |||
3 | of which: Collateralised by residential immovable property | - | - | |||
4 | of which: Non-financial corporations | 904,013 | - | 820,267,49 | - | |
5 | of which: Small and Medium-sized Enterprises | 622,445 | - | |||
6 | of which: Collateralised by commercial immovable property | 1,248 | - | |||
In March 2020, legislative measures were implemented to facilitate new liquidity to support companies temporarily in difficulty due to the ongoing pandemic by issuing public guarantees (SACE, Fund for SMEs, ISMEA) that applied to loans disbursed to Banks starting from March 2020.
On 7 June 2020, Law no. 40/2020, converting Law Decree no. 23/2020 ("Liquidity Decree"), was published in the
Official Gazette no. 143 and provides for debt consolidation initiatives that are not classified as forbereance measures.
Public guarantees schemes are not applied to non-performing loans originated prior the start of the financial crisis triggered by the COVID-19 pandemic.
As of 30 June 2020, disbursement of State- guaranteed loans involved new lending.
G R U P P O M O N T E P A S C H I
Credit Risk | 72 |
Credit Risk: use of risk mitigation techniques
With reference to the retail and corporate loan portfolio, the Montepaschi Group does not apply any netting processes to the credit risk exposures with on- or off-balance sheet items with opposite sign. The Montepaschi Group adopts policies reducing counterparty risk with institutional counterparties, by entering into netting agreements according to the international ISDA and ISMA standards and related collateral agreements in relation to derivatives.
Management of collateral
The Montepaschi Group has fulfilled the obligations set out by EU Regulations (CRR 575/2013) for the purpose of recognition of risk mitigation effects produced by any existing collaterals securing the loan.
Quantitative information
The values shown below refer to the exposures of the banking group considered for credit risk purposes, Standard approach and IRB approach, secured by financial collaterals, personal guarantees and credit derivatives. The exposures taken into consideration are determined according to prudential supervisory regulations, net of any netting agreements. Therefore, the values do not include all types of guarantees; for example, exposures guaranteed by real estate to which preferential risk weights are
assigned by regulatory provisions and which are, therefore, directly reported in the same class, as shown in table "Standard approach: Distribution in classes of creditworthiness "EAD post CRM" and table "AIRB Approach: Summary of Exposures, RWAs, expected and actual losses". Collateral on transactions secured by real estate are for marginal additional collateral received on these types of transactions. The Montepaschi Group does not have credit exposures hedged with credit derivatives, which are valid for the purpose of risk mitigation techniques. It follows, therefore, that the values reported under Personal Guarantees and credit derivatives refer to collateral received in the form of personal guarantees.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Credit Risk | 73 |
Credit risk mitigation techniques (Standard approach)
Jun-20 | Dec-19 | ||||||
Regulatory Portfolio | Financial | Guarantees | Other | Financial | Guarantees | Other | |
and Credit | and Credit | ||||||
(Standard Approach) | Collaterals | Guarantees | Collaterals | Guarantees | |||
Derivatives | Derivatives | ||||||
Exposures to central governments or central banks | - | - | - | - | - | - | |
Exposures to regional governments or local authorities | - | - | - | - | - | - | |
Exposures to public sector entities | 14,897 | 36,890 | - | 14,844 | 41,650 | - | |
Exposures to multilateral development banks | - | - | - | - | - | - | |
Exposures to international organisations | - | - | - | - | - | - | |
Exposures to institutions | 47,823,386 | - | - | 28,590,518 | - | - | |
Exposures to corporates | 600,889 | 252,605 | - | 657,117 | 185,910 | - | |
Retail exposures | 22,523 | 65,870 | - | 36,043 | 55,202 | - | |
Exposures secured by mortgages on immovable property | 1,015 | 6,142 | - | 20 | 44,914 | - | |
Exposures in default | 2,857 | 3,810 | - | 5,751 | 3,619 | - | |
Exposures associated with high risk | 588 | 39 | - | 2,258 | 40 | - | |
Exposures in the form of covered bonds | - | - | - | - | - | - | |
Exposures to institutions and corporates with a short-term credit assessment | - | - | - | - | - | - | |
Exposures to collective investments undertakings | 146,055 | - | - | 140,916 | - | - | |
Equity exposures | - | - | - | - | - | - | |
Other exposures | - | - | - | - | - | - | |
Securitization positions * | - | -2,067,331 | - | - | - | - | |
Exposures to Central Counterparties in the form of | - | - | - | - | - | - | |
pre-funded contributions to the guarantee fund | |||||||
Total standard approach | 48,612,210 | -1,701,975 | - | 29,447,468 | 331,335 | - |
*Regarding securitization positions, the entire amount without making distinction between methods is considered.
The column Financial Guarantees in the table above is a supplement to the Post CRM exposure reported in table "Standard approach: Ante and Post CRM Exposure Value" (values of exposures pre and post CRM), which shows the portion of exposure outstanding not covered by these collaterals. Please note that, pursuant to regulations, if the line-by-line method is applied, the collateral reduces risk exposure, whereas
personal guarantees (simplified approach) transfer the related risk to the regulatory portfolio of the guarantor; thus the representation of personal guarantees in the table above is broken down by collateralized exposure, whereas the same exposure, in line with the substitution principle, is shown in reference to the guarantor in table "Standard approach: Distribution in classes of creditworthiness (EAD post CRM)".
G R U P P O M O N T E P A S C H I
Credit Risk | 74 | |||||||||
Credit risk mitigation techniques (IRB approach) | ||||||||||
Jun-20 | Dec-19 | |||||||||
Regulatory Portfolio | Financial | Guarantees | Other | Financial | Guarantees | Other | ||||
and Credit | and Credit | |||||||||
(IRB approach) | Collaterals | Guarantees | Collaterals | Guarantees | ||||||
Derivatives | Derivatives | |||||||||
Exposures to or secured by corporates: | 507,845 | 2,775,981 | - | 589,469 | 2,331,631 | - | ||||
- SMEs | 117,813 | 1,742,610 | - | 109,360 | 1,454,148 | - | ||||
- Other companies | 390,032 | 1,033,371 | - | 480,109 | 877,483 | - | ||||
- Specialized Lending | - | - | - | - | - | - | ||||
Retail exposures: | 206,498 | 1,909,020 | - | 240,654 | 3,070,887 | - | ||||
- secured by real estate: SMEs | 3,780 | 88,840 | - | 3,443 | 79,042 | - | ||||
- secured by real estate: Individuals | 3,785 | 1,407,923 | - | 3,593 | 1,235,727 | - | ||||
- Qualifying revolving | - | - | - | - | - | - | ||||
- Other retail exposures: SMEs | 128,057 | 2,450,321 | - | 145,820 | 1,728,817 | - | ||||
- Other retail exposures: Individuals | 70,876 | 29,267 | - | 87,798 | 27,301 | - | ||||
Securitization positions * | - | -2,067,331 | - | - | - | - | ||||
Total IRB approach | 714,343 | 2,617,670 | - | 830,123 | 5,402,518 | - |
*Regarding securitization positions, the entire amount without making distinction between methods is considered.
The values reported in the table above are referred to all of the AIRB-scope exposures to businesses and consumers, backed by collaterals or personal guarantees. Exposures to Businesses or Consumers backed by mortgage collateral on real estate, for which
the Group adopts the AIRB approach, are not included in this table, as they have already been shown in the tables under the Section dedicated to the use of the AIRB method.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Credit Risk | 75 |
The following table provides the extent of the use of CRM techniques; it shows all collateral, financial guarantees and credit derivatives used as credit risk mitigants for
EU CR3 - CRM Techniques - Overview
all secured exposures, irrespective of whether the standard approach or the IRB approach is used for RWA calculation.
a | b | c | d | e | ||
Unsecured exposures | Secured exposures - | Exposures secured Exposures secured by Exposures guaranteed | ||||
- Accounting value | Accounting value | by real guarantees | personal guarantees | by credit derivatives | ||
3 | Total loans | 156,286,455 | 50,242,248 | 49,326,553 | 915,695 | |
4 | Total debt securities | 10,904,245 | 792,416 | 54,705 | 737,711 | |
5 | Total as at 30/06/2020 | 143,162,020 | 36,011,444 | 30,277,590 | 5,733,854 | |
6 | Of which defaulted | 10,981,462 | -2,725 | 37,080 | -39,805 |
The following table shows the effect of all CRM techniques applied in accordance with Part Three, Title II, Chapter 4 of the CRR, including the financial collateral simple method and the financial collateral
comprehensive method in the application of Article 222 and Article 223 of the same regulation on standard approach capital requirements' calculations.
EU CR4 - Standard approach - Credit Risk Exposure and CRM effects
a | b | c | d | e | f | ||
Exposures class | Exposures before CCF and CRM | Exposures before CCF and CRM | RWAs and RWA density | ||||
On-balance-sheet | Off-balance-sheet | On-balance-sheet | Off-balance-sheet | RWAs | RWA density | ||
amount | amount | amount | amount | ||||
1 | Central governments or central banks | 29,787,129 | 94,494 | 35,997,412 | 71,434 | 1,396,714 | 3.87% |
2 | Regional governments or local authorities | 1,346,745 | 1,416,198 | 1,375,117 | 161,972 | 306,851 | 19.96% |
3 | Public sector entities | 477,662 | 247,580 | 446,616 | 45,438 | 376,735 | 76.56% |
4 | Multilateral development banks | 73,586 | 15,000 | 73,586 | - | - | 0.00% |
5 | International organisations | - | - | - | - | - | 0.00% |
6 | Institutions | 5,667,268 | 15,180,902 | 5,767,119 | 522,920 | 1,179,209 | 18.75% |
7 | Corporates | 3,293,738 | 2,360,697 | 3,088,863 | 601,503 | 3,456,909 | 93.67% |
8 | Retail | 687,317 | 940,197 | 611,710 | 47,825 | 461,653 | 70.00% |
9 | Secured by mortgages on immovable property | 1,198,002 | 14,164 | 1,190,846 | 3,507 | 452,340 | 37.87% |
10 | Exposures in default | 361,824 | 198,293 | 355,542 | 8,474 | 403,919 | 110.96% |
11 | Higher-risk categories | 257,830 | 22,912 | 257,203 | 10,695 | 401,848 | 150.00% |
12 | Covered bonds | 713,091 | - | 713,091 | - | 86,158 | 12.08% |
13 | Institutions and corporates with a short-term | - | - | - | - | - | 0.00% |
credit assessment | |||||||
14 | collective investments undertakings | 104,119 | 5,695 | 103,743 | 400 | 104,143 | 100.00% |
15 | Equity | 1,029,687 | 276 | 1,029,687 | 276 | 2,032,502 | 197.34% |
16 | Other items | 6,290,648 | - | 6,302,826 | 978 | 4,916,035 | 77.99% |
17 | Total as at 30/06/2020 | 51,288,645 | 20,496,406 | 57,313,358 | 1,475,423 | 15,575,016 | 26.49% |
17 | Total as exposure | 71,785,050 | 58,788,782 | ||||
17 | Total as at 31/12/2019 | 46,621,928 | 12,000,266 | 51,584,799 | 1,233,011 | 15,668,836 | 29.67% |
17 | Total as exposure | 58,622,194 | 52,817,810 |
G R U P P O M O N T E P A S C H I
Counterparty Risk | 76 |
Counterparty Risk
Quantitative information
The following table provide a comprehensive view of the methods used to calculate CCR
regulatory requirements and the main parameters used within each method.
EU CCR1 - Analysis of CCR exposure by approach
a | b | c | d | e | f | g | ||
Notional | Replacement | Potential | EEPE | Multiplier | EAD post | RWAs | ||
cost/current | futurecredit | CRM | ||||||
market value | exposure | |||||||
1 | Market value method | x | 1,938,673 | 1,435,134 | x | x | 2,031,917 | 755,370 |
Financial collateral | ||||||||
9 | comprehensive method | x | x | x | x | x | 2,410,019 | 642,812 |
(for SFTs) | ||||||||
11 | Total | x | 1,938,673 | 1,435,134 | x | x | 4,441,936 | 1,398,182 |
The following table provide CVA regulatory | and advanced approaches). | |||
calculations (with a breakdown by standard | ||||
EU CCR2 - CVA capital charge | ||||
Exposure value | RWAs | |||
Total portfolios subject to the advanced method | - | - | ||
(i) VaR component (including the 3× multiplier) | - | |||
(ii) SVaR component (including the 3× multiplier) | - | |||
All portfolios subject to the standardised method | 609,100 | 430,543 | ||
Based on the original exposure method | - | - | ||
Total subject to the CVA capital charge | 609,100 | 430,543 | ||
The following table provide a breakdown | attributed according to the standard | |||
of CCR exposures by portfolio (type of | approach). | |||
counterparties) and by risk weight (riskiness |
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Counterparty Risk | 77 | |||||||||||||||||
EU CCR3 - Standard approach - CCR exposures by regulatory portfolio and risk | ||||||||||||||||||
Exposures | Classes of credit worthiness (Weighting Factors) | Total | Without | |||||||||||||||
classes | 0% | 2% | 4% | 10% | 20% | 35% | 50% | 70% | 75% | 100% | 150% | Others | rating | |||||
1 | Central governments or central banks | 454 | - | - | - | - | - | - | - | - | 2,553 | - | - | 3,007 | - | |||
2 | Regional governments or local authorities | - | - | - | - | 12,599 | - | - | - | - | - | - | - | 12,599 | - | |||
3 | Public sector entities | - | - | - | - | 2 | - | - | - | - | 6,260 | - | - | 6,262 | - | |||
4 | Multilateral development banks | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||
5 | International organisations | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||
6 | Institutions | - | 1,509,277 | 289,104 | - | 218,681 | - | 1,396,218 | - | - | 13,086 | - | - | 3,426,366 | - | |||
7 | Corporates | - | - | - | - | - | - | 0 | - | - | 247,910 | - | - | 247,910 | - | |||
8 | Retail | - | - | - | - | - | - | - | - | 127 | - | - | - | 127 | - | |||
9 | Secured by mortgages on immovable | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||
property | ||||||||||||||||||
10 | Exposures in default | - | - | - | - | - | - | - | - | - | 22 | 3,857 | - | 3,879 | - | |||
11 | Higher-risk categories | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||
12 | Covered bonds | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||
13 | Institutions and corporates with a short- | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||
term credit assessment | ||||||||||||||||||
14 | Collective investment undertakings | - | - | - | - | - | - | - | - | - | 59,491 | - | - | 59,491 | - | |||
15 | Equity | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||
16 | Other items | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||
17 Total as at 30/06/2020 | 454 | 1,509,277 | 289,104 | - | 231,283 | - | 1,396,218 | - | 127 | 329,323 | 3,857 | - | 3,759,642 | - | ||||
18 Total as at 31/12/2019 | 833 | 737,150 | 314,177 | - | 799,503 | - | 1,143,392 | - | - | 306,410 | 5 | - | 3,301,469 | - | ||||
Template EU | CCR4 | (EBA/GL/2016/11) | subject to AIRB approach broken down by | |||||||||||||||
provides | information | on | CCR | exposures | portfolio and PD scale. |
G R U P P O M O N T E P A S C H I
Counterparty Risk | 78 |
EU CCR4 - IRB approach - CCR exposures by exposure class and PD scale: Total
a | b | c | d | e | f | g | |
Rating | Exposure | Exposure weighted | Number | Exposure weighted | Exposure weighted | RWEA | Density of risk weighted |
Class | value | average PD (%) | of obligors | average LGD (%) | average maturity | exposure amount | |
Class 01 | |||||||
Class 02 | 1,198 | 0.03% | 11 | 48.04% | 4,21 | 296 | 24.74% |
Class 03 | 524 | 0.05% | 26 | 47.31% | 2,52 | 81 | 15.40% |
Class 04 | 1,915 | 0.09% | 58 | 46.15% | 2,06 | 396 | 20.66% |
Class 05 | 5,300 | 0.13% | 73 | 47.30% | 2,35 | 1,800 | 33.96% |
Class 06 | 9,085 | 0.20% | 118 | 46.43% | 3,31 | 4,513 | 49.68% |
Class 07 | 17,452 | 0.30% | 221 | 47.62% | 3,27 | 10,723 | 61.44% |
Class 08 | 271,652 | 0.46% | 183 | 7.68% | 4,71 | 35,906 | 13.22% |
Class 09 | 42,854 | 0.69% | 206 | 20.11% | 1,57 | 14,741 | 34.40% |
Class 10 | 45,160 | 1.05% | 284 | 47.23% | 2,70 | 43,917 | 97.25% |
Class 11 | 35,131 | 1.59% | 282 | 47.42% | 3,99 | 38,875 | 110.66% |
Class 12 | 12,853 | 2.42% | 201 | 47.29% | 3,05 | 14,590 | 113.52% |
Class 13 | 40,660 | 3.99% | 150 | 23.97% | 1,66 | 25,781 | 63.41% |
Class 14 | 78,740 | 6.31% | 74 | 4.42% | 0,38 | 9,861 | 12.52% |
Class 15 | 1,742 | 9.95% | 31 | 46.35% | 2,73 | 2,471 | 141.87% |
Class 16 | 209 | 16.03% | 15 | 43.84% | 2,97 | 233 | 111.48% |
Class 17 | 85 | 22.12% | 7 | 47.57% | 1,92 | 151 | 178.65% |
Class 18 | 210 | 31.63% | 6 | 45.67% | 4,98 | 318 | 151.28% |
Class 19 | 703 | 45.00% | 8 | 44.30% | 1,82 | 1,462 | 208.04% |
Class 20 | 34,683 | 100.00% | 130 | 55.03% | 1,08 | 1,488 | 4.29% |
Total as at 30/06/2020 | 600,155 | 1.80% | 2.084 | 18.54% | 3,17 | 207,602 | |
The weighted average PD (%) and weighted average LDG (%) under Total does not include class 20.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Counterparty Risk | 79 |
EU CCR4 - IRB approach - CCR exposures by exposure class and PD scale: Exposures to or secured by corporates - SMEs
a | b | c | d | e | f | g | |
Rating | Exposure | Exposure weighted | Number | Exposure weighted | Exposure weighted | RWEA | Density of risk weighted |
Class | value | average PD (%) | of obligors | average LGD (%) | average maturity | exposure amount | |
Class 01 | |||||||
Class 02 | 90 | 0.03% | 4 | 47.92% | 1,00 | 5 | 6.03% |
Class 03 | 328 | 0.05% | 12 | 47.54% | 3,04 | 55 | 16.80% |
Class 04 | 1,279 | 0.09% | 30 | 45.82% | 1,89 | 222 | 17.35% |
Class 05 | 1,385 | 0.13% | 39 | 46.31% | 1,71 | 290 | 20.92% |
Class 06 | 2,816 | 0.20% | 45 | 45.44% | 3,88 | 1,151 | 40.87% |
Class 07 | 3,764 | 0.30% | 88 | 47.08% | 3,87 | 1,933 | 51.36% |
Class 08 | 3,102 | 0.46% | 66 | 47.04% | 3,08 | 1,709 | 55.09% |
Class 09 | 6,146 | 0.69% | 101 | 47.02% | 4,14 | 4,481 | 72.91% |
Class 10 | 7,776 | 1.05% | 99 | 46.21% | 4,24 | 6,345 | 81.60% |
Class 11 | 24,141 | 1.59% | 112 | 47.44% | 4,46 | 26,368 | 109.23% |
Class 12 | 5,065 | 2.42% | 69 | 46.72% | 3,66 | 4,972 | 98.15% |
Class 13 | 9,445 | 3.99% | 56 | 47.71% | 4,67 | 10,714 | 113.44% |
Class 14 | 2,488 | 6.31% | 25 | 45.44% | 4,01 | 2,991 | 120.23% |
Class 15 | 1,079 | 9.95% | 15 | 46.87% | 3,38 | 1,511 | 140.00% |
Class 16 | 113 | 16.03% | 6 | 44.30% | 2,97 | 164 | 144.63% |
Class 17 | 62 | 22.12% | 2 | 47.81% | 1,50 | 111 | 178.30% |
Class 18 | 107 | 31.63% | 2 | 45.94% | 4,98 | 220 | 205.53% |
Class 19 | 61 | 45.00% | 2 | 45.33% | 4,56 | 106 | 171.84% |
Class 20 | 15,636 | 100.00% | 41 | 52.58% | 1,13 | 1,061 | 6.79% |
Total as at 30/06/2020 | 84,885 | 2.02% | 814 | 46.99% | 3,56 | 64,410 | |
The weighted average PD (%) and weighted average LDG (%) under Total does not include class 20.
G R U P P O M O N T E P A S C H I
Counterparty Risk | 80 |
EU CCR4 - IRB approach - CCR exposures by exposure class and PD scale: Exposures to or secured by corporates - Other companies
a | b | c | d | e | f | g | |
Rating | Exposure | Exposure weighted | Number | Exposure weighted | Exposure weighted | RWEA | Density of risk weighted |
Class | value | average PD (%) | of obligors | average LGD (%) | average maturity | exposure amount | |
Class 01 | |||||||
Class 02 | 1,089 | 0.03% | 3 | 48.13% | 4,48 | 290 | 26.63% |
Class 03 | 154 | 0.05% | 7 | 46.96% | 1,42 | 23 | 15.03% |
Class 04 | 536 | 0.09% | 11 | 47.19% | 2,45 | 165 | 30.85% |
Class 05 | 3,751 | 0.13% | 21 | 47.68% | 2,59 | 1,490 | 39.71% |
Class 06 | 6,110 | 0.20% | 37 | 46.91% | 3,06 | 3,335 | 54.59% |
Class 07 | 12,714 | 0.30% | 64 | 47.84% | 3,10 | 8,581 | 67.50% |
Class 08 | 267,794 | 0.46% | 55 | 7.12% | 4,74 | 33,979 | 12.69% |
Class 09 | 35,552 | 0.69% | 42 | 14.81% | 1,09 | 9,903 | 27.85% |
Class 10 | 35,586 | 1.05% | 64 | 47.50% | 2,37 | 36,798 | 103.40% |
Class 11 | 9,417 | 1.59% | 41 | 47.68% | 2,81 | 11,769 | 124.98% |
Class 12 | 6,456 | 2.42% | 20 | 48.04% | 2,57 | 8,907 | 137.97% |
Class 13 | 30,163 | 3.99% | 24 | 15.76% | 0,66 | 14,467 | 47.96% |
Class 14 | 74,926 | 6.31% | 6 | 2.38% | 0,22 | 6,131 | 8.18% |
Class 15 | 440 | 9.95% | 2 | 44.80% | 1,44 | 814 | 185.05% |
Class 16 | - | 16.03% | - | 0.00% | - | - | 0.00% |
Class 17 | 10 | 22.12% | 1 | 45.39% | 4,51 | 28 | 280.55% |
Class 18 | - | 31.63% | - | 0.00% | - | - | 0.00% |
Class 19 | 533 | 45.00% | 1 | 44.74% | 1,50 | 1,260 | 236.22% |
Class 20 | 3,223 | 100.00% | 16 | 57.64% | 1,05 | 260 | 8.07% |
Total as at 30/06/2020 | 488,454 | 1.74% | 415 | 13.89% | 3,17 | 138,202 | |
The weighted average PD (%) and weighted average LDG (%) under Total does not include class 20.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Counterparty Risk | 81 |
EU CCR4 - IRB approach - CCR exposures by exposure class and PD scale: Exposures to or secured by corporates - Other retail exposures - SMEs
a | b | c | d | e | f | g | |
Rating | Exposure | Exposure weighted | Number | Exposure weighted | Exposure weighted | RWEA | Density of risk weighted |
Class | value | average PD (%) | of obligors | average LGD (%) | average maturity | exposure amount | |
Class 01 | |||||||
Class 02 | 18 | 0.03% | 4 | 43.40% | 2,96 | 1 | 4.41% |
Class 03 | 42 | 0.05% | 7 | 46.79% | 2,45 | 2 | 5.85% |
Class 04 | 100 | 0.09% | 17 | 44.78% | 2,42 | 8 | 8.41% |
Class 05 | 164 | 0.13% | 13 | 47.05% | 4,18 | 20 | 12.46% |
Class 06 | 159 | 0.20% | 36 | 45.55% | 2,00 | 27 | 16.90% |
Class 07 | 974 | 0.30% | 69 | 46.76% | 2,70 | 208 | 21.37% |
Class 08 | 756 | 0.46% | 62 | 46.29% | 4,05 | 218 | 28.77% |
Class 09 | 845 | 0.69% | 62 | 45.22% | 4,12 | 285 | 33.66% |
Class 10 | 1,797 | 1.05% | 121 | 46.21% | 4,27 | 773 | 43.03% |
Class 11 | 1,573 | 1.59% | 129 | 45.54% | 4,24 | 737 | 46.84% |
Class 12 | 1,332 | 2.42% | 112 | 45.82% | 4,52 | 712 | 53.43% |
Class 13 | 1,052 | 3.99% | 70 | 46.20% | 3,18 | 599 | 56.93% |
Class 14 | 1,045 | 6.31% | 42 | 47.24% | 1,57 | 622 | 59.53% |
Class 15 | 222 | 9.95% | 14 | 46.93% | 2,09 | 145 | 65.47% |
Class 16 | 96 | 16.03% | 9 | 43.30% | 4,21 | 70 | 72.41% |
Class 17 | 12 | 22.12% | 4 | 48.09% | 4,29 | 12 | 97.90% |
Class 18 | 103 | 31.63% | 4 | 45.39% | 4,94 | 98 | 95.06% |
Class 19 | 108 | 45.00% | 5 | 41.55% | 4,67 | 97 | 89.53% |
Class 20 | 15,824 | 100.00% | 73 | 56.92% | 0,07 | 167 | 1.05% |
Total as at 30/06/2020 | 26,224 | 3.06% | 853 | 46.06% | 1,49 | 4,801 | |
The weighted average PD (%) and weighted average LDG (%) under Total does not include class 20.
G R U P P O M O N T E P A S C H I
Counterparty Risk | 82 |
EU CCR4 - IRB approach - CCR exposures by exposure class and PD scale: Exposures to or secured by corporates - Other retail exposures - Individuals
a | b | c | d | e | f | g | |
Rating | Exposure | Exposure weighted | Number | Exposure weighted | Exposure weighted | RWEA | Density of risk weighted |
Class | value | average PD (%) | of obligors | average LGD (%) | average maturity | exposure amount | |
Class 01 | |||||||
Class 02 | - | 0.03% | - | 0.00% | - | - | 0.00% |
Class 03 | - | 0.05% | - | 0.00% | - | - | 0.00% |
Class 04 | - | 0.09% | - | 0.00% | - | - | 0.00% |
Class 05 | - | 0.13% | - | 0.00% | - | - | 0.00% |
Class 06 | - | 0.20% | - | 0.00% | - | - | 0.00% |
Class 07 | - | 0.30% | - | 0.00% | - | - | 0.00% |
Class 08 | - | 0.46% | - | 0.00% | - | - | 0.00% |
Class 09 | 310 | 0.69% | 1 | 25.77% | 1,00 | 72 | 23.35% |
Class 10 | - | 1.05% | - | 0.00% | - | - | 0.00% |
Class 11 | - | 1.59% | - | 0.00% | - | - | 0.00% |
Class 12 | - | 2.42% | - | 0.00% | - | - | 0.00% |
Class 13 | - | 3.99% | - | 0.00% | - | - | 0.00% |
Class 14 | 281 | 6.31% | 1 | 25.77% | 1,00 | 116 | 41.39% |
Class 15 | - | 9.95% | - | 0.00% | - | - | 0.00% |
Class 16 | - | 16.03% | - | 0.00% | - | - | 0.00% |
Class 17 | - | 22.12% | - | 0.00% | - | - | 0.00% |
Class 18 | - | 31.63% | - | 0.00% | - | - | 0.00% |
Class 19 | - | 45.00% | - | 0.00% | - | - | 0.00% |
Class 20 | - | 100.00% | - | 0.00% | - | - | 0.00% |
Total as at 30/06/2020 | 591 | 3.36% | 2 | 25.77% | 1,00 | 189 | |
The weighted average PD (%) and weighted average LDG (%) under Total does not include class 20.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Counterparty Risk | 83 |
Table EU CCR5-A shows the gross positive fair of the contracts, the advantages resulting from the netting agreements, the netted fair value and the net credit exposure of the Group to counterparty risk for derivative instruments. All the financial and credit derivatives traded over the counter (OTC) with any counterparty (institutional, corporate, retail counterparties etc.) are included in the table irrespective of the regulatory (trading and banking) portfolio
they belong to. In particular, the "gross positive fair value" corresponds to the book value of the above-mentioned contracts and is therefore inclusive of the netting agreements. The Nettings represent the gross positive fair value amount, which as a result of the agreements executed with the counterparties, is offset with negative value transactions. The net "netted fair value" indicates the positive fair value amount remaining after the nettings.
EU CCR5-A - Impact of netting and collateral held on exposure values
a | b | c | d | e | ||
Gross positive | Netting benefits | Netted current | Collateral held | Net credit | ||
fair value or net | ||||||
credit exposure | exposure | |||||
carrying amount | ||||||
1 | Derivatives | 6,743,408 | -3,862,766 | 2,880,641 | 2,752,766 | 127,875 |
4 | Total as at | 6,743,408 | -3,862,766 | 2,880,641 | 2,752,766 | 127,875 |
30/06/2020 | ||||||
The figures shown in the table are represented only by derivatives with netting agreements.
G R U P P O M O N T E P A S C H I
Counterparty Risk | 84 |
The following table provide a breakdown of all types of collateral (cash, sovereign debt, corporate bonds, etc.) used by banks to
support or reduce CCR exposures related to derivative transactions or to SFTs.
EU CCR5-B - Composition of collateral for exposures to CCR
Jun-2020 | Dec-2019 | ||||
Real | Real | Real | Real | ||
collateral | collaterals | collateral | collaterals | ||
on SFT | on derivatives | on SFT | on derivatives | ||
Standardised Approach | |||||
Integral Method | 1,341,890 | 35,336,812 | 1,716,071 | 23,949,931 | |
Simplified method | - | - | - | - | |
Standard total | 1,341,890 | 35,336,812 | 1,716,071 | 23,949,931 | |
AIRB Approach | |||||
Substitution principle | - | - | - | - | |
AIRB Total | - | - | - | - | |
Total | 1,341,890 | 35,336,812 | 1,716,071 | 23,949,931 |
Table EU CCR6 shows the notional values of credit derivative contracts, by portfolio (banking and trading book) and the role played by the Montepaschi Group (buyer/ seller of protection).
It should be noted that as at the date of this document, the Group did not have any transactions in credit derivatives hedging loan book exposures.
EU CCR6 - Credit derivatives exposures
a | b | c | |||
Credit derivative hedges | Other Credit derivatives | ||||
Notionals | Protection | Protection | |||
bought | sold | ||||
Total rate of return swaps | - | - | 3,866,003 | ||
Total rate of return swaps | - | - | |||
Total notionals | - | - | 3,866,003 | ||
Fair value | |||||
Positive Fair value positivo | - | - | 8,680 | ||
Negative Fair value | - | - | 151,435 |
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Counterparty Risk | 85 |
The following table provide a comprehensive picture of the institution's exposures to CCPs: in particular, the template includes
all types of exposures (due to operations, margins, and contributions to default funds) and related capital requirements.
EU CCR8 - Exposures to CCPs
Jun-2020 | |||
a | b | ||
EAD post CRM | RWAs | ||
1 | Exposures to QCCPs (total) | × | 41,750 |
2 | Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which | 1,798,381 | 41,750 |
3 | (i) OTC derivatives | - | - |
4 | (ii) Exchange-traded derivatives | - | - |
5 | (iii) SFTs | 935,488 | 18,710 |
6 | (iv) Netting sets where cross-product netting has been approved | 862,892 | 23,040 |
7 | Segregated initial margin | 549,927 | × |
8 | Non-segregated initial margin | - | - |
9 | Prefunded default fund contributions | - | - |
10 | Alternative calculation of own funds requirements for exposures | × | - |
11 Exposures to non-QCCPs (total) | × |
- Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which
- (i) OTC derivatives
- (ii) Exchange-traded derivatives
- (iii) SFTs
- (iv) Netting sets where cross-product netting has been approved
17 Segregated initial margin | × |
- Non-segregatedinitial margin
- Prefunded default fund contributions
- Unfunded default fund contributions
G R U P P O M O N T E P A S C H I
Market Risk | 86 |
Market Risk
The Group's Regulatory Trading Portfolio (RTP), or Trading Book, is made up of all the Regulatory Trading Books managed by the Parent Bank (BMPS) and MPS Capital Services (MPSCS). The Trading Portfolios of the other subsidiaries are immune to market risk. Trading in derivatives, which are brokered on behalf of customers, calls for risk to be centralised at, and managed by, MPSC.
The market risks in the trading book of both the Parent Company and the other Group entities (which are relevant as independent market risk taking centres), are monitored in terms of Value-at-Risk (VaR) for operational purposes. The Group's Finance and Liquidity Committee is responsible for directing and coordinating the overall process of managing the Group's proprietary finance thereby ensuring that the management strategies of the various business units are consistent.
The Group's Trading Book is subject to daily monitoring and reporting by Financial Risk Officer Area of the Parent Company on the basis of proprietary systems. VaR for management purposes is calculated separately from the operating units, using the internal risk measurement model implemented by the Risk Management function in keeping with international best practices. However, the Group uses the standardised methodology in the area of market risks solely for reporting purposes.
Operating limits for trading activities, defined and approved by the Parent Company in accordance with the Risk Appetite Framework, are expressed by level of delegated authority in terms of VaR, which is diversified by risk factors and portfolios, monthly and annual stop losses and Stress. Furthermore, the trading book's credit risk, in addition to being included in VaR computations and in the respective limits for the credit spread risk component, is also subject to specific operating limits for issuer and bond concentration risk which specify maximum notional amounts by type of guarantor and rating class.
The management reporting flow on market risks is periodically transmitted to the Management Risk Committee, the Group's Top Management and the Board of Directors of the Parent Company in a Risk Management Report, which keeps Executive Management and governing bodies up to date on the overall risk profile of the Group. The macro-categories of risk factors covered by the Internal Market Risk Model are IR, EQ, CO, FX and CS as described below:
- IR: interest rates on all relevant curves, inflation curves and related volatilities;
- EQ: share prices, indexes and relative volatilities;
- CO: commodity prices and indexes;
- FX: exchange rates and related volatilities;
- CS: credit spread levels.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Market Risk | 87 |
VaR (or diversified or net VaR) is calculated and broken down daily for internal management purposes, even with respect to other dimensions of analysis:
- organisational/management analysis of portfolios,
- analysis by financial instrument,
- analysis by risk family.
It is then possible to assess VaR along each combination of these dimensions in order to facilitate highly detailed analyses of events characterising the portfolios.
In particular, with reference to risk factors the following are identified: Interest Rate VaR (IR VaR), Equity VaR (EQ VaR), Commodity VaR (CO VaR), Forex VaR (FX VaR) and Credit Spread VaR (CS VaR). The algebraic sum of these items gives the so- called Gross VaR (or non-diversified VaR), which, when compared with diversified VaR, makes it possible to quantify the benefit of diversifying risk factors resulting from holding portfolios on asset class and risk factor allocations which are not perfectly correlated. This information can also be analysed along all the dimensions referenced above.
The model enables the production of diversified VaR metrics for the entire Group in order to get an integrated overview of all the effects of diversification that can be generated among the banks of the Group on account of the specific joint positioning of the various business units.
Moreover, scenario and stress-test analyses
are regularly conducted on various risk factors with different degrees of granularity across the entire tree structure of the Group's portfolios and for all categories of instruments analysed.
Stress tests are used to assess the bank's capacity to absorb large potential losses in extreme market situations, so as to identify the measures necessary to reduce the risk profile and preserve assets.
Stress tests are developed on the basis of discretionary and trend-based scenarios.
It should be noted that the VaR methodology described above is, for operational purposes, also applied to the portion of the Banking Book consisting of financial instruments that are similar to trading instruments (e.g. Equity instruments/Bonds held in portfolios, measured at fair value, classified as FVTPL and FVOCI, and in AC portfolios). The Group has implemented a backtesting procedure compliant with current regulations governing Market Risk as part of its own risk management system.
Backtesting refers to a series of tests conducted on VaR model results against day-to-day changes in the trading book value, with a view to assessing the model's forecasting capacity as regards the accuracy of risk metrics generated. If the model is robust, by periodically comparing the estimated daily VaR against daily trading losses from the previous day, the result should be that actual losses greater than the VaR occur with a frequency consistent with that defined by
G R U P P O M O N T E P A S C H I
Market Risk | 88 |
the confidence level. Based on applicable regulatory provisions, the Financial Risk Officer Area considered it appropriate to apply the theoretical and actual backtesting methods and integrate these into the Group's management reporting system.
Each bank of the MPS Group which is relevant as a market risk-taking centre contributes to the generation of interest rate risk and price risk in the overall Trading Book.
With reference specifically to the Parent Company, the Finance, Treasury & Capital Management Area (FTCMA) within the CFO division is the Business Area in charge of trading. The Global Markets Division carries out trading activities for MPSCS.
MPSCS and, to a lesser extent, the Finance, Treasury & Capital Management Area (FTCMA hereinafter) manage a proprietary portfolio which takes trading positions on interest rates and credit. In general, interest rate positions are taken by purchasing or selling bonds, and by creating positions in listed derivatives (futures) and OTCs (IRS, swaptions). The FTCMA operates in the short-term portion of the main interest rate curves, mostly through bonds and listed derivatives.
With regard to credit risk in the trading book, the equity positions are generally managed through the purchase or sale of bonds issued by companies or by creating synthetic positions in derivatives. The activity is oriented to achieve a long or short
position on individual issuers, or a long or short exposure on specific commodities. The activity is carried out solely on the Bank's own behalf with objectives of absolute return and in compliance with other specific issuer and concentration risk limits.
The Business Area in charge of the Parent Company's trading activity with respect to price risk is the FTCMA which manages a proprietary portfolio and takes trading positions on equities, Stock Exchange indexes and commodities. In general, positions on equity securities are taken both through the purchase/sale of equities and through the positions created in listed derivatives (e.g. futures) and OTC (e.g. options). Trading is carried out exclusively on the Bank's own behalf, with objectives of absolute return, in compliance with the delegated limits of monthly and yearly VaR and stop loss.
For further information, please refer to the Notes to the Consolidated Financial
Statements 2019, Part E - Information on risks and hedging policies - Section 2.1 - Interest Rate Risk and Price Risk - Regulatory Trading Book.
During the first half 2020, the market risks of the Group's Regulatory Trading Book showed, in terms of VaR, a performance influenced by the subsidiary MPS Capital Services, mainly for own trading activities in the CS-IR segment (transactions in Italian government bonds and long futures) and, to a lesser extent, client-driven activities in the EQ segment (options and equity futures
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Market Risk | 89 |
on the main market indices). The Parent Company's portfolio contribution to total VaR was negligible.
The first half of 2020 was heavily impacted by the crisis in the markets triggered by the outbreak of the COVID-19 pandemic, with particular effect on the VaR model due to the extreme variations recorded in most market parameters during March, predominantly affecting the primary dealer activities on Italian government bonds of the subsidiary MPS Capital Services.
In particular, the increase in the Italian Credit Spread in March caused a considerable increase in the VaR measure with the incorporation in the model of tail events represented by extreme and sudden increases on a daily basis in the yields of Italian government bonds in the short portion of the curve.
During the second quarter, with the attenuation of tensions on market parameters, the exposure to Italy credit spread risk by the subsidiary MPSCS reduced considerably, particularly in June. This contributed towards reducing the VaR for the quarter (EUR -3 mln, with a prevalent effect in May) and scrolling the time window of scenarios underlying the model, with the exit of the May-June 2018 Italy credit spread tail scenarios, triggered by the political crisis concerning the formation of the government.
G R U P P O M O N T E P A S C H I
Market Risk | 90 |
MPS Group: Trading Book
VaR Breakdown by Risk Factor as at 30/06/2020
CS VaR; 62.1%
EQ VaR; 13.8%
IR VaR; 14.7%
FX VaR; 4.1%
CO VaR; 5.3%
MPS Group: Trading Book
VaR Breakdown by Bank as at 30/06/2020
VaR breakdown
A breakdown of VaR by risk factors shows that 62.1% of the Group's portfolio was allocated to credit-spread risk factors (CS VaR), 14.7% was absorbed by interest rate risk factors (IR VaR), 13.8% by equity risk factors (EQ VaR), 4.1% by foreign exchange risk factors (FX VaR), and the remaining 5.3% by commodity risk factors (CO VaR).
MPS Capital Services; 98.9%
Banca MPS; 1.1%
Group VaR
In the first half 2020, the Group's VaR in the Regulatory Trading Book ranged between a low of EUR 4.67 mln recorded on 22 June 2020 and a high of EUR 17.32 mln on 9 April 2020 with an average value registered of EUR 9.89 mln. The Regulatory Trading Book VaR as at 30 June 2020 amounted to EUR 5.47 mln.
With regard to the legal entities, MPS Capital Services accounted for 98.9 and the Parent Company for 1.1% of overall risk as at 30 June 2020.
MPS Group
VaR PNV 99% 1 day in EUR/mln
VaR | Date | |
End of Period | 5.47 | 30/06/2020 |
Mn | 4.67 | 22/06/2020 |
Max | 11.32 | 09/04/2020 |
Average | 9.89 | |
The following chart shows the data Effective Backtesting of the internal model for Market
Risk, related to the Supervisory Trading Portfolio of the group.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Market Risk | 91 |
Two exceptions were recorded in the first half of 2020, concentrated in March, referring entirely by the risk exposure of the subsidiary MPSCS. These exceptions were recorded on 16 and 17 March, as a result of the extreme increase in volatility on the markets following the health emergency linked to the spread of the COVID-19 pandemic. The days past due recorded simultaneous tension scenarios on all the main risk factors,
with particular pressure in terms of P&L on the positions in Italian government securities (temporary widening of the Italian short- term credit spread, which for the most part had reversed by the end of the quarter due to effect of the ECB's new Quantitative Easing programme to cope with the economic emergency triggered by the pandemic) and on corporate and financial securities.
Quantitative information
The following table display the components standard approach for Market Risk. of own funds requirements under the
EU MR1 - Market Risk under the standard approach
Jun-20 | |||
a | b | ||
RWA | Capital requirements | ||
Prodotti diversi dalle opzioni | |||
1 | Interest rate risk (generic and specific) | 1,622,152 | 129,772 |
2 | Equity risk (generic and specific) | 376,906 | 30,152 |
3 | Exchange risk | 128,126 | 10,250 |
4 | Commodity risk | 161,766 | 12,941 |
Options | |||
5 | Simplified Method | - | - |
6 | Delta-Plus Method | 99,753 | 7,980 |
7 | Scenario Method | - | - |
8 | Securitisation (specific risk) | 270,385 | 21,631 |
9 | Total | 2,659,088 | 212,727 |
G R U P P O M O N T E P A S C H I
Operational Risk | 92 |
Operational Risk
The Montepaschi Group has implemented an integrated risk management system on the basis of a governance model which involves all the companies of the Montepaschi Group included in the scope of application. The approach defines the standards, methods and instruments that make it possible to measure risk exposure and the effects of mitigation by business area.
The Montepaschi Group was authorized by the Bank of Italy on 12 June 2008 to use the internal advanced measurement approach (AMA) for the calculation of capital requirements for operational risks. The advanced model officially started operating on 1 January 2008. The first consolidated regulatory reporting on the basis of the model was prepared in relation to the results as at 30 June 2008.
All the domestic banking and financial components are incorporated in the scope of advanced measurement approach (AMA). For remaining components and foreign companies, the foundation model has been adopted.
Today's internal model coverage in terms of total banking income exceeds 95%. The advanced approach adopted by the Montepaschi Group is designed so as to homogeneously combine all the main qualitative and quantitative information (or data) sources (mixed LDA-Scenario model). The quantitative loss Distribution Approach
component is based on the statistical collection, analysis and modelling of internal and external historical loss data (Italian Database of Operational Losses, DIPO). The model includes calculation in relation to the 7 categories of events established by Basel 2 used as risk classes, with the adoption of Extreme Value Theory techniques. The estimated frequency of occurrence is based exclusively on internal data.
The qualitative component focuses on the evaluation of the risk profile of each unit and is based on the identification of relevant scenarios. In this framework, the companies are involved in process and risk identification, risk evaluation by process managers, identification of possible mitigation plans, discussion (in scenario-sharing sessions) of priorities and technical-economic feasibility of mitigation actions with the H.O. units.
Despite having insurance coverage to mitigate operational risk, the MPS Group does not use insurance for the mitigation of risk in the calculation of capital requirements since this has not yet been authorized by the supervisor. As of 30 June 2017, the Advanced Measurement Model was changed to increase the historical depth of internal loss data from 5 to 10 years and to introduce the scaling of external data in order to discourage unexpected requirement fluctuations.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Operational Risk | 93 |
1 | 4 | |||
Copula | Diversified VaR | Expected Loss | ||
Internal | Parameters | |||
(joint simulation) | Deduction | |||
Loss Data | ||||
- Empirical and Parametric | LDA | |||
Parameters | ||||
Approach with EVT | ||||
External | Analysis | Integrated VaR | ||
Net VAR | ||||
Data | - Frequency Analysis | LDA VaR | (gross) | |
LDA COMPONENT | VAR CALCULATION | |||
Business Environment and Control Factor Assessment | 5 | |||
Scenario | TopDown | |||
2 | VaR | Allocation | ||
Business and Control Factor Information (BEICF) | ||||
3 | ||||
Loss | Scenario | - Banca MPS | ||
Assessment | Scenario | Scenario | - MPS Capital Services | |
Information | ||||
Construction | Assessment | Parameters | - MPS Leasing & Factoring | |
SCENARIO & BEICF COMPONENT | VAR ALLOCATION |
Finally, the percentage breakdown of events and operational losses recorded in the first half of 2020 is reported, divided into the following risk classes:
- Internal fraud: losses arising from unauthorised activities, fraud, embezzlement or violation of laws, regulations or corporate directives that involve at least one internal resource of the Group;
- External fraud: losses due to fraud, embezzlement or violation of laws by subjects external to the Group;
- Employment relationships and Occupational safety: losses arising from actions in breach of employment, occupational health and safety laws and agreements, payment of compensation for personal injury or episodes of discrimination
or failure to apply equal treatment;
- Customers, products and operating practices: losses arising from non-fulfilment of professional obligations with customers or from the nature and characteristics of the product or service provided;
- Property damage: losses arising from external events, including natural disasters, acts of terrorism or vandalism;
- Business disruptions and system failures: losses due to business disruption or system failures or interruption;
- Process management, execution and delivery: losses arising from operational and process management shortfalls, as well from transactions with business counterparties, vendors and suppliers.
G R U P P O M O N T E P A S C H I
Operational Risk | 94 |
As at 30 June 2020, the number of operational risk events and the losses were down compared to December 2019.
The type of events with the greatest P&L impact refer to the violation of professional obligations towards customers (category
"Customers, products and operating practices": approximately 48% of the total) and employment relationships (category "employment relationships": 25% of the total).
Losses breakdown
Montepaschi Group - 30/06/2020
Internal Fraud: 0.3%
External Fraud: 3.2%
Employment Relationships: 25.3%
Customers, products and operating pratices: 48.3%
Property Damage: 4%
Business disruptions and system failures: <0.1%
Process management, execution and delivery: 18.8%
The Regulatory Requirement as at 30 June 2020 was up compared to December 2019, also due to the increase in the recorded operating losses. The breakdown of operational losses clearly differs from the
breakdown of capital in that the latter is calculated using a 10-year time series and the incidence of the unexpected loss component prevails.
P I L L | A | R | 3 J U | N E 2 0 2 0 |
Liquidity Ratios | 95 |
Liquidity Ratios
With reference to the liquidity indicators, Liquidity Coverage Ratio and the Net Stable Funding Ratio, the observation period by the Supervisory Authorities began in March 2014. As of October 2015, the minimum obligatory requirement for the Liquidity Coverage Ratio came into force, with a level
that gradually increases over the years (100% in 2018).
As regards the Net Stable Funding Ratio, EU legislation does not currently contemplate a regulatory limit.
G R U P P O M O N T E P A S C H I
Leverage Ratio | 96 |
Leverage Ratio
In addition to the system of capital requirements aimed at covering credit, counterparty, market, operational, CVA and regulatory risks, it is expected
that the current regulatory framework will monitor a limit on leverage with a twofold purpose to limit the accumulation of debt within the banking industry so as to avoid destabilizing deleveraging process which may harm the financial system and the economy in general, and to strengthen the system of capital requirements associated with risk with a simple backstop measure that is not based on risk profile.
To this end, Circular no. 285 of 17 December 2013 of the Bank of Italy, "supervisory Provisions for banks" requires banks to calculates their leverage ratio.
As required by the Regulation EU 62/2015, the Leverage Ratio is calculated as a ratio between Tier1 and a denominator that is based on the non-risk weighted assets (including off-balance sheet exposures) calculated at the end of the quarter. The exposures must be reported net of the regulatory adjustments included in the calculation of T1 in order to avoid any double counting. At present, the minimum thresholds for the Leverage Ratio have not yet been established by the Supervisory Authorities. However, as of 1 January 2015, quarterly disclosure has become obligatory in addition to the disclosure requirement
already in force. Moreover, as provided for by Commission Implementing Regulation (EU) 2016/200 of 15 February 2016, banks publish this disclosure as of 16 February 2016, the date following this regulation's publication in the Official Journal of the European Union.
The Group's leverage ratio was 4.94% as of 30 June 2020. Using regulatory capital calculated by applying the rules established for full implementation, the ratio stands at 4.21%.
In accordance with public disclosure requirements, the data necessary for its calculation is provided below.
The templates used to report the information are those provided for by the ITS on Disclosure (see "EBA FINAL draft Implementing Technical Standards on disclosure of the leverage ratio under Article 451(2) of Regulation (EU) No 575/2013 (Capital Requirements Regulation - CRR)
-
Second submission following the EC's Delegated Act specifying the LR" -link) published by the EBA on 15/06/2015 and included in the Commission Implementing Regulation (EU) 2016/200 of 15 February 2016.
The tables below show the financial leverage ratio as of 30 June 2020 as well as a breakdown of the total exposure measure in the main categories, as required by articles 451(1)(a), 451(1)(b) and 451(1)(c). The figures shown
P I L L | A | R | 3 J U | N E 2 0 2 0 |
97
relate to the calculation of the leverage ratio according to applicable transitional provisions for reporting purposes.
The ratio is subject to a regulatory minimum threshold of 3% (the Basel Committee's reference value).
Leverage Ratio
Jun-20 | Dec-19 | ||
Capital and total exposures | |||
20 | Tier 1 capital | 7,723,868 | 8,620,324 |
21 | Total exposures | 156,278,504 | 141,097,698 |
Leverage ratio | |||
22 | Basel III leverage ratio | 4.94% | 6.11% |
Process used to manage the risk of excessive leverage (in accordance with article 451(1) letter d) of the CRR)
The Group's Risk Appetite Framework (RAF) constitutes the basic risk management framework in the Montepaschi Group. The RAF is governed at Group level by a regulatory framework that establishes a system of governance, processes, tools and procedures for fully managing the Group's risk. Leverage risk is included in the RAF and is therefore subject to the control procedures
contained therein. The Leverage Ratio is one of the Key Risk Indicators monitored within the RAF for 2020. As of 30 June 2020, the Group recorded a decrease in the financial leverage indicator linked to the increase in Total exposures and to the decrease in Tier1 capital compared to 31/12/2019.
G R U P P O M O N T E P A S C H I
Declaration of the Financial Reporting Officer | 98 |
Declaration of the Financial Reporting Officer
Pursuant to para. 2, article 154-bis of the Consolidated Law on Banking, the Financial Reporting Officer, Mr. Nicola Massimo Clarelli, declares that the accounting
information contained in this document corresponds to the underlying documentary evidence and accounting records.
Siena, 6 August 2020
Nicola Massimo Clarelli
Financial Reporting Officer
P I L L | A | R | 3 J U | N E 2 0 2 0 |
99 | |||||||
List of Tables | |||||||
Main features of the instrument. . | . . . . . . . . . . . . . . . . . . | . . . . . . . . | . 13 | ||||
Main features of the instrument. . | . . . . . . . . . . . . . . . . . . | . . . . . . . . | . 14 | ||||
Main features of the instrument. . | . . . . . . . . . . . . . . . . . . | . . . . . . . . | . 15 | ||||
Transitional own funds disclosure template . . | . . . . . . . . . . . . . . | . . . . . . . | . | 16 | |||
Own Funds: Additional Tier 1 (AT1) capital. . | . . . . . . . . . . . . . | . . . . . . . . | . 17 | ||||
Own Funds: Tier 2 (T2) capital. . | . . . . . . . . . . . . . . . . . . | . . . . . . . . | . 18 | ||||
Own Funds: Capital ratios and buffers.. . . . . . . . . . . . . . . . . | . . . . . . . . | 19 | |||||
Reconciliation of shareholders' equity and the Common Equity Tier 1 . . | . . . | . . . . . . . . | . 20 | ||||
Full reconciliation of the components of Common Equity Tier 1, | |||||||
Additional Tier 1 and Tier 2 capital, as well as the filters and deductions applied | |||||||
to the institution's own funds and the balance sheet of the financial statements . . | . . . . . . . . | . 21 | |||||
Amount of institution-specific countercyclical buffer. . | . . . . . . . . . . | . . . . . . . . | . 25 | ||||
Capital requirements and Regulatory capital ratios.. . . . . . . . . . . . . | . . . . . . . | . | 26 |
EU IFRS 9 - Comparison of institutions' own funds and capital and leverage ratios with and without the
application of transitional arrangements for IFRS 9 or analogous ECLs | . . . . . . . . . . . . . | . 27 | ||||
EU OV1 - Overviews of RWAs. . | . . . . . . . . . . . . . . . . . . . . . . . . . . | . 30 | ||||
Capital requirements for Credit and Counterparty Risk | . . | . . . . . . . . . . . . . . . . . | . 32 | |||
Capital requirements for Credit and Counterparty Risk | . . | . . . . . . . . . . . . . . . . . | . 33 | |||
Capital requirements for Credit and Counterparty Risk | ||||||
(IRB methods) - Specialised lending - slotting criteria. | . . . | . . . . . . . . . . . . . . . | 34 | |||
Capital requirements for Market Risk. . . . | . . . . . . . . . . . . . | . . . . . . . . . | 34 | |||
Capital requirements for Operational Risk | . . . . . . . . . . . . . . . . . . . . . . . . | . 34 | ||||
EU CR8 - RWA flow statements of Credit Risk exposures under the IRB approach . | . . . . . . . | . 34 | ||||
EU INS1 - Non-deducted participations in insurance undertakings . . | . . . . . . . . . . . . | . 35 | ||||
EAD and RWA overview between Credit Risk and Counterparty Risk.. . . . . . . . . . . . . | 38 | |||||
Exposure and RWA Distribution of Credit and Counterparty Risk . . | . . . . . . . . . . . . | . | 39 | |||
Standard approach: Ante and Post CRM Exposure Value. . | . . . . . . . . . . . . . . . . | . | 41 | |||
Standard approach: Distribution in classes of creditworthiness (EAD post CRM) . . | . . . . . . . | . 42 | ||||
EU CR5 - Standard approach. . | . . . . . . . . . . . . . . . . . . . . . . . . . . | . | 43 | |||
AIRB Approach: Summary of Exposures, RWAs, expected and actual losses . . . . . . . | . . . . | 45 | ||||
IRB Approach: Exposures, expected and actual losses distribution by regulatory portfolio and PD | ||||||
classes (except for Specialized lending). . | . . . . . . . . . . . . . . . . . . . . . . . | . | 46 | |||
EU CR10 - IRB (Specialized lending and equities) . . | . . . . . . . . . . . . . . . . . . | . | 47 | |||
EU CR6 - IRB approach: Exposures to or secured by corporates - SMEs . . . . . . . . . | . . . | 48 | ||||
EU CR6 - IRB approach: Exposures to or secured by corporates - Other companies. | . . . . . . . | . 49 |
G R U P P O M O N T E P A S C H I
100
EU CR6 - IRB approach: Retail Exposures Secured by real estate - SMEs . . . . . . . . . . . . . 50
EU CR6 - IRB approach: Retail Exposures Secured by real estate - Individuals. . . . . . . . . . . 51
EU CR6 - IRB approach: Qualifying revolving Retail Exposures. . . . . . . . . . . . . . . . 52
EU CR6 - IRB approach: Other retail Exposures - SMEs . . . . . . . . . . . . . . . . . . . 53
EU CR6 - IRB approach: Other retail Exposures - Individuals . . . . . . . . . . . . . . . . . 54
IRB approach: Exposures to or secured by corporates - Geographic Segmentation . . . . . . . . . | 56 |
IRB approach: Retail Exposures - Geographic Segmentation. . . . . . . . . . . . . . . . . . 56
EU CR1-A - Credit quality of exposures by exposure class and instrument. . . . . . . . . . . . 57
Credit quality Credit quality of forborne exposures (Template 1 - EBA GL 2018/10). . . . . . . . 58
Credit Quality of performing and non performing exposures by
past due days (Template 3 - EBA GL 2018/10). . . . . . . . . . . . . . . . . . . . . . . 59
Performing and non-performing exposures and related provisions (Template 4 - EBA GL 2018/10) . . . . 60
Quality of non-performing exposures by geography (Template 5 - EBA GL 2018/10). | . . . . . . | 61 | ||
Quality of non-performing exposures by geography (Template 5 - EBA GL 2018/10). | . . . . . . | 62 | ||
Quality of non-performing exposures by geography (Template 5 - EBA GL 2018/10). | . . . . . . | 63 | ||
Quality of non-performing exposures by geography (Template 5 - EBA GL 2018/10). | . . . . . . | 64 | ||
Quality of non-performing exposures by geography (Template 5 - EBA GL 2018/10). | . . . . . . | 65 | ||
Quality of non-performing exposures by geography (Template 5 - EBA GL 2018/10). | . . . . . . | 66 | ||
Credit quality of loans and advances by industry (Template 6 - EBA GL 2018/10). . | . . . . . | . . | 66 | |
Changes in the stock of non-performing loans and advances | ||||
Guidelines NPL (Template 8 - EBA GL 2018/10). . . | . . . . . . . . . . . . . . . . . . | 67 | ||
Foreclosed assets (Template 9 - EBA GL 2018/10) . . | . . . . . . . . . . . . . . . . . | . . | 68 | |
Information on loans and advances subject to legislative | ||||
and non-legislative moratoria (Template 1 - EBA GL 2010/07). . . . . . . . . . . . . . . . | 69 | |||
Breakdown of loans and advances subject to legislative and | ||||
non-legislative moratoria by residual maturity of moratoria (Template 2 - EBA GL 2010/07) . . | . . | . 70 | ||
Information on newly originated loans and advances provided under newly applicable public | ||||
guarantee schemes introduced in response to COVID-19 crisis (Template 3 - EBA GL 2010/07) . | . . | 71 | ||
Credit risk mitigation techniques (Standard approach) | . . . . . . . . . . . . . . . . . . . | 73 | ||
Credit risk mitigation techniques (IRB approach) . . | . . . . . . . . . . . . . . . . . | . . | . 74 | |
EU CR3 - CRM Techniques - Overview. . . . . . . . . . . . . . . . . . . . . . . . | 75 | |||
EU CR4 - Standard approach - Credit Risk Exposure and CRM effects. . . . . . . . . . . | . . | 75 | ||
EU CCR1 - Analysis of CCR exposure by approach. . . . . . . . . . . . . . . . . . | . . | . 76 | ||
EU CCR2 - CVA capital charge . . . . . . . . . . . . . . . . . . . . . . . . . . | . . | 76 | ||
EU CCR3 - Standard approach - CCR exposures by regulatory portfolio and risk. . . . . . . | . . | 77 | ||
EU CCR4 - IRB approach - CCR exposures by exposure class and PD scale: Total. . . . . . | . . . . | 78 | ||
EU CCR4 - IRB approach - CCR exposures by exposure class and PD scale: | ||||
Exposures to or secured by corporates - SMEs . . . . . . . . . . . . . . . . . . . . . | . . | 79 |
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Banca Monte dei Paschi di Siena S.p.A. published this content on 21 August 2020 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 21 August 2020 14:44:04 UTC