Pillar 3 Disclosure
Update as at
30 September 2023
Pillar 3 Disclosure
Update as at
30 September 2023
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
P I L L A R 3 S E P T E M B E R 2 0 2 3
5
Index
Index. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
Disclosure of key metrics and overview of risk-weighted exposure amounts - (Annex I). . . | 9 | |
Disclosure of liquidity requirements - (Annex XIII) | . | . 12 |
Disclosure of the use of the IRB approach to credit risk - (Annex XXI) | 14 | |
Declaration of the Financial Reporting Officer | . | . 15 |
List of tables. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 Appendix 1 - Details of Information provided in compliance with EBA/ITS/2020/04. . . . 17 Appendix 2 - Details of Information provided in compliance with EBA/GL/2020/12. . . . . . 17 Contacts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
G R U P P O M O N T E P A S C H I
Introduction | 7 |
Introduction
The new Pillar 3 disclosure framework, that aims to foster the role of institutions'disclosures in promoting market discipline, entered into force as of 30 June 2021. 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.
It thus incorporates the minimum capital requirements (Pillar I) and the prudential control process (Pillar II).
In particular, the new Pillar 3 disclosure
framework, in force since 30 June 2021, seeks to:
- improve clarity for users of information, by provide a single comprehensive package;
- ensure consistency and comparability among the intermediaries;
- facilitate access by users of information to institutions' key prudential data by introducing the new key metrics templates;
- facilitate technical implementation for the retrieval of information;
- increase the efficiency of disclosures and reduce costs through synergies and integration of quantitative information
with supervisory reporting.
The regulatory sources of reference are: -
the new EU Regulation 2019/876 (CRR2) amending EU Regulation no. 575/2013 (CRR), which, in Article 434a, mandated the EBA to develop implementing technical standards (ITS) specifying the uniform disclosure formats required under Titles II and III of Part 8 of the CRR.
The standardisation process pursued by the EBA through subsequent ITS releases (EBA/ITS/2020/04 and EBA/ITS/2021/07
- IRRBB) is not applied in the following cases, which continue to be governed by the previous guidelines:
- disclosure requirements of the | IFRS |
9 transitional arrangement | (EBA/ |
GL/2020/12). |
Pillar 3 Disclosure is prepared at consolidated level by the Parent Company.
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 Annual Pillar 3 Report as of December 31st, 2022.
Further information on the Group's risk
G R U P P O M O N T E P A S C H I
Introduction | 8 |
profile, pursuant to Art. 434 of the CRR, is also published in the Consolidated Interim Reportas at 30 September 2023, the Report on Corporate Governanceand the Remuneration Report.
Unless otherwise indicated, all the amounts in this report are stated in thousand Euros. The Montepaschi Group regularly publishes its Pillar 3 disclosures on its website at:english.mps.it/investors.
P I L L A R 3 S E P T E M B E R 2 0 2 3
Annex I | 9 |
Disclosure of key metrics and overview of risk- weighted exposure amounts - (Annex I)
EU KM1 - Key metrics template
a | b | c | d | e | ||
Sep-23 | Jun-23 | Mar-23 | Dec-22 | Sep-22 | ||
Available own funds (amounts) | ||||||
1 | Common Equity Tier 1 (CET1) capital | 7,867,879 | 7,895,855 | 7,117,522 | 7,601,176 | 4,633,535 |
2 | Tier 1 capital | 7,867,879 | 7,895,855 | 7,117,522 | 7,601,176 | 4,633,535 |
3 | Total capital | 9,582,195 | 9,648,923 | 8,908,932 | 9,373,413 | 6,438,667 |
Risk-weighted exposure (amounts) | ||||||
4 | Total risk-weighted exposure amount | 49,046,796 | 49,793,740 | 49,382,021 | 45,686,193 | 46,359,725 |
Capital ratios (as a percentage of risk-weighted exposure amount) | ||||||
5 | Common Equity Tier 1 ratio (%) | 16.0416% | 15.8571% | 14.4132% | 16.6378% | 9.9947% |
6 | Tier 1 ratio (%) | 16.0416% | 15.8571% | 14.4132% | 16.6378% | 9.9947% |
7 | Total capital ratio (%) | 19.5368% | 19.3778% | 18.0408% | 20.5169% | 13.8885% |
Additional own funds requirements based on SREP (as a percentage of risk-weighted exposure amount) | ||||||
EU 7a | Additional own funds requirements to address risks other than the risk of excessive leverage (%) | 2.7500% | 2.7500% | 2.7500% | 2.7500% | 2.7500% |
EU 7b | of which: to be made up of CET1 capital (percentage points) | 1.5469% | 1.5469% | 1.5469% | 1.5469% | 1.5469% |
EU 7c | of which: to be made up of Tier 1 capital (percentage points) | 2.0625% | 2.0625% | 2.0625% | 2.0625% | 2.0625% |
EU 7d | Total SREP own funds requirements (%) | 10.7500% | 10.7500% | 10.7500% | 10.7500% | 10.7500% |
Combined buffer requirement (as a percentage of risk-weighted exposure amount) | ||||||
8 | Capital conservation buffer (%) | 2.5000% | 2.5000% | 2.5000% | 2.5000% | 2.5000% |
EU 8a | Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member | |||||
State (%) | ||||||
9 | Institution specific countercyclical capital buffer (%) | 0.0150% | 0.0140% | 0.0080% | 0.0080% | 0.0030% |
EU 9a | Systemic risk buffer (%) | |||||
10 | Global Systemically Important Institution buffer (%) | |||||
EU 10a | Other Systemically Important Institution buffer | 0.2500% | 0.2500% | 0.2500% | 0.2500% | 0.2500% |
11 | Combined buffer requirement (%) | 2.7650% | 2.7640% | 2.7580% | 2.7580% | 2.7530% |
EU 11a | Overall capital requirements (%) | 13.5150% | 13.5140% | 13.5080% | 13.5080% | 13.5030% |
12 | CET1 available after meeting the total SREP own funds requirements (%) | 7.9791% | 7.7946% | 6.3507% | 8.5753% | 1.9322% |
Leverage ratio | ||||||
13 | Leverage ratio total exposure measure | 127,978,933 | 126,974,590 | 131,695,912 | 131,823,310 | 140,558,343 |
14 | Leverage ratio | 6.1478% | 6.2185% | 5.4045% | 5.7662% | 3.2965% |
Additional own funds requirements to address risks of excessive leverage (as a percentage of leverage ratio total exposure amount)
EU 14a | Additional own funds requirements to address the risk of excessive leverage (%) | |||||
EU 14b of which: to be made up of CET1 capital (percentage points) | ||||||
EU 14c | Total SREP leverage ratio requirements (%) | 3.0000% | 3.0000% | 3.0000% | 3.0000% | 3.0000% |
Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure)
EU 14d | Leverage ratio buffer requirement (%) | |||||
EU 14e | Overall leverage ratio requirement (%) | 3.0000% | 3.0000% | 3.0000% | 3.0000% | 3.0000% |
Liquidity Coverage Ratio | ||||||
15 | Total high-quality liquid assets (HQLA) (Weighted value - average) | 24,067,555 | 24,941,115 | 25,298,979 | 25,215,509 | 24,925,367 |
EU 16a | Cash outflows - Total weighted value | 14,541,961 | 14,937,275 | 15,348,470 | 15,587,705 | 15,671,135 |
EU 16b | Cash inflows - Total weighted value | 1,982,558 | 1,954,637 | 1,920,604 | 1,863,889 | 1,801,669 |
16 | Total net cash outflows (adjusted value) | 12,559,403 | 12,982,639 | 13,427,865 | 13,723,817 | 13,869,466 |
17 | Liquidity coverage ratio (%)* | 192.21% | 193.11% | 189.12% | 183.95% | 179.88% |
Net Stable Funding Ratio | ||||||
18 | Total available stable funding | 79,511,173 | 82,468,406 | 83,541,632 | 86,919,862 | 95,466,850 |
19 | Total required stable funding | 60,801,199 | 61,699,412 | 63,342,904 | 64,795,074 | 68,927,872 |
20 | NSFR ratio (%) | 130.77% | 133.66% | 131.89% | 134.15% | 138.50% |
- The values shown are calculated as simple averages of month-end observations in the twelve months preceding the end of each quarter, consistent with the representation provided in the EU LIQ1 table.
G R U P P O M O N T E P A S C H I
Annex I | 10 | ||||
EU OV1 - Overview of total risk exposure amounts | |||||
RWA | Capital requirements | ||||
Sep-23 | Jun-23 | Sep-23 | |||
1 | Credit risk (excluding CCR) | 35,354,322 | 35,416,906 | 2,828,346 | |
2 | Of which the standardised approach | 11,892,464 | 11,912,731 | 951,397 | |
3 | Of which the foundation IRB (FIRB) approach | - | - | - | |
4 | Of which: slotting approach | 1,058,091 | 1,000,228 | 84,647 | |
EU 4a | Of which: equities under the simple riskweighted approach | - | - | ||
5 | Of which the advanced IRB (AIRB) approach | 21,327,162 | 21,422,450 | 1,706,173 | |
6 | Counterparty credit risk - CCR | 1,039,871 | 1,207,755 | 83,190 | |
7 | Of which the standardised approach | 510,674 | 613,993 | 40,854 | |
8 | Of which internal model method (IMM) | - | - | - | |
EU 8a Of which exposures to a CCP | 41,102 | 33,944 | 3,288 | ||
EU 8b Of which credit valuation adjustment - CVA | 363,888 | 446,315 | 29,111 | ||
9 | Of which other CCR | 124,206 | 113,503 | 9,937 | |
15 | Settlement risk | - | - | - | |
16 | Securitisation exposures in the non-trading book (after the cap)* | 534,757 | 595,639 | 42,781 | |
17 | Of which SEC-IRBA approach | 509,878 | 573,711 | 40,790 | |
18 | Of which SEC-ERBA (including IAA) | 16,603 | 13,942 | 1,328 | |
19 | Of which SEC-SA approach | 8,275 | 7,986 | 662 | |
EU 19a | Of which 1250% | - | - | - | |
20 | Position, foreign exchange and commodities risks (Market risk) | 2,030,981 | 2,349,952 | 162,478 | |
21 | Of which the standardised approach | 2,030,981 | 2,349,952 | 162,478 | |
22 | Of which IMA | - | - | - | |
EU 22a | Large exposures | - | - | - | |
23 | Operational risk | 10,086,866 | 10,223,489 | 806,949 | |
EU 23a | Of which basic indicator approach | 90,290 | 90,290 | 7,223 | |
EU 23b | Of which standardised approach | - | - | - | |
EU 23c | Of which advanced measurement approach | 9,996,576 | 10,133,199 | 799,726 | |
24 | Amounts below the thresholds for deduction | 2,942,744 | 2,952,652 | 235,420 | |
(subject to 250% risk weight) (For information) | |||||
29 | TOTAL | 49,046,796 | 49,793,740 | 3,923,744 |
- The amount shown does not include equivalent deducted securitisations. The amount as at 30.09.2023 would still be zero as RWA and, of course, as a requirement.
Credit and market risk requirements decreased during the quarter. In credit risk, the requirement decreased across all components. In particular, the AIRB component decreased due to lower disbursements, partially offset by the unwinding of the CRC synthetic securitisation. The regulatory unwinding of the CRC results in a decrease in the securitisation requirement. In standard credit risk, there was a decrease mainly related to
the unwinding of derivative positions and lower other assets. Finally, in the area of market risk, the decrease is related to reduced activities in the equity securities area, as well as to the return of the foreign exchange position below the 2% level of regulatory capital (which reduces the requirement to zero), while in the area of operational risk the requirement is essentially unchanged.
P I L L A R 3 S E P T E M B E R 2 0 2 3
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Banca Monte dei Paschi di Siena S.p.A. published this content on 27 November 2023 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 27 November 2023 17:09:09 UTC.