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%

  1. 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

  1. 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

Attachments

  • Original Link
  • Original Document
  • Permalink

Disclaimer

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.