PRESS RELEASE
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Banca Monte dei Paschi di Siena SpA was subject to the 2010 EU-wide stress
testing exercise coordinated by the Committee of European Banking
Supervisors (CEBS), in cooperation with the European Central Bank, and Banca
d’Italia.
Banca Monte dei Paschi di Siena SpA acknowledges the outcomes of the EUwide stress tests.
This stress test complements the risk management procedures and regular
stress testing programmes set up in Banca Monte dei Paschi di Siena SpA under
the Pillar 2 framework of the Basel II, CRD1 requirements and National
Legislation.
The exercise was conducted using the scenarios, methodology and key
assumptions provided by CEBS (see the aggregate report published on the
CEBS2 website). As a result of the assumed shock under the adverse scenario,
the estimated consolidated Tier 1 capital ratio would change to 6.8% in 2011
compared to 7.5% as of end of 2009. An additional sovereign risk scenario
would have a further impact of 0.6 percentage point on the estimated Tier 1
capital ratio, bringing it to 6.2% at the end of 2011, compared with the CRD
regulatory minimum of 4%.
The results of the stress suggest a buffer of 235 mln EUR of the Tier 1 capital
against the threshold of 6% of Tier 1 capital adequacy ratio for Banca Monte dei
Paschi di Siena SpA agreed exclusively for the purposes of this exercise. This
threshold should by no means be interpreted as a regulatory minimum (the
regulatory minimum for the Tier 1 capital ratio is set to 4%), nor as a capital
target reflecting the risk profile of the institution determined as a result of the
supervisory review process in Pillar 2 of the CRD.
Banca d’Italia has held rigorous discussions of the results of the stress test with
Banca Monte dei Paschi di Siena SpA.
Given that the stress test was carried out under a number of key common
simplifying assumptions (e.g. constant balance sheet) the information on
benchmark scenarios is provided only for comparison purposes and should in no
way be construed as a forecast.
In the interpretation of the outcome of the exercise, it is imperative to
differentiate between the results obtained under the different scenarios
developed for the purposes of the EU-wide exercise. The results of the adverse
scenario should not be considered as representative of the current situation or
possible present capital needs. A stress testing exercise does not provide
forecasts of expected outcomes since the adverse scenarios are designed as
"what-if" scenarios including plausible but extreme assumptions, which are
Directive EC/2006/48 – Capital Requirements Directive (CRD)
See: http://stress-test.c-ebs.org/results.htm
Banca Monte dei Paschi di Siena SpA
Media Relations - Tel: +39 0577.299927 - [email protected]
Investor Relations – Tel: +39 0577.293038 – [email protected]
therefore not very likely to materialise. Different stresses may produce different
outcomes depending on the circumstances of each institution.
 Background
The objective of the 2010 EU-wide stress test exercise conducted under the
mandate from the EU Council of Ministers of Finance (ECOFIN) and coordinated
by CEBS in cooperation with the ECB, national supervisory authorities and the
EU Commission, is to assess the overall resilience of the EU banking sector and
the banks’ ability to absorb further possible shocks on credit and market risks,
including sovereign risks.
The exercise has been conducted on a bank-by-bank basis for a sample of 91
EU banks from 20 EU Member States, covering at least 50% of the banking
sector, in terms of total consolidated assets, in each of the 27 EU Member
States, using commonly agreed macro-economic scenarios (benchmark and
adverse) for 2010 and 2011, developed in close cooperation with the ECB and
the European Commission.
More information on the scenarios, methodology, aggregate and detailed
individual results is available from CEBS. Information can also be obtained
from the website of Banca d’Italia3.
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See: http://www.bancaditalia.it/vigilanza/stress_test;internal&action=_setlanguage.action?LANGUAGE=en
Banca Monte dei Paschi di Siena SpA
Media Relations - Tel: +39 0577.299927 - [email protected]
Investor Relations – Tel: +39 0577.293038 – [email protected]
Remarks by Banca Monte dei Paschi di Siena
Group satisfied with good stress test results
 Capital ratios resilient despite strong penalization of asset
structure in simulations
 Commitment to capital strengthening continues
SIENA – 23 July 2010 - With respect to the recently disclosed results from the
stress tests, considered by the Group as an important process to restore
confidence in the financial markets, Banca Monte dei Paschi di Siena is
satisfied to note the adequacy of its capital ratios.
It is confirmed that the Montepaschi Group has passed the stress test
exercise even under test conditions that were detrimental to the Group’s
asset structure, as they were simulated on the basis of a particularly negative
scenario, reflective of the 5.1% GDP decline in 2009.
The base level assumptions for the stress test exercise (2009 data) included
approximately a 25% higher cost of credit than the one currently measured,
which has seen a considerable reduction in 2010 as a result of the credit
policies implemented in the course of the last two years.
With regard to the trading book, it is noted that stress test assumptions were
particularly severe, since the stock of government bonds held (almost entirely
Italian), with maturities in 2010 and 2011, accounts for approximately 70% of
the Group’s total trading book. The amount of value adjustments (capital
losses) attributable to these securities, therefore, is only “theoretical”, as they
are expected to be redeemed at par by 2011. This stress scenario had a
negative impact of approximately 30 basis points.
The good stress test results, however, will not weaken the Bank’s
commitment to its pass towards capital strengthening, which has already led
to a Tier 1 organic growth of approximately 100 basis points since 2009, even
in the presence of extensive Group reorganisation.
In addition to the above, the following initiatives are not yet comprised in the
current capital ratios:
Banca Monte dei Paschi di Siena SpA
Media Relations - Tel: +39 0577.299927 - [email protected]
Investor Relations – Tel: +39 0577.293038 – [email protected]
 The disposal of 72 branches, in abidance by the Antitrust requirements,
is expected to result in a 25 basis point benefit
 The recently announced transaction for the reorganisation of Group
asset management which, besides being of remarkable significance for
the industry, is expected to generate additional capital benefits, will be
completed by the end of 2010
 The completion of the Group’s real estate reorganisation effort is
expected to translate into an approximate increase of up to 40 basis
points over the next months
 The Group has completed all initiatives which have enabled the Bank to
apply to the Supervisory Authority for the extension of Basel 2
advanced internal ratings-based models to Banca Antonveneta and the
reduction of the Montepaschi Group’s current floor levels to a level
comparable with other European banks. In case of acceptance, a
benefit of 40 to 50 basis points is expected.
The Bank confirms its commitment to improving profit from continuing
operations, maintaining risk levels under stringent control and further
rationalising current equity investments, consistently with its business
strategy and with a view to further optimising the capital position achieved.
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Banca Monte dei Paschi di Siena SpA
Media Relations - Tel: +39 0577.299927 - [email protected]
Investor Relations – Tel: +39 0577.293038 – [email protected]