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INTESA SANPAOLO PASSES THE EU-WIDE STRESS TEST


Torino, Milano, 23 July 2010

• Intesa Sanpaolo 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.

• Intesa Sanpaolo acknowledges the outcomes of the EU-wide stress tests.

• This stress test complements the risk management procedures and regular stress testing programmes set up in Intesa Sanpaolo under the Pillar 2 framework of the Basel II and CRD1 requirements.

• The exercise was conducted using the scenarios, methodology and key assumptions provided by CEBS (see the aggregate report published on the CEBS website2). As a result of the assumed shock under the adverse scenario, the estimated consolidated Tier 1 capital ratio would change to 8.8% in 2011 compared to 8.3% 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 8.2% at the end of 2011, compared with the CRD regulatory minimum of 4%.

• The results of the stress suggest a buffer of 8,500 mln EUR of the Tier 1 capital against the threshold of 6% of Tier 1 capital adequacy ratio for Intesa Sanpaolo 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 Intesa Sanpaolo.

• 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 therefore not very likely to materialise. Different stresses may produce different outcomes depending on the circumstances of each institution.

___________________
1 Directive EC/2006/48 – Capital Requirements Directive (CRD)
2 http://stress-test.c-ebs.org/results.htm


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 CEBS3. Information can also be obtained from the website of Banca d’Italia4
.

__________________
3 See: http://stress-test.c-ebs.org/results.htm
4 See: http://www.bancaditalia.it/vigilanza/stress_test;internal&action=_setlanguage.action?LANGUAGE=en

 

 

Investor Relations
+39.02.87943180
investor.relations@intesasanpaolo.com

Media Relations
+39.02.87963531
stampa@intesasanpaolo.com


group.intesasanpaolo.com

 

 

 Template for bank specific publication of the stress test outputs 

 Name of bank: INTESA SANPAOLO 
   
 Actual results 
 At December 31, 2009  

mln EUR

 
Total Tier 1 capital   

30,205

Total regulatory capital   

 

42,754

Total risk weighted assets   

361,750

Pre-impairment income (including operating expenses)   

8,021

Impairment losses on financial assets in the banking book   

-3,941

1 yr Loss rate on Corporate exposures (%)1  

1.05%

1 yr Loss rate on Retail exposures (%)1   

0.97%

Tier 1 ratio (%)   

8.3%

   
 Outcomes of stress test scenarios 
 The stress test was carried out under a number of key common simplifying assumptions (e.g. constant balance sheet, uniform treatment of securitisation  exposures). Therefore, the information relative to the benchmark scenarios is provided only for comparison purposes. Neither the benchmark scenario nor the adverse scenario should in any way be construed as a forecast.
 Benchmark scenario at December 31, 2011  

mln EUR

 
Total Tier 1 capital after the benchmark scenario  

33,934

Total regulatory capital after the benchmark scenario   

43,550

Total risk weighted assets after the benchmark scenario   

345,167

Tier 1 ratio (%) after the benchmark scenario   

9.8%

     
Adverse scenario at December 31, 20112   

mln EUR

 
Total Tier 1 capital after the adverse scenario   

33,326

Total regulatory capital after the adverse scenario   

42,782

Total risk weighted assets after the adverse scenario   

377,451

2 yr cumulative pre-impairment income after the adverse scenario (including operating expenses)2  

17,782

2 yr cumulative impairment losses on financial assets in the banking book after the adverse scenario  

-10,865

2 yr cumulative losses on the trading book after the adverse scenario  

-586

2 yr Loss rate on Corporate exposures (%) after the adverse scenario1, 2  

2.81%

2 yr Loss rate on Retail exposures (%) after the adverse scenario1,  

2.34%

Tier 1 ratio (%) after the adverse scenario   

8.8%

     
Additional sovereign shock on the adverse scenario at December 31, 2011   

mln EUR

 
Additional impairment losses on the banking book after the sovereign shock2   

-928

Additional losses on sovereign exposures in the trading book after the sovereign shock2   

-1,915

2 yr Loss rate on Corporate exposures (%) after the adverse scenario and sovereign shock1, 2,  

3.09%

2 yr Loss rate on Retail exposures (%) after the adverse scenario and sovereign shock1, 2, 3   

2.56%

Tier 1 ratio (%) after the adverse scenario and sovereign shock   

8.2%

Additional capital needed to reach a 6 % Tier 1 ratio under the adverse scenario + additional sovereign shock, at the end of 2011    

 - 

     
1. Impairment losses as a % of corporate/retail exposures in AFS, HTM, and loans and receivables portfolios    
2. Cumulative for 2010 and 2011     
3. On the basis of losses estimated under both the adverse scenario and the additional sovereign shock     
Exposures to central and local governments
Banking group's exposure on a consolidated basis  
Amount in million reporting currency    
 
Name of bank

INTESA SANPAOLO

Reporting date 31 March 2010

 

  Gross exposures of which
Banking book
of which
Trading book
Net exposures
Austria 57 6 51 50
Belgium 74 34 40 40
Bulgaria        
Cyprus        
Czech Republic        
Denmark        
Estonia        
Finland        
France 434 45 389 434
Germany 529 335 194 380
Greece 828 536 292 828
Hungary 718 596 122 703
Iceland        
Ireland 156 156 0 156
Italy 63,681 41,121 22,560 63,543
Latvia        
Liechtenstein        
Lithuania        
Luxembourg 44 44 0 44
Malta        
Netherlands 3 3 0 3
Norway        
Poland        
Portugal 25 25 0 25
Romania        
Slovakia 3,038 2,956 82 3,038
Slovenia 177 177 0 177
Spain 556 546 10 556
Sweden        
United Kingdom 1,080 0 1,080 1,069
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