press release comprehensive assessment results were released

PRESS RELEASE
COMPREHENSIVE ASSESSMENT RESULTS WERE RELEASED
TODAY
CREVAL PASSED THE TEST FACTORING IN THE CAPITAL
STRENGTHENING MEASURES TAKEN BY THE GROUP IN 2014
Sondrio, 26 October 2014 – The Comprehensive Assessment (CA) final results were released
earlier today. The exercise was conducted by the European Central Bank (ECB) in cooperation with
the National Competent Authorities (NCA) – i.e. the Bank of Italy for our country – and was aimed
at providing an in-depth assessment of banks’ capital soundness prior to assuming full responsibility
for supervision under the Single Supervisory Mechanism (SSM) in November 2014. 130 Eurozonebased banks, including those of Lithuania, were subjected to the comprehensive assessment
exercise. Together, they account for 85% of overall banking activities.
The comprehensive assessment is an important first step towards enhancing the transparency of
the banks’ balance sheets and consistency of supervisory practices in Europe. The assessment
started in November 2013 and took 12 months to complete. The comprehensive assessment was
carried out by the ECB in collaboration with the National Competent Authorities (NCAs) of the
Member States participating in the SSM, and supported at all levels by independent third parties.
The assessment exercise relies on two main pillars:
• an Asset Quality Review (AQR) – to enhance the transparency of bank balance sheets by
reviewing the quality of banks’ assets, including the adequacy of asset and collateral valuation and
related provisions;
• a Stress Test – performed in close cooperation with the European Banking Authority (EBA).
The test examined the resilience of banks’ balance sheets to stress scenarios. The outcomes of
the stress test reflect the predefined baseline and adverse stress test scenario, where the baseline
scenario assumptions about the worsening of the economic cycle are more conservative whilst
those of the adverse scenario are highly unfavourable.
For the Creval Group, the Comprehensive Assessment led to a positive outcome, factoring
in the capital strengthening measures taken by the Group in 2014 - EUR 415 million - as outlined
in the table below.
PRESS RELEASE
Results of the Comprehensive Assessment
Results disclosed by the ECB
Mill. EUR
Min Excess/Max
Shortfall
Main capital
strengthening
measures (1)
Excess/Shortfall,
including main
capital
strengthening
measures
C
D = min(A,B,C)
E
F = D+E
-376.66
-376.66
415
38.34
Excess/Shortfall
after the AQR
Excess/Shortfall
after the ST
baseline
Excess/Shortfall
after the ST
adverse
A
B
-88.05
-196.99
Excess/Shortfall
after the AQR,
including main
capital
strengthening
measures
Results including other capital
strengthening measures
Other capital
strengthening
measures (2)
Final
Excess/Shortfall,
including all
capital
strengthening
measures
G = A+E
H
I = D+E+H
326.95
12.00
50.34
(1) Include the EUR 400 million capital increase completed in June 2014, the ordinary and extraordinary exercise of “Warrant
Azioni Ordinarie Creval 2014” (EUR 13 million) and the benefit of the measurement of the shareholdings of Bank of Italy
(EUR 2 million).
(2) Include the disposal of Creval’s leasing business unit to Alba Leasing (EUR 11.77 million of capital gain and EUR 56
million as RWA reduction)
Adjusted CET1 ratio after stress test adverse scenario, including all eligible capital
strengthening actions undertaken between 1 January and 20 September 2014
5.8%
(RWAs used for the calculation are those of the worst year in the relevant scenario)
Following the outcome of the comprehensive assessment exercise and taking into account all capital
strengthening measures taken by Creval over the course of 2014 – mainly the EUR 400 million
capital increase completed in June which, alone, would have sufficed to cover the maximum capital
shortfall identified by the CA exercise – the adjusted CET1 Ratio after stress test adverse scenario
comes in at 5.8%.
As Creval calculated the ratio applying the standard methodology of RWAs for credit risk, it does
not include the benefit deriving from the Advanced Internal Rating Based model
validation, estimated in approx. 130 basis points, as pointed out with reference to the risk
optimization and capital management actions outlined in the 2014-2016 business plan.
***
The comprehensive assessment is prudential in nature. Accounting rules were an important
consideration. For the purposes of the exercise, the ECB was not bound by accounting rules where
the application of prudential or economic judgement led to an alternative result. It should also be
noted, that because the exercise is prudential it does not necessitate accounting changes.
PRESS RELEASE
Further details on the results of the AQR and stress test under the baseline and adverse scenarios
as well as information on credit exposures and exposures to central and local governments are
provided in the complete Disclosure Templates available on the ECB and EBA websites, as well as
on Creval’s website.
The outcomes of the stress test reflect the predefined baseline and adverse stress test scenario that
are designed as ‘what-if’ scenarios including plausible but extreme assumptions, which are therefore
not very likely to materialize and that cannot be considered as forecasts of financial performance
nor forecasts of capital ratios.
Annexed to this press release is Section 1. ‘MAIN RESULTS AND OVERVIEW’ of the Disclosure
Template the ECB published on Credito Valtellinese.
Company Contacts
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Email: [email protected]
Media relations
Telephone +39 02 80637403
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2014 COMPREHENSIVE ASSESSMENT OUTCOME
ECB PUBLIC
NAME OF THE ENTITY
ITCRVA
Banca Piccolo Credito Valtellinese, Società Cooperativa
1
Main Results and Overview
A
MAIN INFORMATION ON THE BANK BEFORE THE COMPREHENSIVE ASSESSMENT (end 2013)
END 2013
A1
Total Assets (based on prudential scope of consolidation)
Mill. EUR
27.203,00
A2
Net (+) Profit/ (-) Loss of 2013 (based on prudential scope of consolidation)
Mill. EUR
12,00
A3
Common Equity Tier 1 Capital
according to CRDIV/CRR definition, transitional arrangements as of 1.1.2014
Mill. EUR
1.590,10
A4
Total risk exposure *
according to CRDIV/CRR definition, transitional arrangements as of 1.1.2014
Mill. EUR
18.096,00
A5
Total exposure measure according to Article 429 CRR
"Leverage exposure"
Mill. EUR
28.651,00
A6
CET1 ratio
according to CRDIV/CRR definition, transitional arrangements as of 1.1.2014
A6=A3/A4
%
8,79%
A7
Tier 1 Ratio (where available)
according to CRD3 definition, as of 31.12.2013 as reported by the bank
%
8,63%
A8
Core Tier 1 Ratio (where available)
according to EBA definition
%
8,63%
A9
Leverage ratio
%
5,57%
A10
Non-performing exposures ratio
%
15,54%
A11
Coverage ratio for non-performing exposure
%
35,29%
A12
Level 3 instruments on total assets
%
0,26%
B
MAIN RESULTS OF THE COMPREHENSIVE ASSESSMENT (CA)
B1
CET1 Ratio
at year end 2013 including retained earnings / losses of 2013
B1 = A6
B2
Aggregated adjustments due to the outcome of the AQR
B3
AQR adjusted CET1 Ratio
B3 = B1 + B2
B4
Aggregate adjustments due to the outcome of
the baseline scenario of the joint EBA ECB Stress Test
to lowest capital level over the 3-year period
B5
Adjusted CET1 Ratio after Baseline Scenario
B5 = B3 + B4
B6
Aggregate adjustments due to the outcome of
the adverse scenario of the joint EBA ECB Stress Test
to lowest capital level over the 3-year period
B7
Adjusted CET1 Ratio after Adverse Scenario
B7 = B3 + B6
Capital Shortfall
%
Basis Points
Change
%
8,79%
-127
7,52%
Basis Points
Change
%
Basis Points
Change
%
-57
6,95%
-401
3,51%
Basis Points
1
Mill. EUR
B8
to threshold of 8% for AQR adjusted CET1 Ratio
48
88,05
B9
to threshold of 8% in Baseline Scenario
105
196,99
B10
to threshold of 5.5% in Adverse Scenario
199
376,66
B11
Aggregated Capital Shortfall of the Comprehensive Assessment
B11 = max( B8, B9, B10 )
199
376,66
* Total risk exposure figure is pre-AQR. Please note that the corresponding Year End 2013 figure in the EBA Transparency template is post-AQR and therefore may not match exactly.
1
RWA used corresponds to relevant scenario in worst case year
Overview AQR
Overview Baseline
Overview Adverse
10%
9%
1,27%
8%
0,57%
7%
6%
4,01%
5%
4%
8,79%
7,52%
3%
6,95%
7,52%
2%
3,51%
1%
0%
CET 1 Ratio at year
Aggregated
AQR adjusted CET1
Aggregate
Adjusted CET1 Ratio AQR adjusted CET1
end 2013 including adjustments due to
Ratio
adjustments due to
after Baseline
Ratio
retained earnings / the outcome of the
the outcome of the
Scenario
losses of 2013
AQR
baseline scenario of
the joint EBA ECB
Stress Test
C
Aggregate
Adjusted CET1 Ratio
adjustments due to
after Adverse
the outcome of the
Scenario
adverse scenario of
the joint EBA ECB
Stress Test
MAJOR CAPITAL MEASURES IMPACTING TIER 1 ELIGIBLE CAPITAL
FROM 1 JANUARY 2014 TO 30 SEPTEMBER 2014
Issuance of CET1 Instruments
Impact on Common Equity Tier 1
Million EUR
C1
Raising of capital instruments eligible as CET1 capital
C2
Repayment of CET1 capital, buybacks
0,00
C3
Conversion to CET1 of hybrid instruments
becoming effective between January and September 2014
0,00
Net issuance of Additional Tier 1 Instruments
415,00
Impact on Additional Tier 1
Million EUR
C4
with a trigger at or above 5.5% and below 6%
0,00
C5
with a trigger at or above 6% and below 7%
0,00
C6
with a trigger at or above 7%
0,00
Fines/Litigation costs
C7
Incurred fines/litigation costs from January to September 2014 (net of provisions)
Million EUR
0,00

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