Volumen potencial de exportaciones de minerales

Regulatory capital differs from net accounting equity as determined on the basis of IAS/IFRS international accounting principles, since Supervisory regulations are aimed at safeguarding capital quality and reducing potential volatility induced by the application of the IAS/IFRS principles.

The items that make up regulatory capital must therefore be fully available to the Group, so they may be used without limitation to hedge risks and corporate losses. These components need to be stable and their amount is cleared of any tax charges.

Regulatory capital is made up of core capital and supplementary capital. Both core (Tier 1) and supplementary (Tier 2) capital are determined by the algebraic sum of their positive and negative items, upon prior consideration of the so-called “prudential filters”. This expression is understood as all those positive and negative items adjusting regulatory capital, introduced by supervisory authorities with the express purpose of reducing potential capital volatility. Deductible items, determined as will be explained below, must be deducted from core and supplementary capital (50% from Tier 1 and 50% from Tier 2).

The following table illustrates the constituents of Tier 1 and Tier 2, with a focus on the Group’s most relevant aspects.

With regard to Tier 1, its positive items include paid up capital, share premium, profit and capital reserves, innovative and non-innovative capital instruments and profit for the period; added to these items are the positive prudential filters represented by the issuance of the New Financial Instruments. These instruments were issued by Banca Monte dei Paschi di Siena S.p.A. on 28 February 2013 pursuant to article 23-sexies of Law Decree no. 95 of 6 July 2012, converted, with amendments, into Law no.135 of 7 August 2012, as subsequently amended. In particular, the Ministry of Economy and Finance subscribed to the New Financial Instruments issued by the Bank for a total of EUR 4,071 mln, of which EUR 1,900 mln allocated to full repayment of the Tremonti Bonds already issued by the Bank in 2009, and EUR 171 mln, due on 1 July 2013, for advance payment of interest accrued on Tremonti Bonds up to 31 December 2012, in consideration of the Bank's negative results as at 31 December 2012. From a Capital Adequacy standpoint, although included in the Liabilities for the purpose of the Financial Statements, the NFIs qualify as Core Tier 1, by reason of their subordination pari passu with ordinary shares, in the event of both voluntary liquidation or bankruptcy proceedings and under going concern assumptions.

EXPLANATORY NOTES- Part F – Consolidated shareholders' equity

The characteristics of the New Financial Instruments include:

1. BMPS may not distribute any dividends until approval of the Plan by the European Commission;

2. the NFIs are financial instruments which may be converted into ordinary shares by the issuer and are characterised by subordination pari passu with ordinary shares, in the event of both voluntary liquidation or bankruptcy proceedings and under going concern assumptions. In particular, on a going-concern basis, the NFIs absorb losses that reduce the capital ratio to below 8% in the same proportion with respect to share capital and reserves, by reducing the nominal value;

3. the NFIs are perpetual instruments and BMPS has the right to redeem them subject to the prior authorisation by the Bank of Italy; the Prospectus specifically lays down that repayment will occur at the greater of the following values:

a. an increasing percentage of the nominal value over time (100% by 30 June 2015, then increased by 5% every two years up to a maximum of 160%);

b. the product of shares underlying the NFIs and the price paid in the event of a takeover bid on BMPS after the subscription date;

c. the product of shares underling the NFIs and the price received by the MPS Foundation in the event that over 10% of its shareholding is sold over a period of 12 months.

4. the NFIs have no rights under art. 2351 of the Civil Code and are convertible into shares upon the request of the issuer (art. 23-decies para.1); in particular, the Prospectus provides that in the event of conversion, the MEF is to be assigned a number of shares equal to the ratio between the nominal value of the NFIs and the Theoretic Ex Rights Price (TERP) discounted by 30%; the TERP is positively related to the market value of BMPS shares;

5. interest on NFIs is paid in cash up to the amount of net profit for the year gross of the same interest, tax effect and net of provisions for statutory reserves;

6. any interest in excess of this threshold is paid through the issue of new shares at market value or, for 2013 interest, through the issue of additional NFIs for the equivalent nominal value;

7. with regard to interest payment on NFIs, the Prospectus provides that:

a. interest on NFIs is calculated on a pro rata basis by applying a fixed rate of 9% to the nominal value for the first year (2013) with a subsequent step up of half a point every 2 years until the 15% cap is reached;

b. subject to the exceptions provided for in 2013 and 2014, interest that is not covered by net profit (loss) for the year is to be paid through the allocation of a number of shares equal to the number of shares in issue multiplied by the ratio between interest due and market capitalisation of the Bank (average of 10 days prior to the date of the BoD which approved the financial statements) net of the same interest;

c. in the event of loss for the year, no dividends shall be paid out under any circumstances.

The issuance of the NFIs is consequential to the shortfall revealed by the exercise conducted by the EBA on the

capital requirements of Europe's major banks in the second half of 2011. The exercise revealed the Montepaschi Group’s need for temporary and provisional capital strengthening in the amount of EUR 3,267 mln aimed at achieving a 9% (EBA) Core Tier 1 by the end of June 2012. In determining this target value, the exercise also included the lower valuation -as at 30 September 2011 - of exposures to sovereign issuers so as to take account of market concerns over sovereign debt risk.

Consequently, the Montepaschi Group developed a plan of actions aimed at strengthening capital, which led to determining an overall shortfall of EUR 2,000 mln, net of Tremonti bonds. Identified actions, aimed at further strengthening the Group's capital, lie at the basis of the Restructuring Plan approved by the BoD on 13 June 2013. Tier 1 capital also includes the original capital gain of EUR 405 mln generated in 2010 from the real estate transaction (Casaforte) and computed for prudential purposes as of 30 September 2011, following the finalisation of a backup liquidity provider contract for the Casaforte Class A notes with a Group-external counterparty. A prudential filter of EUR 67 mln was applied to this capital gain and additional capital requirements were calculated for an amount of EUR 21 mln, pursuant to the relevant supervisory regulations.

The negative items in Tier 1, on the other hand, include treasury shares in the portfolio, intangible assets (including goodwill), any losses posted in previous periods and in the current one, and the net negative balance of the reserves for AFS assets. As far as regulatory capital treatment of AFS reserves is concerned, an 'early offset' of balances applies, calculated net of tax where applicable, from reserves for debt securities on the one hand and reserves for equity securities and units in UCITS on the other. Each of the two net balances calculated as above is in fact fully deducted, if negative, from Tier 1, whereas it is 50% included, if positive, in Tier 2. This 'asymmetric' treatment was the only approach applicable by Italian banks to AFS reserves until 2009. In 2010, the Bank of Italy with the "Prudential filters for regulatory capital" set forth on 18 May 2010, introduced - in exclusive respect of debt securities issued by EU central governments- the possibility to opt for the alternative approach (so-called 'symmetrical' treatment) provided for by CEBS in its guidelines which includes full neutralisation of AFS reserves for regulatory capital purposes. The possibility for Italian banks to opt for the symmetrical approach has entailed the 'sterilisation' of the impact of negative and positive AFS reserves built up as of 2010 for debt securities issued by EU central governments. The Montepaschi Group opted for 'symmetrical' treatment.

With regard to negative items in Tier 1, it is noted that on 7 May 2013 the Bank of Italy communicated the adoption of specific provisions against Banca Monte dei Paschi di Siena under articles 53 and 67 of Legislative Decree no. 385/93 for regulatory treatment of the transaction known as Fresh 2008. In particular, the Bank was requested to exclude from Tier 1 the share of Fresh notes falling under the indemnity issued by the Bank. The negative impact on core capital as at 30 September 2013 amounted to EUR 76 mln.

Moreover, as of 2013, actuarial gains/losses arising from the measurement of liabilities connected with Employee

benefits (staff severance pay, defined-benefit pension funds, etc.) are recognised, net of tax effect, in core capital and largely 'sterilised' by a prudential filter with opposite sign, determined by taking account of the “corridor method” adopted until 31 December 2012. With the introduction of the CRR/CRD IV package, this filter is expected to be phased out in the next 5 years, thus leading to full recognition of the effects of valuation reserves in core capital. Prudential treatment follows the amendments to IAS 19 and, therefore, elimination of the corridor method. It should be noted that the negative prudential filters for Tier 1 include the net accrued capital gain (write-down of liabilities), after tax, relative to hybrid capital instruments and subordinated debt issued by the Group, classified among financial liabilities valued at fair value and accounted for in Tier 2.

Furthermore, in May 2013, the Bank of Italy gave clarifications about prudential treatment of deferred tax assets connected with multiple tax alignments on the same goodwill. Law Decree no. 225 of 29 December 2010, converted into Law no. 10 of 26 February 2011, introduced special tax treatment for Deferred Tax Assets – DTA concerning write-downs of loans, goodwill and other intangible assets. With regard to DTAs, the Bank of Italy has pointed out that recognition in regulatory capital of benefits connected with tax realignment subsequent to initial realignment of the same goodwill, only applies when related DTAs are converted into current taxes. For this purpose, the share of DTAs calculated on the same goodwill will have to be deducted from core capital, net of the substitute tax paid, only for the part referring to DTAs subsequent to the initial one. With reference to DTAs recognised up to the financial year ending 31 December 2012, sterilisation of the positive effects on Core Tier 1 is allowed to be spread over a period of 5 years, recognising, every year, 1/5 of the DTA amount as at 31 December 2012 under the negative elements of Core Tier 1, net of the amount reversed to profit and loss or converted to tax credit every year.

EXPLANATORY NOTES- Part F – Consolidated shareholders' equity

The overall Tier 1 capital is made up of the difference between the algebraic sum of the positive and negative items and the items to be deducted. Deductibles include:

-

equity investments and other items (innovative capital instruments, hybrid equity instruments and

subordinated debt) issued by banks and financial corporations not fully or proportionately consolidated, which are deducted 50% from Tier 1 and 50% from Tier 2.

- the difference between expected loss and net impairment losses, as measured for the regulatory portfolio by banks authorised to the use of internal models for the determination of capital requirements in view of credit risks; in particular, if expected loss exceeds impairment losses, the difference is deducted 50% from Tier 1 and 50% from Tier 2; if the expected loss is lower than net impairment losses, the difference is included in Tier 2 within the limit of 0.6% of credit risk weighted assets;

- the equity investments held in insurance companies and subordinated debt issued by such companies, which are deducted 50% from Tier 1 and 50% from Tier 2.

As far as supplementary (Tier 2) capital is concerned, the positive items it is made up of include valuation reserves, hybrid capital instruments, subordinated debt and the positive net balance of reserves for AFS assets. Negative items include the negative prudential filter proportionately at 50% of the positive balance of the AFS reserves included among the positive items of supplementary capital; in fact, these reserves are included up to 50% in supplementary capital.

The overall supplementary capital is made up of the difference between the algebraic sum of the positive and negative items and the items to be deducted, determined according to the criteria described above.

In particular, the following is noted:

- profits and losses not realised on cash flow hedges, recognised in a dedicated equity reserve, are not included in regulatory capital;

- as for fair-value-option liabilities of natural hedges, both capital gains and capital losses recorded in profit and loss and not realised, are fully relevant except for the component arising from changes in creditworthiness;

- the equity investment in Banca d’Italia is not considered for the purpose of quantifying capital. As a consequence, the respective capital gain deriving from valuation at fair value is not computed in the AFS reserves.

B. Quantitative information

Comparative data as at 31 December 2012 reported in this document differs from data published in the Financial Statements as at 31 December 2012 because the Bank was requested by the Supervisory Authority on 7 May 2013 to implement a retrospective change to Tier 1, which reduced it by EUR 76 mln. The retrospective change refers to regulatory treatment of the 'Fresh 2008' transaction.

30 09 2013 31 12 2012

In document UNIVERSIDAD CATÓLICA DE SANTA MARÍA FACULTAD DE CIENCIAS ECONÓMICO ADMINISTRATIVAS (página 100-120)