Banca Monte dei Paschi di Siena S p A : Pillar III Report - June 2021

Pillar 3 Disclosure

Update as at

30 June 2021

Pillar 3 Disclosure

Update as at

30 June 2021

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

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3 J U

N E 2 0 2 1

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Index
Introduction. .	. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7
Annex I - Disclosure of key metrics and overview of risk-weighted exposure amounts . .	.	.	. 9
Annex VII - Disclosure of own funds. . . . . . . . . .	. . .	. . . . . .	. . . .	. . . . . . .	. . . . . . . . . . . .	. . .	.	. 13
Annex IX - Disclosure of countercyclical capital buffers . .	. . . . . . . . . . . .	.	.	18
Annex XI - Disclosure of the leverage ratio.. . . . . . . . . . . . . . . . . . .	.	.	19
Annex XIII - Disclosure of liquidity requirements. .	. . . . . . . . . . . . . .	. .		. 22
Annex XV - Disclosure of credit risk quality . .	. . . . . . . . . . . . . . . .	. .		. 27
Annex XVII - Disclosure of the use of credit risk mitigation techniques.	. . . . . .	. .		. 34
Annex XIX - Disclosure of the use of the standardised approach
(excluding counterparty risk and positions to securitization). .	. . . . . . . . . .	.	.	36
Annex XXI - Disclosure of the use of the IRB approach to credit risk . .	. . . . . .	. .		. 38
Annex XXIII - Disclosure of specialised lending .	.	. . . . . . . . . . . . . . .	.	.	47
Annex XXV - Disclosure of exposures to counterparty credit risk	. . . . . . . . . .	. .		. 49
Annex XXVII - Disclosure of exposures to securitisation positions.. . . . . . . . .	. .		54

Annex XXX - Disclosure of use of standardized approach and internal model for market risk . 57

Disclosure on exposures to interest rate risk on positions not held in the trading book
(EBA/CP/2021/20) (Annex I- Annex XXXVII). . . .	. . . . . . . . . . . . . . .				58
Declaration of the Financial Reporting Officer . .	. . . . . . . . . . . . . . .	. .		. 62
List of tables.	. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 63
Appendix 1- Summary of Information published in line with CRR requirements. .	.	. .	.	66
Appendix 2 - Details of Information provided in compliance with EBA/ITS/2020/04.	. .	.	67
Appendix 3	- Details of Information provided in compliance with
EBA Guidelines GL/2020/12.. . . . . . . . . . . . . . . . . . . . . . . .	. .		70
Appendix 4	- Details of Information provided in compliance with EBA/CP/2021/20	..	. .	.	70
Appendix 5	- Details of Information provided in compliance with
EBA Guidelines EBA/GL/2020/07 . .	. . . . . . . . . . . . . . . . . . . . . . . 70
Contacts . .		. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .	. .	.	72

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