“Unicredit takes note of the announcements released today by the European Banking Authority (EBA) and the Bank of Italy in reference to the information of the 2013 EU Transparency Exercise and the fulfillment of the decision taken by the Supervisory Board (CdV ) of the EBA”. This is what we read in a press release from Piazza Cordusio.
“In May 2013, the EBA changed the timing of the next EU stress test – continues the note –, so as to carry out the exercise in 2014, once the asset quality analyzes have been completed. In order to ensure transparency and comparability over the years, the EBA's Supervisory Board has nevertheless decided to ensure, in the second half of 2013, an adequate disclosure of the actual exposures of the EU banking sector. At the October meeting, the Supervisory Committee agreed on the form and scope of the transparency exercise envisaged for November/December 2013, in order to ensure that market players have a sufficient and adequate level of information”.
Unicredit specifies that the sample of the exercise includes 61 banks, from each of which the following information was collected and disclosed:
1) Composition of capital
2) Breakdown of RWA by type of risk
3) Exposure to sovereign debt (central, regional and local governments) of the European Economic Area (3) (direct and indirect exposures by residual maturity and country)
4) Credit risk exposures (defaulters and non-defaulters) and RWAs by country with stratified analyzes by Institutions, Commercial Real Estate, Retail and Corporate (4); exposed with a regulatory approach (A-IRB, F-IRB, STA)
5) Percentage ratio between mortgage loan and property value for each portfolio, value adjustments and provisions
6) Exposure to market risks and securitisations
Unicredit also presented information on risk parameters (default rates, loss rates, LGD and PD) divided by exposure in the event of country default with detailed analysis for Entities, Commercial Real Estate, Retail and Corporate (exposed using a regulatory approach) . This data is not disclosed on an individual basis.
