Disclosure Report Basel 2 Pillar 3

Transcription

1 Disclosure Report Basel 2 Pillar 3 Data as at 30 September 2013

2 Disclosure Report Basel 2 - Pillar 3 Data as at 30 September 2013 This English translation of the Basilea 2 - Informativa al Pubblico (Terzo pilastro) - Dati riferiti al 30 settembre 2013, titled the Basel 2 Pillar 3 - Disclosure to the Public - Data as at 30 September 2013 is NOT an official translation. This translation is for informational purposes only, has been prepared solely for the convenience of non-italian speaking shareholders of Banco Popolare Società Cooperativa (the Issuer ) and any other recipients and is not a substitute for the original Italian document. The only official version of the Basel 2 Pillar 3 is the Italian version which has been approved by the competent body of the Issuer, and can be found in electronic form on the website of the Issuer. This English translation has not been approved by the Issuer. Accordingly, any shareholder and any recipients should also refer to the official Italian version and seek appropriate professional advice before investing. While this English translation is believed to be generally accurate, it is subject to and qualified by, in its entirety, the official Italian-language original version approved by the Issuer, which is the prevailing document for all purposes. Any discrepancies or differences created in the translation are not binding and the Issuer makes no warranties or representations about the accuracy or completeness of this English translation and assumes no liability for any errors, omissions or inaccuracies in this English translation. This English translation does not contain or constitute, and should not be relied upon as, an offer or invitation to make an offer or to acquire any securities in any jurisdiction.

3 Index Introduction Table 3 Supervisory capital structure Table 4 Capital adequacy Declaration of the Manager responsible for preparing the Company s financial reports

4 Introduction Explanatory notes on Basel 2 Pillar III Disclosure to the Public Prudential supervision regulations (Bank of Italy Circular No. 263 of 27 December 2006 and subsequent amendments Title IV Disclosure) requires that banks fulfil specific obligations to publish information regarding their capital adequacy, exposure to risks and the general characteristics of the systems for identifying, measuring and managing these risks, and to supply information on remuneration practices and policies, in order to strengthen the role of the market discipline. This document, entitled Disclosure Report, which constitutes a fulfilment of the regulatory obligations referred to, has been drawn up on a consolidated basis, and is published at the following dates: Data as at 31 December (annual disclosure): update of all qualitative and quantitative information; Data as at 30 June (half-yearly disclosure): publication of the quantitative information for banks authorised to use internal systems to calculate the capital requirements for credit or operational risks; Data as at 31 March and 30 September (quarterly disclosure): publication of quantitative information contained in Table 3 (Supervisory capital structure) and in Table 4 (Capital adequacy). The Disclosure can also be published with greater frequency, depending on the relevance of the activities performed by the bank, its presence in various countries and financial sectors, its participation in financial markets and in international payment, settlement and clearing systems and the volatility of the value of exposures. Hence, after obtaining authorisation from the Supervisory Authority (communication dated 18 May 2012) to use the Advanced Internal Rating Based ( AIRB ) approach for calculating capital requirements for credit risk, the Banco Popolare Group has taken steps to produce the disclosure to the public at the interim dates indicated above. All the quantitative information relating to Table 3 (Supervisory capital structure) and Table 4 (Capital adequacy) as at 30 September 2013 is presented as follows. For the illustration of the risk management objectives and policies (Table 1) and all the qualitative and quantitative information concerning the other Tables, refer to the annual document (31 December 2012), as this is not required by the applicable regulation. Furthermore, in this quarterly report, the quantitative information is presented on a comparative basis with the corresponding balances as at 31 December The comparison with the previous year-end will also be provided in future disclosures. 3

5 In compliance with the aforementioned disclosure and frequency obligations the Banco Popolare Group publishes this document on its website in the Investor Relations section. It is available in both Italian and English. All amounts shown in the tables below are stated in thousands of Euro, unless otherwise indicated. 4

6 Solvency ratios as at 30 September 2013 Supervisory Capital and capital ratios 30/09/ /12/2012 A. Supervisory Capital Requirements Supervisory capital Tier 1 capital 5,959,304 6,160,533 Tier 2 capital 627,077 1,571,958 (-) other elements to be deducted 0 26,547 Tier 3 subordinated loans 0 0 SUPERVISORY CAPITAL 6,586,381 7,705,944 Risk-we ighte d a sse ts Credit and counterparty risks 46,061,491 47,707,250 Market risks 1,694,097 1,447,325 Operating risks 5,918,900 5,918,900 Other calculation elements - 31,925 RISK-WEIGHTED ASSETS 53,674,488 55,105,400 B. Solvency Ratios (%) B.1 Core Tier 1 Ratio 10.28% 10.07% B.2 Tier 1 Ratio 11.10% 11.18% B.3 Total Capital Ratio 12.27% 13.98% The supervisory capital and the ratios as at 30 September 2013 were determined by applying the provisions of the Bank of Italy in accordance with Basel 2 regulations. As at 30 September 2013, the supervisory capital totalled 6,586 million, against weighted assets of 53,674 million, mostly arising from credit and counterparty risk and, to a lesser extent, operational and market risks. The Total Capital Ratio stood at 12.27%; the Group Tier 1 Ratio (Tier 1 capital to riskweighted assets) stood at 11.10%. The Core Tier 1 Ratio (core supervisory capital to risk-weighted assets) was equal to 10.28%. 5

7 Table 3 Supervisory capital structure Quantitative disclosure The composition of the Supervisory Capital and the breakdown on the composition of the Tier 1 and Tier 2 capital are presented below: Composition of Supervisory Capital SUPERVISORY CAPITAL ELEMENTS 30/09/ /12/2012 A. Tier 1 capital before the application of prudential filters 7,460,983 7,455,681 B. Tier 1 capital prudential filters: -150, ,599 B.1 Positive IAS/IFRS prudential filters (+) 0 0 B.2 Negative IAS/IFRS prudential filters (-) 150, ,599 C. Tier 1 capital before elements to be deducted (A+B) 7,310,171 7,275,082 D. Elements to be deducted from Tier 1 capital 1,350,867 1,114,549 E. Total Tier 1 capital (C-D) 5,959,304 6,160,533 F. Tier 2 capital before the application of prudential filters 2,040,564 2,731,406 G. Tier 2 capital prudential filters: -62,620-44,899 G.1 Positive IAS/IFRS prudential filters (+) 0 0 G.2 Negative IAS/IFRS prudential filters (-) 62,620 44,899 H. Tier 2 capital before elements to be deducted (F+G) 1,977,944 2,686,507 I. Elements to be deducted from Tier 2 capital 1,350,867 1,114,549 L. Total Tier 2 capital (H-I) 627,077 1,571,958 M. Elements to be deducted from total Tier 1 and 2 capital 0 26,547 N. Supervisory capital E+L-M) 6,586,381 7,705,944 O. Tier 3 capital 0 0 P. Supervisory capital (including Tier 3) (N+O) 6,586,381 7,705,944 It is also reported that calculation of the Supervisory Capital also includes the expected loss shortfall of 1,458 million, which is 50% deducted from Tier 1 capital and 50% from Tier 2 capital. Note that in the calculation of the afore-mentioned value, the anticipated write-offs have been considered, relating to counterparties whose exposures have been fully cancelled, even if the recovery processes are still underway. 6

8 Amount of Tier 1 capital, with details of individual positive and negative elements TIER 1 CAPITAL ELEMENTS 30/09/ /12/2012 Positive elements of Tier 1 capital Capital 4,335,474 4,335,694 Share premium reserve 2,094,228 2,917,075 Reserves 2,568,886 2,707,695 Non-innovative equity instruments 0 0 Innovative equity instruments 0 0 Net income (loss) for the period 167,393 0 Instruments subject to grandfathering 447, ,366 Prudential Filters: increases in Tier 1 capital Fair value option: changes in own creditworthiness 0 0 Redeemable shares 0 0 Capital subject to forward commitments that can be calculated in Tier 1 capital 0 0 Other positive prudential filters 0 0 Total positive elements of Tier 1 capital (A) 9,613,047 10,580,830 Negative elements of Tier 1 capital Treasury shares or quotas 4,145 4,643 Goodwill 1,591,917 1,591,729 Other intangible assets 534, ,416 Loss for the period 0 959,286 Other negative elements 0 0 Value adjustments on loans 0 0 Regulatory value adjustments to the trading book for supervisory purposes 0 0 Other 21,767 26,075 Prudential Filters: deductions from Tier 1 Capital Fair value option: changes in own creditworthiness 120, ,834 Negative reserves on securities available for sale - equity securities and UCITS units 0 0 Negative reserves on securities available for sale - debt securities 0 0 Net cumulative capital gains on property and equipment 0 0 Capital subject to forward commitments that can be calculated in Tier 1 capital 0 0 Other negative filters 30,411 30,765 Total negative elements of Tier 1 capital (B) 2,302,876 3,305,748 Gross Tier 1 capital (C=A-B) 7,310,171 7,275,082 Total elements to be deducted from Tier 1 capital (D) 1,350,867 1,114,549 Tier 1 capital (E=C-D) 5,959,304 6,160,533 With effect from 30 June 2010, the Group has adopted the approach envisaged by the Measure of the Bank of Italy dated 18 May 2010, which allows to exclude from the calculation of the supervisory capital the share of valuation reserves relating to debt securities issued by the central government authorities of countries belonging to the European Union, held in the Financial assets available for sale portfolio. In detail, in alternative to the asymmetrical approach (complete deduction of net losses from Tier 1 capital and partial inclusion (50%) of net losses in Tier 2 capital) already envisaged by Italian legislation, the said Measure acknowledged the possibility of fully neutralising the gains and losses recorded in the revaluation reserves ( symmetrical approach). This option must be extended to all the securities of the type held in the aforementioned portfolio, it must be applied consistently by the Group and maintained constant over time. As at 30 September 2013, the change in the reserves of the securities issued by central government authorities of countries belonging to the European Union which entered into effect from 1 January 2010, and excluded from calculation of supervisory capital, is a negative 67 million; in the absence of such an approach, said change would have resulted in a reduction of Tier 1 capital by the same amount, in the presence of overall negative reserves on debt securities. 7

9 Tier 2 capital TIER 2 CAPITAL ELEMENTS 30/09/ /12/2012 Positive elements of Tier 2 capital Valuation reserves - Property and equipment Special revaluation laws 4,033 4,033 Property and equipment for operations 0 0 Valuation reserves Securities available for sale Equity securities and UCITS units 102,336 63,301 Debt securities 18,927 17,614 Innovative equity instruments that cannot be calculated in Tier 1 capital 0 0 Non-innovative equity instruments that cannot be calculated in Tier 1 capital 0 0 Non-innovative equity instruments that can be calculated by up to 35% 0 0 Non-innovative equity instruments that can be calculated by up to 50% 0 0 Hybrid capitalisation instruments 288, ,624 Tier 2 subordinated liabilities 1,626,788 2,356,906 Surplus of total value adjustments compared to expected losses 0 0 Net capital gains on investments 0 0 Other positive elements 0 0 Prudential filters: increases in Tier 2 capital Net cumulative capital gains on property and equipment 0 0 Capital subject to forward commitments that can be calculated in Tier 2 capital 0 0 Other positive filters 0 0 Total positive elements of Tier 2 capital (A) 2,041,072 2,732,478 Negative elements of Tier 2 capital Net capital losses on investments 0 0 Loans 0 0 Other negative elements 508 1,072 Prudential filters: deductions from Tier 2 capital Portion of valuation reserves on property and equipment for operations that cannot be calculated 0 0 Portion of positive reserves of securities available for sale Equity instruments and UCITS units that cannot be calculated 51,169 31,651 Portion of positive reserves of securities available for sale Debt securities that cannot be calculated 9,464 8,807 Capital subject to forward commitments that cannot be calculated in Tier 2 capital 0 0 Tier 2 subordinated liabilities and hybrid capital instruments subject to forward commitments that cannot be calculated in Tier 2 capital 0 0 Other negative filters 1,987 4,441 Total negative elements of Tier 2 capital (B) 63,128 45,971 Gross Tie r 2 capital (C=A-B) 1,977,944 2,686,507 Total elements to be deducted from Tier 2 capital (D) 1,350,867 1,114,549 Tier 2 capital (E=C-D) 627,077 1,571,958 8

10 Tier 3 capital TIER 3 CAPITAL ELEMENTS 30/09/ /12/2012 Tier 3 Capital 0 0 Positive elements Tier 2 subordinated liabilities that cannot be calculated in Tier 2 capital 0 0 Tier 3 subordinated liabilities 0 0 Negative elements Prudential filters: deductions from Tier 3 Capital Tier 2 and Tier 3 subordinated liabilities subject to forward commitments that cannot be calculated in Tier 3 capital 0 0 Other deductions 0 0 Elements to be deducted from supervisory capital ELEMENTS TO BE DEDUCTED FROM SUPERVISORY CAPITAL 30/09/ /12/2012 Elements to be deducted from Tier 1 capital 1,350,867 1,114,549 of which Surplus of expected losses compared to total value adjustments (Tier 1 capital) 728, ,833 Elements to be deducted from Tier 2 capital 1,350,867 1,114,549 of which Surplus of expected losses compared to total value adjustments (Tier 2 capital) 728, ,833 Other elements to be deducted from Tier 1 and 2 capital 0 26,547 9

11 Dynamic trend of the consolidated Supervisory Capital 3rd (in thousands of euro) QUARTER CORE TIER 1 CAPITAL Opening balance 5,548,689 6,349,088 Increases in capital 0 4 Decreases in capital (220) 0 Distribution of dividends 2,460 (804) Net income (loss) for the period 1,124,219 1,346,445 Treasury shares repurchased 498 (73) Exclusion of impact of the banks creditworthiness 29, ,402 Change in reserves (957,348) (2,266,523) Shareholders' equity reserves (961,656) (2,301,241) AFS book valuation reserves Other reserves 4,308 (25,303) Goodwill and Intangible fixed assets (net of tax liabilities) 8, ,099 Other positive elements 0 0 Other negative elements including elements to be deducted (240,026) (429,949) negative prudential filters (3,708) (7,414) elements to be deducted (50%) investments and subordinated instruments (79,387) 149,298 elements to be deducted (50%) shortfall for adoption of internal models (156,931) (571,833) Closing balance 5,516,698 5,548,689 ADDITIONAL NON-CORE TIER 1 CAPITAL Opening balance 611,844 1,160,210 Increases in instruments that can be calculated (issues) 0 0 Decreases in instruments that can be calculated (repurchases/redemptions) (173,300) (585,199) Other positive / negative elements 4,062 36,833 Closing balance 442, ,844 TIER 2 CAPITAL Opening balance 1,571,958 3,064,770 Increases in instruments that can be calculated (issues) 0 0 Decreases in instruments that can be calculated (repurchases/redemptions) (670,105) (910,512) Regulatory amortisation/depreciation (61,649) (175,561) Other positive elements 40,348 29,058 Other negative elements including elements to be deducted (253,475) (435,797) negative prudential filters (17,157) (13,262) elements to be deducted (50%) investments and subordinated instruments (79,387) 149,298 elements to be deducted (50%) shortfall for adoption of internal models (156,931) (571,833) Closing balance 627,077 1,571,958 ELEMENTS TO BE DEDUCTED FROM TOTAL CAPITAL RATIO Opening balance (26,547) (49,900) Other negative elements including elements to be deducted 26,547 23,353 Closing balance 0 (26,547) CAPITAL FOR THE PURPOSE OF CALCULATING THE TOTAL CAPITAL RATIO 6,586,381 7,705,944 With regard to the Core Tier 1 Capital, the net income (loss) for the period represents the algebraic difference between the income statement balance for the first three quarters (income) and the balance for the previous year (loss). The item exclusion of impact of the banks creditworthiness is affected by the result of the creditworthiness component which derives from the application of the Fair Value Option. The change is positive if there is a decrease in the FVO impact. The changes in 10

12 reserves in the first three quarters of 2013 showed a decrease as a result of the allocation of the loss for the year The valuation reserves for the AFS portfolio were cancelled due to the application of the asymmetric approach, meaning partially including net capital gains in Tier 2 capital, which is represented by the increase in other positive elements of Tier 2. The other negative elements and elements to be deducted showed a negative trend in the first three quarters of 2013, mainly due to the subscription of the equity issuance of the subsidiary Agos Ducato and the recoveries of other shareholdings. The shortfall element introduced with the adoption of the A-IRB models for the assessment of the credit risks also showed a negative trend. In the additional non-core Tier 1 capital, the negative performance of instruments which can be calculated therein derived from the public offering finalised in May and the partial cancellation of the securities bought back, authorised by the Bank of Italy. The reduction in instruments which can be calculated in Tier 2 capital derives from both regulatory amortisation/depreciation and from the outcome of the abovementioned public offering. There are no longer any elements to be deducted from total capital, as 50% of these elements have been included under elements to be deducted from core capital and 50% under elements to be deducted from Tier 2 capital, as the transitional period during which they could be deducted from total supervisory capital has come to an end. 11

13 Reconciliation between the Book Capital and the Supervisory Capital 30/09/ /12/2012 Consolidated shareholders' equity 8,866,294 8,612,387 Adjustments for companies not belonging to the Banking Group -28,720-28,163 Book shareholders' equity (Banking Group) 8,837,574 8,584,224 minority interests 361, ,668 Donations (Creberg) -1,625-2,167 Valuation reserves -23,833 63,824 Equity instruments -33,089-33,089 Instruments that can be calculated (Grandfathering) 447, ,366 Goodwill (net of deferred taxation) -1,591,917-1,591,729 Other intangible fixed assets net of deferred taxation -534, ,416 A. Tier 1 capital before the application of prudential filters 7,460,983 7,455,681 B. Tier 1 capital prudential filters: B.1 Positive IAS/IFRS prudential filters (+) 0 0 B.2 Negative IAS/IFRS prudential filters (-) -150, ,599 C. Tier 1 capital before elements to be deducted (A + B) 7,310,171 7,275,082 D. Elements to be deducted from Tier 1 capital -1,350,867-1,114,549 E. Total TIER 1 capital (C D) 5,959,304 6,160,533 F. Tier 2 capital before the application of prudential filters 2,040,564 2,731,406 G. Tier 2 capital prudential filters: G.1 Positive IAS/IFRS prudential filters (+) 0 0 G.2 Negative IAS/IFRS prudential filters (-) -62,620-44,899 H. Tier 2 capital before elements to be deducted (F + G) 1,977,944 2,686,507 I. Elements to be deducted from Tier 2 capital 1,350,867 1,114,549 L. Total Tier 2 capital (H - I) 627,077 1,571,958 M. Elements to be deducted from total Tier 1 and 2 capital 0-26,547 N. Supervisory capital (E + L - M) 6,586,381 7,705,944 O. Tier 3 capital 0 0 P. Supervisory capital including Tier 3 (N+O) 6,586,381 7,705,944 12

14 Table 4 Capital adequacy Quantitative disclosure On the basis of current prudential supervision provisions ( New Regulations for the Prudential Supervision of Banks Bank of Italy circular no. 263 of 27 December 2006 and subsequent revisions), the minimum capital requirement is set at 8% of the riskweighted assets. The minimum capital requirement is equal to the sum of the capital requirements established for credit, counterparty, market and operational risks. These requirements in turn arise from the sum of the individual requirements of the companies within the Group s scope of prudential consolidation, after removal of effects of infra-group relations on credit, operational and counterparty risks. On 18 May 2012, Banco Popolare received authorisation from the Supervisory Authority to adopt its internal models for regulatory measurement of credit and market risks as from the report as at 30 June In its authorisation, the Supervisory Authority indicated the minimum consolidated level of the capital requirement for the Pillar I risks which can be no less than 85% (floor) of the standard capital requirement, calculated in accordance with the Supervisory Instructions for Banks in force up to 2006 ( Basel 1 ). With regard to the credit risk, the authorisation concerns the advanced internal rating based approaches (PD, for both monitoring and acceptance and LGD) relating to amounts due to companies and to the breakdown of Banco Popolare and Credito Bergamasco. Specifically, authorisation to use the following was requested and obtained: Five rating models, for estimating the Probability of Default (PD) of the segmented counterparties ( initial acceptance and monitoring): Large Corporate, Mid Corporate Plus, Mid Corporate, Small Business and Private Individuals ( rating model segmentation); Two Loss Given Default (LGD) models, for estimating the loss rate in the event of default of the Corporate and Private Individual counterparties respectively. For loan books not included within the scope of initial AIRB validation including those referring to Banca Aletti and to the former Banca Italease Group companies the standard regulatory approach shall be applied for prudential purposes. A plan was drawn up and submitted to the Supervisory Authority for extending internal rating models to segments and companies not included within the scope of validation. The exposures included in the roll out plan are the following: PD and LGD models: with regard to Banca Aletti the PD model (for initial 13

15 acceptance and monitoring) and the LGD model are scheduled to be released by 2014, while for the former Italease Group companies the PD model (for initial acceptance and monitoring) and the LGD model are scheduled to be released by 2017; Model for estimating the Exposure at Default (EAD): the model for all the Group banks (Banco Popolare, Credito Bergamasco, Banca Aletti, former Italease Group companies - Banca Italease and Release) is scheduled to be released from 2016 and no later than 2017; Loan exposure to supervised intermediaries: the PD, LGD and EAD models for the corporate perimeter consisting of Banco Popolare, Credito Bergamasco, Banca Aletti and the former Italease Group are expected to be released by With regard to the market risk the Banco Popolare Group obtained authorisation from the Supervisory Authority to use the internal model for calculating capital absorption for the trading books of Banca Aletti and the Parent Company. The scope of application is the generic and specific risk of equity instruments, the generic risk of debt securities and the risk relating to UCITS units. The remaining portion of the market risks will continue to be measured according to the standard approach and no roll out is envisaged. For operational risk, the Group currently adopts the standardised approach envisaged by prudential regulations (combined with the basic indicator approach for the companies not significant in size) to determine the capital in relation to operational risk, though a project is under way for transition to the advanced AMA approach. Each quarter, the Group also conducts a management assessment of its own capital adequacy with regard to a wider set of risks than those prescribed by Pillar I regulations, in ordinary conditions and in stress scenarios (ICAAP measurements). This assessment is carried out using, for the most part, economic capital measurement tools, primarily based on statistical-quantitative methodologies relating more specifically to the VaR (Value at Risk) technique. The results of these tests are set forth in a special report to the corporate bodies and to the competent corporate functions of the Parent Company. The capital requirements and the capital ratios of the Banco Popolare Group as at 30 September 2013 are presented as follows. 14

16 Capital requirements and the capital ratios of the Banco Popolare Group Information A. Supervisory Capital Requirements Weighted amounts 30/09/2013 Requirements Weighted amounts 31/12/2012 Requirements A.1 Credit and counterparty risk 46,061,491 3,684,919 47,707,250 3,816, Standardised approach 21,714,146 1,737,132 21,259,063 1,700, Internal models - Basic Internal models - Advanced 24,347,345 1,947,787 26,448,187 2,115,855 A.2 Market risk 1,694, ,528 1,447, , Standardised approach 543,962 43, ,462 37, Internal models 1,150,135 92, ,863 78, Concentration risk A.3 Operational risk 5,918, ,512 5,918, , Basic Indicator Approach 240,200 19, ,200 19, Standardised Approach 5,678, ,296 5,678, , Advanced Approach A.4 Other prudential requirements B.5 Other calculation elements ,925 2,554 A.5 Total prudential requirements 53,674,488 4,293,959 55,105,400 4,408,432 B. Solvency Ratios (%) B.1 Core Tier 1 Ratio B.2 Tier 1 Ratio B.3 Total Capital Ratio 10.28% 11.10% 12.27% 10.07% 11.18% 13.98% Capital requirement for Credit and Counterparty Risk (Standardised Approach) CAPITAL REQUIREMENT REGULATORY PORTF OLIO 30/09/ /12/2012 Exposures to or guaranteed by central administrations and central banks Exposures to or guaranteed by local authorities 5,325 5,202 Exposures to or guaranteed by non-profit entities and public sector entities 56,220 46,506 Exposures to or guaranteed by multilateral development banks 0 0 Exposures to or guaranteed by international organisations 0 0 Exposures to or guaranteed by intermediaries subject to supervision 309, ,805 Exposures to or guaranteed by enterprises 538, ,138 Retail exposure 30,108 36,392 Exposures guaranteed by property 39,337 55,015 Past due loans 344, ,476 High risk exposures 12,631 8,857 Exposures in the form of covered bank bonds 5,383 0 Short-term exposures to enterprises Exposures to undertakings for collective investment in transferable securities (UCITS) 51,260 45,301 Other exposures 330, ,883 Securitisations: Total Exposure 13,603 14,461 TOTAL CREDIT AND COUNTERPARTY RISK 1,737,132 1,700,725 15

17 Capital requirement for Credit and Counterparty Risk (IRB Approach) REGULATORY PORTF OLIO Exposures to or guaranteed by enterprises CAPITAL REQUIREMENT 30/09/ /12/ S ME 761, ,984 - Other companies 640, ,388 Retail exposure - exposures guaranteed by residential property: SME 60,795 66,095 - exposures guaranteed by residential property: Individuals 206, ,358 - revolving exposures to qualified retail 11,305 11,044 - other retail exposures: SME 228, ,614 - other retail exposures: Individuals 38,365 36,372 TOTAL 1,947,787 2,115,855 Capital requirement for Counterparty Risk REGULATORY PORTF OLIO CAPITAL REQUIREMENT 30/09/ /12/2012 Counterparty Risk 67,749 98,862 The value of the requirement is already included in the capital requirement relating to the credit and counterparty risk, as shown in the tables above. Capital requirement for Market Risk CAPITAL REQUIREMENT REGULATORY PORTF OLIO 30/09/ /12/2012 A. Assets included in the trading book for supervisory purposes 123, ,460 Position risk 123, ,460 Concentration risk 0 0 B. Entire Statements 11,604 11,326 Foreign exchange risk 11,507 11,145 Regulatory risk 1 29 Commodity risk TOTAL MARKET RISKS (A+B) 135, ,786 Capital requirement for Operational Risk REGULATORY PORTF OLIO CAPITAL REQUIREMENT 30/09/ /12/2012 Basic Indicator Approach 19,216 19,216 Standardised Approach 454, ,296 Advanced approaches 0 0 TOTAL OPERATIONAL RISK 473, ,512 16

18 Declaration of the Manager responsible for preparing the Company s financial reports The undersigned, Gianpietro Val, in his capacity as Manager responsible for preparing the financial reports of Banco Popolare Soc. Coop., hereby declares, in compliance with the provisions of Article 154-bis, paragraph 2 of Italian Legislative Decree no. 58 of 24 February 1998, that the accounting information contained in this document is consistent with the documental results, the corporate books and the accounting records. Verona, 12 November 2013 Manager responsible for preparing the Company's financial reports Gianpietro Val (signed) 17

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