Download Section III Composition of regulatory capital

Section III
Composition of regulatory capital
Qualitative information
Consolidated capital
and domestic supervisory bodies have established rigorous rules for calculating regulatory capital and
the minimum capital requirements with which banks are bound to comply. In particular, the ratio
between risk-weighted assets and regulatory capital must not fall below 8%. The Bank of Italy has
established a prudential level of 10%, which falls to 6% if only Tier 1 capital is considered (the core Tier
1 ratio).
Since its inception one of the distinguishing features of the Mediobanca Group has been the solidity of
its financial structure, with capital ratios that have been consistently and significantly higher than
those required by the regulatory guidelines. Such surplus capital is in part justified by the nature of
Regulatory capital has been calculated on the basis of Bank of Italy Circular 263 issued on 27
December 2006 (second update issued on 17 March 2008) and circular 155 (twelfth update issued on 5
February 2008), which transpose the prudential guidelines for banks and banking groups introduced
by the New Basel Capital Accord (Basel II) into the Italian regulatory framework.
on 18 May 2010, whereby the valuation reserves for sovereign debt issued by EU member states and
held as AFS financial assets can be neutralized for the purpose of calculating regulatory capital.
New supervisory regulations for banks are currently being defined in the form of the Basel III
agreements, which will seek to strengthen the general quality of regulatory capital.
Tier 1 capital consists of the share attributable to the Group and to minority shareholders of capital
14
Quantitative information
Section 3.1 Composition of regulatory capital
Regulatory capital
30/6/10
A. Tier 1 capital prior to application of prudential filters
A.1 Positive elements in Tier 1 capital:
share capital
A.1.1
share premium reserve
A.1.2
reserves
A.1.3
non-innovative equity instruments
A.1.4
innovative equity instruments
A.1.5
profit for the period
A.1.6
A.2 Negative elements:
own shares or stock units
A.2.1
goodwill
A.2.2
other intangible assets
A.2.3
Loss for the period
A.2.4
Other negative elements:
A.2.5
B.
B.1
B.2
C.
D.
E.
F.
F.1
F.2
G.
G.1
G.2
H.
I.
L.
M.
N.
O.
P
Value adjustments to trading book for regulatory purposes
Other
Tier 1 capital prudential filters
IAS/IFRS positive prudential filters (+)
IAS/IFRS negative prudential filters (-)
Tier 1 capital incl. elements to be deducted (A+B)
Elements to be deducted from Tier 1 capital
Total Tier 1 capital (TIER 1) (C-D)
Tier 2 capital prior to application of prudential filters
Positive elements in Tier 2 capital:
tangible assets valuation reserves
F.1.1
AFS securities valuation reserves
F.1.2
non-innovative equity instruments not included in Tier 1 capital
F.1.3
innovative equity instruments not included in l Tier 1 capital
F.1.4
hybrid equity instruments
F.1.5
Tier 2 subordinate liabilities
F.1.6
surplus of total value adjustments over estimated losses
F.1.7
net gains on equity investments
F.1.8
other positive elements
F.1.9
Negative elements:
net losses on equity investments
F.2.1
loans and receivables
F.2.2
other negative elements
F.2.3
Prudential filters for Tier 2 capital
IAS/IFRS positive prudential filters (+)
IAS/IFRS negative prudential filters (-)
Tier 2 capital incl. elements to be deducted (F+G)
Elements to be deducted from Tier 2 capital
Total Tier 2 capital (TIER 2) (H-I)
Elements to be deducted from total Tier 1 and Tier 2 capital
Regulatory capital (E+L-M)
TIER 3 capital
Regulatory capital including TIER 3 (N+O)
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30/6/09
455,680
2,127,129
3,848,632
435,153
2,147,259
3,788,814
257,940
2,409
(213,844)
(443,042)
(66,048)
(213,844)
(443,042)
(68,496)
(457)
(23,704)
5,942,743
18,538
5,924,205
(200,015)
5,447,781
16,336
5,431,445
15,062
193,845
15,062
965,096
951,464
26,657
(100,560)
(149,710)
38,099
(115,972)
1,022,227
(18,538)
1,003,689
816,816
(16,336)
800,480
6,927,894
6,231,925
6,927,894
6,231,925