UniCredit S.p.A. ("UniCredit") notes the publication of the 2023 EU-wide stress test results conducted by the European Banking Authority (EBA), in cooperation with the Single Supervisory Mechanism (SSM), the European Central Bank (ECB), and the European Systemic Risk Board (ESRB).
The 2023 EU-wide stress test does not contain a pass/fail threshold and instead is designed to be used as an important source of information for the purposes of the Supervisory Review and Evaluation Process (SREP). The results will assist Competent Authorities in assessing UniCredit's ability to meet applicable prudential requirements under stressed scenarios.
The adverse stress test scenario was set by the ECB/ESRB and covers a three-year time horizon (2023-2025). The stress test has been carried out based on a static balance sheet assumption as of December 2022 and therefore does not take into account future business strategy and management actions. It is not a forecast of UniCredit profits.
Despite the more severe stressed scenario applied this year, UniCredit's capital depletion is meaningfully lower than for the 2021 EU-wide stress test result thanks to a much stronger starting point based on a significant improvement in capital generation, sound asset quality and prudent overlays. This positions UniCredit well for potential macroeconomic shocks.
UniCredit's results are summarized below:
- baseline scenario:
- 2025 fully loaded CET1r at 19.97% corresponding to 397bps higher than fully loaded CET1r as of December 2022
- 2025 transitional CET1r at 19.97% corresponding to 329bps higher than transitional CET1r as of December 2022
- adverse scenario:
- 2025 fully loaded CET1r at 12.51% corresponding to 349bps lower than fully loaded CET1r as of December 2022
- 2025 transitional CET1r at 12.51%, corresponding to 417bps lower than transitional CET1r as of December 2022
UniCredit 2025 capital level landing point is the highest of its peers thanks to its strong capitalisation. As a reminder, the 2Q 2023 fully loaded CET1r is at 16.64% (transitional CET1r at 16.94%).
This year for the first time EBA published an additional disclosure template on bond holdings held at amortised cost. This template does not include the impact of hedges at portfolio level, for UniCredit equal to EUR 1.8bn as of December 2022 and EUR 1.9bn as of February 2023. When considering these, the differences between the carrying amount and the fair value are equal to EUR 1.5bn and EUR 1.2bn respectively, significantly lower than the disclosed amounts in the EBA template, confirming our prudent hedging approach to the interest rate risk of the investment portfolio.
Milan, July 28, 2023
For more details, please refer to EBA website (http://www.eba.europa.eu)
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