INTERIM FINANCIAL
REPORT
30 JUNE 2016
Interim report on operations June 2016
Board of Directors of 2 August 2016
2
Banca IMI S.p.A. Largo Raffaele Mattioli 3 - 20121 Milan (Italy) Share Capital Euro 962,464,000 ABI Code 3249.0 – Member of the Intesa Sanpaolo banking group Member of the Interbank Deposit Protection Fund Registered with the Milan Business Registry Registration number and tax ID 04377700150 GIIN (Global Intermediary Identification Number) Head office (Italy) D9I1IN.00011.ME.380 London branch (UK) D9I1IN.00011.BR.826 E-mail: [email protected] - www.bancaimi.com Telephone +39 02.72611
Banca IMI is a member of the Banca IMI Group This is an English translation of the Italian language original “Relazione finanziaria semestrale GIUGNO 2016” that has been prepared solely for the convenience of the reader. The Italian language original “Relazione finanziaria semestrale GIUGNO 2016” was approved by the Board of Directors of Banca IMI on 2 August 2016 and is available on the above mentioned website.
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Contents
Page
Officers and boards 5 Banca IMI Group Financial highlights and alternative performance ratios
6
Banca IMI S.p.A. Financial highlights and alternative performance ratios
7
Executive summary 8 Interim report on operations
• The macroeconomic outlook and capital markets 11 • Results by business area 14 • Results for the period 19 • Equity and financial aggregates 28 • Subsidiaries and equity investments 39 • Capital adequacy and prudential supervision 41 • Outlook for 2016 44
Banca IMI S.p.A. condensed interim consolidated financial statements
• Statement of financial position 46 • Income statement 48 • Statement of comprehensive income 49 • Statement of changes in equity 50 • Statement of cash flows 51
Notes to the condensed interim consolidated financial statements
• Part A – Accounting policies 52 • Part B – Information on the consolidated statement of financial position 59 • Part C – Information on the consolidated income statement 66 • Part E – Information on risks and related hedging policies 76 • Part F – Equity 91 • Part H – Related party transactions 97 • Part L – Segment reporting 102
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Attachments Interim financial statements of Banca IMI S.p.A.
• Statement of financial position 104 • Income statement 106 • Statement of comprehensive income 107 • Statement of changes in equity 108 • Statement of cash flows 110
Reconciliation between the consolidated and separate financial statements and the reclassified financial statements
112
Statement of reconciliation between the equity and profit of Banca IMI S.p.A. and the corresponding aggregates in the condensed interim consolidated financial statements
118 Proposed allocation of the profit for the period of Banca IMI S.p.A. 119 Details of bond issues as at 30 June 2016 120 Statement of the Manager in charge of financial reporting
125 Independent Auditors’ report
129
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Officers and boards Board of Directors (in office for the three-year period 2016-2018) Chairman Gaetano Miccichè Deputy Chairman Giuliano Asperti Fabio Alberto Roversi Monaco Managing Director Mauro Micillo Directors Giuseppe Attanà Aureliano Benedetti Fabio Buttignon Vincenzo De Stasio Paolo Maria Vittorio Grandi Massimo Mattera Gerardo Pisanu
Board of Statutory Auditors and Surveillance Body pursuant to Legislative Decree 231/2001 (in office for the three-year period 2016-2018) Chairman Gianluca Ponzellini Statutory auditors Giulio Stefano Lubatti Stefania Mancino Substitute auditors Carlo Maria Augusto Bertola
Alessandro Cotto General Manager Mauro Micillo Manager in charge Angelo Bonfatti of financial reporting Independent auditors KPMG S.p.A. (in office for the nine-year period 2012-2020)
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(in millions of euro)
Income statement
Core business profit 909.0 908.1 0.9 0.1%Non-recurring income (expense) 21.7 3.5 18.2Total income 930.7 911.6 19.1 2.1%Net operating costs (222.2) (218.6) (3.6) 1.6% of which: - personnel expenses (73.4) (68.9) (4.5) 6.5%Operating profit 708.5 693.0 15.5 2.2%Impairment losses, provisions, other operating income (expenses) (49.8) (73.7) 23.9 -32.4%Income tax expense (218.1) (212.7) (5.4) 2.5%Profit for the period 440.6 406.6 34.0 8.4%
Statement of financial position
Owned securities (HFT, AFS and L&R) 30,067.8 28,345.1 1,722.7 6.1%Repurchase agreements and Securities lending 17,640.6 15,393.8 2,246.8 14.6%Structured finance assets 7,157.6 6,574.3 583.3 8.9%Total assets 167,399.7 154,040.8 13,358.9 8.7%Bond issues 14,269.0 13,866.8 402.2 2.9%Guarantees given and commitments to lend 7,705.0 4,681.8 3,023.2 64.6%Notional amount of financial derivatives 2,940,485.4 2,704,872.0 235,613.4 8.7%Notional amount of credit derivatives 113,976.5 111,964.1 2,012.4 1.8%Equity(1) 4,031.1 3,293.0 738.1 22.4%
Profitability and risk ratiosCost / Income ratio(2) 23.9% 24.0%Profit/Average equity (ROE)(3) 24.1% 22.6%Profit/Total assets (ROA) 0.5% 0.5%Basic earnings per share (basic EPS) - euros(4) 0.458 0.422
Operating structureTotal dedicated resources (5) 891 886 5
1) Including equity instruments and profit for the period/year, net of any interim dividends2) Operating costs in relation to Total income3) Profit for the period in relation to the weighted average equity4) Excluding those effects which impact the comprehensive income of the period5) It includes seconded resources proportionately
Consolidated BANCA IMI - Financial highlights and alternative performance ratios
Changes
1H 2016 1H 2015 amount %
30 June 2016
31 December 2015
amount %
30 June 2016
31 December 2015 amount %
1H 2016 1H 2015 amount %
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(in millions of euro)
Income statement
Core business profit 887.5 882.0 5.5 0.6%Non-recurring income (expense) 24.1 5.8 18.3Total income 911.6 887.8 23.8 2.7%Net operating costs (211.8) (209.5) (2.3) 1.1% of which: - personnel expenses (67.1) (63.8) (3.3) 5.2%Operating profit 699.8 678.3 21.5 3.2%Impairment losses, provisions, other operating income (expenses) (49.9) (73.6) 23.7 -32.2%Income tax expense (214.0) (205.0) (9.0) 4.4%Profit for the period 435.9 399.7 36.2 9.1%
Statement of financial position
Owned securities (HFT, AFS and L&R) 30,013.3 28,294.3 1,719.0 6.1%Repurchase agreements and Securities lending 17,508.0 15,284.0 2,224.0 14.6%Structured finance assets 7,157.6 6,574.3 583.3 8.9%Total assets 167,172.0 153,797.1 13,374.9 8.7%Net interbank position (3,182.7) (2,598.2) (584.5) 22.5%Bond issues 14,269.0 13,866.8 402.2 2.9%Guarantees given and commitments to lend 7,705.0 4,681.8 3,023.2 64.6%Notional amount of financial derivatives 2,940,485.4 2,704,872.0 235,613.4 8.7%Notional amount of credit derivatives 113,976.5 111,964.1 2,012.4 1.8%Equity(1) 3,896.7 3,160.6 736.1 23.3%
Profitability and risk ratiosCost / Income ratio(2) 23.2% 23.6%Average VaR for the period of the AFS and HFT portfolio 87.7 67.9 19.8 29.2%Non-performing loans/Total credit exposures 13.4% 14.0%Collective impairment losses on loans/Performing loans 1.3% 1.8%Profit/Average equity (ROE)(3) 24.7% 23.0%Profit/Total assets (ROA) 0.5% 0.5%Profit/Capital absorbed(4) 41.5% 42.6%Basic earnings per share (basic EPS) - euros(5) 0.453 0.415
EVA ® (5) 266.6 223.3 43.3 19.4%
Capital ratiosTotal Tier Capital 10.93% 10.67%
Operating structureTotal dedicated resources (6) 838 832 6
RatingsMoody's Baa1Fitch BBB+Standard & Poors BBB-
1) Including equity instruments and profit for the period/year, net of any interim dividends2) Operating costs in relation to Total income3) Profit for the period in relation to the weighted average equity4) Profit for the period in relation to the weighted average quarterly equity requirements5) Excluding those effects which impact the comprehensive income of the period6) It includes seconded resources proportionately
BANCA IMI S.p.A.- Financial highlights and alternative performance ratios
Changes
1H 2016 1H 2015 amount %
30 June 2016
31 December 2015
amount %
30 June 2016
31 December 2015 amount %
1H 2016 1H 2015 amount %
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Executive summary At the end of June Banca IMI recorded a consolidated profit of 441 million euro. This result is a significant achievement, showing an increase of 8.4% over the first half of 2015, especially considering the fact that it refers to a date immediately following the British referendum on remaining in the European Union, and its concurrent negative effects on global markets. Total income for the six-month period amounted to 931 million euro - an increase of 2% compared to 30 June 2015. The strong boost to revenue in the second quarter allowed us to recover the shortfall that had built up at 31 March 2016 compared to the corresponding period of 2015. This was driven by a recovery in profitability in the markets area, particularly careful management of credit curve and tail risks, and by the proceeds from the sale of the interest in MerMec within the context of the management of the overall financial position of the Group. The quarter which ended last 31 March included charges for the ex-ante contribution to the Single Resolution Fund. This took place earlier than the previous financial year, affecting Banca IMI’s financial performance in the first six months of 2016. Global Markets operations had a half year which was marked by low growth and low inflation expectations culminating in Brexit, which led to a further acceleration of the trend, bringing swap rates to their lowest levels since 2015. European stock markets closed the period with heavy losses as a result of the sharp decline in the oil price in the first quarter, and because of the outcome of the British referendum in the second. The volatility at the beginning of the year (driven mainly by commodities) influenced business across the credit markets and significantly reduced liquidity for all sectors. The European Central Bank’s decision to extend QE to investment grade corporate bonds led to a revival of primary market placements and boosted volumes in certain areas of the market. The management of risks and proprietary investments also positively contributed to results in 2016, albeit with a lesser contribution from the AFS portfolio compared to 30 June 2015. In Investment Banking the Bank distinguished itself both in international and domestic terms. In DCM, Banca IMI acted as bookrunner in the AB InBev (the issue was for over 50 billion in USD and euro) transaction, in Italian and Spanish corporate issues, and for governments, supranationals and financials, as well as confirming its leadership in the covered bond, subordinated and hybrid instrument segments. In ECM, IMI participated in the underwriting syndicate for the Saipem capital increase, and was the sole global coordinator for the Veneto Banca capital increase; it also participated in the ArcelorMittal, Parques Reunidos and Telepizza transactions. In Structured Finance, intense international activities included participation in the most important deal of the half year: the acquisition of Syngenta by Chemchina. IMI also participated in other top leveraged deals in 2016: the acquisition of SanDisk by Western Digital and the acquisition of Keurig Green Mountain by a consortium of investors led by JAB Holding. On the Italian market, activities were focussed on the renewable energy, shipping, real estate and corporate funding sectors. Global Markets contributed 722 million euro to consolidated revenues, whilst Structured Finance contributed 146 million euro, and Investment Banking contributed 63 million euro to Corporate & Strategic Finance.
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The operating profit of 709 million euro (+16 million euro compared to 30 June 2015), reflects the developments in total income which benefited from constant control of operating costs - at 222 million euro, +1.6% on the corresponding period of the previous year. The quarterly trend essentially reflects the different distribution of discretionary components included in the personnel expenses between the periods, where the overall level is always confirmed at the end of the year. Other administrative expenses fell by a modest amount. The cost/income ratio came to 23.9% in line with the prior period. Impairment losses, provisions and other operating expenses include 34 million euro in respect of ex-ante contributions to the Single Resolution Fund, corresponding to the final amount paid in the month of June to the Authority managing the Fund; expenses for this item were estimated at 20 million euro at 30 June 2015. A further 6 million euro of upfront payment (equal to 15% of the total amount) was transferred to the Fund in the form of Irrevocable Payment Commitment, without directly involving the income statement. The qualitative development of the loan portfolio and proactive management of positions classified as unlikely to pay led to a more contained cost of credit for the period, with reversals in both cash and valuation terms despite the expansion in structured finance assets. Joining the Pillarstone platform is of particular importance in this context: this will allow Banca IMI to dispose of assets in the context of the partnership signed between KKR, the Intesa Sanpaolo Group and Unicredit; these disposals are in the process of completion at the date of this report but their key features and financials have already been defined. If for whatever reason these disposals do not lead to the derecognition of loans from Banca IMI’s financial statements, the legal transfer of exposures to the platform will nevertheless allow the manager, Pillarstone to maximise the probability of repayment by injecting new financing and participating in the management of the disposed of companies. The consolidated profit of 441 million euro was net of income taxes of 218 million euro and the tax rate dropped to 33%. The ability to generate value for the shareholder yielded an EVA® for Banca IMI of 267 million euro and a return on group capital of 24.1%. Total consolidated assets amounted to 167 billion euro, up from 154 billion at 31 December 2015; 10 billion euro of the increase came from the statement of financial position receivables (repos, collateral paid and structured financing) and the rest consisted of the AFS securities portfolio. The capital requirements recorded a Total Capital Ratio of 10.93%, up from 10.7% at the end of December; the reduction compared to March 2016 was caused by an increase of the RWA to 29 billion euro from the previous 25 billion euro. The major requirements were generated by credit risk, VaR and the Incremental Risk Charge, and were offset by a reduction in the VaR under stress conditions. To a degree, these increases are a structural consequence of the overall changes during the period; in anticipation of the expansion of the risk activities, an Additional Tier 1 instrument for a nominal amount of 500 million euro was issued at the end of March and fully subscribed by the Ultimate Parent. The issuance of an AT1 was also partly due to the gradual adoption of a "fully loaded Basel 3” position. In this sense the first effects on the Italian banking system will already start to be seen from Q4 2016, as the gradual removal of the national option to grandfather unrealised gains and losses (relating to securities issued by public administrations in the EU area) is brought forward. This acceleration is a consequence of Regulation (EU) 2016/445 of the ECB, which was published recently. On 30 June 2016 the amount booked in the financial statements of Banca IMI in the valuation reserves not deducted from own funds pursuant to the new Regulation was not significant, in that it constituted only approximately 1% of regulatory capital.
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Interim Report on Operations
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The macroeconomic outlook and capital markets In the first half of 2016 the world economy continued along a path of moderate expansion. After a year of pronounced volatility in the financial markets, the return of more encouraging economic data and the parallel decline in risk aversion has allowed prices to stabilise, and capital flows have returned to emerging countries. The prices of raw materials, including oil, have begun to recover again after their sudden collapse in the month of January. The United Kingdom referendum to decide on whether to remain in the European Union saw a win for those wanting to leave. The referendum outcome surprised investors. However, the market disturbances have been relatively small and the only lasting effect has been the significant but predictable depreciation of the pound sterling. In the coming months the confidence indices, the dynamics of domestic demand in the United Kingdom, and the possible implications for economic growth in the European Union will become clearer. As with 2015, the US growth rate was very low in the first quarter of this year and it subsequently picked up pace again in the second. Employment and income continue to grow, and surveys show signs of recovery of the manufacturing sector. In view of the uncertainties at a global level, the Federal Reserve has kept official rates unchanged, while continuing to indicate its intention to raise them in the course of 2016. The economic signals were also mixed in the Eurozone. In the first quarter, GDP growth was higher than forecast, but was accompanied by a weakening of the confidence indices. In the second quarter, the trend for industrial production was volatile, and overall it indicated contraction compared to the first three months of the year. Annual GDP growth remains practically unchanged and above the 1.5% level required to promote employment growth and absorb unemployment. Inflation returned to negative levels in February and March, reflecting the reductions in energy prices, but it then went back up to zero. The external value of the euro increased by about 2%
since the end of 2015, predominantly over the first two months of the year. The European economic picture is also complicated by political factors. In addition to the British referendum, it should be pointed out that even the political elections in Spain have proved inconclusive, giving rise to the prospect of the formation of a government which is unable to rely on parliamentary support. The political instability in Spain was accompanied by a significant breach of fiscal targets during 2015. Nevertheless, the risk premium paid on sovereign debt remained low and stable. To cope with trends in the real economy, prices which were below expectations, and the very uncertain overall context, the ECB announced new monetary policy measures in March, some of which have already been implemented during the second quarter. The interest rate on deposits, which is currently the key rate, has been reduced from -0.30% to -0.40%. The rate on the main refinancing operations was cut from 0.05% to zero, while the rate on the marginal lending facility was dropped to 0.25%. The ECB has also included corporate bonds issued by non-banks in its purchase programme, the size of which has been increased from 60 to 80 billion euro monthly. In addition, June saw the start of a new programme of long-term refinancing called TLTRO II, whereby Eurozone monetary and financial institutions can obtain guaranteed, four year loans from the ECB. The interest rate applied is the same one as for the main refinancing operations, but it turns into the lower one for deposits if threshold lending conditions are complied with. Despite the reduction in exports, the growth of domestic demand in the Italian economy, led to first quarter GDP growth at a marginally higher level than the one at the end of 2015 (0.3% on a quarterly basis, and trend change of 1%). However, over the course of the second quarter the trend of industrial production became more volatile, foreshadowing a negative contribution to GDP growth. Business confidence deteriorated in services, remained almost stable in industry and rose in the construction industry. Employment growth,
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which was robust in 2015 due to the effect of the reforms and social security incentives, lost momentum between late 2015 and early 2016, but has begun to gather pace again in the second quarter. Fiscal policy has taken a conservative stance, by further reducing the primary surplus while the interest expense decreases faster than expected. On the basis of the new framework for fiscal policy, debt reduction will only be marginal in 2016. The spread against yields on German debt expanded during the financial turmoil in January and February and then again after the British referendum and the emergence of tensions in the banking sector. The ten-year BTP-Bund spread closed the six months at 147 bp, up by 51 bp compared to the end of 2015. However, it has narrowed again since the close of the quarter. The yields on Italian government debt fell in the wake of the general fall in medium and long term interest rates. On 30 June the ten-year BTP returned 1.35% vs. 1.60% at the end of 2015. The first half of 2016 saw high levels of price volatility on the stock markets, and strong increases in risk aversion by investors in all major international markets. These trends emerged right from the first stock market trading days of the year, and hit peripheral Eurozone markets (such as Italy, Spain and Greece) especially hard. The fall in prices is due to several macroeconomic factors and is linked to specific sectors. Macroeconomic prospects have been affected by the high volatility in oil prices; the slowdown in economic activity in China, emerging countries and crude oil producer countries; the uncertainties about the timing of monetary policy interventions in the United States; and the referendum in the United Kingdom on remaining in the European Union. At a sectoral level investors have been concerned about the quality of bank assets, the levels of coverage of impaired loans, and the levels of capitalisation of a number of banking systems in the Eurozone. Moreover, the automotive and luxury goods sectors were penalised respectively by fears of additional costs for emissions reduction and a downturn in expectations of demand from emerging markets. In the month of June, the unexpected victory of the Leave campaign in the British referendum led to a sharp downwards
correction to prices. The EuroStoxx index closed the period down by 11.3%, the CAC 40 registered a decline of 8.6% at the end of the period, the Dax 30 lost 9.9%, and the IBEX 35 index closed down by 14.5%. Outside the Eurozone, the benchmark SMI index for the Swiss market was down during the period by 9.1%, whereas the FTSE 100 index on the UK market closed the second quarter marginally up by +4.2%. The Italian stock market underperformed the other international benchmarks over the period. One of the factors driving this was its high exposure of the banking (representing more than 20% of the FTSE MIB index) and general financial sectors, which were especially penalised by investors over the period. The FTSE MIB index closed sharply down at the end of June (-24.4%), and was near to its 11 February low (-26.4%), while the FTSE Italia All Share index closed the period down -23.5%. The corporate markets in Europe closed the first half of 2016 with diverging performances in the investment-grade segment, with "non-financial" issues benefiting from the support provided by the new ECB purchase programme (CSPP). This period also saw very high volatility which was exacerbated by the ongoing lack of liquidity in the secondary market - due in part to the regulation that has limited the ability of the market to absorb excess supply easily during periods of decline. Over the period, the IG segment saw industrials outperform financials (because they were excluded from the ECB purchase programme) leading to a closing of spreads by around 15% for the former, and negative results for the latter which were also negatively impacted by renewed fears on the stability of the banking sector. At the same time, historically low yields for less risky asset classes have led to a search for yield by investors and to positive performance in High Yield securities, where spreads have fallen by around 10%. On the other hand, the iTraxx indices (covering CDS - Credit Default Swaps, which reflect the risk perceived by the market) performed negatively as they do not directly benefit from the program of purchases by the Central Bank. With regard to new issues, after a rather weak start to the year in the primary market, there was a substantial recovery in activity in
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the following months; the favourable funding environment has attracted a number of companies to financial optimisation transactions involving the buyback of issued securities and their replacement with longer dated paper issued on more favourable terms. The Italian banking system continued to see improved trends in bank lending to the private sector, although growth is very modest and confined to certain specific segments. In particular, the recovery in lending to consumer households has strengthened and growth has consolidated for non-financial businesses operating in the manufacturing industry, while loans to construction firms have continued to decrease. The growth in medium-term loans has continued to offset the negative trend in short-term ones. The loans trend has seen positive levels of demand in some segments and this has been combined with an easing of the supply conditions in a competitive market context. Among credit supply factors, competitive pressure continued to significantly encourage the easing of credit access
conditions. However, greater caution has emerged amongst the banks with respect to the perceived risks, even though said risks continue to warrant further expansion of supply. Companies' opinions confirmed that credit access conditions have improved. The growth of the stock of bad loans has continued to decelerate and the first quarter saw confirmation of the slowing down of the flow of new impaired loans as a ratio of existing loans. The funding side saw a continuation of previous trends, in particular in the growth of deposits which was driven by the strong performance of current accounts. The growth of deposits continued to be in contrast to the sharp decline in the amount of bank bonds, the performance of which was affected by customer portfolio reallocation processes. Customer deposits performed well, despite the disruptive introduction of the new arrangements for the management of banking crises, in particular with reference to use of bail-ins. In aggregate, funding decreased slightly. The rate of reduction was more contained in the middle of the quarter compared to the first months of the year.
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Results by business area
Global Markets Trading The market continues to have low growth and low inflation expectations for the next few years. The outcome of the Brexit referendum has caused this trend to accelerate, bringing the swap rates down to 2015 lows and flattening the entire yield curve, especially on the long side. The European stock market closed the first half of the year with heavy losses incurred in the first quarter as a result of the strong decline in the oil price leading to a sell-off of stocks (mostly by sovereign wealth funds). In the second quarter, the outcome of the aforementioned British referendum meant that any recoveries which had been made were lost again. The Eurostoxx50 index closed the period with a loss of approximately 12%, and the losses on the Italian FTSEMIB index were heavier again as a result of the negative performance of the banking sector, and it closed the first half with a fall of 25%. The weakness in European equity markets was contrasted by the resilience of American stocks (the S&P500 index closed up by around 2%) which were supported primarily by US Corporate share repurchases. On the Credit Risk market, the volatility at the beginning of the year (again mainly driven by fears on commodities) significantly reduced liquidity for all sectors. The European Central Bank’s March decision to extend QE to investment grade corporate bonds, led to a revival of primary market placements and boosted volumes in certain areas of the market. Despite having undergone a period which was more complex and unique than any for years, the credit market has behaved in an "orderly" manner even if illiquidity is growing. The agreement reached by the Argentine government with a group of US hedge funds (Holdout Investors) has resolved a dispute which had been going on for years and boosted the entire emerging markets sector.
The sharp fall in oil prices at the beginning of the year was reversed in the second quarter, when the price started trading in a sideways channel (albeit a wide one) with a cap around 50 USD. Metals sectors (both basic and precious metals) and energy have shown very robust increases, while agricultural commodities have reacted asymmetrically to the abnormal climatic conditions. Lastly, the Forex markets also experienced a large, unexpected shift as a result of the British referendum, with movements in spot exchange rates against the pound of approx. 10% for all currencies. The event also had a significant impact on the EUR/USD and USD/JPY rates, with the latter being used as protection against risk-off events. The significant trends in a few peripheral currencies such as the BRL should also be emphasised. It appreciated by approximately 20% compared to the USD despite the precarious internal political situation, demonstrating the renewed interest in the LATAM world by investors. Finance & Investments The Market Treasury desk ensured the management of the liquidity position, with the aim of optimising the net interest margin working within the Liquidity Policy rules; in the second quarter, continuous coverage was also extended to the risk profiles resulting from the introduction of funding value adjustment (FVA) metrics as a component of the fair value of derivatives. On the basis of an appropriate service model, the Credit Treasury desk extended the scope of its activities of pricing and covering counterparty risk to include the OTC derivatives on the books of the Corporate Division. The new secured financing transactions originated by the Secured Financing & Strategic Transactions desk amounted to 1.6 billion euro. At the same time, the activity of optimising collateralised netting sets
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continued, with the aim of minimising capital and liquidity absorption. A very prudent stance was maintained for proprietary investments in corporate exposures and financials, which were at the centre of the market tensions. The AFS investment portfolio was extended to include greater exposure to securisations, also by means of retained transactions. The March announcement of the ECB measures to support corporate bonds gave a further boost to investments of this type, but at the same time positions were reduced tactically around the time of the Brexit referendum. AFS portfolio diversification was constantly kept at high levels, with exposure to Italian Government Bonds well below the 40% threshold. Equity Portfolio Management continued to search for investment opportunities via Special Purpose Acquisition Companies (SPAC), while within Fixed Income & Macro Portfolio Management the first half year saw long exposures to core securities maintained, especially in the United States, in order to exploit the overall trend of falling rates in a deflationary context. Sales & Distribution Rates activity for corporate customers showed record growth, with the contribution from international customers at 75% of the total (which represented an increase compared to the 60% seen for the 2015 full year); this performance was achieved as a result of a significant number of large transactions with high added value linked to extraordinary finance operations (project financing, acquisitions and bond issues) as well as positive derivatives novation activities as a result of the exit from the market of a number of international players. As regards the Forex business, the uncertainty surrounding the British referendum reduced ordinary flows, causing significant discontinuities compared to the more recent historical average. Hedges with longer term time horizons for the management of dollar purchases by importers were especially significant. The commodities area also recorded a record six months as a result of extraordinary transactions brought about by the macroeconomic context; in particular in the
power and natural gas sector, the marked decline of the underlyings drove customers to extend coverage over longer periods. For institutional investors, the early months of 2016 were influenced by high volatility which especially affected bank shares due to concerns about the high ratio of NPLs to system assets and as a result of the planned timetable of major capital increases. Activities with Italian banks were concentrated on upgrading capital and liquidity ratios, with a particular focus on the search for solutions for reducing NPLs without shedding value. The expectations are for a continuation of this trend in the coming months. The market activity executed by Market Hub for the account of customers recorded substantial flows in terms of order numbers (with a daily average of 70,000), with increased volatility which benefited the listed derivatives side, hitting a historical daily record during June of 530,000 trades brokered. Commercial development was focused on two new assets for significant customers, and on three important areas of activity: the launch of an MHUB mobile app for retail customers of the Banca dei Territori division; preparations relating to setting up an e-sales desk at Banca IMI NY and the launch of a project to link up with a Chinese bank. The expansion of the customer base affected both OTC Clearing and cash markets. The international segment saw new business relationships commence with 17 new customers for OTC trading in bond markets. Credit Solutions Group Over the first half of 2016, the Credit Solutions Group focused on the structuring and active management of credit risk in order to offer its clients solutions geared towards the need to optimise economic and regulatory capital, de-consolidate non-core assets and improve net financial positions. Via its sales force, the team has furthered the interests of specialist investors involved in structured credit transactions and activities designed to improve the distribution of underlying risks on the capital markets. From the beginning of the current year, the ever more stringent regulatory framework has continuously exerted more pressure on capital adequacy and liquidity for banks and
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financial intermediaries subject to prudential supervision, whilst corporates have confirmed their trend towards more diversified sources of funding and improved working capital management. In this context, which is characterised by continued weakness at the macroeconomic level, securitisation transactions and the transfer of risks have continued to hold strategic importance for financial institutions and corporates focused on improving capital and liquidity ratios. The Securitisation desk met these customer needs through securitisation, primarily funded through Intesa Sanpaolo's conduit platform, by drawing on the capital market. This led to two securitisation and senior tranche conduit financing transactions for Banca Carige: the first related to consumer credit and salary and pension backed loans (160 million euro), the second comprised loans underlying lease contracts (120 million euro). In addition, as sole arranger, Banca IMI finalised securitisation programmes for guaranteed loan portfolios (in most cases salary-backed) on behalf of Fincontinuo (50 million euro) and Banca Sistema (240 million euro). The large corporate segment also saw the securitisation of vehicle purchase loans originated by FCA Bank (960 million euro). Two portfolio securitisations were also successfully completed with regard to loans underlying lease contracts and related conduit senior financings for Banca Monte dei Paschi di Siena (260 million euro) and Alba Leasing (200 million euro). Lastly, in its capacity as co-arranger, the desk also assisted Intesa Sanpaolo in its issue of a covered bond for a value of 1,250 million euro as part of the ISP CB mortgage programme. As joint arranger the desk also finalised a securitisation of consumer credit (1.5 billion euro) originated by Accedo, on behalf of the Intesa Sanpaolo Group. In Risk Transfer Solutions, a number of financial institutions were supported in transactions to optimise the use of capital, and deleverage illiquid assets. The first conduit financing transaction was structured for a portfolio of second lien residential mortgages originated by Barclays in the
United Kingdom (200 million GBP) and various secured financing transactions in the form of repurchasement agreements on behalf of other Italian banks (1.3 billion euro).
Corporate & Strategic Finance Debt Markets The first half of 2016 recorded a significant decrease in issuance volumes in all segments (corporate, financial institutions, SSA). This was partly mitigated by a recovery of issuance activities in the second quarter. The largest international transactions in the corporate sector with Banca IMI as bookrunner were those for AB-InBev (46 billion USD and 13 billion euro), while Italian corporates included FCA, Telecom Italia, Ferrari, Buzzi-Unicem and IGD totalling 4.3 billion euro. Spanish corporate issues included Telefonica, Gas Natural, Merlin Properties, Enagas, Abertis, and Viesgo totalling 6.4 billion euro. Banca IMI confirmed its role as the leading Italian bank in the "Project Bond" segment acting as bookrunner in the issue by Concessioni Autostradali Venete (830 million euro). In the SSA segment it performed two joint lead manager and bookrunner roles for the Italian Treasury (8 billion euro of Italian BTP Italy and 3 billion euro of BTP€i) and one role as sole bookrunner as part of the IBRD (World Bank) issue for 0.7 billion USD. In the Financial Institutions sector Banca IMI acted as joint lead manager and bookrunner for Intesa Sanpaolo’s subordinated issues (AT1 bond in EUR and Tier 2 bond in USD) and for the mortgage covered bonds (cedulas) issued by Deutsche Bank Spain. It also acted as joint lead manager in the Senior Euro issues by JP Morgan, Citi and in the Subordinated Euro Tier2 issues by HSBC Holdings and Deutsche Bank.
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Equity Capital Markets Stock markets had a negative first half of 2016. European markets were particularly badly affected with average falls of 12% and the Italian market dropped by 24% in the first half, particularly following the British Brexit referendum. In the wake of the renewal of tensions, primary market trading in the EMEA region fell materially, showing a decrease by over 43% in volume terms compared to the same period of the previous year. The activities break down into 49% ABBs, 19% IPOs and 15% equity-linked issues; capital increases only accounted for a share of 17%. In this context, Banca IMI has maintained its usual coverage of the domestic market, acting as sole global coordinator in the Veneto Banca capital increase (1 billion euro), as joint bookrunner in the Saipem capital increase (3.5 billion euro) and in the Coima Res IPO (300 million euro). With regards accelerated bookbuilding, it acted as sole bookrunner in the sale of 1.4% of the share capital of Iren by the Municipality of Parma, and 2% of the share capital of Anima by Credito Valtellinese. It was confirmed as market leader in public tender offers, and had the role of broker appointed to co-ordinate the collection of acceptances totalling 800 million euro in the DeLclima, Ansaldo STS, Bolzoni and Engineering transactions. Internationally, the bank acted as co-lead manager in the ArcelorMittal capital increase (2.7 billion euro) and the Parques Reunidos IPO (600 million euro), as well as co-manager of the Telepizza IPO (550 million euro). At the end of the period, Banca IMI was acting as Specialist or Corporate Broker to approximately 40 companies listed on the Italian exchange, confirming its leadership in this segment of the market.
M&A Advisory The satisfactory results of the period saw Banca IMI provide advisory activities to a wide variety of businesses in the industrial and services sectors; in particular: • in energy, to F2i - the Italian Fund for Infrastructure - on the establishment of a Joint Venture with Enel Green Power in the photovoltaic sector; to SEL S.P.A./SEL AG both on the Edipower reorganisation project and on the project to restructure the holdings in Hydros and Seledison; to Pizzarotti Group & C. on the divestment of Pizzarotti Energia to Holding Fotovoltaica; to Iberdrola on the sale of SER (a company with wind assets totalling approximately 245 MW) to the Glennmont fund; • in TMT, to the NB Renaissance and Apax funds on the acquisition of 37.1% in Engineering and on the resulting compulsory bid for the free float; • in infrastructure, to ReConsult on the sale of 51% of A4 Holding to Abertis; • in Consumer & Healthcare, to Charterhouse on the sale of 100% of DOC Generici to CVC Capital Partners; to Investcorp on the acquisition of 55% of Corneliani, to Centrale del Latte of Turin on the merger with Centrale del Latte of Florence, Pistoia, and Livorno; • in Financial Institutions, to Fondazione Carige on defining strategic asset allocation goals and on the sale of the stake in Cassa Depositi e Prestiti; to the Ultimate Parent, Intesa Sanpaolo on the optimisation of a portfolio of 2.6 billion euro of performing consumer finance loans. Structured Finance The beginning of the year was characterised by high volatility and a significant reduction in the volumes of syndicated loans (-71% in Italy and -34% in EMEA on a half-yearly basis; source Global Loans Review First Half 2016, Dealogic). Despite this, satisfactory results were achieved by means of constantly focusing on profitability, by leveraging cross-selling opportunities and through strong synergies with the Global Markets area.
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Intense international activities included participation in the most important deal of the half year: the acquisition of Syngenta by Chemchina. IMI also participated in other top leveraged deals in 2016: the acquisition of SanDisk by Western Digital and the acquisition of Keurig Green Mountain by a consortium of investors led by JAB Holding. Against this background the Energy & Industry Specialized Lending desk executed transactions in excess of 1.3 billion euro - of which the Banca IMI share was approximately 400 million euro; some of the most important included: • 180 million euro on behalf of FVH1 S.r.l.
(sponsored by ForVEI, an investment company in the Palladio Group) to refinance existing debt on a portfolio of photovoltaic plants with a total capacity of 68 MW;
• 260 million euro for Onorato Armatori (Moby Group) to refinance group debt;
• 250 million USD for D'Amico Tankers LTD, to refinance debt and purchase new vessels;
• 320 million euro for Grandi Navi Veloci to refinance group debt, and satisfy working capital requirements;
• 158 million euro "Bridge to Equity" for the acquisition of a minority stake in a healthcare company.
In the context of a highly competitive market characterised by pressure on margins and high levels of debt, the Leveraged & Acquisition Finance desk maintained a selective approach in the pursuit of new business opportunities and executed financing transactions exceeding 1.5 billion euro; including: • 440 million euro to support the acquisition
of the Necta Vending group, a vending machines producer, by the Lone Star private equity fund;
• 295 million euro to support the acquisition of the share capital of Comdata and its subsidiaries, and the Spanish Digitex Informática Holding (call centre activity) by the Carlyle private equity fund;
• 660 million euro to refinance the indebtedness of Cerved Group (provider of credit information services) which is controlled by the CVC private equity fund.
Work continued on origination together with the front desks of the Corporate & Investment Banking Division and the Banca dei Territori Division, as evidenced by a
pipeline of transactions which are expected to be executed over the course of the second half of 2016. Specialist financing activities within Real Estate have delivered over 1 billion euro of structured credit facilities, with direct subscription of approximately 40%. In particular this included support provided for the acquisition by Alba Bidco S.p.A. of 100% of Grandi Stazioni Retail S.p.A., a company which grants leases relating to retail spaces located in 14 major Italian railway stations, as well as for the financing of the cash needs of the Domus Italia S.p.A. real estate company and two of its subsidiaries: Domus Italy 2 and Domus Rome 15 (Group Francesco Gaetano Caltagirone). As regards advisory activity, the provision of financial advice to a leading quoted Italian group is ongoing. This relates to the optimisation of the new headquarters building currently in the development and construction stage in Milan. As Mandated Lead Arranger, the Corporate Loan Structuring desk structured and organised financings totalling approximately 2.5 billion euro for Group customers operating in various sectors of the economy, both in Italy and abroad; these included: the Term Loans to fund the ordinary financial requirements of Lavazza and Marcegaglia Steel; the financing of the shareholder reorganisation which allowed Progressio SGR to become a shareholder in Industrie Chimiche Forestali; the bilateral funding of the acquisition of Santa Maria by Anthea Hospital and the Città di Lecce Hospital, and the sale of the INFA group to the P&R Fidia Farmaceutici group; the MLT refinancing of debt exposure relating to Colacem, Giochi Preziosi, Savino del Bene and Valvitalia. In addition to the abovementioned Syngenta transaction the International Structured Finance desk took part in numerous operations in various economic sectors and geographical areas including: • 535 million euro of bond issue bridge
financing for a primary producer of electrical energy in eastern Europe;
• 775 million euro for Parques Reunidos Servicios Centrales, a leading European group in the management of theme parks, in relation to the refinancing which followed the listing of the company;
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• 700 million USD to support the acquisition of Telecity Group By Equinix, both leading operators in the data centre sector;
• 300 million euro to fund the merger of two leading players in the television and digital entertainment sector;
• 800 million GBP for (i) a SPV (Special Purpose Vehicle) controlled by one of the leading companies in the renewable energy sector in the UK, quoted on the London Stock Exchange and (ii) for the acquisition of a portfolio of infrastructure assets held by Total E&P UK Ltd and for the refinancing of existing debt.
Results for the period Banca IMI and subsidiaries’ consolidated results for the six months ended 30 June 2016 show a profit of 441 million euro, up by 34 million euro compared to 30 June 2015 (+8.4%). The separate Banca IMI S.p.A. financial statements show a broadly similar result, with a profit of 436 million euro (+36 million euro on the corresponding period of the previous year). In order to provide a more complete analysis of income performances, the following restated income statement has been prepared. This format allows for a better understanding and representation of the main items relating to core business profit, revenue and costs of a non-recurring nature, cost items associated with the management and development of infrastructure and the establishment of provisions and credit coverage.
Banca IMI Group
Reclassified Income Statement
(in millions of euro)
1H 2016 1H 2015 1H 2016 1H 2015 amount % amount %
Net interest income 269.6 292.6 269.6 292.3 (23.0) -7.9% (22.7) -7.8%Net fee and commission income 185.8 212.2 164.7 186.2 (26.4) -12.4% (21.5) -11.5%Profits from financial transactions 453.6 403.3 453.2 403.5 50.3 12.5% 49.7 12.3%
Core business profit 909.0 908.1 887.5 882.0 0.9 0.1% 5.5 0.6%
Net non-recurring income (expense) 21.7 3.5 24.1 5.8 18.2 18.3
Total income 930.7 911.6 911.6 887.8 19.1 2.1% 23.8 2.7%
Net administrative expenses: (221.9) (218.2) (211.7) (209.3) (3.7) 1.7% (2.4) 1.1%of which: - personnel expenses (73.4) (68.9) (67.1) (63.8) (4.5) 6.5% (3.3) 5.2% - other administrative expenses (148.5) (149.3) (144.6) (145.5) 0.8 -0.5% 0.9 -0.6%Amortisation and depreciation (0.3) (0.4) (0.1) (0.2) 0.1 0.1
Operating costs (222.2) (218.6) (211.8) (209.5) (3.6) 1.6% (2.3) 1.1%Operating profit 708.5 693.0 699.8 678.3 15.5 2.2% 21.5 3.2%Impairment losses, provisions, other operating income (expenses) (49.8) (73.7) (49.9) (73.6) 23.9 -32.4% 23.7 -32.2%Profit from continuing operations 658.7 619.3 649.9 604.7 39.4 6.4% 45.2 7.5%Income tax expense (218.1) (212.7) (214.0) (205.0) (5.4) 2.5% (9.0) 4.4%
Profit for the period 440.6 406.6 435.9 399.7 34.0 8.4% 36.2 9.1%
Changes Changes
Banca IMI Group Banca IMI S.p.A. Banca IMI Group Banca IMI
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In particular: • dividends and manufactured dividends received from shares held for trading and
commissions for the placement of financial instruments in the HFT portfolio are shown among the financial profits;
• revenue and costs associated with strategic operations or of a non-recurring nature are presented in a separate line within total income, net non-recurring income (expense);
• personnel expenses reflect the results of the transfer to beneficiaries of Intesa Sanpaolo shares supporting the Banca IMI and Group incentive system;
• other administrative expenses are shown net of debts and charges arising from ex-ante and ex-post contributions to the Single and National Resolution Funds;
• these are shown under the heading "Impairment losses, provisions, other operating income (expenses)"; caption which also includes the results from the sale of non-performing loans.
Since Banca IMI plays a major role within the consolidated group, the levels of aggregates mainly reflect the operating performance of the parent. The operating profit of 709 million euro at consolidated level - is at the high end of the historical series of Banca IMI half-yearly results, as highlighted by the figures below.
The growth in operating profits in absolute terms was driven by total income - to 931 million euro, an increase of 2.1% on the corresponding period of the previous year. Contributing to consolidated total income were both the Global Markets area, at 722 million euro, and, within the Corporate & Strategic Finance area, Structured Finance at 146 million euro and Investment Banking at 63 million euro. In the second quarter of 2016, the markets area was able to recover the gap compared to the year 2015 which had opened up as at 31 March.
Global Markets 721.7 77.5% 701.2 77.0%
Corporate & Strategic Finance Investment banking 63.0 6.8% 68.7 7.5% Structured Finance 146.0 15.7% 141.7 15.5%
Total income 930.7 911.6
Banca IMI Group
1H 2016 1H 2015
Amount Share Amount Share
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Income was significantly affected by net profits from financial transactions, (around 50% of total revenue) driven by profit from proprietary trading in securities, derivatives and currencies, gains and losses on the sale of the AFS portfolio, and the cost of the buy-back of Banca IMI bonds on the secondary market. In absolute terms the total amounted to 454 million euro, a net increase of 50 million euro compared to 30 June 2015, as the result of a number of opposing factors. On the one hand, gains on the sale of instruments in the AFS portfolio fell (-87 million euro); in 2015 these gains had been particularly concentrated in the first quarter following the announcement of the Quantitative Easing measures launched by the ECB, leading to a level of revenue which has not been reached again. On the other hand, investment management led to a more even distribution of profits during the first half of 2016, whilst the effect on the equity reserves deriving from the valuation of the portfolio at fair value at the end of the period was basically unchanged (compared to 31 December 2015).
The growth in trading revenue was boosted by the expansion of business with customers, which was due in part to cross-selling between the different areas of Banca IMI, and to the management of risk and proprietary positions within the HFT portfolio. Particular attention has been paid to changes brought about by credit conditions, (which affect CVA and DVA components thereby influencing the pricing and fair value of financial instruments), and to tail risks, (i.e. market shock scenarios which have a marginal probability of occurring but which can lead to significant impact on the income statement if they do occur). Continuing with the development of fair value metrics, this first half of 2016 saw the implementation of the Funding Value Adjustment, whereby the different methodologies already in place to reflect the cost of liquidity in the fair value calculation models for non-collateralised OTC derivatives have all been systematically linked into a single methodological framework. More specifically, FVA represents the liquidity premium connected to the cost of financing future positive exposures, i.e. the cash flows generated by a portfolio of derivatives (coupons, dividends, collateral, etc.), net of collateral received (on the assumption that it can be reused). This model assumes that available collateral and any negative exposures both contribute to reducing the net overall future exposure and that any surplus liquidity available is invested at overnight rates, with zero counterparty risk. The calculation is carried out at the level of each Legal Entity based on the logic of a single netting set (the “funding set”) and assuming a financing cost which is not entity specific. The FVA methodology has replaced specific liquidity adjustments and tailored Eonia or Euribor-based discounting for each and every deal. Banca IMI and the Intesa Sanpaolo Group thus comply with international best practices. The overall effect of the changes to the group Fair Value Policy over the first half of 2016 was positive, at around 75 million euro: the negative impacts relating to the Funding Value Adjustment
Profits from financial transactions(in millions of euro)
amount % amount %
Securities and derivatives HFT 350.4 236.6 113.8 48.1 350.0 236.8 113.2 47.8
Investments AFS 110.9 198.0 (87.1) -44.0 110.9 198.0 (87.1) -44.0
Currencies 6.1 6.9 (0.8) -11.6 6.1 6.9 (0.8) -11.6
Issues (13.8) (38.2) 24.4 -63.9 (13.8) (38.2) 24.4 -63.9
Total 453.6 403.3 50.3 12.5 453.2 403.5 49.7 12.3
Banca IMI Group BANCA IMI S.p.A.
1H 2016 1H 2015 Changes 1H 2016 1H 2015 Changes
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were counterbalanced by positive impacts related to the extension of the OIS discounting methodology to all OTC derivatives and to discontinuing pre-existing specific adjustments for calculating liquidity costs. The period which has just finished was also affected to a lesser extent (14 million euro compared to the preceding 38 million euro) by the effects of derecognising Banca IMI bonds in issue at the point when they are repurchased on the secondary market, as part of the scope of the ordinary activities of market making and providing liquidity. Those charges, recognised immediately upon repurchase, will be followed in the medium and long term by the benefits to net interest income due to the transformation which has now been implemented, replacing fixed-maturity funding with short-term bank funding. Within income on services (-26 million euro on the comparison period) the fall in profitability had a blanket effect on both business areas, as a result of the unfavourable context on both primary and secondary markets. Nevertheless, Banca IMI’s leadership in origination was confirmed on the domestic market and internationally, due to its participation in the most significant transactions, among which deserve mention AB InBev, issues by Spanish and Italian corporates, and roles in the capital increase of Veneto Banca and the Saipem capital increase underwriting syndicate. In this context, the month of February saw subscription of shares for a total consideration of 52 million euro, leading to a stake of around 1.45%. At the date of this report, the shares (which had originally been booked in the AFS portfolio) have all been sold, generating gains on sale of around 4 million euro.
The reduction in share prices on the main reference markets, and the collapse in volumes traded (MTA -21.43%, MOT -34.39%, EuroTLX - 25.8%) have impacted revenue in the brokerage area. Markets where Banca IMI has a consolidated leadership position by market share. The growth in volumes in listed derivatives was significant, in particular in the month of June, as a result of the British referendum. The reduction in the volatility of the euro/dollar exchange rate also led to a decreasing customer demand, both in the context of derivatives for cash instruments, with a direct effect on currency trading. The growth in “other” commissions was significant. This referred to the Global Markets segment which predominantly includes revenue from the structuring of securitisation transactions.
Net fee and commission income(in millions of euro)
amount % amount %
Dealing and consultancy. Dealing and acceptance of trading instructions 24.9 30.3 (5.4) -17.8 13.0 18.5 (5.5) -29.7. Currency dealing 21.0 41.0 (20.0) -48.8 17.9 35.7 (17.8) -49.9. Placement of equity and debt 50.1 40.1 10.0 24.9 46.7 32.2 14.5 45.0. Structured finance 59.6 69.3 (9.7) -14.0 59.6 69.3 (9.7) -14.0. Advisory & specialist 18.3 35.2 (16.9) -48.0 16.5 34.0 (17.5) -51.5. Other 15.8 4.1 11.7 14.5 4.0 10.5
189.7 220.0 (30.3) -13.8 168.2 193.7 (25.5) -13.2
Management and services. Custody and administration of securities (4.3) (6.3) 2.0 -31.7 (3.9) (6.0) 2.1 -35.0. Collection and payment services 0.1 (1.8) 1.9 0.1 (1.8) 1.9. Other services 0.3 0.3 0.0 0.3 0.3 0.0
(3.9) (7.8) 3.9 -50.0 (3.5) (7.5) 4.0 -53.3
Total 185.8 212.2 (26.4) -12.4 164.7 186.2 (21.5) -11.5
Banca IMI Group BANCA IMI S.p.A.
1H 2016 1H 2015 Changes 1H 2016 1H 2015 Changes
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In comparison to 30 June 2015, aggregate net interest income showed a decline of 23 million euro, driven by reduced profitability of investments in securities, confirming the trend already reported in the first quarter of the year (-19 million euro in Q1 2016 compared to Q1 2015). The increase in average outstanding amounts, offset by portfolio turnover, has only partly compensated for the significant flattening of the interest rate curve and the compression in credit spreads.
Interest received and accrued in the context of structured finance has reached a support level as a result of the end to the process of deleveraging interest-bearing cash loans, which had affected recent financial years. With regard to securities funding, the contraction of the stock of bond issues in circulation which fell to the current level of 14.3 billion euro, has caused the reduction in retail funding expenses.
Measures aimed at recalibrating interbank lending and funding on the various maturities are continuing, with the goal of best positioning the Bank in light of the most recently introduced liquidity standards (net stable funding ratio): the effects compared to the corresponding period of
Net interest income(in millions of euro)
amount % amount %
. Bonds and repos 192.5 242.3 (49.8) -20.6 192.5 242.0 (49.5) -20.5
. Structured finance 101.2 100.8 0.4 0.4 101.2 100.8 0.4 0.4
. Deposits, funding and treasury 99.8 105.8 (6.0) -5.7 99.8 105.8 (6.0) -5.7
. Bonds issued (108.6) (151.9) 43.3 -28.5 (108.6) (151.9) 43.3 -28.5
. Other (15.3) (4.4) (10.9) (15.3) (4.4) (10.9)
Banca IMI Group BANCA IMI S.p.A.
1H 2016 1H 2015 Changes 1H 2016 1H 2015 Changes
292.3 (22.7) -7.8Net interest income 269.6 292.6 (23.0) -7.9 269.6
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the previous year have been a reduction of 6 million euro in interest from treasury management operations with the Group's centralised treasury department. The intragroup position, defined as the net imbalance of maturing deposits and loans and liquidity accounts, shows a negative balance of 3.2 billion euro (2.6 billion euro at 31 December 2015). In both periods, Group net non-recurring income included the share of profits from companies valued at equity (Epsilon and EuroTLX) in the Investment income caption. The separate financial statements for Banca IMI show the dividends distributed by the same investees; these are eliminated from the consolidated profit and loss account. The item also includes the distribution of 3 million euro of reserves from MerMec. This was recognised in the income statement since the investment had a book value equal to zero. Still referring to MerMec, this includes a gain on the sale (15.2 million euro) deriving from the option to purchase the entire stake (30%) being exercised by the reference shareholder of the company as part of the restructuring of the financial position of its group. All income pertaining to MerMec is included in caption 240 of the statutory income statement.
An examination of the overhead costs, at 222 million euro (+1.6%), demonstrates good control of ordinary cost items. Personnel expenses include an initial accrual of provisions relating to the incentive scheme for 2016, which was 4 million euro higher than the comparable accrual made in H1 2015, leading to a technical increase of 6.5% in this caption. The definitive - discretionary - amount to be charged to the income statement for the current year will be finalised in Q4 2016. The structural growth of ordinary remuneration items is in the order of 2%, reflecting developments in the resources employed and changes to compensation levels. The resources of Banca IMI S.p.A., which also include fully seconded personnel, are summarised in the following table.
Net non-recurring income (expense)(in millions of euro)
amount % amount %
Dividends on investments 6.5 3.5 3.0 8.9 5.8 3.1
Gains on disposals 15.2 - 15.2 15.2 - 15.2
Net non-recurring income (expense) 21.7 3.5 18.2 24.1 5.8 18.3
Banca IMI Group BANCA IMI S.p.A.
1H 2016 1H 2015 Changes 1H 2016 1H 2015 Changes
on Dec 2015 on Jun 2015
Registered employees 838 828 830 10 8
Seconded from other companies and expatriates 15 13 17 2 (2)
Seconded to other companies and expatriates (15) (9) (10) (6) (5)
Total dedicated resources 838 832 837 6 1
of which: Italian subsidiaries 755 753 759 2 (4)
of which: Foreign branches 83 79 78 4 5
Number of employees 30 June 2016 31 December 2015 30 June 2015Changes
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As at 30 June 2016, the employees on Banca IMI's payroll came to 838 resources (828 as at 31 December 2015), of whom 76 were executives (77 at the end of December), 554 middle managers (541 at the end of December), and 208 members of the remaining professional categories (210 at the end of December). In addition to these, there were 53 employees of IMI Securities. The reduction of 0.5% in “Other administrative expenses" confirms the trend already observed in the report at 31 March 2016, and derives primarily from cost savings in professional and business consulting services, in addition to a lower incidence of costs for mandatory obligations. Compared to the corresponding period of 2015, the "Other expenses" item includes the costs of storage of physical natural gas for the new operations launched at the end of 2015; the cost of 1.8 million euro is directly connected to the volumes brokered. The costs for services received from the Ultimate Parent and the Consortium Company were stable.
Total expenditure continues to comprise predominantly expenses which are directly related to key business activities or to their development, in contrast to general overhead and corporate management costs. The stability over time of the latter items is demonstrated by the quarterly breakdown of 'Other administrative expenses'.
The cost/income ratio was 23.9% compared to 24% for the corresponding period of the previous year; this was significantly below the 31.2% recorded for the 2015 full year.
Other administrative expenses(in millions of euro)
amount % amount %
Outsourcing costs (94.4) (94.3) (0.1) 0.1 (93.8) (93.6) (0.2) 0.2
Compulsory compliance costs (2.7) (3.7) 1.0 -27.0 (2.6) (3.7) 1.1 -29.7
Logistics and functioning costs (6.3) (6.5) 0.2 -3.1 (5.2) (5.3) 0.1 -1.9
Databases and market information costs (27.9) (26.6) (1.3) 4.9 (27.2) (26.1) (1.1) 4.2
Legal and consulting expenses (4.0) (7.0) 3.0 -42.9 (3.5) (7.0) 3.5 -50.0
Other expenses (13.2) (11.2) (2.0) 17.9 (12.3) (9.8) (2.5) 25.5
(145.5) 0.9 -0.6Total Other administrative expenses (148.5) (149.3) 0.8 -0.5 (144.6)
Banca IMI Group BANCA IMI S.p.A.
1H 2016 1H 2015 Changes 1H 2016 1H 2015 Changes
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26
The operating profit of 709 million euro - an increase of 2.2% - gave a consolidated profit of 441 million euro (436 million euro at Banca IMI) after impairment losses, net provisions and other expenses of around 50 million euro, and income taxes of 218 million euro. The income statement for the period included 33.6 million euro in charges relating to the ex-ante contribution to the Single Resolution Fund pursuant to Directive 2014/59/EU - Bank Recovery and Resolution Directive (BRRD); the amount of the charge was settled by the Authority managing the Fund and already paid in the month of June. The amount refers to the 2016 full year period and is compared to the 20 million euro as at 30 June 2015, which was a first estimate recognised in the income statement pending the resolution of the settlement of the amount by the Authority.
Impairment losses on the loan portfolio, both in respect of direct disbursements and risks undertaken synthetically, amounted to 14 million euro, of which 9 million euro relate to impaired exposures and 5 million euro to performing loans; the "collective" adjustments showed a coverage level of 1.3%, in line with the figure at 31 December 2015. The remaining impairment losses relate to impairment losses on a closed-end fund booked in the AFS portfolio. The cost of credit was at a lower level compared to the previous year as a result of the positive developments in a number of impaired positions, the development of current and future business plans, and the improvement in the financial environment. The participation of Banca IMI in the Pillarstone asset divestment platform as part of a partnership signed between KKR, the Intesa Sanpaolo Group and Unicredit was of particular importance in this context. At the date of this report a transaction for 65 million euro has already been completed. The key features and financials of a second one have already been defined and it is in the process of completion. If for whatever reason these disposals do not lead to the derecognition of loans from Banca IMI’s statement of financial position, the legal transfer of exposures to the platform will nevertheless allow the manager, Pillarstone to maximise the probability of repayment by injecting new financing and participating in the management of the divested companies. Income taxes are calculated on the consolidated result using a tax rate of 33%, in line with the rate for the corresponding period of the previous year. With regard to the investees, the heaviest tax burden was for IMI Securities, with an overall nominal tax rate – for city, state and federal taxes – of 36%. For a further analysis of profit growth for the periods being compared, income statements for the Group and Banca IMI are presented on a quarterly basis. The statements reconciling the parent and group statutory income statements with the corresponding reclassified statements are provided in the attachments.
Profit for the period(in millions of euro)
amount % amount %
Operating profit 708.5 693.0 15.5 2.2 699.8 678.3 21.5 3.2
Net impairment losses (15.3) (56.8) 41.5 (15.3) (56.8) 41.5
Provisions for risks and charges (1.0) 3.0 (4.0) (1.0) 3.0 (4.0)
Contribution to the Single Resolution Fund (33.6) (20.0) (13.6) (33.6) (20.0) (13.6)
Other non-operating income 0.1 0.2 (0.1) 0.0 0.2 (0.2)
Other non-operating expense 0.0 (0.1) 0.1 0.0 0.0 0.0
Profit from continuing operations 658.7 619.3 39.4 6.4 649.9 604.7 45.2 7.5
Income tax expense (218.1) (212.7) (5.4) 2.5 (214.0) (205.0) (9.0) 4.4
Profit for the period 440.6 406.6 34.0 8.4 435.9 399.7 36.2 9.1
Banca IMI Group BANCA IMI S.p.A.
1H 2016 1H 2015 Changes 1H 2016 1H 2015 Changes
Interim report on operations June 2016
Board of Directors of 2 August 2016
27
Banca IMI Group
Quarterly reclassified Income Statement
(in millions of euro)
2Q15 1Q15 4Q14 3Q14 2Q14 1Q14Net interest income 144.8 124.8 142.3 144.6 165.2 127.4
Net fee and commission income 105.4 80.4 100.4 64.1 120.6 91.6
Profits from financial transactions 217.6 236.0 51.1 25.3 120.2 283.1
Core business profit 467.8 441.2 293.8 234.0 406.0 502.1
Net non-recurring income (expense) 20.8 0.9 2.4 1.1 2.2 1.3
Total income 488.6 442.1 296.2 235.1 408.2 503.4
Net administrative expenses: (113.0) (108.9) (125.1) (105.9) (108.2) (110.0)
of which: - personnel expenses (36.9) (36.5) (55.8) (34.9) (32.2) (36.7) - other administrative expenses (76.1) (72.4) (69.3) (71.0) (76.0) (73.3)
Amortisation and depreciation (0.2) (0.1) (0.1) (0.1) (0.2) (0.2)
Operating costs (113.2) (109.0) (125.2) (106.0) (108.4) (110.2)
Operating profit 375.4 333.1 171.0 129.1 299.8 393.2
Impairment losses, provisions, other operating income (expenses) (28.3) (21.5) (73.2) (28.5) (36.9) (36.8)Profit from continuing operations 347.1 311.6 97.8 100.6 262.9 356.4
Income tax expense (112.5) (105.6) (37.2) (34.1) (83.9) (128.8)
Profit for the period 234.6 206.0 60.6 66.5 179.0 227.6
BANCA IMI S.p.A.
Quarterly reclassified Income Statement
(in millions of euro)
2Q15 1Q15 4Q14 3Q14 2Q14 1Q14Net interest income 144.8 124.8 142.2 144.6 165.1 127.2
Net fee and commission income 98.6 66.1 95.0 58.4 105.1 81.1
Profits from financial transactions 217.5 235.7 51.5 25.2 120.1 283.4
Core business profit 460.9 426.6 288.7 228.2 390.3 491.7
Net non-recurring income (expense) 24.1 - - 0.1 5.8 -
Total income 485.0 426.6 288.7 228.3 396.1 491.7
Net administrative expenses: (107.7) (104.0) (119.2) (101.4) (103.5) (105.8)
of which: - personnel expenses (33.7) (33.4) (51.5) (32.2) (29.5) (34.3) - other administrative expenses (74.0) (70.6) (67.7) (69.2) (74.0) (71.5)
Amortisation and depreciation 0.0 (0.1) (0.1) 0.0 (0.1) (0.1)
Operating costs (107.7) (104.1) (119.3) (101.4) (103.6) (105.9)
Operating profit 377.3 322.5 169.4 126.9 292.5 385.8
Impairment losses, provisions, other operating income (expenses) (28.3) (21.6) (73.2) (28.6) (36.8) (36.8)Profit from continuing operations 349.0 300.9 96.2 98.3 255.7 349.0
Income tax expense (112.0) (102.0) (37.2) (35.0) (79.0) (126.0)
Profit for the period 237.0 198.9 59.0 63.3 176.7 223.0
Interim report on operations June 2016
Board of Directors of 2 August 2016
28
Equity and financial aggregates The following table provides a summary of the figures in the statement of financial position of the Group and Banca IMI as at 30 June 2016 and 31 December 2015, restated as appropriate on the basis of the nature of the underlying relationship and intended use.
Banca IMI Group
Condensed reclassified statement of financial position
(in millions of euro)
amount %
1. Due from banks and customers
- Repurchase agreements 15,070.2 12,587.2 2,483.0 19.7 - Securities lending 2,570.4 2,806.6 (236.2) -8.4 - Fixed income securities 483.5 693.2 (209.7) -30.3 - Collateral deposited 13,609.9 9,553.0 4,056.9 42.5 - Structured finance assets 7,157.6 6,574.3 583.3 8.9 - Interbank deposits 43,997.4 47,038.4 (3,041.0) -6.5 - Checking accounts and other accounts 3,831.3 5,024.8 (1,193.5) -23.82. Financial assets held for trading
- Fixed income securities 13,964.5 14,864.9 (900.4) -6.1 - Shares, quotas and loans 801.8 1,230.3 (428.5) -34.8 - Measurement of off-balance sheet trading transactions 49,661.1 40,859.4 8,801.7 21.5 - Measurement of off-balance sheet hedging transactions 234.8 203.2 31.6 15.63. Investments
- Fixed income AFS securities 14,818.0 11,556.7 3,261.3 28.2 - Equity investments, equities and UCI AFS 124.8 99.8 25.0 25.14. Other assets
- Property, equipment and intangible assets 1.0 1.2 (0.2) -16.7 - Other assets 1,073.4 947.8 125.6 13.3
Total Assets 167,399.7 154,040.8 13,358.9 8.7
(in millions of euro)
amount %
1. Due to banks and customers
- Repurchase agreements 23,420.1 20,919.4 2,500.7 12.0 - Securities lending 2,870.2 2,900.7 (30.5) -1.1 - Collateral received 8,682.1 5,588.9 3,093.2 55.3 - Loans and deposits 49,548.7 53,949.5 (4,400.8) -8.2 - Checking accounts and other accounts 1,429.9 742.1 687.82. Financial liabilities held for trading
- Measurement of off-balance sheet trading transactions 57,986.6 48,693.1 9,293.5 19.1 - Short selling 4,001.1 2,960.4 1,040.7 35.2 - Measurement of off-balance sheet hedging transactions 506.1 164.6 341.53. Issues
- other 14,269.0 13,866.8 402.2 2.94. Provisions 32.8 32.8 0.05. Other liabilities 622.0 929.5 (307.5) -33.16. Equity
- Share capital and reserves 3,090.5 2,759.3 331.2 12.0 - Equity instruments 500.0 - 500.0 - Profit for the period / year 440.6 533.7 (93.1) -17.4Total Liabilities and equity 167,399.7 154,040.8 13,358.9 8.7
(in millions of euro)
amount %
Guarantees given and commitments to lend 7,705.0 4,681.8 3,023.2 Financial derivatives 2,940,485.4 2,704,872.0 235,613.4 8.7 Credit derivatives 113,976.5 111,964.1 2,012.4 1.8
OFF-BALANCE SHEET TRANSACTIONS 30 June 2016
31 December 2015
Changes
ASSETS 30 June 2016
31 December 2015
Changes
LIABILITIES 30 June 2016
31 December 2015
Changes
Interim report on operations June 2016
Board of Directors of 2 August 2016
29
BANCA IMI S.p.A.
Condensed reclassified statement of financial position
(in millions of euro)
amount %
1. Due from banks and customers
- Repurchase agreements 15,070.2 12,587.2 2,483.0 19.7 - Securities lending 2,437.8 2,696.8 (259.0) -9.6 - Fixed income securities 483.5 693.2 (209.7) -30.3 - Collateral deposited 13,609.9 9,553.0 4,056.9 42.5 - Structured finance assets 7,157.6 6,574.3 583.3 8.9 - Interbank deposits 43,997.4 47,038.4 (3,041.0) -6.5 - Checking accounts and other accounts 3,802.4 4,952.0 (1,149.6) -23.22. Financial assets held for trading
- Fixed income securities 13,910.2 14,814.3 (904.1) -6.1 - Shares, quotas and loans 801.6 1,230.1 (428.5) -34.8 - Measurement of off-balance sheet trading transactions 49,661.1 40,859.4 8,801.7 21.5 - Measurement of off-balance sheet hedging transactions 234.8 203.2 31.6 15.63. Investments
- Fixed income AFS securities 14,818.0 11,556.7 3,261.3 28.2 - Equity investments, equities and UCI AFS 143.8 116.4 27.4 23.54. Other assets
- Property, equipment and intangible assets 0.5 0.6 (0.1) -16.7 - Other assets 1,043.2 921.5 121.7 13.2
Total Assets 167,172.0 153,797.1 13,374.9 8.7
(in millions of euro)
amount %
1. Due to banks and customers
- Repurchase agreements 23,420.1 20,919.4 2,500.7 12.0 - Securities lending 2,784.7 2,900.7 (116.0) -4.0 - Collateral received 8,682.1 5,588.9 3,093.2 55.3 - Loans and deposits 49,548.7 53,949.5 (4,400.8) -8.2 - Checking accounts and other accounts 1,433.8 639.1 794.72. Financial liabilities held for trading
- Measurement of off-balance sheet trading transactions 57,986.6 48,693.1 9,293.5 19.1 - Short selling 4,001.1 2,960.4 1,040.7 35.2 - Measurement of off-balance sheet hedging transactions 506.1 164.6 341.53. Issues
- other 14,269.0 13,866.8 402.2 2.94. Provisions 32.8 32.8 0.05. Other liabilities 610.3 921.2 (310.9) -33.76. Equity
- Share capital and reserves 2,960.8 2,638.6 322.2 12.2 - Equity instruments 500.0 - 500.0 - Profit for the period / year 435.9 522.0 (86.1) -16.5Total Liabilities and equity 167,172.0 153,797.1 13,374.9 8.7
(in millions of euro)
amount %
Guarantees given and commitments to lend 7,705.0 4,681.8 3,023.2 Financial derivatives 2,940,485.4 2,704,872.0 235,613.4 8.7 Credit derivatives 113,976.5 111,964.1 2,012.4 1.8
OFF-BALANCE SHEET TRANSACTIONS 30 June 2016
31 December 2015
Changes
ASSETS 30 June 2016
31 December 2015
Changes
LIABILITIES 30 June 2016
31 December 2015
Changes
Interim report on operations June 2016
Board of Directors of 2 August 2016
30
Investments in HFT securities showed a reduction of 1.3 billion euro in the period; of these around two thirds were in debt securities.
Investments in debt securities in the AFS portfolio approached the threshold of 15 billion euro, in line with the level recorded on 31 March 2016, which represents a high compared with previous statements. The portfolio is leading the strategy of making bond investments with a medium to long-term holding period aimed at maximising the Bank's strong capital position and proven fund-raising capacity in terms of profitability, while at the same time limiting the volatility on the income statement caused by price fluctuations in the short term. A part of these securities was hedged through interest-rate swap agreements to protect the portfolio from fluctuations in interest rates. Debt instruments eligible for this portfolio include Eurozone government securities; government debt issued by the UK, USA, Canada, Australia, New Zealand, and Sweden, in addition to covered bonds. It also includes securities from issuers in the Intesa Sanpaolo Group, and other bank issuers. In 2015 the scope of instruments authorised for the available-for-sale portfolio was further expanded to include a basket of government securities issued by selected emerging countries and denominated in hard currencies. The portfolio, which is shown in the graph, is 24% comprised of USA government securities, 23% Eurozone government securities and 34% securities issued by the Italian Republic. Emerging markets amounted to approximately 680 million euro (4.6% of the total).
Breakdown by issue of the AFS bond portfolio as at 30 June 2016
Trading securities portfolio(in millions of euro)
amount %
- Government and government agencies 6,531.2 7,111.2 6,031.6 (580.0) -8.2
- Bonds and other debt securities 7,433.3 7,753.7 8,785.7 (320.4) -4.1
- Equities 801.8 1,230.3 1,214.6 (428.5) -34.8 . Shares 769.3 905.4 921.5 (136.1) -15.0 . Quotas of UCI 32.5 324.9 293.1 (292.4)
Total 14,766.3 16,095.2 16,031.9 (1,328.9) -8.3
30 June 2016
31 December 2015
30 June 2015
Changes on Dec 2015
Interim report on operations June 2016
Board of Directors of 2 August 2016
31
L&R Portfolio - reclassified debt securities: dynamics
(in millions of euro)
Initial Amount 113.8 141.7 166.7 188.4 190.1Reimbursements (15.9) (30.5) (26.5) (32.7) (12.0)
Accruals and amortized cost 0.9 2.0 1.5 11.0 10.2
Collective impairment losses 0.6 0.6 0.0 0.0 0.1
Final Amount 99.4 113.8 141.7 166.7 188.4
Fair value 100.8 116.0 146.7 171.7 193.1
1H20141H2016 2H2015 1H2015 2H2014
Available-for-sale instruments also include interests in market companies, investments in real estate funds by the real-estate desk, and Intesa Sanpaolo shares for the staff incentive plan. From the first quarter of 2016, with a view to diversifying the portfolio, proprietary investments were extended to closed-end private equity and private debt funds. The objective is to make use of alternative investments which have superior risk/return characteristics compared with more traditional asset classes, as well as diversifying and decorrelating risks from the remaining portfolio of the Bank.
In addition to the Intesa Sanpaolo shares set aside for the incentive system for risk-takers, the Corporate Centre has also been allocated the SFD – equity financial instruments - acquired in the restructuring of credit positions. Recognition at fair value yielded a nil value. The longer term holdings of bonds recorded amongst loans and receivables amounted to approximately 500 million euro. These include residual, senior RMBS securities with high ratings previously reclassified from the held for trading category - originally worth 721 million euro. Please see the figure to the side which shows the changes in this part of the portfolio.
(in millions of euro)
Corporate & Strategic FinanceFondo Anastasia 10.680 15.0 0.4 15.4Fondo HB-FCC 8.770 1.0 0.0 1.0Fondo Venti 13.590 13.3 1.8 15.1Omicron 2.120 4.4 0.9 5.3Fondo HIVAF-Hines Italia Value Added Fund 8.459 5.6 0.8 6.4Eracle- Fondo Immobili Strumentali 2.990 9.9 0.2 10.1
Global MarketsLCH.Clearnet Group Ltd 0.550 2.5 1.6 4.1Chicago Mercantile Exchange 0.010 0.0 0.8 0.8Anthilia Bond 5.200 4.9 0.1 5.0Muzinich Italia 9.300 8.8 0.2 9.0Direct Lending Fund II 1.300 5.9 0.2 6.1Apis Growth Fund (*) 22.630 10.7 0.0 10.7Charme III 5.570 0.7 0.0 0.7Clessidra Capital 5.060 14.5 0.0 14.521 Investimenti 7.300 4.6 0.0 4.6Pargr GL IN 15EO 0.053 1.1 0.0 1.1
Corporate CenterIntesa Sanpaolo 0.009 4.9 (0.9) 4.0
Total 107.8 6.1 113.9
(*) The stake in Apis Fund dropped below 20% after 30 June 2016
% Investment
Initial investment Revaluation
Carrying amountAFS equity investments
Interim report on operations June 2016
Board of Directors of 2 August 2016
32
The loans portfolio is entirely attributable to the structured finance segment and includes the risk participation agreements benefiting the Ultimate Parent for loans provided by the latter. New business for the first half of 2016 was driven by the growth in the cash share to 7.2 billion euro, from 6.6 billion euro at 31 December 2015 and 6.4 billion euro at 30 June 2015. The net increase of the portfolio during the period is approximately 0.5 billion euro.
Continuing the asset-light approach to new opportunities, credit management is focused on segment diversification and a lower concentration for the overall portfolio, with an increase in credit quality. Net non-performing loans (doubtful loans, unlikely to pay and past due) totalled 13.4% of loans at 30 June 2016, against 14% at 30 June 2015. Allowances for impairment include collective impairment losses of approximately 115 million euro, and IAS adjustments of 55 million euro, relating to impairment losses due to the effect of the discounting of expected repayment flows of non-performing loans. These latter provisions will be gradually released to the income statement over time. Moving on to securities funding, new issues are carried out via the MOT channel, with interest rate structures in euros and foreign currencies. The declining trend observed over the last few quarters has reversed.
As regards operations in credit derivatives, the historic risk-off or risk-neutral stance was reversed in June in the context of banking, insurance and corporate issues, and by using strategies to hedge the implicit risk profiles of the bank’s trading books and certificates issued. This has led to an aggregate long position of approximately 2 billion euro.
Loans to customers 30 June 2016 31 December 2015
(in milions of euro)
On-balance sheet exposure- performing loans 6,254.9 (108.5) 6,146.4 1.73% 5,731.0 (105.7) 5,625.3 1.84%- unlikely to pay 1,170.6 (251.9) 918.7 21.52% 1,181.7 (276.9) 904.8 23.43%- doubtful loans 103.7 (58.4) 45.3 56.32% 87.5 (43.3) 44.2 49.49%- past due 52.7 (5.5) 47.2 10.44%
Guarantees given- performing loans 680.5 (5.4) 675.1 0.79% 504.8 (3.8) 501.0 0.75%- unlikely to pay 338.8 (31.0) 307.8 9.15% 345.7 (37.4) 308.3 10.82%
Irrevocable commitments to lend 1,686.8 (0.8) 1,686.0 0.05% 1,964.1 (0.5) 1,963.6 0.03%
Total 10,288.0 (461.5) 9,826.5 9,814.8 (467.6) 9,347.2
Impairment losses Net exposure CoverageGross
exposureImpairment
losses Net exposure Coverage Gross exposure
Bond Issues(in millions of euro)
amount %
- Bond issues: rate indexed 10,329.2 10,322.6 11,503.0 6.6
- Bond issues: currency indexed 3,351.5 2,880.7 2,807.2 470.8 16.3
- Bond issues: equity indexed 588.3 663.5 760.6 (75.2) -11.3
Total 14,269.0 13,866.8 15,070.8 402.2 2.9
30 June 2016
31 December 2015
30 June 2015
Changes on Dec 2015
Interim report on operations June 2016
Board of Directors of 2 August 2016
33
In absolute terms the point by point values do not differ significantly from those of the end of December, thanks to ongoing, efficient management of positions which led to voluntary repayments on the Trioptima circuit totalling approximately 7 billion euro. About 73% of the credit derivatives on 30 June consisted of index products.
With respect to financial derivatives total notional amount increased by 8.7% compared to 31 December 2015: with growth in both the OTC (+172 billion euro) and quoted (+64 billion euro) segments. The outstanding amounts as at 30 June 2016 are shown on the following pages, including information on fair value on that same date. The change in this over the period was influenced by the market developments in long-term interest rates, which are a parameter referred to by the valuation models used. The net increase of 9 billion euro in absolute value, which comprises both positive and negative movements, is consistent with our usual role as financial intermediary. The stock of securitised derivatives is stable, and the premiums relating to it are mirrored by the cash collected.
Credit derivatives (in millions of euro)
Sector of the reference entity Protection purchases
Protection sales
Protection purchases
Protection sales
Protection purchases
Protection sales
. Governments 4,662.3 4,416.5 5,285.4 5,299.5 5,283.5 5,287.1 . Banking and Financials 5,280.1 6,537.2 7,858.3 7,544.1 6,251.8 5,838.7 . Insurance companies 884.8 1,409.3 1,647.2 1,570.7 1,107.6 1,029.1 . Corporates 3,359.2 4,640.4 5,651.9 5,709.5 5,855.6 5,945.7 . Indices 41,898.5 40,888.2 35,864.7 35,532.8 39,095.6 38,226.5
Total 56,084.9 57,891.6 56,307.5 55,656.6 57,594.1 56,327.1
30 June 2016 31 December 2015 30 June 2015
Measurement of off-balance sheet trading transactions
(in millions of euro)
amount %
Derivatives on debt securities and interest rates 43,472.8 34,027.3 9,445.5 27.8Derivatives on equities and indexes 1,014.7 1,058.6 (43.9) -4.1Derivatives on currencies 3,357.4 3,428.5 (71.1) -2.1Credit derivatives 1,060.1 1,091.7 (31.6) -2.9Derivatives on commodities 711.9 1,238.8 (526.9) -42.5Gas trading physical forwards 43.7 13.9 29.8Securitised derivatives and forwards 0.5 0.6 (0.1) -16.7
Total 49,661.1 40,859.4 8,801.7 21.5
amount %
Derivatives on debt securities and interest rates 42,642.0 33,764.0 8,878.0 26.3Derivatives on equities and indexes 1,352.0 1,154.6 197.4 17.1Derivatives on currencies 3,987.4 4,134.4 (147.0) -3.6Credit derivatives 1,032.2 1,053.7 (21.5) -2.0Derivatives on commodities 496.3 536.0 (39.7) -7.4Gas trading physical forwards 49.8 16.5 33.3Securitised derivatives and forwards (*) 8,426.9 8,033.9 393.0 4.9
Total 57,986.6 48,693.1 9,293.5 19.1
(*) Securitised derivatives include 5,172.3 million of certificates with total or partial redemption. In the Notes to the separate financial statements these are included in structured trading liabilities.
Positive fair value of:30 June
201631 December
2015Changes
Negative fair value of:30 June
201631 December
2015Changes
Interim report on operations June 2016
Board of Directors of 2 August 2016
34
Almost all OTC contracts were subject to netting arrangements. Such arrangements are often accompanied by CSAs, involving the mutual payment of cash collateral to mitigate the residual risk associated with the net exposure. The total positive fair value not subject to netting arrangements was 1.3 billion euro.
In addition to the physical natural gas trading already carried out on the PSV (Virtual Trading Point) the first half of 2016 also saw the creation of physical natural gas inventories; these stocks are shown in "Other assets" at a value of 67 million euro. In line with the Bank’s operating model they are carried at fair value. The stocks of physical natural gas, which are logistically managed using specific storage contracts on Italian territory, have been set up to respond to the need to offer services to institutional investors in a market characterised by seasonality. The period saw the continuation of "client clearing" services in respect of interest rate derivatives for group customers and third parties. "Client clearing" relates to European Regulation no. 648/2012/EU European Market Infrastructure Regulation ("EMIR"), which introduces a series of obligations designed to reduce risk in the derivatives markets, and to improve transparency. The customer contracts to be cleared are held in accounts which are segregated from own account trading, and they provide mechanisms for daily margining through Banca IMI; the accounting segregation extends in particular to flows of money exchanged, and these are also treated separately from own account monies from a legal perspective. Furthermore, in order to keep track of individual transactions, for every derivative transferred to the Swapclear central counterparty, an OTC back-to-back contract with the same notional amount is shown in the suspense accounts. At 30 June 2016 intermediated contracts totalled approximately 246 billion euro (194 billion euro at 31 December 2015). In the table that follows, these contracts appear respectively in the "Swaps & FRA - margined via Swapclear" category and in the "FRA" and "Swaps” categories.
OTC Derivatives - netting arrangements
(in millions of euro)
Derivatives on debt securities and interest rates 43,472.8 465.9 43,006.9Derivatives on equities and indexes 1,014.7 728.7 286.0Derivatives on currencies 3,357.4 39.7 3,317.7Credit derivatives 1,060.1 0.0 1,060.1Derivatives on commodities 711.9 19.1 692.8Gas trading physical forwards 43.7 x (*)Securitised derivatives and forwards 0.5 x x
Total 49,661.1 1,253.4 48,363.5
Derivatives on debt securities and interest rates 42,642.0 246.7 42,395.3Derivatives on equities and indexes 1,352.0 1,199.7 152.3Derivatives on currencies 3,987.4 50.7 3,936.7Credit derivatives 1,032.2 51.5 980.7Derivatives on commodities 496.3 11.7 484.6Gas trading physical forwards 49.8 x (*)Securitised derivatives and forwards 8,426.9 x x
Total 57,986.6 1,560.3 47,949.6
(*) Transactions included in the EFET framework
Positive fair value of:30 June
2016 no netting netting
Negative fair value of:30 June
2016 no netting netting
Interim report on operations June 2016
Board of Directors of 2 August 2016
35
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30 J
une
2016
31 D
ecem
ber 2
015
Interim report on operations June 2016
Board of Directors of 2 August 2016
36
BAN
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30 J
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2016
31 D
ecem
ber 2
015
Interim report on operations June 2016
Board of Directors of 2 August 2016
37
In the interest of providing an overview of the trends over two years, the end of the section shows tables containing a quarterly presentation of the main asset and liability aggregates. The reconciliations between the restated statement of financial position and the corresponding statutory format for the Group and Banca IMI are included among the Annexes.
Banca IMI Group
Quarterly reclassified statement of financial position
(in millions of euro)
1.Due from banks and customers
- Repurchase agreements 15,070.2 14,617.7 12,587.2 11,333.7 12,358.1 13,635.6 - Securities lending 2,570.4 2,855.6 2,806.6 2,780.2 2,923.4 3,702.6 - Fixed income securities 483.5 679.1 693.2 505.0 549.1 1,820.0 - Collateral deposited 13,609.9 12,474.2 9,553.0 11,265.8 9,908.0 14,048.6 - Structured finance assets 7,157.6 7,143.1 6,574.3 6,506.8 6,414.7 5,762.8 - Interbank and other accounts 47,828.7 51,360.7 52,063.2 46,207.9 45,733.8 36,803.3 2. Financial assets held for trading
- Fixed income securities 13,964.5 15,276.3 14,864.9 14,833.1 14,817.3 14,637.8 - Shares, quotas and loans 801.8 908.4 1,230.3 1,184.8 1,214.6 1,188.7 - Measurement of off-balance sheet transactions 49,895.9 46,703.9 41,062.6 43,413.1 42,584.7 54,412.4 3. Investments
- Fixed income AFS securities 14,818.0 14,916.4 11,556.7 12,612.6 12,235.6 11,148.3 - Equity investments, equities and UCI AFS 124.8 179.2 99.8 96.3 90.5 95.9 4. Other assets
- Property, equipment and intangible assets 1.0 1.0 1.2 1.1 1.2 1.3 - Other assets 1,073.4 1,060.8 947.8 1,081.2 1,320.1 1,140.9
Total Assets 167,399.7 168,176.4 154,040.8 151,821.6 150,151.1 158,398.2
1. Due to banks and customers
- Repurchase agreements 23,420.1 24,447.2 20,919.4 21,313.0 20,800.0 22,870.3 - Securities lending 2,870.2 3,074.8 2,900.7 3,089.3 111.8 3,372.8 - Collateral received 8,682.1 7,615.7 5,588.9 6,423.5 5,604.2 6,745.5 - Loans and deposits 49,548.7 52,771.8 53,949.5 47,780.7 50,806.3 38,229.7 - Checking accounts and other accounts 1,429.9 866.2 742.1 488.0 931.4 875.7 2. Financial liabilities held for trading
- Measurement of off-balance sheet transactions 58,492.7 54,732.2 48,857.7 50,578.8 49,991.5 61,488.4 - Short selling 4,001.1 5,091.6 2,960.4 3,081.5 2,683.7 3,867.7 3. Issues
- other 14,269.0 14,599.2 13,866.8 14,504.7 15,070.8 15,992.3 4. Provisions 32.8 31.5 32.8 52.2 53.3 43.5 5. Other liabilities 622.0 1,130.4 929.5 1,009.1 798.4 975.6 6. Equity
- Share capital and reserves 3,090.5 3,109.8 2,759.3 3,027.7 2,893.1 3,709.1 - Equity instruments 500.0 500.0 - - - - - Profit for the period / year 440.6 206.0 533.7 473.1 406.6 227.6
Total Liabilities and equity 167,399.7 168,176.4 154,040.8 151,821.6 150,151.1 158,398.2
Financial derivatives 2,940,485.4 2,675,999.9 2,704,872.0 2,639,011.2 2,682,311.8 2,746,181.1 Credit derivatives 113,976.5 110,286.4 111,964.1 121,247.6 113,921.2 120,764.4 Guarantees given and commitments to lend 7,705.0 9,181.5 4,681.8 8,077.0 5,043.8 7,201.7
31/03/2015
LIABILITIES 30/06/2016 31/03/2016 30/09/2015 30/06/2015 31/03/2015
OFF-BALANCE SHEET TRANSACTIONS 30/06/2016 31/03/2016 30/09/2015 30/06/2015
31/12/2015
31/12/2015
31/03/2015ASSETS 30/06/2016 31/03/2016 30/09/2015 30/06/201531/12/2015
Interim report on operations June 2016
Board of Directors of 2 August 2016
38
BANCA IMI S.p.A.
Quarterly reclassified statement of financial position
(in millions of euro)
1.Due from banks and customers
- Repurchase agreements 15,070.2 14,617.7 12,587.2 11,194.4 12,202.4 13,635.6 - Securities lending 2,437.8 2,739.5 2,696.8 2,780.2 2,923.4 3,564.3 - Fixed income securities 483.5 679.1 693.2 505.0 549.1 1,820.0 - Collateral deposited 13,609.9 12,474.2 9,553.0 11,265.8 9,908.0 14,048.6 - Structured finance assets 7,157.6 7,143.1 6,574.3 6,506.8 6,414.7 5,762.8 - Interbank and other accounts 47,799.8 51,323.5 51,990.4 46,137.3 45,678.7 36,720.1 2. Financial assets held for trading
- Fixed income securities 13,910.2 15,227.8 14,814.3 14,783.6 14,767.7 14,586.2 - Shares, quotas and loans 801.6 908.2 1,230.1 1,184.8 1,214.6 1,188.7 - Measurement of off-balance sheet transactions 49,895.9 46,703.9 41,062.6 43,413.1 42,584.7 54,412.4 3. Investments
- Fixed income AFS securities 14,818.0 14,916.4 11,556.7 12,612.6 12,235.6 11,148.3 - Equity investments, equities and UCI AFS 143.8 194.9 116.4 115.3 110.5 112.4 4. Other assets
- Property, equipment and intangible assets 0.5 0.5 0.6 0.5 0.5 0.5 - Other assets 1,043.2 1,038.2 921.5 1,050.8 1,304.3 1,109.2
Total Assets 167,172.0 167,967.0 153,797.1 151,550.2 149,894.2 158,109.1
1. Due to banks and customers
- Repurchase agreements 23,420.1 24,447.2 20,919.4 21,189.7 20,706.8 22,870.3 - Securities lending 2,784.7 3,001.2 2,900.7 3,089.3 111.8 3,372.8 - Collateral received 8,682.1 7,615.7 5,588.9 6,423.5 5,604.2 6,745.5 - Loans and deposits 49,548.7 52,771.8 53,949.5 47,780.7 50,806.3 38,229.7 - Checking accounts and other accounts 1,433.8 877.7 639.1 478.4 898.5 775.9 2. Financial liabilities held for trading
- Measurement of off-balance sheet transactions 58,492.7 54,732.2 48,857.7 50,578.8 49,991.5 61,488.4 - Short selling 4,001.1 5,091.6 2,960.4 3,081.5 2,683.7 3,867.7 3. Issues
- other 14,269.0 14,599.2 13,866.8 14,504.7 15,070.8 15,992.3 4. Provisions 32.8 31.5 32.8 52.2 53.3 43.5 5. Other liabilities 610.3 1,116.5 921.2 997.6 791.7 913.0 6. Equity
- Share capital and reserves 2,960.8 2,983.5 2,638.6 2,910.8 2,775.9 3,587.0 - Equity instruments 500.0 500.0 - - - - - Profit for the period / year 435.9 198.9 522.0 463.0 399.7 223.0
Total Liabilities and equity 167,172.0 167,967.0 153,797.1 151,550.2 149,894.2 158,109.1
Financial derivatives 2,940,485.4 2,675,999.9 2,704,872.0 2,639,011.2 2,682,311.8 2,746,181.1 Credit derivatives 113,976.5 110,286.4 111,964.1 121,247.6 113,921.2 120,764.4 Guarantees given and commitments to lend 7,705.0 9,181.5 4,681.8 8,077.0 5,043.8 7,248.2
31/03/2015
LIABILITIES 30/06/2016 31/03/2016 30/09/2015 30/06/2015 31/03/2015
OFF-BALANCE SHEET TRANSACTIONS 30/06/2016 31/03/2016 30/09/2015 30/06/2015
31/12/2015
31/12/2015
31/03/2015ASSETS 30/06/2016 31/03/2016 30/09/2015 30/06/201531/12/2015
Interim report on operations June 2016
Board of Directors of 2 August 2016
39
Subsidiaries and equity investments The work done by the operations departments and product desks based at the Milan office are supported by the international units: The London branch, which engages primarily in Structured Finance and commercial distribution on behalf of non-Italian institutional clients, and the subsidiaries based in the Grand Duchy of Luxembourg and the United States.
The overview of the financial performance of the Banca IMI Group at 30 June 2016 once again saw the Parent account for the overwhelming majority of profits.
100%
100% 100%
100%
BANCA IMIMilan
IMI InvestmentsLuxembourg
IMI Capital IMI FinanceUSA Luxembourg
IMI SecuritiesUSA
(in millions of euro)
Company
BANCA IMI (**) Eur 430.6 430.6 97.73% 394.0 96.90%IMI Investments (**) Eur 0.0 0.0 0.00% (0.1) -0.02%IMI Finance Eur (0.1) (0.1) -0.02% 0.1 0.02%IMI Capital Usd 0.0 1.1106 0.0 0.00% 0.0 0.00%IMI Securities Usd 8.0 1.1106 7.2 1.63% 9.2 2.26%Epsilon SGR 2.7 0.61% 3.1 0.76%EuroTLX SIM (***) 0.2 0.05% 0.3 0.08%
Total 440.6 406.6
(*) Financial statements in foreign currency are translated using the average exchange rate for the period.(**) Profit has been rectified for the dividends received from subsidiaries.(***) Equity ratio 15% from the third quarter of 2013
BANCA IMI and subsidiaries / associates
First half 2016 First half 2015
Currency Profit / (loss)
Exchange rate (*)
Profit/(loss) Eur Share Profit/(loss)
Eur Share
Interim report on operations June 2016
Board of Directors of 2 August 2016
40
Banca IMI Securities Corp. - IMI Capital Markets USA The U.S. conglomerate recorded a profit of 8 million USD at 30 June 2016, -24% down on the corresponding period of 2015 due to lower operating revenue (-5.3 million USD), in particular from the DCM and Corporate Risk Solutions desks. Operating costs rose by 15% (up +1.4 million USD), mainly in those administrative costs which are more directly related to profit generation, and in the ordinary and discretionary components of personnel expenses, due to the increase in the number of personnel. IMI Investments S.A. The holding company essentially reached break-even for the period ended 30 June 2016, in the absence of dividends from its subsidiary IMI Finance. IMI Finance Luxembourg As at 30 June 2016 the finance and investment company broke even, with revenue from services provided essentially matched by operating costs. EuroTLX SIM, a company that manages the regulated market of the same name as well as the MTF, has been 15% owned since September 2013. It remains within the consolidation scope as a result of the governance agreements which confirm the continued existence of significant influence. During the period, the investee generated a profit of 1.5 million euro, contributing 0.2 million euro to the consolidated income statement.
The 49% interest in Epsilon SGR derives from the partnership with Eurizon Capital for the development of new investment products, through the pooling of both partners' capital markets and wealth management expertise. As at 30 June 2016 the investment management company generated a profit of 5.6 million euro (6.3 million euro for the corresponding period of 2015) and a 17% increase in assets under management, mainly those outsourced by third parties. The contribution to the Banca IMI consolidated results was 2.7 million euro.
Equity investments also include the interest in Sirti S.p.A., carried at 1 euro, its fair value upon initial recognition, acquired through the conversion of convertible bonds issued as part of the company's restructuring plan; and the interest in Schuttrange Nucleus ScA, which was acquired following the restructuring of a credit exposure. At 30 June 2016 a stake of 15.8% was owned in Schuttrange Nucleus ScA which is subjected to significant influence by virtue of governance agreements in place. As mentioned above, the first half year saw the sale of the shareholding in MerMec (30%), as a result of the exercise of the option to purchase by the majority shareholder. The remaining interests in consortium companies set up by the Intesa Sanpaolo Group are of strategic importance and allow Banca IMI access to IT, post-trading, and tax and corporate advisory services.
Interim report on operations June 2016
Board of Directors of 2 August 2016
41
Capital adequacy and prudential supervision At the end of the period, Banca IMI and the Group had equity of 3.9 billion euro and 4 billion euro, respectively, including profit for the period. The following table shows changes in the Group's equity.
The fair value reserves - which showed a negative value of 58 million euro at 30 June 2016 - are the result of the valuation of securities in the AFS portfolio and are included net of the relevant fiscal effect; the change from the beginning of the year, which is shown in the statement of comprehensive income, was a negative amount of 9 million euro. The absence of impairment within the portfolio was confirmed. “Reserves and profits to be allocated” included 30 million euro covering the trading of Intesa Sanpaolo shares. That amount was determined by the Shareholders' Meeting of 2 April 2015, which set purchasing limits at 10 million shares, with a validity of 18 months. The goal of the Buy-back Programme is to satisfy financial risk hedging needs arising from the Bank’s usual operations and to meet any operational needs of a technical nature that require the use of the proprietary account in the presence of limited or zero risk positions. The above amount also includes the share of reserves covering investments in Intesa Sanpaolo shares in support of the Group incentive system based on financial instruments. In particular: • On 22 May 2012, Banca IMI's Shareholders' Meeting authorised the purchase of ordinary
Intesa Sanpaolo shares up to a maximum of 1.4 million euro. The purchase, which was settled on 29 June 2012, involved 1,380,140 shares at a price of 0.97862 euro for a value of approximately 1,350,000 euro.
• On 31 July 2013, it authorised the purchase of additional ordinary Intesa Sanpaolo shares. The purchase, which was settled on 7 October 2013, involved 2,081,111 shares at an average price of 1.72788 euro each, for a total value of approximately 3,596,000 euro.
Banca IMI Group
Changes in equity(in millions of euro)
Equity as at 31 December 2014 962.4 581.3 1,550.7 50.0 (0.9) 0.0 0.0 505.9 3,649.4
Allocation of profit 5.4 (505.9) (500.5)
IFRS 2 Reserve adjustment 4.6 4.6
Fair value adjustment of AFS investments (99.4) (99.4)
Attuarial gains (losses) on defined benefit plans 0.2 0.2
Translation of foreign currency financial statements and other changes 13.0 13.0
Interim dividends (308.0) (308.0)
Profit for the year 533.7 533.7
Equity as at 31 December 2015 962.4 581.3 1,573.7 (49.4) (0.7) 0.0 (308.0) 533.7 3,293.0
Allocation of profit 33.2 308.0 (533.7) (192.5)
IFRS 2 Reserve adjustment 2.3 2.3
Fair value adjustment of AFS investments (8.9) (8.9)
Attuarial gains (losses) on defined benefit plans (0.8) (0.8)
Translation of foreign currency financial statements and other changes (2.6) (2.6)
Equity instruments 500.0 500.0
Profit for the period 440.6 440.6
Equity as at 30 June 2016 962.4 581.3 1,606.6 (58.3) (1.5) 500.0 0.0 440.6 4,031.1
Total equityShare capital Share premiumReserves and profits to be
allocated
Fair value reserves
Other valuation reserves
ProfitEquity
instrumentsInterim
dividends
Interim report on operations June 2016
Board of Directors of 2 August 2016
42
• On 15 May 2014, Banca IMI's Shareholders' Meeting authorised the purchase of an additional 2,248,185 ordinary Intesa Sanpaolo shares. These shares were purchased in October at an average price of 2.22887 euro, for a total of approximately 5,011,000 euro. On 1 December, 2,134,807 shares were assigned to employees, in accordance with the provisions of the Group's share plan (LECOIP).
• On 24 April 2015, it authorised the purchase of ordinary shares of the Ultimate Parent up to a maximum amount given by dividing the sum, inclusive of 2,200,000 euro, by the official price as at 27 April 2015 (3.11 euro per share); on 9 October 2015, the purchase of 677,481 shares was carried out at the average price of 3.1942051, and thus for a total of 2,164,013 euro.
The Shareholders' meeting of 5 May 2016 further authorised the purchase of 2,435,164 additional shares for a total consideration of 4,200,000 euro, for the purposes of the incentive plans for 2015. This purchase will be finalised during 2016. All the shares are in the AFS portfolio. The negative valuation change amounts to 0.9 million euro at 30 June 2016, gross of tax effects. The following table presents changes in all IAS portfolios during the period:
At the end of 2014 a new incentive plan was drawn up for Intesa Sanpaolo Group employees (LECOIP), in keeping with the term of the 2014-2017 Business Plan. The LECOIP may be classified as equity-settled and is subject to accounting treatment, pursuant to IFRS 2, based on the recognition of the costs of services rendered by employees on a pro-rated basis amongst personnel expenses through an equity reserve. The rationale for this treatment lies in the fact that the Ultimate Parent contributes capital for the benefit of Banca IMI by bearing the cost of remunerating the latter's employees. The IFRS 2 reserve, which amounted to 5 million euro at 31 December 2015, grew to 7.3 million euro at 30 June 2016, on the basis of the costs accrued during the period. Moving on to regulatory capital, own funds amounted to 3.1 billion euro at 30 June 2016, an increase of approximately 0.5 billion euro compared with the end of 2015. In the context of the strategy of strengthening the capital base, on 31 March 2016 Banca IMI issued additional capital instruments (AT1) for a nominal amount of 500 million euro, fully subscribed by the Ultimate Parent Intesa Sanpaolo. The issue is perpetual, and can be repaid on 31 March 2021. The annual interest of 8.315 % (payable on a half-yearly basis) is eligible for capitalisation at the discretion of the issuer. The Bank's capitalisation1 resulted in a total capital ratio of 10.93%, above the year end figure, and also above the minimum Basel 3 regulatory requirement for 2016. Weighted assets grew to 28.8 billion euro compared to 24.6 billion euro at the end of December 2015 and 25.3 billion euro at the end of March 2016: this growth is mainly driven by market risks.
1 As members of the Intesa Sanpaolo Banking Group, Banca IMI and its subsidiaries are not subject to statistical or prudential supervision on a consolidated basis. Intesa Sanpaolo discharges such obligations at the level of Intesa Sanpaolo Banking Group.
Intesa Sanpaolo shares' dynamics
VALUATION
Securities
Ordinary shares - HFT 2,412,858 7,455,731 602,949 1,477,197 1,491,138 3,519,291 -1,836,528 1,524,669 2,594,987Ordinary shares - AFS 2,908,890 8,988,470 - - 586,791 1,302,676 -912,190 2,322,099 3,952,213
Savings shares - HFT - - - - - - - - -
Value (in euros)
Amount (no. shares)
Value (in euros)
INITIAL PURCHASES SALES FINAL
Amount (no. shares)
Value (in euros)
Amount (no. shares)
Value (in euros)
Amount (no. shares)
Value (in euros)
Interim report on operations June 2016
Board of Directors of 2 August 2016
43
Of the total prudential requisites of 2,302 million euro as at 30 June 2016, 47% were credit-related risk, 48% market risk and 5% operational risk. The Banca IMI leverage ratio at 30 June 2016, calculated excluding intragroup items pursuant to the changes in Regulation (EU) no. 680/2014, amounted to 4.23%.
BANCA IMI S.p.A.
Own funds and capital requirements
(in millions of euro)
Own fundsCommon Equity Tier 1 (CET1) 2,738.5 2,799.5 2,623.5
Additional Tier 1 (AT1) 407.1 400.8 0.0
Tier 2 (T2) 0.0 0.0 0.0
Total capital 3,145.6 3,200.3 2,623.5
Capital requirements Credit and counterparty risks (not OTC derivatives) 912.7 846.5 765.7
Counterparty risk: internal model OTC derivatives 115.1 110.0 117.3
CVA charge OTC derivatives 52.2 49.0 46.7
Market risks: securitisation risk 87.0 95.3 109.2
Market risks: concentration risk 0.0 0.0 0.0
Market risks: UCITS position risk (*) 3.4 1.5 1.8
Market risks: internal model VaR 221.2 163.3 162.7
Market risks: stressed VaR 425.6 466.0 489.5
Market risks: Incremental Risk Charge 294.1 107.6 106.4
Market risks: other 78.9 78.2 58.1
Operating risks 111.4 109.7 109.7
Total capital requirements 2,301.6 2,027.1 1,967.1
Risk weighted assets 28,770.8 25,338.8 24,588.8
Total capital ratio 10.93% 12.63% 10.67%
(*) Standard requirement
30 June 2016
31 March 2016
31 December 2015
Interim report on operations June 2016
Board of Directors of 2 August 2016
44
Outlook for 2016 The forecasts for the world economy continue to reflect considerable sources of uncertainty. The growth of GDP and of world trade should settle at modest levels, with the stabilisation of the Chinese economy and a modest recovery in the oil price which should gradually loosen the brake effect on developed country exports. Stable economic growth is expected in the United States in the face of a marginal slowdown in the Eurozone; as regards Italy it is considered unlikely that GDP growth will accelerate over the coming quarters. Further interest rate rises are expected in the United States; although the timing is currently uncertain, the possibility of new monetary policy measures in the Eurozone cannot be ruled out if economic trends disappoint over the next few months. As regards the Italian banking system, favourable conditions remain for the gradual resumption of lending activity, thanks to: the highly expansive stance in monetary policy, the relaxation of the criteria on the supply side, and the increase of demand in the context of the consolidation of the economic recovery. For households, which continue to be financially sound, the scenario for loans
remains positive: the growth in stock, which already restarted in 2015, will continue for the rest of 2016 at a moderate pace, encouraged by rates at historical lows, by the gradual recovery of the real estate market and by improving labour market conditions. However, for loans to businesses the recovery appears more uncertain: although expectations remain focused on a clear return to growth, this promises to be slow and restrained. On the funding side, growth in deposits will continue, while the overall dynamic will continue to be affected by the process of household portfolios being reallocated towards managed assets. On the other hand, banks’ needs for customer deposits should remain limited given loan growth levels and the ample liquidity available, in particular as a result of the new ECB long-term TLTRO II refinancing programme. The above factors will continue to favour the reduction of customer deposit costs. In the context of very low, but not negative, market rates and of favourable conditions for accessing credit, lending rates are expected to remain at historic lows.
Milan, 2 August 2016
The Board of Directors
Condensed interim consolidated financial statements - tables
45
Condensed Interim Consolidated Financial Statements of Banca IMI S.p.A.
Condensed interim consolidated financial statements - tables
46
Consolidated statement of financial position(in thousands of euro)
Assets 30 June 31 December2016 2015 amount %
10. Cash and cash equivalents 3 4 -1 -25.0
20. Financial assets held for trading 64,427,417 56,954,580 7,472,837 13.1
40. Available-for-sale financial assets 14,931,853 11,643,236 3,288,617 28.2
60. Due from banks 57,710,181 60,923,615 (3,213,434) -5.3
70. Loans to customers 29,010,159 23,353,892 5,656,267 24.2
80. Hedging derivatives 234,814 203,228 31,586 15.5
100. Equity investments 10,923 13,324 (2,401) -18.0
120. Property and equipment 727 878 (151) -17.2
130. Intangible assets 269 287 (18) -6.3
140. Tax assets 330,652 502,230 (171,578) -34.2 a) current 131,858 292,543 (160,685) -54.9 b) deferred 198,794 209,687 (10,893) -5.2 - of which as per Law no. 214/2011 121,115 126,686 (5,571) -4.4
160. Other assets 742,740 445,523 297,217 66.7
Total assets 167,399,738 154,040,797 13,358,941 8.7
changes
Banca IMI Group
Condensed interim consolidated financial statements - tables
47
Consolidated statement of financial position(in thousands of euro)
Liabilities and equity 30 June 31 December2016 2015 amount %
10. Due to banks 66,673,457 68,073,695 (1,400,238) -2.1
20. Due to customers 19,277,557 16,026,878 3,250,679 20.3
30. Securities issued 14,268,967 13,866,783 402,184 2.9
40. Financial liabilities held for trading 61,987,702 51,653,544 10,334,158 20.0
60. Hedging derivatives 506,097 164,568 341,529
80. Tax liabilities 281,633 342,293 (60,660) -17.7 a) current 265,217 325,988 (60,771) -18.6 b) deferred 16,416 16,305 111 0.7
100. Other liabilities 340,495 587,215 (246,720) -42.0
110. Post-employment benefits 9,692 8,743 949 10.9
120. Provisions for risks and charges 23,053 24,074 (1,021) -4.2 a) pension and similar obligations 12 12 - b) other provisions 23,041 24,062 (1,021) -4.2
140. Valuation reserves (59,767) (50,076) (9,691) 19.4
160. Equity instruments 500,000 - 500,000
170. Reserves 1,606,569 1,573,629 32,940 2.1
175. Interim dividends (-) - (307,988) 307,988
180. Share premium reserve 581,260 581,260 -
190. Share capital 962,464 962,464 -
210. Equity attributable to non-controlling interests (+/-) - - -
220. Profit for the period / year 440,559 533,715 (93,156) -17.5
Total liabilities and equity 167,399,738 154,040,797 13,358,941 8.7
changes
Banca IMI Group
Condensed interim consolidated financial statements - tables
48
Consolidated Income Statement(in thousands of euro)
1H 2016 1H 2015amount %
10. Interest and similar income 682,848 785,730 (102,882) -13.120. Interest and similar expense (412,272) (496,226) 83,954 -16.930. Net interest income 270,576 289,504 (18,928) -6.540. Fee and commission income 274,839 261,304 13,535 5.250. Fee and commission expense (127,146) (122,722) (4,424) 3.660. Net fee and commission income 147,693 138,582 9,111 6.670. Dividends and similar income 26,009 26,821 (812) -3.080. Profits (Losses) on trading 377,342 280,455 96,887 34.590. Profits (Losses) on hedging (10,552) 10,918 (21,470)100. Profits (Losses) on disposal or repurchase of: 98,564 163,438 (64,874) -39.7
a) loans and receivables 1,384 2,117 (733) -34.6 b) available-for-sale financial assets 111,019 199,495 (88,476) -44.3 c) held-to-maturity investments - - - d) financial liabilities (13,839) (38,174) 24,335
120. Total income 909,632 909,718 (86)130. Impairment losses / reversals of impairment losses on: (15,305) (56,809) (41,504)
a) loans and receivables (17,914) (57,955) 40,041 b) available-for-sale financial assets (1,366) (1,886) 520 -27.6 c) held-to-maturity investments - - - d) other financial assets 3,975 3,032 943 31.1
140. Net financial income 894,327 852,909 41,418 4.9170. Net banking and insurance income 894,327 852,909 41,418 4.9180. Administrative expenses: (257,163) (221,652) (35,511) 16.0
a) personnel expenses (74,042) (70,900) (3,142) 4.4 b) other administrative expenses (183,121) (150,752) (32,369) 21.5
190. Net accruals to provision for risks and charges (1,000) (17,000) 16,000200. Depreciation and net impairment losses on property and equipment (183) (250) 67 -26.8210. Amortisation and net impairment losses on intangible assets (38) (35) (3) 8.6220. Other operating income (expenses) 1,568 1,977 (409) -20.7230. Operating expenses (256,816) (236,960) (19,856) 8.4240. Net gains on sales of equity investments 21,164 3,380 17,784280. Pre-tax profit from continuing operations 658,675 619,329 39,346 6.4290. Income tax expense (218,116) (212,730) (5,386) 2.5300. Post-tax profit from continuing operations 440,559 406,599 33,960 8.4320. Profit for the period 440,559 406,599 33,960 8.4330. Profit (loss) attributable to non-controlling interests - - -
340. Profit attributable to the owners of the parent 440,559 406,599 33,960 8.4
Basic Earnings per share (basic EPS) - euro 0.458 0.422
Diluted Earnings per share (diluted EPS) - euro 0.458 0.422
changes
Banca IMI Group
Condensed interim consolidated financial statements - tables
49
CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME
(in thousands of euro)1H 2016 1H 2015
amount %
10. PROFIT FOR THE PERIOD 440,559 406,599 33,960 8.4
Other comprehensive income, net of income taxes that may not be reclassified to the income statement
20. Property and equipment - - - 30. Intangible assets - - - 40. Defined benefit plans (754) 45 (799)50. Non-current assets held for sale - - - 60. Portion of valuation reserves of equity-accounted investees - - -
Other comprehensive income, net of income taxes that may be reclassified to the income statement
70. Hedges of investments in foreign operations - - - 80. Exchange rate gains (losses) 8,363 19,074 (10,711)90. Cash flow hedges - - - 100. Available-for-sale financial assets (8,937) (267,628) 258,691110. Non-current assets held for sale - - - 120. Portion of valuation reserves of equity-accounted investees - - -
130. Total other comprehensive income (expense), net of income taxes (1,328) (248,509) 247,181
140. COMPREHENSIVE INCOME (Captions 10 + 130) 439,231 158,090 281,141
150. Comprehensive income attributable to non-controlling interests - - -
160. Comprehensive income attributable to the owners of the parent 439,231 158,090 281,141
Changes
Banca IMI Group
Condensed interim consolidated financial statements - tables
50
The consolidated equity refers entirely to Banca IMI. To date there are no non-controlling interests.
Statement of changes in consolidated equity for the six month ended 30 June 2015
(in thousands of euro)
Share Capital Reservesordinary
sharesincome -
relatedother
EQUITY AS AT 31.12.2014 962,464 581,260 1,550,304 382 50,047 (942) 505,925 3,649,440
Changes in opening balances -
EQUITY AS AT 01.01.2015 962,464 581,260 1,550,304 382 50,047 (942) 505,925 3,649,440
ALLOCATION OF PREVIOUS YEAR PROFIT
Reserves 5,444 (5,444) -
Dividends and other allocations (500,481) (500,481)
CHANGES IN THE PERIOD
Changes in reserves and exchange rate gains (losses) (9,694) 2,322 - (7,372)
Comprehensive income for the period 19,074 (267,628) 45 406,599 158,090
EQUITY AS AT 30.06.2015 962,464 581,260 1,565,128 2,704 (217,581) (897) 406,599 3,299,677
EquityProfit for the
year/ period
Share premium
reserve
Fair value reserves
AFS
Fair value reserves
Post-employment
benefits
Banca IMI Group
Statement of changes in consolidated equity for the six month ended 30 June 2016
(in thousands of euro)
Share Capital Reservesordinary
sharesincome -
relatedother
EQUITY AS AT 31.12.2015 962,464 581,260 1,568,618 5,011 (49,349) (727) - (307,988) 533,715 3,293,004
Changes in opening balances -
EQUITY AS AT 01.01.2016 962,464 581,260 1,568,618 5,011 (49,349) (727) - (307,988) 533,715 3,293,004
ALLOCATION OF PREVIOUS YEAR PROFIT
Reserves 33,234 (33,234) -
Dividends and other allocations 307,988 (500,481) (192,493)
CHANGES IN THE PERIOD
Changes in reserves and exchange rate gains (losses) (10,947) 2,290 (8,657)
Equity intruments 500,000 500,000
Interim dividends - -
Comprehensive income for the period 8,363 (8,937) (754) 440,559 439,231
EQUITY AS AT 30.06.2016 962,464 581,260 1,599,268 7,301 (58,286) (1,481) 500,000 - 440,559 4,031,085
EquityProfit for the
year/ period
Fair value reserves
Post-employment
benefits
Fair value reserves
AFS
Share premium
reserve
Interim dividends
Changes in Equity
instruments
Banca IMI Group
Condensed interim consolidated financial statements - tables
51
CONSOLIDATED STATEMENT OF CASH FLOWS(in thousands of euro)
1H 2016 1H 2015A. OPERATING ACTIVITIES
1. Cash flow from operations 873,636 831,654- Profit for the period (+/-) 440,559 406,599- Gains/Losses on financial assets held for trading and on assets/liabilities at fair value through profit or loss (-/+) 337,297 273,199- Gains/Losses on hedging activities (-/+) 10,552 (10,918)- Net impairment losses/reversals of impairment losses (+/-) 15,305 56,809- Net impairment losses/reversals of impairment losses on property, equipment and intangible assets (+/-) 185 285- Net accruals to provisions for risks and charges and other costs/revenue (+/-) 1,000 17,000- Taxes and duties to be settled (+) 78,190 103,806- Other adjustments (+/-) (9,452) (15,126)
2. Cash flow from / used by financial assets (13,772,615) (3,102,010)- Financial assets held for trading (7,900,892) 3,175,731- Available-for-sale financial assets (2,786,706) (4,683,666)- Due from banks: repayable on demand 1,282,573 603,030- Due from banks: other 1,910,286 (3,352,191)- Loans to customers (5,671,304) 1,281,551- Other assets (606,572) (126,465)
3. Cash flow from / used by financial liabilities 12,573,264 2,770,986- Due to banks: repayable on demand 422,685 (1,424,823)- Due to banks: other (1,800,972) 7,342,526- Due to customers 3,254,242 8,138,466- Securities issued 330,157 (6,384,474)- Financial liabilities held for trading 10,416,002 (4,447,649)- Other liabilities (48,850) (453,060)
Net cash flow from (used in) operating activities (325,715) 500,630
B. INVESTING ACTIVITIES
1. Cash flow generated by 18,223 0- Sales of equity investments 18,223 - - Dividends collected on equity investments - - - Sales/repayments of held-to-maturity investments - - - Sales of property and equipment - - - Sales of intangible assets - - - Sales of subsidiaries and business units - -
2. Cash flow used for (16) (147)- Purchases of equity investments - - - Purchases of held-to-maturity investments - - - Purchases of property and equipment (16) (124)- Purchases of intangible assets - (23)- Purchases of subsidiaries and business units - -
Net cash flow from (used in) investing activities 18,207 (147)
C. FINANCING ACTIVITIES
- Issues / purchases of treasury shares - - - Issues / purchases of equity instruments 500,000 - - Dividends distribution and other (192,493) (500,481)
Net cash flow from (used in) financing activities 307,507 (500,481)
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS (1) 2
RECONCILIATION
Cash and cash equivalents at beginning of the period 4 2Net increase (decrease) in cash and cash equivalents (1) 2Cash and cash equivalents: foreign exchange effect - -
CASH AND CASH EQUIVALENTS AT THE END OF THE PERIOD 3 4LEGEND : (+) cash flow from (–) cash flow used in
Banca IMI Group
Condensed interim consolidated financial statements – Notes Part A – Accounting policies
52
Notes to the condensed interim consolidated financial statements Part A – Accounting policies A.1 – GENERAL CRITERIA SECTION 1 – STATEMENT OF COMPLIANCE WITH INTERNATIONAL FINANCIAL REPORTING STANDARDS The condensed interim consolidated financial statements have been prepared in accordance with Legislative Decree No. 38 of 28 February 2005, according to IFRS issued by the International Accounting Standards Board (IASB), endorsed and in force at 30 June 2016, and the interpretations designated by the SIC and the interpretations of the International Financial Reporting Interpretations Committee (IFRIC), as established in EC Regulation No. 1606 of 19 July 2002. These standards have been used for the preparation of the comparative data and the opening balances at 1 January 2016. The financial reporting instructions issued by Bank of Italy in its Measure of 22 December 2005, the concurrent Circular No. 262/05, the update of 15 December 2015 and explanatory notes, along with the general regulations of the Italian Civil Code and other relevant rules and regulations have been applied when preparing the condensed interim consolidated financial statements. The condensed interim consolidated financial statements as at 30 June 2016 were prepared in a condensed format in accordance with IAS 34, as supplemented by the provisions of other applicable laws and regulations, with specific regard to financial reporting methods. The specific accounting standards adopted have been applied consistently with the financial statements for the year ended 31 December 2015. A review was performed on the condensed interim consolidated financial statements by KPMG S.p.A. SECTION 2 – GENERAL BASIS OF PREPARATION The condensed interim consolidated financial statements comprise the Statement of financial position, the Income statement, the Statement of comprehensive income, the Statement of changes in equity, the Statement of cash flows and the Notes. They are also accompanied by an interim Report on operations on the results achieved and the financial position of Banca IMI and its subsidiaries and associates. The condensed interim consolidated financial statements were prepared in accordance with the general principles of the IFRS and present the figures for the period alongside the comparative figures from the previous year, for the statement of financial position, or the corresponding period of the previous year, for the income statement. In accordance with the provisions of Article 5 of Legislative Decree No. 38/2005, the condensed interim consolidated financial statements have been drawn up using the Euro as the functional currency. The amounts in the condensed interim consolidated financial statements and the Notes
Condensed interim consolidated financial statements – Notes Part A – Accounting policies
53
are expressed in thousands of euro, unless otherwise indicated, whereas those stated in the Interim Report on operations are in millions of euro, unless otherwise indicated. The condensed interim consolidated financial statements have been prepared in accordance with the specific IFRS endorsed by the European Commission and illustrated in Part A.2 of these notes, as well as in compliance with the general assumptions set forth by the Framework for the Preparation and Presentation of Financial Statements issued by the IASB. The Interim Report on operations and the Notes provide all the information required by the IFRS, laws, European and Italian bank Supervisory Authorities and the National Commission for Companies and the Stock Exchange - Consob, in addition to further information that is not compulsory but is nonetheless deemed necessary for a true and fair presentation of the Group’s situation. SECTION 3 - CONSOLIDATION SCOPE The condensed interim consolidated financial statements include Banca IMI and its direct or indirect subsidiaries and associates. For the definition of subsidiary control, see the section on the accounting policies outlined in the notes to the consolidated financial statements for the year ended 31 December 2015. Compared with the situation at 31 December 2015, the changes to the consolidation scope comprised: (i) the sale of the stake held in MerMec (30%), as a result of the exercise of the purchase option granted to the majority shareholder; (ii) ownership of a stake of 15.8% in Schuttrange Nucleus ScA following the restructuring of a credit position. This interest confers significant influence as set out in the governance agreements. The following table shows investments in subsidiaries included in the line-by-line consolidation scope of the condensed interim consolidated financial statements as at 30 June 2016. Equity investments in fully controlled companies
The following table shows the consolidation scope with the inclusion of the equity-accounted investees using. Investments arising from the conversion of credit exposures are represented in the dashed area.
Company Registeredoffice Parent Share
%A. CONTROLLING EQUITY INVESTMENTS
Parent
Banca IMI S.p.A. MilanShare capital 962,464,000 Euro distributedin shares without a nominal amount
A. 1 FULLY CONSOLIDATED COMPANIES
IMI Investments S.A. Luxembourg (1) Banca IMI 100% 100%Share capital 21,660,000 Euro
IMI Finance S.A. Luxembourg (1) IMI Investments 100% 100%Share capital 100,000 Euro
IMI Capital Markets Delaware (1) IMI Investments 100% 100%Share capital 5,000 Usd
Banca IMI Securities Corp. New York (1) IMI Capital 100% 100%Share capital 44,500,000 Usd
(1) Majority of voting rights in ordinary shareholder meetings
Relationship Investment relationship Voting rights %
Condensed interim consolidated financial statements – Notes Part A – Accounting policies
54
SECTION 4 – EVENTS AFTER THE REPORTING PERIOD No events occurred after the reporting period that have resulted in effects on the Bank’s or Group's financial position, results of operations or cash flows to an extent worthy of mention in these notes. A.2 – MAIN FINANCIAL STATEMENT CAPTIONS The accounting policies adopted in preparing the condensed interim consolidated financial statements, and specifically the criteria for classifying, recognising, measuring and derecognising the various captions of assets and liabilities, as well as the policies for recognising revenue and costs, remained unchanged with respect to those adopted in the separate and consolidated financial statements for the year ended 31 December 2015, to which the reader is referred. It should be noted that the fair value metrics were fine-tuned during the first half of 2016. In particular, the Funding Value Adjustment (FVA) was implemented, whereby the different methodologies already in place to reflect the cost of liquidity in the fair value calculation models for non-collateralised OTC derivatives have all been systematically linked into a single methodological framework. More specifically, FVA represents the liquidity premium connected to the cost of financing future positive exposures, i.e. the cash flows generated by a portfolio of derivatives (coupons, dividends, collateral, etc.), net of collateral received (on the assumption that it can be reused). This model assumes that available collateral and any negative exposures both contribute to reducing the net overall future exposure and that any surplus liquidity available is invested at overnight rates, with zero counterparty risk. The calculation is carried out at the level of each Legal Entity based on the logic of a single netting set (the “funding set”) and assuming a financing cost which is not entity specific. The FVA methodology has replaced specific liquidity adjustments and tailored Eonia or Euribor-based discounting for each and every deal. Banca IMI and the Intesa Sanpaolo Group thus comply with international best practice on the metrics for calculating fair value.
100%49%
15%100% 100%
26.84%100%
15.8%Italy
EuroTLX SimItaly
IMI Capital IMI FinanceUSA Luxembourg
SirtiItaly
IMI SecuritiesUSA
Schuttrange Nucleus
Luxembourg Italy
BANCA IMIItaly
IMI Investments Epsilon
Condensed interim consolidated financial statements – Notes Part A – Accounting policies
55
A.4 – INFORMATION ON FAIR VALUE Qualitative information A.4.1 Fair value levels 2 and 3: measurement techniques and input used There are no changes with regard to the standards and methods of measurement in place as at 31 December 2015. A.4.2 Measurement processes and sensitivity A sensitivity analysis was carried on the level 3 financial instruments applying percentage and absolute changes to the non-observable parameters, in order to measure the relative effects on the positive and negative fair values. The analysis showed that the changes in fair value due to changes in the non-observable parameters are not material.
Financial asset/liability Unobservable parameters Sensitivity (in thousands
of euro)
Change in unobservable
parameter
Held for trading and available-for-sale securities Credit spread -94.00 1 bp
Held for trading and available-for-sale securities Correlation -4.00 1%
Held for trading and available-for-sale securities CPR -115.00 -1%
Held for trading and available-for-sale securities Recovery Rate -31.00 -1%
OTC Derivatives - Interest Rates Correlation for spread options between swap rates -1,413.79 0.1
OTC Derivatives - Equity Correlation between underlying equity baskets -211.06 0.1
OTC Derivatives - Interest Rates JPY swaption volatility -222.49 10%
(in thousands of euro)Financial instruments Valuation technique Main unobservable input
(Level 3)Minimum value of range of changes
Maximum value of range of changes
Unit Favourable changes in FV
Unfavourable changes in FV
ABSs Discounting Cash Flows Credit Spread -48.0% 38.0% % 987 -946
Structured securities Two-factor model Correlation -29.0% 10.0% % 67 -83
Credit Spread -39.0% 32.0% % 6,621 -5,407
Recovery rate -25.0% 10.0% % 15 -38
CPR -10.0% 10.0% % 1,149 -1,149
Credit Spread -25.0% 25.0% % 682 -682
Joint default correlation -10.0% 10.0% % 80 -80
Recovery rate -25.0% 10.0% % 282 -705
OTC Derivatives - Equity Basket Option Black - Scholes modelCorrelation between underlying equity baskets 2.33% 91.70% % 719 -409
OTC Derivatives - Spread Options on Swap Rates Bivariate lognormal model Correlation between swap rates -59.58% 97.35% % 5,025 -11,258
OTC Derivatives subject to FV adjustment for CVA/DVA CVA
PD based on counterparty's internal rating CCC BBB rating interno 214 -171
OTC Derivatives - JPY swaption Black - Scholes model Historical swap rate volatility 17.3% 119.7% % 1,942 -336
CDO Gaussian copula
CLO Cash Discounting Cash Flows
Condensed interim consolidated financial statements – Notes Part A – Accounting policies
56
Quantitative information A.4.5 Fair value hierarchy A.4.5.1 Assets and liabilities measured at fair value on a recurring basis: breakdown by fair value levels
The derivative instruments classified as level 3 contributed approximately 3 million euro to the income statement, (9 million euro of which regard fair value measurement). The debt securities classified as level 3, recognised under financial assets held for trading, made a negative contribution of around 1 million euro to the income statement during the period. Available-for-sale financial assets classified as level 3 did not have a significant impact on comprehensive income.
A.4.5.2 Annual changes in financial assets at level 3 fair value on a recurring basis
(in thousands of euro)
L1 L2 L3 L1 L2 L3
9,082,132 54,954,191 391,094 10,214,172 46,268,090 472,318 - - - - - -
13,515,766 1,114,754 301,333 10,468,908 978,422 195,906 - 234,814 - - 203,228 - - - - - - - - - - - - -
22,597,898 56,303,759 692,427 20,683,080 47,449,740 668,224 13,019,473 48,842,029 126,200 10,462,070 40,997,123 194,351
- - - - - - - 506,097 - - 164,568 -
13,019,473 49,348,126 126,200 10,462,070 41,161,691 194,351
Legend:L1 = Level 1L2 = Level 2L3 = Level 3
3. Hedging derivativesTotal
4. Hedging derivatives
Total1. Financial liabilities held for trading2. Financial liabilities at fair value through profit or loss
5. Property and equipment6. Intangible assets
2. Financial assets at fair value through profit or loss3. Available-for-sale financial assets
30 June 2016 31 December 2015
Financial assets/liabilities at fair value
1. Financial assets held for trading
(in thousands of euro)
Financial assets held for
trading
Financial assets at fair value through profit or loss
Available-for-sale financial
assets
Hedging derivatives
Property and equipment
Intangible assets
472,318 - 195,906 - - -
142,715 - 133,019 - - -
135,730 - 130,639 - - -
5,092 - 85 - - -
4,004 - 2 - - -
X X 2,070 - - -
631 - - - - -
1,262 - 225 - - -
(223,939) - (27,592) - - -
(66,016) - - - - -
(37,076) - (18,966) - - -
(70,043) - (1,399) - - -
(55,225) - (1,373) - - -
X X (2,619) - - -
(49,407) - (4,589) - - -
(1,397) - (19) - - -
391,094 - 301,333 - - - 4. Final amounts
3.3 Losses recognised in:
3.3.1 Profit or loss
- of which: Losses from disposals
3.3.2 Equity
3.4 Transfers to other levels
3.5 Other decreases
3.2 Reimbursements
1. Initial amounts
2. Increases
2.1 Purchases
2.2 Gain recognised in:
2.2.1 Profit or loss
- of which: Gains from disposals
2.2.2 Equity
2.3 Transfers from other levels
2.4 Other increases
3. Decreases
3.1 Sales
Condensed interim consolidated financial statements – Notes Part A – Accounting policies
57
For the purposes of the tables A.4.5.2 and A.4.5.3 it is assumed that the change of level has taken place at the beginning of the period. A.4.5.3 Annual changes in financial liabilities at level 3 fair value on a recurring basis
Financial liabilities at level 3 refer exclusively to derivatives with a negative fair value, and mainly constitute rate options.
Transfer of assets and liabilities measured at fair value (levels 1 and 2)
Transfers between fair value levels are based on the empirical observation of intrinsic factors of the instrument taken into consideration or of the markets on which they are traded. The transfer from Level 1 to Level 2 is the result of there being an insufficient number of contributors, or of a limited number of investors holding the securities issued. This situation often arises as instruments near their maturity dates. Conversely, securities with low liquidity and trading levels on issue − which are therefore classified as Level 2 − are transferred to Level 1 when the market is active. The transfer of financial liabilities held for trading from Level 1 to Level 2 mainly concerns securitised derivatives and technical overdrafts.
(in thousands of euro)
Financial liabilities held for
trading
Financial liabilities at fair value through profit or loss
Hedging derivatives
194,351 - - 2,239 - -
- - -
2,239 - - 2,239 - -
X X - - - - - - -
(70,390) - - - - - - - - -
(63,275) - - (63,275) - -
X X - (7,115) - -
- - - 126,200 - -
3.5 Other decreases4. Final amounts
3.2 Repurchases3.3 Gains recognised in:3.3.1 Profit or loss - of which: Gains from disposals3.3.2 Equity3.4 Transfers to other levels
3.1 Reimbursements
1. Initial amounts2. Increases2.1 Issues2.2 Losses recognised in:2.2.1 Profit or loss - of which: Losses from disposals2.2.2 Equity2.3 Transfers from other levels2.4 Other increases3. Decreases
(in thousands of euro)
Level 1 Level 2Transfers from Level 2 Transfers from Level 1
A. Financial assets at fair value1. Financial assets held for trading 400,294 88,994 2. Financial assets at fair value through profit or loss - - 3. Available-for-sale financial assets - - 4. Hedging derivatives - - Total A 400,294 88,994 B. Financial liabilities at fair value1. Financial liabilities held for trading 1,026,811 5,038 2. Financial liabilities at fair value through profit or loss - - 3. Hedging derivatives - - Total B 1,026,811 5,038
30 June 2016
Condensed interim consolidated financial statements – Notes Part A – Accounting policies
58
A.5 – INFORMATION ON DAY-ONE PROFIT
The fair value of financial instruments in non-active market situations is determined, using the measurement technique dictated by the provisions of IFRS 13. The same standard also states that the best evidence of an instrument’s fair value is provided when the transaction price (e.g. the fair value of the payment made or received) is initially recognised, unless the conditions set forth in paragraph AG76 of IAS 39 are met. The potential consequence, which is accentuated in certain market situations and for especially complex or illiquid products, is the existence of a difference between the fair value of the financial asset or liability at initial recognition and the amount that would have been determined on the same date by using the chosen measurement technique. This difference leads to the immediate recognition of a profit (loss) on first measurement after initial recognition, and the phenomenon is referred to as day one profit or loss. This concept does not apply to profits on the core intermediation operations of investment banks where arbitrage between different markets and products, in the presence of risk positions that are modest and managed ‘on-the-book’, results in a commercial margin (having the nature of a trading fee) aimed at compensating the intermediary for the service rendered and the assumption of financial and credit risks. In this report, the above described cases concern instruments characterised by particular financial complexity or illiquidity of the product or which are tailor made. The measurement techniques associated with such instruments introduce corrections to fair value aimed at capturing factors not envisaged in financial models or the breadth of the bid-ask spread observable on the market. The constant application of such techniques results in the gradual release of profit (loss) over the lifetime of individual instruments or as a result of development of the portfolios to which such corrections refer. During the first half of 2016, at the outcome of operations, there was no profit to be deferred in the initial recognition. The day one profits at 30 June 2016 amounted to 0.9 million euro.
(in millions of euro)Day one profit as at 31 December 2015 0.9
Decrease -
Increase -
Movements arising from changes in FV level -
Day one profit as at 30 June 2016 0.9
Condensed interim consolidated financial statements - Notes Part B – Information on the statement of financial position
59
Part B
Information on the
consolidated statement of financial position
Condensed interim consolidated financial statements - Notes Part B – Information on the statement of financial position
60
ASSETS
Section 2 – Financial assets held for trading – caption 20 2.1 Financial assets held for trading: breakdown
Section 4 – Available-for-sale financial assets – caption 40 4.1 Available-for-sale financial assets: breakdown
Level 1 Level 2 Level 3 Level 1 Level 2 Level 3A. Assets 1. Debt securities 1.1 structured securities 740,218 273,931 6,452 658,208 312,957 6,089 1.2 other debt securities 6,823,756 5,859,260 260,961 7,637,308 5,982,424 267,845 2. Equities 768,645 - 633 904,691 - 631 3. Quotas of UCI 32,452 - - 324,943 - - 4. Loans 4.1 repurchase agreements - - - - - - 4.2 other - - - - - - Total A 8,365,071 6,133,191 268,046 9,525,150 6,295,381 274,565 B. Derivatives 1. Financial derivatives 1.1 trading 717,061 47,733,302 123,048 689,022 38,826,203 197,526 1.2 associated with fair value option - - - - - - 1.3 other - 27,635 - - 54,778 227 2. Credit derivatives 2.1 trading - 1,060,063 - - 1,091,728 - 2.2 associated with fair value option - - - - - - 2.3 other - - - - - - Total B 717,061 48,821,000 123,048 689,022 39,972,709 197,753 Total (A+B) 9,082,132 54,954,191 391,094 10,214,172 46,268,090 472,318
31 December 201530 June 2016
Level 1 Level 2 Level 3 Level 1 Level 2 Level 31. Debt securities 1.1 Structured securities - - - - - - 1.2 Other debt securities 13,511,046 1,110,656 196,249 10,459,197 974,324 123,207 2. Equities 2.1 Measured at fair value 4,720 4,098 - 9,711 4,098 - 2.2 Measured at cost - - - - - - 3. Quotas of UCI - - 105,084 - - 72,699 4. Loans - - - - - -
Total 13,515,766 1,114,754 301,333 10,468,908 978,422 195,906
30 June 2016 31 December 2015
Condensed interim consolidated financial statements - Notes Part B – Information on the statement of financial position
61
Section 6 – Due from banks – caption 60 6.1 Due from banks: breakdown
The compulsory reserve, the obligation for which has been discharged indirectly, is carried among “Time deposits” in the amount of 30 million euro (29 million euro at 31 December 2015). Assets pledged as collateral for CSA agreements were recognised in the “checking accounts and demand deposits” for a total of 6.1 billion euro (4.5 billion euro at 31 December 2015). Section 7 – Loans to customers – caption 70 7.1 Loans to customers: breakdown
Assets pledged as collateral for CSA agreements were carried under “Other” for a total of 7.5 billion euro (5 billion euro as at 31 December 2015).
Level 1 Level 2 Level 3 A. Due from Central Banks 1. Time deposits - X - X X X 2. Compulsory reserve - X - X X X 3. Repurchase agreements - X - X X X 4. Other 5,159 X 5,529 X X X B. Due from banks 1. Loans 1.1 Checking accounts and demand deposits 8,732,684 X 8,408,715 X X X 1.2 Time deposits 41,395,179 X 45,086,395 X X X 1.3 Other loans: Repurchase agreements 7,454,922 X 7,305,915 X X X Finance leases - X - X X X Other 122,237 X 117,061 X X X 2. Debt securities 2.1 Structured - X - X X X 2.2 Other - X - X X X
Total 57,710,181 58,005,497 60,923,615 - 43,798,821 17,401,037
30 June 2016 31 December 2015
Carrying amount
Carrying amount
Fair ValueFair Value
Non-performing Non-performingPurchased Other Purchased Other
Loans 1. Checking accounts 1,087,081 - - X 904,819 - - X X X 2. Repurchase agreements 10,185,558 - - X 8,087,965 - - X X X 3. Mortgages - - - X - - - X X X 4. Credit card loans, personal loans and salary-backed loans - - - X - - - X X X 5. Finance leases - - - X - - - X X X 6. Factoring - - - X - - - X X X 7. Other 16,242,787 - 1,011,257 X 12,718,961 - 948,970 X X XDebt securities 8. Structured securities - - - X - - - X X X 9. Other debt securities 483,476 - - X 693,177 - - X X X
Total 27,998,902 - 1,011,257 28,767,267 22,404,922 - 948,970 - 19,985,761 3,637,365
30 June 2016 31 December 2015Carrying amount Carrying amount Fair value
Fair Value L1 L2 L3Performing Performing
Condensed interim consolidated financial statements - Notes Part B – Information on the statement of financial position
62
Section 8 – Hedging derivatives - caption 80 8.1 Hedging derivatives: breakdown by type of hedge and hierarchical levels
Section 10 – Equity investments - caption 100 10.1 Equity investments: information on equity stakes
Section 14 – Tax assets and liabilities – Asset caption 140 and Liabilities caption 80 14.1 Deferred tax assets: breakdown 14.2 Deferred tax liabilities: breakdown Deferred tax assets and liabilities are recognised in connection with all temporary differences that arise from increases and decreases in the taxable base, without any time limits. The Group recognised deferred tax assets of 199 million euro and deferred tax liabilities of 16 million euro at 30 June 2016. The deferred tax assets recognised against the main temporary deductible differences refer to measurements of financial instruments classified in the available-for-sale securities portfolio (45 million euro); adjustments to statement of financial position exposures and guarantees given (97 and 10 million euro, respectively) and provisions for risks and charges (7 million euro); personnel expenses recognised on an accruals basis (10 million euro). Deferred tax assets of 29 million euro were also recognised on the tax savings to be achieved in future years deriving from the payment of substitute tax for goodwill. Deferred tax liabilities refer to measurements of financial instruments.
Fair value 30 June 2016 Notional Fair value 31 December 2015 Notionalamount amount
Level 1 Level 2 Level 3 30-Jun-16 Level 1 Level 2 Level 3 31-Dec-15 A. Financial derivatives 1) Fair value - 234,814 - 7,401,965 - 203,228 - 12,543,127 2) Cash flows - - - - - - - - 3) Investments in foreign operations - - - - - - - - B. Credit derivatives 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - -
Total - 234,814 - 7,401,965 - 203,228 - 12,543,127
CarryingType of relationship amount
B. Companies subject to significant influence 1. Consorzio Studi e Ricerche Fiscali Rome Rome Significant influence Banca IMI 7.50% 7.50% 19 2. Intesa Sanpaolo Group Services Turin Turin Significant influence Banca IMI 0.010% 0.010% 50 3. Infogroup Florence Florence Significant influence Banca IMI 0.003% 0.003% 1 4. Epsilon Milan Milan Significant influence Banca IMI 49.00% 49.00% 9,782 5. SIRTI Milan Milan Significant influence Banca IMI 26.84% 26.84% - 6. EuroTLX Sim Milan Milan Significant influence Banca IMI 15.00% 15.00% 1,071 7. Schuttrange Nucleus ScA Luxembourg Luxembourg Significant influence Banca IMI 15.80% 15.80% -
Registered office
Votes available %Head office
Investment relationship
Parent held %
Condensed interim consolidated financial statements - Notes Part B – Information on the statement of financial position
63
LIABILITIES
Section 1 – Due to banks – caption 10 1.1 Due to banks: breakdown
“Checking accounts and demand deposits” included amounts due for CSA collaterals received, totalling 7.1 billion euro (4.6 billion euro as at 31 December 2015). Section 2 – Due to customers – caption 20 2.1 Due to customers: breakdown
“Other payables” included payables for collateral received under CSA totalling 1.6 billion euro (0.9 billion euro as at 31 December 2015).
30 June 2016 31 December 2015
1. Due to Central Banks 142,991 299,957 2. Due to banks 2.1 Checking accounts and demand deposits 7,901,744 6,426,455 2.2 Time deposits 1,498,620 2,433,417 2.3 Loans 2.3.1 Repurchase agreements 9,306,536 9,051,959 2.3.2 Other 47,202,262 49,447,074 2.4 Commitments to repurchase own equity instruments - - 2.6 Other payables 621,304 414,833 Total 66,673,457 68,073,695
Fair value - level 1 X - Fair value - level 2 X 16,518,182 Fair value - level 3 X 51,630,436
Total Fair value 66,696,067 68,148,618
30 June 2016 31 December 2015
1. Checking accounts and demand deposits 615,535 480,442 2. Time deposits - - 3. Loans 3.1 Repurchase agreements 16,840,889 14,578,590 3.2 Other 2,769 2,413 4. Commitments to repurchase own equity instruments - - 5. Other payables 1,818,364 965,433 Total 19,277,557 16,026,878
Fair value - level 1 X - Fair value - level 2 X 15,967,830 Fair value - level 3 X 59,045
Total Fair value 19,277,557 16,026,875
Condensed interim consolidated financial statements - Notes Part B – Information on the statement of financial position
64
Section 3 – Securities issued – caption 30 3.1 Securities issued: breakdown
Section 4 – Financial liabilities held for trading – caption 40 4.1 Financial liabilities held for trading: breakdown
By convention, amounts due to banks include short positions in securities. Other structured securities include the valuations amounting to 5.2 billion euro for securitised derivatives that require repayment at maturity of all or part of the premiums paid, pursuant to the Bank of Italy Circular No. 1034598/14 of 21 October 2014.
Carrying Fair value Carrying Fair valueamount Level 1 Level 2 Level 3 amount Level 1 Level 2 Level 3
A. Securities 1. bonds 1.1 structured 5,253,052 514,704 4,679,599 - 5,632,771 514,395 5,070,190 - 1.2 other 9,015,915 2,683,188 6,236,750 - 8,234,012 2,208,878 5,982,567 - 2. other 2.1 structured - - - - - - - - 2.2 other - - - - - - - -
Total 14,268,967 3,197,892 10,916,349 - 13,866,783 2,723,273 11,052,757 -
30 June 2016 31 December 2015
Level 1 Level 2 Level 3 Level 1 Level 2 Level 3 A. Liabilities 1. Due to banks 3,459,215 3,917,236 83,899 - 4,001,135 2,664,345 2,819,585 140,848 - 2,960,433 2. Due to customers - - - - - - - - - - 3. Debt securities 3.1 Bonds 3.1.1 Structured - - - - X - - - - X 3.1.2 Other bonds - - - - X - - - - X 3.2 Other 3.2.1 Structured 5,509,250 5,112,137 60,120 - X 5,245,140 4,532,825 527,608 - X 3.2.2 Other - - - - X - - - - X
Total A 8,968,465 9,029,373 144,019 - 4,001,135 7,909,485 7,352,410 668,456 - 2,960,433 B. Derivatives 1. Financial derivatives 1.1 Trading X 3,980,258 47,613,305 126,200 X X 3,099,455 39,186,062 188,205 X 1.2 Associated with fair value option X - - - X X - - - X 1.3 Other X - 62,291 - X X - 99,075 6,146 X 2. Credit derivatives 2.1 Trading X 9,842 1,022,414 - X X 10,205 1,043,530 - X 2.2 Associated with fair value option X - - - X X - - - X 2.3 Other X - - - X X - - - X
Total B X 3,990,100 48,698,010 126,200 X X 3,109,660 40,328,667 194,351 XTotal (A+B) 8,968,465 13,019,473 48,842,029 126,200 4,001,135 7,909,485 10,462,070 40,997,123 194,351 2,960,433
(*) fair value calculated excluding changes in creditworthiness of the issuer after issue date
30 June 2016 31 December 2015
Fair Value(*)Nominal or
notional amount
Fair Value(*)Nominal or
notional amount
Fair ValueFair Value
Condensed interim consolidated financial statements - Notes Part B – Information on the statement of financial position
65
Section 6 – Hedging derivatives - caption 60 6.1 Hedging derivatives: breakdown by type of hedge and hierarchical levels
Section 8 – Tax liabilities – caption 80 Please refer to section 14 of the assets side for information on tax liabilities. Other information From 2013, in accordance with the provisions of Circular No. 262 of 22 December 2005 updated on 21 January 2014, and confirmed by the subsequent updates, there is a requirement to report specific information showing those financial assets and liabilities included in offsetting arrangements in accordance with IAS 32 §42, regardless of whether they have actually been offset in the statement of financial position. Nevertheless, in consideration of current accounting and market practice and the prevailing guidance on offsetting, it was decided, in line with policies adopted in previous statements of financial position and following legal advice, that OTC derivatives traded over the Swapclear platform satisfy requirements for the offsetting of positive and negative gross balances in the statement of financial position. Thus, at 30 June 2016, the financial liabilities held for trading included a net offset negative amount of 5.5 billion euro referring to the fair value of OTC derivatives traded on Swapclear, resulting from the offsetting of a total of 51.9 billion euro of financial assets against a total of 57.4 billion euro of financial liabilities. The offsetting of the balances is performed separately on own account and for third parties. In the same way, the net negative offset amount of 393 million euro relating to the fair value of hedging derivatives traded on Swapclear is booked on the liabilities side of the statement of financial position under the caption of hedging derivatives; this net balance is the sum of a positive gross amount of 40 million euro and a negative gross amount of 433 million euro. In addition to the foregoing, it should be noted that the framework agreements currently in place at Banca IMI are (i) 534 CSAs covering OTC derivatives, (ii) 137 GMRAs covering repurchase agreements and (iii) 101 GSMLAs covering securities lending transactions. The agreements are of material relevance for the monitoring and measurement of risks and related capital requirements, although they have not entailed the offsetting of statement of financial assets and liabilities. Exposure to counterparty risk by all the OTC derivatives as a whole was mitigated by cash collateral and securities received of around 6.9 billion euro.
Fair Value Fair Value30 June 2016 31 December 2015
Level 1 Level 2 Level 3 30-Jun-16 Level 1 Level 2 Level 3 31-Dec-15 A. Financial derivatives 1) Fair value - 506,097 - 11,416,034 - 164,568 - 4,905,699 2) Cash flows - - - - - - - - 3) Investments in foreign operations - - - - - - - - B. Credit derivatives 1) Fair value - - - - - - - - 2) Cash flows - - - - - - - -
Total - 506,097 - 11,416,034 - 164,568 - 4,905,699
Notional amount
Notional amount
Condensed interim consolidated financial statements - Notes Part C – Information on the income statement
66
Part C
Information on the Consolidated Income
Statement
Condensed interim consolidated financial statements - Notes Part C – Information on the income statement
67
Section 1 – Interest – captions 10 and 20 1.1 Interest and similar income: breakdown
1.4 Interest and similar expense: breakdown
Debt securities Loans Other 1H 2016 1H 2015
1. Financial assets held for trading 95,006 - - 95,006 140,358 2. Financial assets at fair value through profit and loss - - - - - 3. Available-for-sale financial assets 95,940 - - 95,940 80,854 4. Held-to-maturity investments - - - - - 5. Due from banks - 291,668 - 291,668 360,747 6. Loans to customers 6,825 141,368 - 148,193 131,053 7. Hedging derivatives X X 50,066 50,066 69,271 8. Other assets X X 1,975 1,975 3,447
Total 197,771 433,036 52,041 682,848 785,730
Payables Debt securities Other 1H 2015 1H 2014
1. Due to central banks - X - - (5) 2. Due to banks (194,410) X - (194,410) (239,769) 3. Due to customers (29,304) X - (29,304) (9,301) 4. Securities issued X (188,445) - (188,445) (246,967) 5. Financial liabilities held for trading - - - - - 6. Financial liabilities at fair value through profit and loss - - - - - 7. Other liabilities and provisions X X (113) (113) (184) 8. Hedging derivatives X X - - - Total (223,714) (188,445) (113) (412,272) (496,226)
Condensed interim consolidated financial statements - Notes Part C – Information on the income statement
68
Section 2 – Fees and commissions – captions 40 and 50 2.1 Fee and commission income: breakdown
The amounts carried under ‘j) other services’ refer to fees for services rendered in the course of Structured Finance operations.
1H 2016 1H 2015
a) guarantees given 6,158 8,564 b) credit derivatives - - c) management, dealing and consultancy services 1. dealing in financial instruments 37,784 38,545 2. dealing in foreign currency 21,024 40,965 3. portfolio management 3.1 individual - - 3.2 collective - - 4. custody and administration of securities - 34 5. depositary bank - - 6. placement of securities 110,914 66,697 7. acceptance and transmission of trading instructions 330 802 8. consultancy services 8.1 on investments - - 8.2 on structured finance 16,972 33,753 9. distribution of third party services 9.1 portfolio management 9.1.1 individual - - 9.1.2 collective - - 9.2 insurance products - - 9.3 other products - - d) collection and payment services 1,325 1,314 e) servicing related to securitisations - - f) services related to factoring - - g) tax collection services - - h) management of multilateral trading systems - - i) management of checking accounts - - j) other services 77,146 66,732 k) securities lending transactions 3,186 3,898 Total 274,839 261,304
Condensed interim consolidated financial statements - Notes Part C – Information on the income statement
69
2.2 Fee and commission expense: breakdown
Fee and commission expense is originated primarily by investment banking operations involving the primary market placement of financial instruments issued by third parties and by the distribution of Banca IMI certificates. The corresponding income item is given by fee and commission income from the placement of securities – item c.6 of table 2.1 above, and by income from derivatives dealing on own account, recognised as ‘profits from financial transactions’. Section 3 – Dividends and similar income – caption 70 3.1 Dividends and similar income: breakdown
1H 2016 1H 2015
a) guarantees received (764) (960) b) credit derivatives - - c) management and dealing services 1. dealing in financial instruments (17,134) (17,666) 2. dealing in foreign currency - - 3. portfolio management 3.1 own customers - - 3.2 delegated - - 4. custody and administration of securities (4,301) (6,347) 5. placement of financial instruments (98,994) (90,459) 6. “door-to-door” sale of financial instruments, products and services - - d) collection and payment services (1,296) (3,204) e) other services (2,201) (582) f) securities lending transactions (2,456) (3,504) Total (127,146) (122,722)
Dividends Income from UCI quotas Dividends Income from UCI
quotas
A. Financial assets held for trading 24,451 87 23,534 263 B. Available-for-sale financial assets 520 951 156 2,868 C. Financial assets at fair value through profit or loss - - - - D. Equity investments - X - X
Total 24,971 1,038 23,690 3,131
1H 2016 1H 2015
Condensed interim consolidated financial statements - Notes Part C – Information on the income statement
70
Section 4 – Profits (Losses) on trading – caption 80
4.1 Profits (Losses) on trading: breakdown
Section 5 – Profits (Losses) on hedging – caption 90 5.1 Profits (Losses) on hedging: breakdown
Revaluations (A)
Profits on trading
(B)
Write-downs (C)
Losses on trading
(D)
Netprofit (loss)
(A+B ) - (C+D) 1. Financial assets held for trading 1.1 Debt securities 66,274 199,806 (60,192) (286,552) (80,664) 1.2 Equities 24,533 55,711 (36,358) (130,288) (86,402) 1.3 Quotas of UCI 356 939 (155) (2,784) (1,644) 1.4 Loans - - - - - 1.5 Other 6,805 117,770 - (123,598) 977 2. Financial liabilities held for trading 2.1 Debt securities 7,240 329,669 (58,653) (345,025) (66,769) 2.2 Payables - - - - - 2.3 Other 153,282 29,337 (11,112) (33,188) 138,319 3. Financial assets and liabilities: exchange rate gains (losses) X X X X (119,631) 4. Derivatives 4.1 Financial derivatives - On debt securities and interest rates 24,894,028 11,430,910 (24,280,662) (11,431,730) 612,546 - On equities and stock indices 628,813 1,816,347 (1,156,274) (1,351,422) (62,536) - On currencies and gold X X X X 10,929 - Other 844,147 921,598 (866,831) (882,592) 16,322 4.2 Credit derivatives 578,708 781,569 (588,893) (755,489) 15,895 Total 27,204,186 15,683,656 (27,059,130) (15,342,668) 377,342
1H 2016 1H 2015
A. Income fromA.1 Fair value hedging derivatives 89,194 741,755 A.2 Hedged financial assets (fair value) 469,311 577 A.3 Hedged financial liabilities (fair value) 15,045 110,070 A.4 Cash flow hedging derivatives - - A.5 Foreign currency assets and liabilities - - Total (A) 573,550 852,402 B. Expenses forB.1 Fair value hedging derivatives (525,802) (330,032) B.2 Hedged financial assets (fair value) (438) (482,068) B.3 Hedged financial liabilities (fair value) (57,862) (29,384) B.4 Cash flow hedging derivatives - - B.5 Foreign currency assets and liabilities - - Total (B) (584,102) (841,484) C. Total (A - B) (10,552) 10,918
Condensed interim consolidated financial statements - Notes Part C – Information on the income statement
71
Section 6 – Profits (Losses) on disposals or repurchases – caption 100 6.1 Profits (Losses) on disposals or repurchases: breakdown
Profits on disposals from the Available for Sale portfolio mainly refer to government debt securities.
Section 8 – Impairment losses / reversals of impairment losses – caption 130 8.1 Net impairment losses on loans and receivables: breakdown
Profits Losses Net result Profits Losses Net result
Financial assets 1. Due from banks - - - - - - 2. Loans to customers 3,879 (2,495) 1,384 3,551 (1,434) 2,117 3. Available-for-sale financial assets 3.1 Debt securities 113,394 (7,755) 105,639 215,561 (17,584) 197,977 3.2 Equities 5,386 - 5,386 1,518 - 1,518 3.3 Quotas of UCI - (6) (6) - - - 3.4 Loans - - - - - - 4. Held-to-maturity investments - - - - - -
Total assets 122,659 (10,256) 112,403 220,630 (19,018) 201,612
Financial liabilities 1. Due to banks - - - - - - 2. Due to customers - - - - - - 3. Securities issued 11,703 (25,542) (13,839) 3,501 (41,675) (38,174)
Total liabilities 11,703 (25,542) (13,839) 3,501 (41,675) (38,174)
1H 2015 1H 2016
Impairment losses Reversals of impairment losses(1) (2)
Individual Individual Collective 1H 2016 1H 2015
Derecognition Other Collective A B A B
A. Due from banks - Loans - - (4,991) - - - - (4,991) - - Debt securities - - - - - - - - - B. Due from customers Purchased non-performing due - Loans - - X - - - X - - - Debt securities - - X - - - X - - Other due - Loans - (15,832) (2,381) - 5,414 - - (12,799) (57,955) - Debt securities - - (124) - - - - (124) -
C. Total - (15,832) (7,496) - 5,414 - - (17,914) (57,955)
LegendA = from interest (1) - (2)B = other reversals
Condensed interim consolidated financial statements - Notes Part C – Information on the income statement
72
8.2 Net impairment losses on available-for-sale financial assets: breakdown
8.4 Net impairment losses on other financial assets: breakdown
Individual Individual 1H 2016 1H 2015
Derecognition Other A B
A. Debt securities - - - - - - B. Equities - - X X - - C. Quotas of UCI - (1,366) X - (1,366) (1,886) D. Loans to banks - - - - - - E. Loans to customers - - - - - -
F. Total - (1,366) - - (1,366) (1,886)
Legend (1) - (2)A = from interestB = other reversals
(1) (2)Impairment losses Reversals of impairment losses
Impairment losses Reversals of impairment losses(1) (2)
Individual Individual Collective 1H 2016 1H 2015
Derecognition OtherCollective
A B A B
A. Guarantees given - (6,000) (2,365) - 12,340 - - 3,975 3,032 B. Credit derivatives - - - - - - - - - C. Commitments to lend - - - - - - - - - D. Other - - - - - - - - -
E. Total - (6,000) (2,365) - 12,340 - - 3,975 3,032
Legend (1) - (2)A = from interestB = other reversals
Condensed interim consolidated financial statements - Notes Part C – Information on the income statement
73
Section 11 – Administrative expenses – caption 180 11.1 Personnel expenses: breakdown
In addition to the charges required by law, the provisions for post-employment benefits include the effects of the application of the IFRS. The costs shown in point 1) letter h) relate to the personnel incentive scheme known as LECOIP. Section 12 – Net accruals to provisions for risks and charges – caption 190 12.1 Net accruals to provisions for risks and charges: breakdown
1H 2016 1H 2015
1) Personnel employed a) wages and salaries (50,792) (49,586) b) social security charges (13,613) (12,322) c) post-employment benefits (160) (307) d) pension costs - - e) accruals for post-employment benefits (179) 1,364 f) accruals for pension and similar provisions - defined contribution plans - - - defined benefit plans - - g) payments to external pension funds - defined contribution plans (1,884) (2,665) - defined benefit plans - - h) costs of share-based payment plans (4,915) (5,053) i) other benefits in favour of employee (1,767) (1,758) 2) Other personnel (129) (78) 3) Directors and statutory auditors (603) (495) 4) Retired personnel - -
Total (74,042) (70,900)
1H 2016 1H 2015
Accruals for legal disputes - - Accruals for other risks and charges (1,000) (17,000)
Total (1,000) (17,000)
Condensed interim consolidated financial statements - Notes Part C – Information on the income statement
74
Section 16 – Net gains on sales of equity investments – caption 240 16.1 Net gains on sales of equity investments: breakdown
The 2.9 million euro of fair value gains relate to the share of the profit of the equity-accounted investees (Epsilon and EuroTLX). The 30% stake in MerMec was sold as a result of the exercise of a purchase option granted to the majority shareholder, realising a profit equal to 15.2 million euro. In addition, over the first half of the year, MerMec resolved to distribute 10.1 million euro of equity reserves (of which Banca IMI’s share amounted to 3 million euro). This last amount appears under caption A.4 Other income since the participation had a carrying amount equal to zero.
1H 2016 1H 2015
1) Jointly controlled companies A. Gains - - 1. Fair value gains - - 2. Profits on disposal - - 3. Reversals of impairment losses - - 4. Other - - B. Losses - - 1. Fair value losses - - 2. Impairment losses - - 3. Losses on disposal - - 4. Other - -
Net Gains - - 2) Companies subject to significant influence A. Gains 21,169 3,380 1. Fair value gains 2,941 3,380 2. Profits on disposal 15,198 - 3. Reversals of impairment losses - - 4. Other 3,030 - B. Losses (5) - 1. Fair value losses (5) - 2. Impairment losses - - 3. Losses on disposal - - 4. Other - -
Net Gains 21,164 3,380 Total 21,164 3,380
Condensed interim consolidated financial statements - Notes Part C – Information on the income statement
75
Section 20 – Income tax expense – caption 290 20.1 Income tax expense: breakdown
Section 23 – Other information Given the particular nature of operations, a significant portion of which is carried out through remote access to organised trading systems or multilateral trading circuits, the geographical breakdown of revenue is not directly correlated to the geographical location of the Group’s branches. Section 24 – Earnings per share Consolidated earnings per share came to 0.458 euro and 0.422 euro respectively in the first half of 2016 and 2015. The foregoing amounts were determined by considering the profit for the period in relation to the weighted average of the number of ordinary shares outstanding in the individual periods. 24.1 Average number of ordinary shares (fully diluted) There were no changes in share capital during the reporting or comparative period. The number of shares was 962,464,000 for the entire period.
1H 2016 1H 2015
1. Current taxes (-) (205,107) (211,400) 2. Changes in current taxes of previous periods (+/-) - - 3. Reduction in current taxes of the period (+) - - 3.bis Reduction in current taxes of the period for tax receivables, as per Law no. 214/2011 (+) - - 4. Changes in deferred tax assets (+/-) (13,005) (1,330) 5. Changes in deferred tax liabilities (+/-) (4) - 6. Tax expense for the period (-) (-1+/-2+3+/-4+/-5) (218,116) (212,730)
Financial Statements - Notes Part E – Information on risks and control
76
Part E
Information on risks and related
hedging policies
Financial Statements - Notes Part E – Information on risks and control
77
Risk monitoring and control system
Banca IMI has always attached great importance to risk monitoring and control and viewed these as essential to:
• Ensuring the reliable, sustainable creation of value in a context of controlled risk. • Protecting the Bank’s financial solidity and reputation. • Permitting a transparent representation of the degree of risk associated with the Bank’s
portfolios.
It is in this light that one ought to interpret the initiatives aimed at obtaining validation from the Supervisory Authorities of the internal models on market risk, credit/counterparty risk and operational risk, and at further increasing the efficacy of the monitoring tools included in the internal processes. The definition of operational limits linked to risk indicators such as VaR and the management’s use of the measurement of ‘capital at risk’ implicit in various portfolios represent some of the steps taken in accordance with the strategic and decision-making guidelines laid down by the Board of Directors.
Risk monitoring, which is spread along the Bank’s entire decision-making chain, extends all the way to individual operating units and desks. The functions of the Ultimate Parent responsible for risk management and internal audit activities are Risk Management, Internal Audit and Compliance. Within the system of controls, these periodically meet with the departments of the Bank entrusted with monitoring the line controls and also with the heads of the operational units, both in the course of day-to-day operations and in specific committees, particularly the Risk Committee, the Loans & Receivables Committee and the Investment Committee.
Risk management activity aims to ensure constant monitoring of the main risks, regulatory compliance and effective support for the decision-making process. This entails: • the rigorous and timely measurement of risks: the analyses are conducted primarily on
effective positions with respect to normal and historical market conditions and are enriched by portfolio analyses, stress test estimates, and what-if and scenario simulations;
• the definition of the rules and parameters for measuring contracts subject to mark-to-market and fair value, and direct structuring and measurement where this may not be achievable through the standard tools available to business units;
• the interaction with the Supervisory Authority for the validation and development of internal models;
• the provision of information in support of company planning and to the top management to enable measurement of value generation;
• support to communication to pursue goals of transparency towards customers and the market. The scope of the risks identified may be broken down as follows: • credit risk and counterparty risk; • market risk, including position, settlement and concentration risk on the trading portfolio; • the financial risk on the banking book, primarily due to interest and exchange rates; • operational risk, including legal risk, with which ‘insurance risk’ is associated; • liquidity and forex risks.
Condensed interim consolidated financial statements – Notes Part E – Information on risks
78
Section 1 – BANKING GROUP RISKS
1.1 CREDIT RISK Qualitative information The credit risk management policies and the relevant measurement and control systems, as well as the mitigation techniques, are the same as those in use as at 31 December 2015. Quantitative information
A. CREDIT QUALITY A.1 PERFORMING AND NON-PERFORMING EXPOSURES: AMOUNTS, IMPAIRMENT LOSSES, CHANGES AND BREAKDOWN BY BUSINESS SEGMENT AND GEOGRAPHICAL SEGMENT A.1.1 Breakdown of financial assets by portfolio classification and credit quality (carrying amount)
Dou
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1. Available-for-sale financial assets - - - - 14,817,951 14,817,951 2. Held-to-maturity investments - - - - - - 3. Due from banks - - - - 57,710,181 57,710,181 4. Loans to customers 45,380 918,714 47,163 174,716 27,824,186 29,010,159 5. Financial assets at fair value through profit or loss - - - - - - 6. Financial assets held for sale - - - - - -
Total 30 June 2016 45,380 918,714 47,163 174,716 100,352,318 101,538,291 Total 31 December 2015 44,186 904,784 - 6,790 94,878,475 95,834,235
Condensed interim consolidated financial statements – Notes Part E – Information on risks
79
A.1.2 Breakdown of credit exposures by portfolio classification and credit quality (gross amount and carrying amount)
A.1.3 Banking group: on– and off-balance sheet loans and receivables with banks: gross amount and carrying amount and past due time bracket
Non-performing assets Performing assets
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1. Available-for-sale financial assets - - - 14,817,951 - 14,817,951 14,817,951 2. Held-to-maturity investments - - - - - - - 3. Due from banks - - - 57,715,172 (4,991) 57,710,181 57,710,181 4. Loans to customers 1,336,172 (324,915) 1,011,257 28,108,139 (109,237) 27,998,902 29,010,159 5. Financial assets at fair value through profit or loss - - - X X - - 6. Financial assets held for sale - - - - - - -
Total 30 June 2016 1,336,172 (324,915) 1,011,257 100,641,262 (114,228) 100,527,034 101,538,291 Total 31 December 2015 1,278,371 (329,401) 948,970 94,991,997 (106,732) 94,885,265 95,834,235
Tot
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ryin
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)
Other assets
Cumulative write-downs Carrying amount Carrying amount
1. Financial assets held for trading - 34,765 63,590,922 2. Hedging derivatives - - 234,814
Total 30 June 2016 - 34,765 63,825,736 Total 31 December 2015 (9,724) 70,863 55,856,680
Assets of evidently low credit quality
Individualimpairment
Collectiveimpairment
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A. On-balance sheet exposures a) Doubtful loans - - - - X - X - - of which: forbearance exposures - - - - X - X - b) Unlikely to pay - - - - X - X - - of which: forbearance exposures - - - - X - X - c) Non performing past due loans - - - - X - X - - of which: forbearance exposures - - - - X - X - d) Performing past due loans X X X X - X - - - of which: forbearance exposures X X X X - X - - e) Other performing loans X X X X 64,576,363 X (4,991) 64,571,372 - of which: forbearance exposures X X X X - X - -
Total A - - - - 64,576,363 - (4,991) 64,571,372
B. Off-balance sheet exposures a) Non-performing - - - - X - X - b) Performing X X X X 50,281,901 X - 50,281,901
Total B - - - - 50,281,901 - - 50,281,901 Total A + B - - - - 114,858,264 - (4,991) 114,853,273
Gross amount
Non-performing assets
Performing assets
Condensed interim consolidated financial statements – Notes Part E – Information on risks
80
A.1.6 Banking group: on– and off-balance sheet loans and receivables with customers: gross amount and carrying amount and past due time bracket
Gross exposures include approximately 10 billion euro of loans in the Structured Finance segment. The relative impairment losses on loans and provisions for guarantees amount to 462 million euro, with a coverage ratio of the collective impairment losses on performing exposures of 1.3%. EXPOSURE TO SOVEREIGN CREDIT RISK In accordance with the IFRS (specifically IAS 1 and IFRS 7), as regards in particular the disclosures to be made concerning exposure to sovereign credit risk (as the issuer of debt securities, counterparty to OTC derivative contracts and reference entity for credit derivatives and financial guarantees), the following breakdown is provided of the Banca IMI Group's exposures at 30 June 2016. The ‘Total exposure’ column represents net total assets attributable to an individual sovereign country included in the statement of financial position. Any derivative contracts listed on regulated markets are excluded since the earnings impact from these is directly recognised as a balancing entry to cash and cash equivalents as a result of the settlement of margins of change on a daily basis. Overall, the exposure to sovereign credit risk came to 23.7 billion euro, about 59% of which is represented by the Italian Republic, about 16% by the USA, approximately 12% by Spain, around 4% by Germany and approximately 3% by France.
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A. On-balance sheet exposures a) Doubtful loans - - - 112,900 X (67,520) X 45,380 - of which: forbearance exposures - - - 43,020 X (25,739) X 17,281 b) Unlikely to pay 1,170,599 - - - X (251,885) X 918,714 - of which: forbearance exposures 1,065,925 - - - X (238,609) X 827,316 c) Non performing past due loans 52,673 - - - X (5,510) X 47,163 - of which: forbearance exposures 52,673 - - - X (5,510) X 47,163 d) Performing past due loans X X X X 179,443 X (4,727) 174,716 - of which: forbearance exposures X X X X 73,829 X (4,120) 69,709 e) Other performing loans X X X X 49,850,034 X (104,510) 49,745,524 - of which: forbearance exposures X X X X 548,663 X (30,888) 517,775
Total A 1,223,272 - - 112,900 50,029,477 (324,915) (109,237) 50,931,497
B. Off-balance sheet exposures a) Non-performing 342,100 - - - X (31,011) X 311,089 b) Performing X X X X 34,800,568 X (6,205) 34,794,363
Total B 342,100 - - - 34,800,568 (31,011) (6,205) 35,105,452 Total A + B 1,565,372 - - 112,900 84,830,045 (355,926) (115,442) 86,036,949
Gross amount
Non-performing assets
Performing assets
Condensed interim consolidated financial statements – Notes Part E – Information on risks
81
At 30 June 2016 there were statement of financial position loans and receivables towards GME amounting to 119.8 million euro.
Sovereign risk exposure (issuer, counterparty, reference entity) - Financial instruments(in millions of euro)
HFT Fair Value (1)
AFS Fair Value
L&R Amortised
cost
Notional amount
Net Positive Value
Notional amount (2)
Gross Positive Value
Notional amount (2)
Gross Negative
Value
EU Countries 6,049.2 8,432.4 192.9 7,225.0 4,378.3 3,944.2 246.1 4,486.0 (211.2) 19,087.7 - Austria 58.3 25.2 0.3 25.2 (0.1) 58.5 - Belgium 53.4 94.6 0.4 94.6 (0.4) 53.4 - Croatia 1.6 9.8 18.0 1.2 12.6 - Finland 51.9 51.9 - France 274.6 531.6 1,351.1 1.5 1,365.6 (1.6) 806.1 - Germany 856.6 67.6 0.1 90.1 (0.1) 856.6 - Ireland 6.4 206.6 22.5 0.3 22.5 (0.3) 213.0
- Italy (3) 4,311.6 5,050.2 192.9 7,225.0 4,378.3 1,390.1 234.9 1,302.8 (197.4) 13,970.5 - Latvia 5.1 9.0 9.0 5.1 - Lithuania 26.6 9.0 9.0 26.6 - Netherlands 6.4 4.5 4.5 6.4 - Poland 56.4 36.0 0.1 58.6 (0.2) 56.3 - Portugal 5.6 78.4 2.6 79.9 (2.4) 5.8 - United Kingdom 102.8 9.0 102.8 - Czech Republic 9.0 9.0 0.0 - Romania 0.8 37.2 38.0 - Slovenia 9.0 9.0 0.0 - Spain 369.9 2,457.0 792.2 4.5 1,369.2 (8.4) 2,823.0 - Sweden 0.4 0.4 - Hungary 0.8 28.0 0.2 28.0 (0.3) 0.7
Other Countries 356.5 4,210.5 0.0 0.0 0.0 369.3 11.7 279.2 (9.3) 4,569.4 - Argentina 54.5 54.5 - Australia 1.1 1.1 - Brazil 8.8 49.5 0.5 31.5 (2.1) 7.2 - Chile 0.4 41.7 42.1 - Colombia 29.3 4.5 0.1 29.4 - Philippines 40.2 40.2 - Israel 29.5 29.5 - Indonesia 15.2 122.5 137.7 - Kazakhstan 4.5 4.5 0.0 - Morocco 4.5 0.0 - Malaysia 13.9 13.9 - Mexico 4.1 110.9 72.1 1.0 45.0 (0.8) 115.2 - Norway 0.4 0.4 - Peru 0.3 58.3 58.6 - Republic of Serbia 0.1 0.1 - Russia 1.4 46.9 99.1 3.0 67.6 (2.6) 48.7 - South Africa 74.3 54.0 3.7 40.5 (2.4) 75.6 - South Korea 10.6 10.6 - Turkey 0.1 92.0 81.1 3.4 90.1 (1.4) 94.1 - USA 269.2 3,540.4 3,809.6 - Venezuela 0.9 0.9
Total 6,405.7 12,642.9 192.9 7,225.0 4,378.3 4,313.5 257.8 4,765.2 (220.5) 23,657.1
(1) It escludes the short positions of the HFT porftolio but includes interest accrued as at 30 June 2016. (2) Absolute amount of protection purchases and sales. (3) The short positions of the HFT portfolio amount to 2,560.6 million euro.
Debt securities Financial derivatives Credit derivativesTotal
exposure
Condensed interim consolidated financial statements – Notes Part E – Information on risks
82
1.2 – BANKING GROUP - MARKET RISKS Qualitative information The market risk management policies and measurement and control systems are the same as those in use as at 31 December 2015. Quantitative information Regulatory trading book: internal models and other sensitivity analysis methods Composition and risk capital The quantitative information below refers to the operational scope of the trading book subject to market risks1. In the following paragraphs the market capital-at-risk is estimated by adding the operating VaR to the illiquid parameter simulations. The development of risk capital In order to ensure constant control of all risks, risk monitoring using VaR technology also extends for operating purposes to positions in securities classified as AFS. In the second quarter of 2016 market risks originated by Banca IMI decreased on average compared to the first quarter.
Daily operating trading VaR for Banca IMI – comparison between the 2016 quarters
Conversely, the overall risk profile for the period (87.7 million euro) was higher than the average levels for the first half of 2015 (67.9 million euro).
Daily operating trading VaR for Banca IMI
(minimum, average and maximum of the period)
The beginning of February saw financial market volatility scenarios which increased VaR absorption levels; this was followed by an expansion of the portfolio (in terms of the credit spread and equity risk factors) within the limits approved for 2016.
1 The regulatory scope of application of the internal model is a sub-set of the internal model of market risk management; this is a function both of the different status of the models used, which have not yet been authorised for extension for the purposes of prudential regulation (e.g. the VaR spread on bonds and CDSs), and of current legislation, which regulates the exclusion of some risk items dealt with using the standard method from the scope of the internal models (for example, investments in UCITS).
(in millions of euro) average
2Qminimum
2Qmaximum
2Q average
1Q
Banca IMI 85.5 70.8 122.4 90.0
The development of daily operating VaR, as shown in the table, has been calculated on Banca IMI quarterly historical series.
(in millions of euro)2016 2015
average1H
minimum1H
maximum1H
average1H
minimum1H
maximum1H
Banca IMI 87.7 64.8 122.4 67.9 54.0 113.6
The development of daily operating VaR, as shown in the table, has been calculated on Banca IMI annual historical series.
Condensed interim consolidated financial statements – Notes Part E – Information on risks
83
At the beginning of the second quarter there was a reduction in VaR as a result of sales, and scaling back volatile positions. Subsequently, from mid-May, VaR measurements showed slight growth due to the purchase of government securities. On 24 June, following the UK referendum outcome, markets experienced volatility in credit spreads accompanied by lower interest rates and share prices. This new scenario generated an increase in Banca IMI’s VaR which reached a peak of 122 million euro at the end of the period. It should be noted that risk measurements nevertheless remained within preassigned limits, and that there was a slight decrease in the first days of July. Over the second quarter of 2016 operating VaR averaged around 66% of the limit, rising to a maximum of 94%.
In the second quarter of 2016, the composition of the risk profile by factor showed a prevalence of risk linked to credit spread volatility, representing 82% of the total.
Contribution of risk factors to daily operating VaR
(percentage of the total area for the period)
Issuer risk associated with the trading portfolio is subject to fair value analysis through the aggregation of exposures by rating class and is monitored using a system of operational limits founded on both rating classes and concentration indicators. The use of the IRC limits (maximum 400 million euro) at period end amounted to 74.9%.
2Q 2016 Equity Hedgefund
Interest rates
Creditspread
Currency Otherparameters
Commodities
Banca IMI 5% 0% 8% 82% 1% 2% 2%
The table showns the contribution of risk factors considering the overall VaR 100%
Daily evolution of market risk - Daily
Condensed interim consolidated financial statements – Notes Part E – Information on risks
84
Breakdown of exposures by type of issuer for Banca IMI
(percent values of the total area at end of period, excluding government securities and the Group’s securities and including hedging CDS)
At the end of June, the financial sector predominated. The composition of the trading book by rating is mainly investment grade.
The effectiveness of the VaR calculation model must be monitored on a daily basis using backtesting, which allows comparison within the regulatory scope of: – daily estimates of value-at-risk; – daily measurements of profits/losses based on backtesting, which are calculated using the daily operating reports of the effective profit and loss made by each desk, excluding the components that are not relevant to backtesting (such as fees and intraday trading). Backtesting checks the model’s capacity to correctly measure variations in the daily valuation of trading positions from a statistical point of view, covering a one-year observation period (around 250 estimates). Critical issues in the internal model’s suitability arise when the daily backtesting measurements of profits/losses show more than three instances over the year of observation, in which the daily loss is higher than the value-at-risk estimate. Current legislation requires backtesting to be carried out on both the effectively recorded and the theoretical P&L series. This latter is based on revaluation of the portfolio value using the pricing models adopted in calculating the VaR measure. The number of significant backtesting exceptions is determined as the maximum amount between those in the effective P&L and the theoretical P&L.
Banca IMI’s two backtesting exceptions relate to the increase in volatility of financial spreads recorded during the first quarter of 2016.
Corporate Financial Emerging Covered Securitisations Government
June 2016 100% 8% 55% -1% 3% 11% 24%
of whichTotal
Effective P&L Daily VaR
Mill
ions
Jul-15 Sep-15 Dec-15 Mar-15 Jun-15
Condensed interim consolidated financial statements – Notes Part E – Information on risks
85
The monitoring of risks in Banca IMI’s trading operations also involves the use of scenario analyses and stress tests. The following table provides an overview of the impact of selected scenarios involving trends in equity prices, interest rates, credit spreads and exchange rates on the income statement.
In particular, as at 30 June 2016: - for equity market positions, a fall in prices of 5% and an ensuing increase in volatility of 10% would have resulted in a loss of approximately 3 million euro; - on interest rate exposures, a parallel +40 basis point shift would have led to a 36 million euro loss; - for exposures sensitive to changes in credit spreads, a 25 basis point widening in spreads would have led to a 299 million euro loss; - in terms of foreign currency exposures, a 10% rise in the euro would have led to loss of 22 million euro; - as for exposures to commodities, a 20% rise in prices would have led to a loss of 16 million euro.
The structure of operational limits reflects the level of risk deemed acceptable for individual business areas in accordance with the management and strategic guidelines laid down by the top management. Limits are set and monitored at the various hierarchical levels by assigning powers to the various managers of the business units, with the aim of achieving the optimal trade-off between a controlled risk environment and the requirements of operational flexibility. The effective operation of the system of limits and delegated powers is founded on the basic concepts of hierarchy and interaction, the application of which led to the definition of a structure organised into:
• first level limits (VaR): these are approved by the Management Board at the same time as the approval by the RAF (Risk Appetite Framework). The trend in the absorption of these limits and the assessment of the adequacy thereof is the subject of periodic analysis by the Group’s Financial Risks Committee; and after their approval, and after consultation with the Business Units, these limits are allocated to the desks of the individual legal entities;
• second level limits (sensitivity and greeks): their aim is to control the operations of individual desks on the basis of measures differentiated according to the specific nature of the securities treated and operational strategies, such as sensitivities, the greeks and equivalent exposures.
Counterparty risk is measured in terms of the cost of replacing derivative contracts and monitored in terms of both future exposure and aggregations by sector and class of risk. Banca IMI’s typical counterparties on the OTC market are lending institutions, financial and insurance companies and, to a small extent, corporate counterparties. The model adopted for distributing derivatives to non-institutional customers (mainly IRSs and currency trades) involve maintaining the credit risk on the commercial bank books, and transferring the market risks to Banca IMI. The design of the internal counterparty risk model has led to the use of the PFE (Potential Future Exposure) and the EPE (Expected Positive Exposure) metrics. The former applies to exposures within credit facilities with respect to OTC derivatives and Securitised Financing Transactions - SFT (Repo and Security Lending). The latter applies to exposure at default (EAD) and is used to calculate regulatory capital requirements relating to OTC derivatives and ETDs (Exchange Traded Derivatives). The application for the adoption of the internal model for the calculation of capital requirements for the SFT portfolio component has been presented to the supervisory authorities, and is currently pending approval.
(in millions of euro)
volatility +10% and prices -5%
volatility -10% and prices +5% +40bp lower rate -25bp +25bp -10% +10% -20% +20%
Total -3.0 8.0 -36.0 87.0 311.0 -299.0 27.0 -22.0 29.0 -16.0
COMMODITIESCURRENCYEQUITY INTEREST RATES CREDIT SPREAD
Condensed interim consolidated financial statements – Notes Part E – Information on risks
86
The internal model is applied according to the guidelines of Basel III. It follows that the requirement vis-à-vis counterparty risk is the sum of the risk of default and CVA risk. The risk of default is established from an EAD that is the higher of the EAD calculated according to current risk parameters and the EAD calculated in accordance with risk parameters calibrated on a stress period. The CVA Capital Charge is calculated as the sum of the CVA VaR calculated on the credit spread movements of the counterparties registered in the past year and the CVA VaR calculated on the movements of a stress period that currently has been identified as the two-year period of 2011-2012. Following the adoption of the internal method, the following internal processes have been activated: – definition and periodic calculation of stress tests on market scenarios and joint market/credit scenarios on counterparty risk measures; – definition and periodic analysis of Wrong-Way Risk, i.e. the risk of a positive correlation between the future exposure to a counterparty and that counterparty’s probability of default; – definition and monitoring of management limits at portfolio level, authorised by the Group’s Financial Risks Committee for derivatives transactions; – contribution of collateral inflow/outflow risk measures, calculated on the basis of the internal counterparty risk model, for OTC derivative transactions with collateral agreement (CSA); – backtesting: in order to test the validity of the model. The tests are carried out on the risk factors, financial instrument and netting set; – reporting to the various committees on the advanced risk measures, capital requirement, level of use of management limits, results of stress tests and analyses of wrong-way risk.
OTC derivative contracts entered into with approximately 400 counterparties, are over 75,000: they have an average maturity of 5 years and 77% are interest rate instruments. The collateralized deals make up 66% of the total. The chart below shows the distribution of contracts by type of payoff.
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1.2.4 DERIVATIVES A. FINANCIAL DERIVATIVES
A.1 Regulatory trading book: reporting date notional amounts
A.2 Banking book: reporting date notional amounts A.2.1 Hedging
Over the counter Clearing house Over the counter Clearing house 1. Debt securities and interest rates a) Options 127,677,512 52,169,989 138,834,531 15,414,571 b) Swaps 2,412,169,756 - 2,240,033,169 - c) Forwards - - - - d) Futures - 168,040,053 - 143,096,015 e) Other - - - -
2. Equities and indices a) Options 16,588,207 51,009,915 14,656,996 48,801,418 b) Swaps 59,803 - 301,588 - c) Forwards 183,790 - 25,787 - d) Futures - 1,548,353 - 1,422,484 e) Other - - - -
3. Currencies and gold a) Options 28,556,482 5,150 19,955,998 11,344 b) Swaps 45,450,933 - 44,281,967 - c) Forwards 8,152,870 - 8,411,508 - d) Futures - 330,639 - 333,804 e) Other 1,242,834 - 1,142,835 -
4. Commodities 7,324,141 3,557,596 10,354,758 3,403,244 5. Other underlying assets - - - -
Total 2,647,406,328 276,661,695 2,477,999,137 212,482,880
30 June 2016 31 December 2015
Over the counter Clearing house Over the counter Clearing house 1. Debt securities and interest rates a) Options 107,366 - 109,487 - b) Swaps 17,764,514 - 16,317,130 - c) Forwards - - - - d) Futures - - - - e) Other - - - -
2. Equities and indices a) Options - - - - b) Swaps - - - - c) Forwards - - - - d) Futures - - - - e) Other - - - -
3. Currencies and gold a) Options - - - - b) Swaps 946,119 - 1,022,210 - c) Forwards - - - - d) Futures - - - - e) Other - - - -
4. Commodities - - - - 5. Other underlying assets - - - -
Total 18,817,999 - 17,448,827 -
30 June 2016 31 December 2015
Condensed interim consolidated financial statements – Notes Part E – Information on risks
88
A.2.2 Other derivatives
A.3 Financial derivatives: gross positive fair value – breakdown by product
Over the counter Clearing house Over the counter Clearing house 1. Debt securities and interest rates a) Options 75,000 - - - b) Swaps - - - - c) Forwards - - - - d) Futures - - - - e) Other - - - -
2. Equities and indices a) Options 1,361,655 - 1,552,751 - b) Swaps - - - - c) Forwards - - - - d) Futures - - - - e) Other - - - -
3. Currencies and gold a) Options 62,741 - 61,165 - b) Swaps - - - - c) Forwards - - - - d) Futures - - - - e) Other - - - -
4. Commodities - - - - 5. Other underlying assets - - - -
Total 1,499,396 - 1,613,916 -
30 June 2016 31 December 2015
Positive fair value
Over the counter Clearing house Over the counter Clearing house A. Regulatory trading book a) Options 4,886,011 717,038 4,572,451 688,463 b) Interest rate swaps 39,264,359 - 30,239,724 - c) Cross currency swaps 2,869,011 - 2,881,673 - d) Equity swaps 2,053 - 14,060 - e) Forwards 244,255 - 276,739 - f) Futures - - - - e) Other 585,961 - 1,039,640 -
B. Banking book - hedging a) Options 1,443 - 4,046 - b) Interest rate swaps 182,456 - 156,090 - c) Cross currency swaps 50,915 - 43,092 - d) Equity swaps - - - - e) Forwards - - - - f) Futures - - - - e) Other - - - -
C. Banking book - other a) Options 32,359 - 55,005 - b) Interest rate swaps - - - - c) Cross currency swaps - - - - d) Equity swaps - - - - e) Forwards - - - - f) Futures - - - - e) Other - - - -
Total 48,118,823 717,038 39,282,520 688,463
30 June 2016 31 December 2015
Condensed interim consolidated financial statements – Notes Part E – Information on risks
89
A.4 Financial derivatives: gross negative fair value – breakdown by product
B. CREDIT DERIVATIVES B.1 Credit derivatives: reporting date notional amounts
Negative fair value
Over the counter Clearing house Over the counter Clearing house A. Regulatory trading book a) Options 8,017,073 1,062,901 7,394,421 715,100 b) Interest rate swaps 38,674,550 - 30,297,504 - c) Cross currency swaps 3,564,225 - 3,597,676 - d) Equity swaps 783 - 9,354 - e) Forwards 134,599 - 206,419 - f) Futures - - - - e) Other 265,632 - 253,246 -
B. Banking book - hedging a) Options - - - - b) Interest rate swaps 487,852 - 104,538 - c) Cross currency swaps 18,245 - 60,030 - d) Equity swaps - - - - e) Forwards - - - - f) Futures - - - - e) Other - - - -
C. Banking book - other a) Options 62,291 - 105,220 - b) Interest rate swaps - - - - c) Cross currency swaps - - - - d) Equity swaps - - - - e) Forwards - - - - f) Futures - - - - e) Other - - - -
Total 51,225,250 1,062,901 42,028,408 715,100
30 June 2016 31 December 2015
single counterparty
various counterparties
(basket)single
counterparty
various counterparties
(basket)
1. Protection purchases
a) Credit default products 14,186,425 41,898,480 - - b) Credit spread products - - - - c) Total rate of return swaps - - - - d) Other - - - -
TOTAL 30 JUNE 2016 14,186,425 41,898,480 - - TOTAL 31 DECEMBER 2015 20,442,855 35,864,652 - -
2. Protection sales
a) Credit default products 17,003,416 40,888,159 - - b) Credit spread products - - - - c) Total rate of return swaps - - - - d) Other - - - -
TOTAL 30 JUNE 2016 17,003,416 40,888,159 - - TOTAL 31 DECEMBER 2015 20,123,818 35,532,803 - -
Regulatory trading book Banking book
Condensed interim consolidated financial statements – Notes Part E – Information on risks
90
B.2 OTC credit derivatives: gross positive fair value – breakdown by product
B.3 OTC credit derivatives: gross negative fair value – breakdown by product
1.4 BANKING GROUP - OPERATIONAL RISKS QUANTITATIVE INFORMATION To determine capital requirements, Bank IMI uses the advanced AMA (internal model) method. The capital absorption as at 30 June 2016 was 111.4 million euro.
30 June 2016 31 December 2015
A. Regulatory trading book
a) Credit default products 1,060,063 1,091,728 b) Credit spread products - - c) Total rate of return swaps - - d) Other - -
B. Banking book
a) Credit default products - - b) Credit spread products - - c) Total rate of return swaps - - d) Other - -
Total 1,060,063 1,091,728
Positive fair value
30 June 2016 31 December 2015
A. Regulatory trading book
a) Credit default products 1,032,256 1,053,735 b) Credit spread products - - c) Total rate of return swaps - - d) Other - -
B. Banking book
a) Credit default products - - b) Credit spread products - - c) Total rate of return swaps - - d) Other - -
Total 1,032,256 1,053,735
Negative fair value
Condensed interim consolidated financial statements - Notes Other information
91
Part F - Equity
Section 1 – EQUITY A. Qualitative information The objectives pursued in the management of the Bank's equity are based on the provisions of prudential supervision, and are aimed at maintaining appropriate levels of capital adequacy in order to take the typical risks in structured finance, capital markets and investment banking. Risks that can – among other things – involve temporary absorption of regulatory capital following placement operations performed on primary markets or due to concentration requirements for certain issuers or business groups. The earnings appropriation policy aims to reinforce the Bank's capital structure, with a particular emphasis on tier 1 regulatory capital, to improve the economic capital and to ensure a properly balanced financial position. Credit risk mitigation techniques (netting) and internal market risk models have been introduced with the aim of optimising the use of regulatory capital. B. Quantitative information B.1 Consolidated equity: breakdown by type of company
Share Capital 962,464 962,464 Share premium reserve 581,260 581,260 Reserves 1,606,569 1,606,569 Interim dividends (-) - - Equity instruments 500,000 500,000 (Treasury shares) - Valuation reserves: - - Available-for-sale financial assets (58,291) (58,291) - Property and equipment - - Intangible assets - - Hedges of investments in foreign operations - - Cash flow hedges - - Exchange rate gains (losses) - - Non-current assets held for sale - - Actuarial gains and losses on defined-benefit plans (1,480) (1,480) - Portion of valuation reserves of equity-accounted investees - - Special revaluation laws 4 4 Profit for the period 440,559 440,559
Total 4,031,085 - - - 4,031,085
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Condensed interim consolidated financial statements - Notes Other information
92
Section 2 OWN FUNDS AND CAPITAL RATIOS
Banca IMI is not the parent of a banking group. The following figures refer to Banca IMI S.p.A. only. 2.1 OWN FUNDS
A. Qualitative information
Own funds, risk-weighted assets and solvency ratios are determined according to the new harmonised banks and investment company regulations contained in Directive 2013/36/EU (CRD IV) and Regulation (EU) No. 575/2013 (CRR) of 26 June 2013, and based on the Bank of Italy Circulars 285 and 286 (issued in 2013 and 2014) and the update of Circular 154. The regulations governing own funds involve the introduction of the new regulatory framework in a gradual manner, involving a transition period, generally up until 2017, during which only a percentage of some elements that will eventually be accounted for or deducted entirely under Common Equity, will have an impact on the Common Equity Tier 1 (the so-called Phase In). Under the regulations the residual non-applicable percentage is accounted for/deducted from the additional Tier 1 capital (AT1) and Tier 2 capital (T2) or included under risk-weighted assets. When the aggregates AT1 and T2 are insufficient for those deductions, which is the case of Banca IMI, which presents only class 1 assets, the resulting deficits increase the erosion to the CET1 level. The prudential ratios at the reporting date, therefore, take account of the adjustments required by the transitional provisions for 2016. In light of the information provided by the EBA (6 February 2015) it is possible to include the profit or loss for the reporting period or, in the case of interim reports, the result that is being created, based on two major assumptions: • formal request to the European Banking Authority and consequent authorisation; • external certification. The conditions must be verified by the date of submission of the related Reports. In any case, the profit or loss for the reporting period should be reduced by the expected distribution of dividends or any other charges that would affect such profit or loss. This must be done on the basis of official, internal or external evidence. With reference to Banca IMI, for which the payout ratio is approximately 100%, its Own Funds as at 30 June 2016 do not include any proportion of the profit for the period.
Condensed interim consolidated financial statements - Notes Other information
93
1. Common Equity Tier 1 – CET1 Common Equity is composed primarily of equities, share premiums, income-related reserves, valuation reserves in addition to items in deduction and prudential filters. The relevant items for Banca IMI to be deducted from Common Equity Tier 1, in absolute terms or on exceeding a certain threshold, are the following:
• goodwill, intangible assets and residual intangible assets; • excess of expected loss compared to overall adjustments (shortfall reserve) for the
weighted positions according to the IRB methods; • non-significant investments in CET1 instruments issued by companies in the financial
sector (reduced for the part that exceeds the allowance provided for by legislation). Some prudential filters are also provided for with effect on Common Equity; those relevant to Banca IMI are:
• filter on profits or losses due to liabilities at fair value (derivatives and non-derivatives) related to changes in their creditworthiness;
• adjustments on assets at fair value related to the so-called “Prudent valuation”. 2. Additional Tier 1 – AT1 This category generally includes the equity instruments other than ordinary shares (which are Computable in Common Equity) complying with the regulatory requirements for inclusion in this level of Own Funds (e.g. savings shares). In the context of the strategy of strengthening the capital base, on 31 March 2016, Banca IMI issued additional capital instruments (AT1) for 500 million euro, fully subscribed by the Ultimate Parent Intesa Sanpaolo. The issue is perpetual, and can be repaid on 31 March 2021. The annual interest of 8.315 % (payable on a half-yearly basis) is eligible for capitalisation at the discretion of the issuer. 3. Tier 2 Capital (Tier 2 – T2) Tier 2 Capital is composed mostly of calculable subordinated liabilities and any excesses in adjustments compared to the expected losses (excess reserve) for the weighted positions according to the IRB methods. As at 30 June 2016 Banca IMI has not issued any Tier 2 capital instruments. B. Quantitative information The new regulatory framework is being introduced gradually over a transitional period - generally until 2017 - where some of the elements that would be calculable or deductible in full from the Common Equity have an effect on the common equity Tier 1 for only a certain percentage, then affecting the remaining levels of capital - to the extent that their capacity allows. The following items:
• unrealised gains or losses from instruments measured at fair value; • negative amounts resulting from the calculation of expected losses (shortfall reserve); • non-significant investments exceeding 10% of the specific CET1 threshold
therefore, in the first instance, affected the AT1 and T2 levels, that were down respectively by 51 and 41 million euro, before being charged again to the Bank's own funds in their entirety.
Condensed interim consolidated financial statements - Notes Other information
94
Own funds have benefited from the rule which allows the effects arising from the application of the revised IAS 19 to be recognised gradually in the regulatory capital. The amount of the “prudential filters” applied to the negative actuarial reserve on the defined benefit pension plans, is about 1 million euro. Furthermore, according to Article 467.2 of the CRR, implemented by the Bank of Italy in Circular 285, Banca IMI has adopted the option of excluding from its own funds the unrealised profits or losses from exposures to central governments classified as Available-for-Sale financial assets (AFS); as at 30 June 2016 this figure was negative, at around 60 million euro.
A. Common Equity Tier 1 (CET1) before the application of prudential filters 3,019,049 3,002,061
of which: instruments of CET1 subject to transitional adjustments - -
B. Prudential filters of CET1 (+ / -) (147,298) (89,056)
C. CET1 gross of items to be deducted and effects of transitional adjustments (A +/- B) 2,871,751 2,913,005
D. Items to be deducted from CET 1 (225) (264)
E. Transitional adjustments - Effects on CET1 (+/-) (133,018) (103,225)
F. Total Common Equity Tier 1 (CET1) (C-D +/-E) 2,738,508 2,809,516
G. Additional Tier 1 (AT1) before items to be deducted and effects of transitional adjustments 500,000 -
of which: instruments of AT1 subject to transitional adjustments - -
H. Items to be deducted from AT1 - (20,388)
I. Transitional adjustments - Effetcts on AT1 (+/-) (51,478) (83,650)
L. Total Additional Tier 1 (AT1) (G - H +/- I) 448,522 (104,038)
M. Tier 2 (T2) before items to be deducted and effects of transitional adjustments - -
of which: instruments of T2 subject to transitional adjustments - -
N. Items to be deducted from T2 - (31,601)
O. Transitional adjustments - Effects on T2 (+ / -) (41,475) (50,341)
P. Total Tier 2 (T2) (M - N +/- O) (41,475) (81,942)
Q. Total Own Funds (F + L + P) 3,145,555 2,623,536
30 June 2016 31 December 2015
Condensed interim consolidated financial statements - Notes Other information
95
2.2 CAPITAL ADEQUACY
A. Qualitative information
Capital adequacy is assessed by taking into account the planned development of activities in Global Markets and Corporate & Strategic Finance In the strategic management of capital adequacy, which is a critical factor to support the expansion of assets and consolidating earnings profiles, adequate consideration is given to the expected or prospective developments of prudential regulatory provisions. B. Quantitative information
On the basis of the provisions of prudential supervision for banks (Bank of Italy circular No. 285 of 17 December 2013 and subsequent updates), which implement the directives in respect of regulatory capital measurement and capital ratios (Basel 3), own funds must be at least 10.5% of total risk-weighted assets (Total capital ratio) resulting from typical risks of banking and finance activities (credit risk, counterparty risk, market risk and operational risk), weighed according to regulatory segmentation of the debtor counterparties and taking into account the techniques for mitigating credit risk and reducing operational risk as a result of insurance coverage.
30 June 2016
31 December 2015
30 June 2016
31 December 2015
A. RISK ASSETS
A.1 CREDIT AND COUNTERPARTY RISK 1. Standard methodology 84,030,270 83,256,348 5,181,166 4,129,624 2. Internal ratings based methodology 2.1 Base - - - - 2.2 Advanced 9,843,603 9,782,255 7,372,030 6,638,953 3. Securitisations 1,237,001 1,023,389 294,881 269,063
B CAPITAL REQUIREMENTS
B.1 CREDIT AND COUNTERPARTY RISK 1,027,846 883,011
B.2 CVA CHARGE OTC DERIVATIVES 52,192 46,705
B.3 SETTLEMENT RISK - -
B.4 MARKET RISK 1. Standard methodology 169,279 169,078 2. Internal models 940,923 758,592 3. Concentration risk - -
B.5 OPERATIONAL RISK 1. Basic indicator approach (BIA) - - 2. Traditional standardised approach (TSA) - - 3. Advanced measurement approach (AMA) 111,426 109,724
B.6 OTHER ITEMS - -
B.7 TOTAL CAPITAL REQUIREMENTS 2,301,666 1,967,111
C. RISK-WEIGHTED ASSETS AND CAPITAL RATIOS
C.1 Risk-weighted assets 28,770,831 24,588,882 C.2 Common equity Tier 1 / Risk-weighted assets (CET1 capital ratio) 9.52% C.3 Tier 1 / Risk-weighted assets (Tier 1 capital ratio) 10.93% 10.67% C.4 Total own funds / Risk-weighted assets (Total capital ratio) 10.93% 10.67%
Unweighted amounts Weighted amounts / requirements
Condensed interim consolidated financial statements - Notes Other information
96
The adjustment path at an individual level for Banks belonging to banking groups is set to be fully completed in 2019, starting with the minimum requirement of 8.625% for the period 2014-2016 with the gradual increase (from 0.625% to 2.5%) of the required ratio for the “Capital conservation Buffer”. With regard to credit risks, the Group has received permission to use its internal ratings-based methods as from the Corporate portfolio report at 31 December 2008. Subsequently, the scope has been gradually extended to SME Retail and Mortgage portfolios and other Italian and foreign companies in the Group. It was adopted by Banca IMI on 30 June 2012, at a date that was later, therefore, than the conferral of the "structured finance" business unit (September 2009). Banks are also required to comply with capital requirements with regard to market risks calculated over the whole trading portfolio but separately for the different types of risk: position risk on debt securities and on equities securities for concentration risk. With reference to the entire financial situation, one must also determine currency risk, settlement risk and the risk of commodity position. The use of internal models is allowed for determining the capital requirement for market risks; in particular, Banca IMI applies the internal model for calculating generic position risk (price volatility risk) and specific position risk (issuer risk) for equities and generic position risk (interest rate risk) on debt securities. As from the report as at 30 September 2012 the scope was extended also to the specific risk on debt securities. The extension of the model was based on the current methodology (full historical simulation evaluation) and required the integration of the Incremental Risk Charge in the context of the calculation of the capital requirement for market risks; the internal model also includes for Banca IMI the position risk in UCI quotas (for the Constant Proportion Portfolio Insurance-CPPI component) and for dividend derivatives, as well as position risk on commodities. Since December 2011 the Stressed VaR has been used for the calculation of the requirement as regards market risks. With regard to counterparty risk, this is calculated independently from the allocation portfolio. With effect from the report dated 31 March 2014, authorisation was received from the Bank of Italy for the use of the internal model for counterparty risk for regulatory purposes. As from that reporting date, the internal models have also been used for the purposes of calculating the new requirement of CVA capital charge. With regard to operational risks, it should be noted that the Group obtained permission to use the advanced method AMA (internal model) for determining its capital requirement from the report as at 31 December 2009. The methodology has been progressively extended to Banca IMI, as an alternative to the calculation of the requirement on the basis of the simplified methodology based on a percentage of total income. As from June 2013 the model has included among the mitigating devices the stipulation of an appropriate insurance policy to cover “operational risks”.
Condensed interim consolidated financial statements - Notes Other information
97
Part H – Related party transactions 1. Information on the compensation of key management personnel In accordance with IAS 24, the Bank has decided to include within the scope of “key management personnel” (hereinafter “officers”) the directors, statutory auditors, general manager, the heads of the business units, and the manager in charge of financial reporting. The following table shows the main benefits paid by the bank to its officers in the first half of 2016 (figures in thousands of euro).
2. Information on related party transactions The economic and financial relations with entities considered “related parties” essentially consist of standard financial dealing and investment services. In most cases, such relations, also assessed for the potential conflicts of interest, are carried out as arm’s-length transactions.
Short-term benefits 1,810
Post-employment benefits 129
Other long-term benefits -
Termination benefits -
Stock option plans -
Total 1,939
Related party transactions (no intercompany) Related party transactions (no intercompany)1H 2016 1H 2015
Net interest income 7,075 8,724
Net fee and commission income 3,077 11,142
Administrative expenses (1,145) (2,102)
Provisions and impairment losses 14,960 (19,866)
Net other operating income (expenses) (12,594) 89,972
Total 11,373 87,870
Income Statement
Condensed interim consolidated financial statements - Notes Other information
98
The tables above include the impacts on the Bank’s financial statements of the transactions with related parties other than the companies of the Intesa Sanpaolo Group (for the latter see the remainder of Section H below). Consistently with IAS 24, the Bank identified its related parties and fulfils its disclosure obligations on the transactions with these entities. As regards the procedural aspects, from 31 December 2012 the Bank has applied the ‘Group’s Regulations for the management of transactions with Related Parties of Intesa Sanpaolo S.p.a. and Affiliated Entities of the Group’ and the relevant supplementary Addendum (hereafter Regulations), approved in June 2012 by the Board of Directors, subject to the favourable opinion of the Audit Technical Committee and the Board of Statutory Auditors. The Regulation complies with Consob rules, in accordance with Article 2391-bis of the Italian Civil Code, and the supervisory provisions introduced by the Bank of Italy on 12 December 2011 governing activities involving risks and conflicts of interests held by banks and banking groups towards “related parties”, implementing Article 53, section 4, et seq. of the Consolidated Law on Banking and complying with resolution 277 of 29 July 2008 of the Interministerial Committee for Credit and Savings (CICR). The overall scope of the entities considered relevant by the Regulations includes the Bank’s related parties identified pursuant to IAS 24. The Regulations govern the aspects below:
• The criteria for identifying related parties and affiliated entities. • The process of analysis, decision-making and information for Corporate Bodies in
connection with transactions with Related Parties and Affiliated Entities. • Market disclosure for transactions with Related Parties. • The prudential limits and obligations of periodic reporting to the Bank of Italy for risk in
relation to Affiliated Entities. • The rules governing controls and organisational safeguards. • The general rules for disclosure and abstention for the management of the personal
interests of officers, employees and company staff, including other than Affiliated Entities. In addition, Banca IMI has adopted an addendum to the Group Regulations, which governs the decision-making rules and processes for the Bank and supplements the framework for conducting transactions with related parties.
Related party transactions (no intercompany) Related party transactions (no intercompany)30 June 2016 31 December 2015
Financial assets 87,019 206,000
Loans 444,500 364,176
Equity investments - -
Other assets 4,894 757
536,413 570,933
Due 8,450 5,575
Financial liabilities 5,793 17,920
Other liabilities 20,416 32,838
34,659 56,333
Guarantees and commitments 368,776 411,397
Statement of financial position
Condensed interim consolidated financial statements - Notes Other information
99
Pursuant to this Regulation the following are considered to be Related Parties of Intesa Sanpaolo: parties that exercise control or significant influence, subsidiaries and associates, joint ventures, pension funds of the Group, Officers and Key Managers of Intesa Sanpaolo and their close family members and significant investees. The set of Affiliated Entities of the Group consists of the Affiliated Entities of each bank of the Group (including Banca IMI) and each significant intermediary monitored with regulatory capital greater than 2% of the consolidated equity. As regards each significant bank or monitored intermediary in the Group Affiliated Entities are: i) shareholders that exercise control or significant influence or that are required to request authorisation pursuant to Article 19 of the Consolidated Banking Act or that may appoint a member of the management or strategic supervisory body and the relative corporate groups; ii) subsidiaries, companies under joint control and associates, as well as the companies controlled by the latter, also jointly with others; iii) company officers and their close family members up to the second degree and significant investees. As a form of self-regulation, the Ultimate Parent has extended the regulations in terms of transactions with Related Parties, as well as those on activities involving risks and conflicts of interests with respect to Affiliated Entities, to shareholders of Intesa Sanpaolo and to the relative corporate groups with an equity investment in the Ultimate Parent’s voting capital of over 2%, calculated only based on shares owned or under management. This approach allows closer monitoring of transactions with the main shareholders of Intesa Sanpaolo - by subjecting them to the same requirements for assessment, approval and subsequent disclosure to the Corporate Bodies and the market as for transactions with Related Parties and Affiliated Entities - and by keeping the activities involving risks carried out by the Group with said parties within the prudential limits set by the Bank of Italy. The Regulations set forth the assessment processes that must be followed by the Bank’s units when carrying out transactions with Related Parties of Intesa Sanpaolo and Affiliated Entities of the Group, to ensure appropriateness of the transactions. The Regulations also require detailed examination of the reasons, interests and economic, financial and equity effects and the conditions of the transaction. In line with the regulations implemented by Consob and by Bank of Italy, a regime of full and partial exemptions from the application of the regulations is also envisaged. With regard to decision-making, the process distinguishes between:
• small transactions: those with a value of less than or equal to 250,000 euro for individuals and 1 million euro for entities (excluded from application of the regulations).
• transactions of lower significance: those with a value higher than the small-amount thresholds (250,000 euro for individuals and 1 million euro for entities) but lower than or equal to the most significant thresholds indicated below.
• transactions of major significance: those with a value higher than the threshold of 5% of the indicators defined by Consob and by the Bank of Italy (approximately 2 billion euro for the Intesa Sanpaolo Group).
• strategic transactions pursuant to the Articles of Association of Intesa Sanpaolo S.p.A. • transactions attributed to the Shareholders' meeting by law or the Articles of Association.
The Audit Technical Committee, established within the Board of Directors of the Bank and consisting of three directors who meet the necessary independence requirements, plays an important role in the approval process for the transactions with Related Parties of Intesa Sanpaolo and Affiliated Entities of the Group. The Committee can make use of independent experts, where considered appropriate, according to the degree of importance of the transaction, its specific economic or structural characteristics and the nature of the related party or affiliated entity. For more significant transactions, the Committee must be promptly involved in the analysis and negotiation phases, receiving a complete and timely flow of information, with the right of the Committee to request additional information and make observations. The transactions undertaken by the Bank with a Related Party or Affiliated Entity (which are not exempt based on the Regulations) are usually subject to the approval of the Ultimate Parent and submitted to the deliberative power of the Board of Directors, based on the opinion of the Audit Technical Committee.
Condensed interim consolidated financial statements - Notes Other information
100
The Regulations envisage specific controls in case the Board of Directors approves a more or less significant transaction, despite the negative opinion of the Independent Committee. The Regulations also define the general criteria for the information to be provided to the Board of Directors and the Board of Statutory Auditors, at least quarterly, regarding transactions with Related Parties completed in the reference period by the Bank. All of the above is aimed at providing a complete overview of the transactions of greater importance, as well as the volumes and the main features of all those delegated. Reports must include all transactions, even if exempt from the decision-making process, for amounts greater than the small-amount thresholds. Bank funding transactions carried out at market or standard conditions and intragroup loans and bank funding are excluded from this requirement (provided they do not regard a subsidiary with significant interests of another related party or affiliated entity and do not present market or standard conditions). For ordinary intragroup transactions at market conditions, reporting is on an aggregate annual basis. For the sake of completeness, it should be noted that the Bank is required to apply Article 136 of the Consolidated Banking Act. This requires the adoption of a more thorough decision-making process (unanimous decision by the management body and favourable vote of the members of the control body) in order to allow the officers to contract obligations, directly or indirectly, with the Bank. The special decision-making process set forth in Article 136 of the Consolidated Banking Act, even when regarding Related Parties or Affiliated Entities, requires a prior resolution adopted unanimously by the Board of Directors and the favourable vote of all the members of the Board of Statutory Auditors. Without the approval of all the members of the Control Body, it is strictly prohibited for the transaction in question to go ahead. Furthermore, the requirements envisaged by the Italian Civil Code regarding the interests of directors are confirmed, pursuant to Article 2391 of the Italian Civil Code.
Condensed interim consolidated financial statements - Notes Other information
101
The following table shows the financial and business transactions with companies in the Intesa Sanpaolo Group.
Dealings with the Ultimate Parent relate primarily to financial transactions, as detailed in the following table:
Assets and liabilities with group companies(in millions of euro)
Due from banks and customers 44,876.5 2,759.1 55.2% 86,236.8 Due to banks and customers 55,364.5 2,178.8 66.9% 85,951.0 Financial assets - Fixed income securities HFT 5,413.2 53.5 39.1% 13,964.5 Financial assets - Fixed income securities AFS 296.2 27.7 2.2% 14,818.0 Financial assets - Fixed income securities L&R - 3.9 0.8% 483.5 Financial liabilities - Securities issued 3,489.8 12.7 24.5% 14,269.0 Financial derivatives (notional amount) 412,197.7 40,447.0 15.4% 2,940,485.4 Financial derivatives - Net fair value 2,820.2 2,303.5 Credit derivatives (notional amount) 3,587.5 467.8 3.6% 113,976.5 Credit derivatives - Net fair value 163.0 39.9
Ultimate parent Intesa Sanpaolo subsidiaries
Percentage of caption Caption
Costs and income with Intesa Sanpaolo group companies (in millions of euro)
Interest income 312.7 15.5 48.1% 682.8Fee and commission income 28.0 13.3 15.0% 274.8Interest expense (132.1) (5.8) 33.4% (412.3)Fee and commission expense (25.3) (36.1) 48.3% (127.1)Administrative expenses and recovered amounts (12.3) (86.9) 38.8% (255.6)
Ultimate parent Intesa Sanpaolo subsidiaries
Percentage of caption Caption
Transactions with Intesa Sanpaolo as at 30 June 2016(in millions of euro)
Checking accounts 2,730.2 Checking accounts 3,980.0 Deposits 41,388.4 Loans and deposits 48,689.5 Repurchase agreements 721.4 Repurchase agreements 2,138.7 Invoices and other assets 36.5 Invoices and other payables 556.3 Fixed income securities 5,709.4 Bonds and equities issued 3,489.8
Total assets 50,585.9 Total liabilities 58,854.3
Assets Amount Liabilities Amount
Condensed interim consolidated financial statements - Notes Other information
102
Part L – Segment reporting
Banca IMI Group’s segment reporting is based on the elements that its management uses on a daily and periodic basis to monitor profit margins, allocate resources and make its operational decisions (known as “management approach”). It is thus compliant with the disclosure requirements set forth in IFRS 8. The organisational model breaks down into two business areas over three business segments with specific operational responsibilities: Global Markets, Investment Banking and Structured Finance.
Aggregates are allocated to business segments on the basis of management figures for total income and operating costs, appropriately reconciled with accounting records, and according to the specific allocation and distribution of financial statements aggregates, including risk-weighted exposures, for the remaining captions. For the measurement of revenue and costs deriving from inter-segment transactions, the application of a contribution model at multiple Internal Transfer Rates for the various maturities permits the correct attribution of net interest income to the individual areas.
BANCA IMI Group
Consolidated highlights by Business Segment(in millions of euro)
Financial assets held for trading 64,427.4 64,427.4
Available-for-sale financial assets 14,878.6 53.3 14,931.9
Due from banks and customers 80,962.2 5,758.1 86,720.3
Financial liabilities held for trading 61,987.7 61,987.7
Bond issues 14,269.0 14,269.0
Due to banks and customers 80,942.9 5,008.1 85,951.0
Guarantees given and commitments to lend (*) 5,337.7 2,367.3 7,705.0
Total income 721.7 63.0 146.0 930.7
Operating costs (156.1) (31.4) (34.7) (222.2)
Impairment losses, provisions, other operating income (expenses) (**) (11.4) (11.2) (27.2) (49.8)
Income tax (187.4) (6.9) (23.8) (218.1)
Profit for the period 366.8 13.5 60.3 440.6
Cost / income ratio 21.6% 49.8% 23.8% 23.9%
Number of employees (***) 565 149 177 891
Risk Weighted Assets 21,358.2 88.8 7,323.8 28,770.8
(*) Excluding commitments underlying credit derivatives (protection sales)(**) The expense for the National Resolution Fund was divided equally between segments(***) Includes pro-quota the staff employees
Global Markets
Investment Banking
Structured Finance Total
Attachments
103
Attachments
Interim Financial statements of Banca IMI S.p.A.
Reconciliation between the consolidated and separate financial statements
and the reclassified financial statements
Statement of reconciliation between the equity and profit of Banca IMI S.p.A. and the corresponding aggregates in the condensed
interim consolidated financial statements
Proposed allocation of the profit for the period of Banca IMI S.p.A.
Details of bond issues as at 30 June 2016
Statement of the Manager in charge of financial reporting
Independent Auditors’ Report
Attachments
104
Interim financial statements of Banca IMI S.p.A.
BANCA IMI S.p.A.
Statement of financial position
Assets 30 June 2016 31 December 2015amount %
10. Cash and cash equivalents 2,076 2,567 (491) -19.1
20. Financial assets held for trading 64,372,864,920 56,903,823,193 7,469,041,727 13.1
40. Available-for-sale financial assets 14,931,852,764 11,643,235,608 3,288,617,156 28.2
60. Due from banks 57,628,844,698 60,797,925,589 (3,169,080,891) -5.2
70. Loans to customers 28,929,989,977 23,296,950,288 5,633,039,689 24.2
80. Hedging derivatives 234,814,497 203,227,757 31,586,740 15.5
100. Equity investments 29,900,230 29,900,230 -
110. Property and equipment 479,295 532,031 (52,736) -9.9
120. Intangible assets 18,981 23,621 (4,640) -19.6
130. Tax assets 329,661,986 500,994,317 (171,332,331) -34.2
a) current 130,868,034 292,394,789 (161,526,755) -55.2
b) deferred 198,793,952 208,599,528 (9,805,576) -4.7
- of which as per Law no. 214/2011 121,115,390 126,686,008 (5,570,618) -4.4
150. Other assets 713,536,873 420,502,990 293,033,883 69.7
Total Assets 167,171,966,297 153,797,118,191 13,374,848,106 8.7
Manager in charge of financial reporting Managing Director Angelo Bonfatti Mauro Micillo
(amounts in euro)
Changes
Attachments
105
BANCA IMI S.p.A.
Statement of financial position
Liabilities and equity 30 June 2016 31 December 2015amount %
10. Due to banks 66,673,457,150 68,073,694,571 (1,400,237,421) -2.1
20. Due to customers 19,195,936,326 15,923,862,024 3,272,074,302 20.5
30. Securities issued 14,268,967,244 13,866,782,715 402,184,529 2.9
40. Financial liabilities held for trading 61,987,701,924 51,653,544,368 10,334,157,556 20.0
60. Hedging derivatives 506,096,846 164,567,948 341,528,898
80. Tax liabilities 281,461,034 342,174,427 (60,713,393) -17.7
a) current 265,045,399 325,869,155 (60,823,756) -18.7
b) deferred 16,415,635 16,305,272 110,363 0.7
100. Other liabilities 328,918,266 579,028,546 (250,110,280) -43.2
110. Post-employment benefits 9,692,106 8,743,251 948,855 10.9
120. Provisions for risks and charges 23,053,466 24,074,661 (1,021,195) -4.2
a) pension and similar obligations 12,319 12,319 -
b) other provisions 23,041,147 24,062,342 (1,021,195) -4.2
130. Valuation reserves (59,751,822) (50,060,568) (9,691,254) 19.4
150. Equity instruments 500,000,000 - 500,000,000
160. Reserves 1,476,780,211 1,452,986,382 23,793,829 1.6
165. Interim dividends (-) - (307,988,480) 307,988,480
170. Share premium reserve 581,259,962 581,259,962 -
180. Share capital 962,464,000 962,464,000 -
200. Profit for the period / year 435,929,584 521,984,384 (86,054,800) -16.5
Total liabilities and equity 167,171,966,297 153,797,118,191 13,374,848,106 8.7
Manager in charge of financial reporting Managing Director Angelo Bonfatti Mauro Micillo
(amounts in euro)
Changes
Attachments
106
BANCA IMI S.p.A.
Income Statement
1H 2016 2015 1H 2015amount %
10. Interest and similar income 682,473,700 1,469,445,888 785,407,406 (102,933,706) -13.1
20. Interest and similar expense (411,951,839) (891,426,506) (496,127,021) 84,175,182 -17.0
30. Net interest income 270,521,861 578,019,382 289,280,385 (18,758,524) -6.5
40. Fee and commission income 265,836,664 474,618,666 252,218,964 13,617,700 5.4
50. Fee and commission expense (139,256,232) (253,473,147) (139,631,365) 375,133 -0.3
60. Net fee and commission income 126,580,432 221,145,519 112,587,599 13,992,833 12.4
70. Dividends and similar income 31,351,007 46,781,579 32,510,975 (1,159,968) -3.6
80. Profits (Losses) on trading 377,026,707 329,274,265 280,618,302 96,408,405 34.4
90. Profits (Losses) on hedging (10,552,392) 7,796,763 10,917,710 (21,470,102)
100. Profits (Losses) on disposal or repurchase of: 98,563,133 184,890,269 163,437,810 (64,874,677) -39.7 a) loans and receivables 1,384,049 (34,912,027) 2,116,630 (732,581) -34.6 b) available-for-sale financial assets 111,018,558 274,519,296 199,495,534 (88,476,976) -44.4 c) held-to-maturity investments - - - - d) financial liabilities (13,839,474) (54,717,000) (38,174,354) 24,334,880 -63.7
120. Total income 893,490,748 1,367,907,777 889,352,781 4,137,967 0.5
130. Impairment losses / reversals of impairment losses on: (15,304,977) 2,941,666 (56,808,873) 41,503,896 a) loans and receivables (17,913,877) (420,687) (57,954,965) 40,041,088 b) available-for-sale financial assets (1,366,148) (5,850,363) (1,885,901) 519,753 -27.6 c) held-to-maturity investments - - - - d) other financial assets 3,975,048 9,212,716 3,031,993 943,055 31.1
140. Net financial income 878,185,771 1,370,849,443 832,543,908 45,641,863 5.5
150. Administrative expenses: (246,985,649) (576,636,684) (212,749,697) (34,235,952) 16.1 a) personnel expenses (67,786,092) (150,036,727) (65,806,525) (1,979,567) 3.0 b) other administrative expenses (179,199,557) (426,599,957) (146,943,172) (32,256,385) 22.0
160. Net accruals to provision for risks and charges (1,000,000) 1,700,000 (17,000,000) 16,000,000
170. Depreciation and net impairment losses on property and equipment (69,303) (183,689) (108,679) 39,376 -36.2
180. Amortisation and net impairment losses on intangible assets (4,640) (9,280) (4,640) -
190. Other operating income (expenses) 1,580,202 3,264,594 1,985,060 (404,858) -20.4
200. Operating expenses (246,479,390) (571,865,059) (227,877,956) (18,601,434) 8.2
210. Net gains on sales of equity investments 18,223,203 - - 18,223,203
250. Pre-tax profit from continuing operations 649,929,584 798,984,384 604,665,952 45,263,632 7.5
260. Income tax expense (214,000,000) (277,000,000) (205,000,000) (9,000,000) 4.4
270. Post-tax profit from continuing operations 435,929,584 521,984,384 399,665,952 36,263,632 9.1
290. Profit for the period / year 435,929,584 521,984,384 399,665,952 36,263,632 9.1
Manager in charge of financial reporting Managing Director Angelo Bonfatti Mauro Micillo
(amounts in euro)
Changes
Attachments
107
BANCA IMI S.p.A.
Statement of Comprehensive Income
1H 2016 1H 2015amount %
10. Profit for the period 435,929,584 399,665,952 36,263,632 9.1
Other comprehensive income, net of income taxes that may not be reclassified to the income statement
20. Property and equipment -
30. Intangible assets -
40. Defined benefit plans (754,545) 44,816 (799,361)
50. Non-current assets held for sale -
60. Portion of valuation reserves of equity-accounted investees -
Other comprehensive income, net of income taxes that may be reclassified to the income statement
70. Hedges of investments in foreign operations -
80. Exchange rate gains (losses) -
90. Cash flows hedges -
100. Available-for-sale financial assets (8,936,709) (267,627,182) 258,690,473
110. Non-current assets held for sale -
120. Portion of valuation reserves of equity-accounted investees -
130. Total other comprehensive income, net of income taxes (9,691,254) (267,582,366) 257,891,112
140. Comprehensive income (Captions 10 + 130) 426,238,330 132,083,586 294,154,744
Manager in charge of financial reporting Managing Director Angelo Bonfatti Mauro Micillo
(amounts in euro)
Changes
Attachments
108
BAN
CA
IMI S
.p.A
.
Stat
emen
t of c
hang
es in
equ
ity fo
r th
e si
x m
onth
s en
ded
30 J
une
2015
Amount as at 31.12.2014
Changes in opening balances
Amount as at 01.01.2015
Reserves
Dividends and other allocations
Issue of new shares
Repurchase of treasury shares
Extraordinary dividends
Changes in equity instruments
Derivatives on treasury shares
Stock Options
Equity as at 30.06.2015
Sha
re c
apita
l: a
) ord
inar
y sh
ares
962,
464,
000
962,
464,
000
962,
464,
000
b) o
ther
00
0
Sha
re p
rem
ium
rese
rve
581,
259,
962
581,
259,
962
581,
259,
962
Res
erve
s: a
) inc
ome
- rel
ated
1,44
4,32
3,07
91,
444,
323,
079
3,65
2,99
21,
447,
976,
071
b) o
ther
381,
558
381,
558
2,32
2,34
22,
703,
900
Valu
atio
n re
serv
es49
,119
,257
49,1
19,2
57(2
67,5
82,3
66)
(218
,463
,109
)
Equ
ity in
stru
men
ts0
00
Trea
sury
sha
res
(-)
00
0
Pro
fit fo
r the
per
iod
504,
134,
272
504,
134,
272
(3,6
52,9
92)
(500
,481
,280
)39
9,66
5,95
239
9,66
5,95
2
Equi
ty3,
541,
682,
128
03,
541,
682,
128
0(5
00,4
81,2
80)
00
00
00
2,32
2,34
213
2,08
3,58
63,
175,
606,
776
Man
ager
in c
harg
e of
fina
ncia
l rep
ortin
g - A
ngel
o Bo
nfat
tiM
anag
ing
Dire
ctor
- M
auro
Mic
illo
Allo
catio
n of
pro
fit o
f the
pre
viou
s ye
arC
hang
es d
urin
g th
e pe
riod
Changes in reserves
Ope
ratio
ns o
n eq
uity
Comprehensive income for the period
Attachments
109
BAN
CA
IMI S
.p.A
.
Stat
emen
t of c
hang
es in
equ
ity fo
r th
e si
x m
onth
s en
ded
30 J
une
2016
Amount as at 31.12.2015
Changes in opening balances
Amount as at 01.01.2016
Reserves
Dividends and other allocations
Issue of new shares
Repurchase of treasury shares
Interim dividends
Extraordinary dividends
Changes in equity instruments
Derivatives on treasury shares
Stock Options
Equity as at 30.06.2016
Sha
re c
apita
l: a
) ord
inar
y sh
ares
962,
464,
000
962,
464,
000
962,
464,
000
b) o
ther
00
0
Sha
re p
rem
ium
rese
rve
581,
259,
962
581,
259,
962
581,
259,
962
Res
erve
s: a
) inc
ome
- rel
ated
1,44
7,97
6,07
11,
447,
976,
071
21,5
03,1
041,
469,
479,
175
b) o
ther
5,01
0,31
15,
010,
311
2,29
0,72
57,
301,
036
Valu
atio
n re
serv
es(5
0,06
0,56
8)(5
0,06
0,56
8)(9
,691
,254
)(5
9,75
1,82
2)
Equ
ity in
stru
men
ts0
050
0,00
0,00
050
0,00
0,00
0
Inte
rim d
ivid
ends
(-)
307,
988,
480
307,
988,
480
307,
988,
480
0
Trea
sury
sha
res
(-)
00
0
Pro
fit fo
r the
per
iod
521,
984,
384
521,
984,
384
(21,
503,
104)
(500
,481
,280
)43
5,92
9,58
443
5,92
9,58
4
Equi
ty3,
160,
645,
680
03,
160,
645,
680
0(1
92,4
92,8
00)
00
00
050
0,00
0,00
00
2,29
0,72
542
6,23
8,33
03,
896,
681,
935
Man
ager
in c
harg
e of
fina
ncia
l rep
ortin
g - A
ngel
o Bo
nfat
tiM
anag
ing
Dire
ctor
- M
auro
Mic
illo
Allo
catio
n of
pro
fit o
f the
pre
viou
s ye
arC
hang
es d
urin
g th
e pe
riod
Changes in reserves
Ope
ratio
ns o
n eq
uity
Comprehensive income for the period
Attachments
110
The statement of cash flows has been prepared using the indirect method, according to which cash flows from operating activities are represented by adjusting profit for the period for the effects of non-cash transactions. These consist primarily of interest accrued but not yet collected or paid at the end of the period, coupons collected or paid but not accrued during the period and changes to equity reserves through the income statement. The caption ‘Other adjustments’ presents the net accounting balance of those effects. In the statement, cash flows generated during the period are presented without a sign, whereas cash used is shown in brackets.
BANCA IMI S.p.A.
1H 2016 1H 2015
1. Cash flow from operations 866,494,806 814,607,238
Profit for the period (+/-) 435,929,584 399,665,952
337,297,294 273,198,828Gains/Losses on hedging activities (-/+) 10,552,392 (10,917,710)Net impairment losses/reversals of impairment losses (+/-) 15,304,977 56,808,873
73,943 113,319Net accruals to provisions for risks and charges and other costs/revenue (+/-) 1,000,000 17,000,000Taxes and duties to be settled (+) 78,190,145 96,174,810Other adjustments (+/-) (11,853,529) (17,436,834)
2. Cash flow from / used by financial assets (13,791,350,271) (3,011,919,977)
Financial assets held for trading (7,897,096,666) 3,179,678,311Available-for-sale financial assets (2,786,706,053) (4,683,665,784)Due from banks: repayable on demand 1,277,231,155 597,340,419Due from banks: other 1,865,932,765 (3,353,120,299)Loans to customers (5,648,076,265) 1,375,767,520Other assets (602,635,207) (127,920,144)
3. Cash flow from / used by financial liabilities 12,593,799,463 2,692,167,723
Due to banks: repayable on demand 422,684,071 (1,424,823,082)Due to banks: other (1,800,970,744) 7,296,320,040Due to customers 3,275,637,232 8,116,437,059Securities issued 330,157,163 (6,384,474,280)Financial liabilities held for trading 10,416,000,933 (4,447,648,813)Other liabilities (49,709,192) (463,643,201)
Net cash flow from (used in) operating activities (331,056,002) 494,854,984
Net impairment losses/reversals of impairment losses on property, equipment and intangible assets (+/-)
Statement of cash flows(indirect method)
A. OPERATING ACTIVITIES Amount
Gains/Losses on financial assets held for trading and on assets/liabilities at fair value through profit or loss (-/+)
Attachments
111
BANCA IMI S.p.A.
1H 2016 1H 20151. Cash flow generated by 23,564,878 5,690,000
Sales of equity investments 18,223,203 0Dividends collected on equity investments 5,341,675 5,690,000Sales of held-to-maturity investments 0 0Sales of property and equipment 0 0Sales of intangible assets 0 0Sales of business units 0 0
2. Cash flow used for (16,567) (63,322)
Purchases of equity investments 0 0Purchases of held-to-maturity investments 0 0Purchases of property and equipment (16,567) (63,322)Purchases of intangible assets 0 0Purchases of business units 0 0
Net cash flow from (used in) investing activities 23,548,311 5,626,678
Issues / purchases of treasury shares 0 0Issues / purchases of equity instruments 500,000,000 0Dividend distribution and other (192,492,800) (500,481,280)
Net cash flow from (used in) financing activities 307,507,200 (500,481,280)
1H 2016 1H 2015Cash and cash equivalents at beginning of the period 2,567 2,247Net increase (decrease) in cash and cash equivalents (491) 382Cash and cash equivalents: foreign exchange effect 0 0Cash and cash equivalents at the end of the period 2,076 2,629
LEGEND: (+) cash flow from (–) cash flow used in
Manager in charge of financial reporting Managing Director Angelo Bonfatti Mauro Micillo
Reconciliation
Amount
Statement of cash flows(indirect method)
B. INVESTING ACTIVITIES Amount
C. FINANCING ACTIVITIES
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS (491) 382
Attachments
112
Reconciliation between the consolidated and separate financial statements and the restated financial
statements
Ban
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twee
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its o
n di
spos
al
Net i
mpa
ir-m
ent
loss
es
Inco
me
taxe
s
Attachments
113
BA
NC
A IM
I
Rec
onci
liatio
n be
twee
n th
e re
clas
sifie
d in
com
e st
atem
ent f
or th
e pe
riod
ende
d 30
Jun
e 20
16 a
nd th
e in
com
e st
atem
ent i
nclu
ded
in th
e se
para
te fi
nanc
ial s
tate
men
ts
(in m
illio
ns o
f eur
o)
Net
inte
rest
inco
me
268.
21.
426
9.6
Net
fee
and
com
mis
sion
inco
me
164.
716
4.7
Prof
its fr
om fi
nanc
ial t
rans
actio
ns2.
3(3
8.1)
25.5
377.
0(1
0.6)
97.1
453.
2N
on-r
ecur
ring
inco
me
(exp
ense
)5.
924
.1Pe
rson
nel e
xpen
ses
0.1
(67.
2)(6
7.1)
Adm
inis
trativ
e ex
pens
es(0
.6)
(145
.6)
1.6
(144
.6)
Amor
tisat
ion
and
depr
ecia
tion
(0.1
)(0
.1)
Impa
irmen
t los
ses,
pro
visi
ons,
oth
er
oper
atin
g in
com
e (e
xpen
ses)
(15.
3)(3
3.6)
(1.0
)(4
9.9)
Inco
me
taxe
s (2
14.0
)(2
14.0
)
TOTA
L27
0.5
126.
631
.437
7.0
(10.
6)98
.6(1
5.3)
(67.
8)(1
79.2
)(0
.1)
(1.0
)1.
6(2
14.0
)43
5.9
The
recl
assi
fied
inco
me
stat
emen
t aim
s to
bet
ter r
epre
sent
man
agem
ent p
heno
men
a, h
ighl
ight
ing
the
econ
omic
con
nect
ion
of s
ome
finan
cial
sta
tem
ents
item
s wi
th th
e ec
onom
ic tr
ends
of n
on-r
ecur
ring
item
s.
Spec
ifica
lly:
- th
e di
vide
nds
and
man
ufac
ture
d di
vide
nds
rece
ived
on
tradi
ng a
nd fe
es fo
r the
pla
cem
ent o
f HFT
fina
ncia
l inst
rum
ents
are
reco
gnis
ed u
nder
pro
fits
from
fina
ncia
l tra
nsac
tions
; -
othe
r adm
inis
trativ
e ex
pens
es a
re n
et o
f rei
mbu
rsem
ents
and
reco
vere
d am
ount
s.
TOTA
LO
ther
ad
min
istra
tive
expe
nses
Amor
tisat
ion
and
depr
ecia
tion
Accr
ual t
o pr
ovis
ions
fo
r ris
ks a
nd
char
ges
Oth
er
oper
atin
g in
com
e (e
xpen
se)
Inco
me
taxe
s
INC
OM
E S
TATE
ME
NT
- SE
PAR
ATE
FIN
ANC
IAL
STA
TEM
EN
TS
RE
CLA
SS
IFIE
D IN
CO
ME
S
TATE
ME
NT
Net
in
tere
st
inco
me
Net
fee
and
com
mis
sion
in
com
eD
ivid
ends
N
et tr
adin
g in
com
e
Net
hed
ging
in
com
e (e
xpen
se)
Prof
its o
n di
spos
alN
et im
pair-
men
t los
ses
Pers
onne
l ex
pens
es
Attachments
114
Ban
ca IM
I Gro
up
Rec
onci
liatio
n be
twee
n th
e co
nden
sed
recl
assi
fied
stat
emen
t of f
inan
cial
pos
ition
s as
at 3
0 Ju
ne 2
016
and
the
stat
emen
t of f
inan
cial
pos
ition
incl
uded
in th
e co
nsol
idat
ed fi
nanc
ial s
tate
men
ts -
Ass
ets
(in m
illio
ns o
f eur
o)
Equity investments
Tax assets
Other assets
Statement of
financial position -
Assets - Other
Con
dens
ed
recl
assi
fied
stat
emen
t of
finan
cial
pos
ition
s
- Ass
ets
-
Hedging derivative
s
ASSE
TS
Financial assets
held for trading
Available-for-sale
financial assets
Due from banks
Loans to customers
1. L
oans
-
Rep
urch
ase
agre
emen
ts5,
046.
810
,023
.415
,070
.2
- S
ecur
ities
lend
ing
2,40
8.2
162.
22,
570.
4
-
Fixe
d in
com
e se
curit
ies
0.0
483.
548
3.5
-
Col
late
ral d
epos
ited
6,11
4.8
7,49
5.1
13,6
09.9
-
Stru
ctur
ed fi
nanc
e as
sets
59.4
7,09
8.2
7,15
7.6
- D
epos
its41
,518
.72,
478.
743
,997
.4
- C
heck
ing
acco
unts
and
oth
er a
ccou
nts
2,56
2.2
1,26
9.1
3,83
1.3
2.
Fin
anci
al a
sset
s
-
Fixe
d in
com
e se
curit
ies
13,9
64.5
13,9
64.5
-
Sha
res,
quo
tas
and
loan
s80
1.8
801.
8
- P
ositi
ve fa
ir va
lue
of O
TC d
eriva
tives
49,6
61.1
234.
849
,895
.9
- P
ositi
ve fa
ir va
lue
of C
CP
and
list
ed d
eriva
tives
-
3. In
vest
men
ts
-
Fixe
d in
com
e A
FS s
ecur
ities
14,8
18.0
14,8
18.0
-
Equ
ity in
vest
men
ts, e
quiti
es a
nd U
CI A
FS11
3.9
10.9
124.
8
4.
Oth
er a
sset
s33
0.7
742.
71.
01,
074.
4
Tota
l Ass
ets
64,4
27.4
14,9
31.9
57,7
10.1
29,0
10.2
234.
810
.933
0.7
742.
71.
016
7,39
9.7
Equity investments
Tax assets
Other assets
Statement of
financial position -
Assets - Other
Con
dens
ed
recl
assi
fied
stat
emen
t of
finan
cial
pos
ition
s
- Ass
ets
-
Hedging derivative
s
ASSE
TS
Financial assets
held for trading
Available-for-sale
financial assets
Due from banks
Loans to customers
Attachments
115
Ban
ca IM
I Gro
up
Rec
onci
liatio
n be
twee
n th
e co
nden
sed
recl
assi
fied
stat
emen
t of f
inan
cial
pos
ition
s as
at 3
0 Ju
ne 2
016
and
the
stat
emen
t of f
inan
cial
pos
ition
incl
uded
in th
e co
nsol
idat
ed fi
nanc
ial s
tate
men
ts -
Liab
ilitie
s
(in m
illio
ns o
f eur
o)
Hedging derivative
s
LIAB
ILIT
IES
Due to banks
Due to customers
Securities issued
Financial liabilitie
s held for tra
ding
Profit for th
e period
Con
dens
ed
recl
assi
fied
stat
emen
t of
finan
cial
pos
ition
s
- L
iabi
litie
s -
Tax liabilities
Post- employment benefits
Provisions fo
r risks and charges
Other liabilitie
s
Valuation reserve
s and Other re
serves
Share capital and Share
premium reserve
1. P
ayab
les
-
Rep
urch
ase
agre
emen
ts6,
818.
316
,601
.823
,420
.1
-
Sec
uriti
es le
ndin
g2,
631.
323
8.9
2,87
0.2
-
Col
late
ral r
ecei
ved
7,12
7.6
1,55
4.5
8,68
2.1
-
Loan
s an
d de
posi
ts49
,548
.30.
449
,548
.7
-
Bon
ds is
sued
and
sub
ordi
nate
d lo
ans
14,2
69.0
14,2
69.0
- C
heck
ing
acco
unts
and
oth
er a
ccou
nts
548.
088
1.9
1,42
9.9
2. F
inan
cial
liab
ilitie
s
-
Neg
ative
fair
valu
e of
OTC
der
ivativ
es47
,270
.011
3.5
47,3
83.5
- N
egat
ive fa
ir va
lue
of C
CP
and
list
ed d
eriva
tives
5,54
4.3
392.
65,
936.
9
- C
ertif
icat
es a
nd w
arra
nts
5,17
2.3
5,17
2.3
-
Sho
rt se
lling
4,00
1.1
4,00
1.1
3. O
ther
liab
ilitie
s an
d pr
ovis
ions
281.
69.
723
.134
0.4
654.
8
4. E
quity
-
Sha
re c
apita
l, sh
are
prem
ium
and
rese
rves
1,54
6.8
1,54
3.7
3,09
0.5
-
Equ
ity in
stru
men
ts50
0.0
500.
0
-
Pro
fit fo
r the
per
iod
440.
644
0.6
To
tal L
iabi
litie
s66
,673
.519
,277
.514
,269
.061
,987
.750
6.1
281.
69.
723
.134
0.4
1,54
6.8
2,04
3.7
440.
616
7,39
9.7
Hedging derivative
s
LIAB
ILIT
IES
Due to banks
Due to customers
Securities issued
Financial liabilitie
s held for tra
ding
Profit for th
e period
Con
dens
ed
recl
assi
fied
stat
emen
t of
finan
cial
pos
ition
s
- L
iabi
litie
s -
Tax liabilities
Post- employment benefits
Provisions fo
r risks and charges
Other liabilitie
s
Valuation reserve
s and Other re
serves
Share capital and Share
premium reserve
Attachments
116
BAN
CA
IMI S
.p.A
.
Rec
onci
liatio
n be
twee
n th
e co
nden
sed
recl
assi
fied
stat
emen
t of f
inan
cial
pos
ition
s as
at 3
0 Ju
ne 2
016
and
the
stat
emen
t of f
inan
cial
pos
ition
incl
uded
in th
e se
para
te fi
nanc
ial s
tate
men
ts -
Ass
ets
(in m
illio
ns o
f eur
o)
Equity investments
Tax assets
Other assets
Statement of
financial position -
Assets - Other
Con
dens
ed
recl
assi
fied
stat
emen
t of
finan
cial
pos
ition
s
- Ass
ets
-
Hedging derivative
s
ASSE
TS
Financial assets
held for trading
Available-for-sale
financial assets
Due from banks
Loans to customers
1. L
oans
-
Rep
urch
ase
agre
emen
ts5,
046.
810
,023
.415
,070
.2
- S
ecur
ities
lend
ing
2,35
5.8
82.0
2,43
7.8
- Fi
xed
inco
me
secu
ritie
s0.
048
3.5
483.
5
- C
olla
tera
l dep
osite
d6,
114.
87,
495.
113
,609
.9
- S
truct
ured
fina
nce
asse
ts59
.47,
098.
27,
157.
6
-
Dep
osits
41,5
18.7
2,47
8.7
43,9
97.4
-
Che
ckin
g ac
coun
ts a
nd o
ther
acc
ount
s2,
533.
31,
269.
13,
802.
4
2. F
inan
cial
ass
ets
-
Fixe
d in
com
e se
curit
ies
13,9
10.2
13,9
10.2
-
Sha
res,
quo
tas
and
loan
s80
1.6
801.
6
- P
ositi
ve fa
ir va
lue
of O
TC d
eriva
tives
49,6
61.1
234.
849
,895
.9
- P
ositi
ve fa
ir va
lue
of C
CP
and
list
ed d
eriva
tives
-
3. In
vest
men
ts
-
Fixe
d in
com
e A
FS s
ecur
ities
14,8
18.0
14,8
18.0
-
Equ
ity in
vest
men
ts, e
quiti
es a
nd U
CI A
FS11
3.9
29.9
143.
8
4.
Oth
er a
sset
s32
9.7
713.
50.
51,
043.
7
Tota
l Ass
ets
64,3
72.9
14,9
31.9
57,6
28.8
28,9
30.0
234.
829
.932
9.7
713.
50.
516
7,17
2.0
Equity investments
Tax assets
Other assets
Statement of
financial position -
Assets - Other
Con
dens
ed
recl
assi
fied
stat
emen
t of
finan
cial
pos
ition
s
- Ass
ets
-
Hedging derivative
s
ASSE
TS
Financial assets
held for trading
Available-for-sale
financial assets
Due from banks
Loans to customers
Attachments
117
BAN
CA
IMI S
.p.A
.
Rec
onci
liatio
n be
twee
n th
e co
nden
sed
recl
assi
fied
stat
emen
t of f
inan
cial
pos
ition
s as
at 3
0 Ju
ne 2
016
and
the
stat
emen
t of f
inan
cial
pos
ition
incl
uded
in th
e se
para
te fi
nanc
ial s
tate
men
ts -
Liab
ilitie
s
(in m
illio
ns o
f eur
o)
Hedging derivative
s
LIAB
ILIT
IES
Due to banks
Due to customers
Securities issued
Financial liabilitie
s held for tra
ding
Profit for th
e period
Con
dens
ed
recl
assi
fied
stat
emen
t of
finan
cial
pos
ition
s
- L
iabi
litie
s -
Tax liabilities
Post- employment benefits
Provisions fo
r risks and charges
Other liabilitie
s
Valuation reserve
s and Other re
serves
Share capital and Share
premium reserve
1. P
ayab
les
-
Rep
urch
ase
agre
emen
ts6,
818.
316
,601
.823
,420
.1
-
Sec
uriti
es le
ndin
g2,
631.
315
3.4
2,78
4.7
-
Col
late
ral r
ecei
ved
7,12
7.6
1,55
4.5
8,68
2.1
-
Loan
s an
d de
posi
ts49
,548
.30.
449
,548
.7
-
Bon
ds is
sued
and
sub
ordi
nate
d lo
ans
14,2
69.0
14,2
69.0
- C
heck
ing
acco
unts
and
oth
er a
ccou
nts
548.
088
5.8
1,43
3.8
2. F
inan
cial
liab
ilitie
s
-
Neg
ative
fair
valu
e of
OTC
der
ivativ
es47
,270
.011
3.5
47,3
83.5
- N
egat
ive fa
ir va
lue
of C
CP
and
list
ed d
eriva
tives
5,54
4.3
392.
65,
936.
9
- C
ertif
icat
es a
nd w
arra
nts
5,17
2.3
5,17
2.3
-
Sho
rt se
lling
4,00
1.1
4,00
1.1
3. O
ther
liab
ilitie
s an
d pr
ovis
ions
281.
49.
723
.132
8.9
643.
1
4. E
quity
-
Sha
re c
apita
l, sh
are
prem
ium
and
rese
rves
1,41
7.1
1,54
3.7
2,96
0.8
-
Equ
ity in
stru
men
ts50
0.0
500.
0
-
Pro
fit fo
r the
per
iod
435.
943
5.9
To
tal L
iabi
litie
s66
,673
.519
,195
.914
,269
.061
,987
.750
6.1
281.
49.
723
.132
8.9
1,41
7.1
2,04
3.7
435.
916
7,17
2.0
Hedging derivative
s
LIAB
ILIT
IES
Due to banks
Due to customers
Securities issued
Financial liabilitie
s held for tra
ding
Profit for th
e period
Con
dens
ed
recl
assi
fied
stat
emen
t of
finan
cial
pos
ition
s
- L
iabi
litie
s -
Tax liabilities
Post- employment benefits
Provisions fo
r risks and charges
Other liabilitie
s
Valuation reserve
s and Other re
serves
Share capital and Share
premium reserve
Attachments
118
Statement of reconciliation between the equity
and profit of Banca IMI S.p.A. and the corresponding aggregates in the condensed interim consolidated financial statements
Equity of which: profit for the period
Interim separate financial statements of Banca IMI at 30 June 2016 3,896,682 435,930
Effects of consolidation of subsidiaries 130,303 7,032Effect of measurement at equity of companies subject to joint control 4,100 (2,401)Dividends collected in the period - -
Other changes - (2)
Condensed interim consolidated financial statements at 30 June 2016 4,031,085 440,559
(in thousands of euro)
Banca IMI Group
Attachments
119
Proposed allocation of the profit for the period Banca IMI S.p.A.
(extract from the board of directors’ resolutions)
The following proposal for the allocation of the profit for the period, 435,929,584 euro, has been formulated for the purposes of determining the own funds of Banca IMI S.p.A. at 30 June 2016: • to dividends, with 0.45 euro being allocated to each of the 962,464,000 shares, the sum of
433,108,800 euro; • the remaining 2,820,784 euro to the extraordinary reserve. It should be noted that: • starting from 2013, no sum is set aside for the legal reserve, as this has already reached the
legal maximum of a fifth of the share capital. • the final decisions regarding the distribution of dividends to the Ultimate parent will be taken
when the 31 December 2016 financial statements are prepared. Of the profit currently being generated, 2.8 million euro will be assigned to reserves, but this has not been included in the own funds of Banca IMI at 30 June 2016 since it remains subject, pursuant to the provisions of Decision ECB\2015\4 of 4 February 2015, to prior authorisation by the ECB itself. The carrying amount of equity of Banca IMI S.p.A. relevant for the purposes of regulations governing prudential ratios will be as follows as at 2 August 2016: Share capital Euro 962,464,000 Share premium reserve Euro 581,259,962 Equity instruments Euro 500,000,000 Legal reserve Euro 192,492,800 Extraordinary reserve Euro 1,264,803,997 Reserve for the purchase of Ultimate Parent’s shares (2359-bis Italian Civil Code)
Euro 33,952,213
Valuation reserves Euro (59,751,822) Reserve from extraordinary “Under Common Control” transactions Euro (7,057,725) IFRS 2 equity reserve Euro 7,301,036 Other reserves Euro (11,891,326)
Total Euro 3,463,573,135
Attachments
120
Details of bond issues as at 30 June 2016
ISIN
Des
crip
tion
Cat
egor
yIs
sue
Dat
eEx
piry
Dat
eC
urre
ncy
Nom
inal
am
ount
Car
ryin
g am
ount
S
truc
ture
d/
Non
st
ruct
ured
Infla
tion
Yes
/No
IT00
0501
2817
B IM
I 14-
19 L
KC
URRE
NCY
30-M
ay-2
014
30-M
ay-2
019
EUR
29,9
00,0
00.0
028
,344
,282
.28
Stru
ctur
edNO
IT00
0504
2194
B IM
I 14-
20 L
KC
URRE
NCY
15-O
ct-2
014
15-O
ct-2
020
EUR
39,9
90,0
00.0
039
,143
,850
.93
Stru
ctur
edNO
XS05
2933
0218
BCA
IMI T
M 2
016
EMTN
CUR
RENC
Y30
-Sep
-201
030
-Sep
-201
6EU
R4,
152,
000.
004,
302,
404.
03St
ruct
ured
NOXS
0782
5880
23BC
A IM
I 5.7
5TM
2018
CUR
RENC
Y29
-Jun
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Attachments
123
ISIN
Des
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Cat
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Dat
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Dat
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Nom
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Car
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Non
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Jul-2
012
4-Ju
l-201
6EU
R99
,615
,000
.00
104,
359,
743.
74NS
NOXS
0787
6551
81BC
A IM
I FR
2017
INTE
REST
RAT
E4-
Jul-2
012
4-Ju
l-201
7EU
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966,
000.
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982,
585.
98NS
NOXS
0789
9963
28BA
NCA
IMI F
R 12
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INTE
REST
RAT
E29
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-201
229
-Jun
-201
8EU
R26
,290
,000
.00
24,6
54,7
87.9
9St
ruct
ured
NO
Attachments
124
ISIN
Des
crip
tion
Cat
egor
yIs
sue
Dat
eEx
piry
Dat
eC
urre
ncy
Nom
inal
am
ount
Car
ryin
g am
ount
S
truc
ture
d/
Non
st
ruct
ured
Infla
tion
Yes
/No
XS07
8999
7649
BCA
IMI F
R 12
/17
EUR
INTE
REST
RAT
E29
-Jun
-201
229
-Jun
-201
7EU
R4,
704,
000.
004,
648,
904.
52St
ruct
ured
NOXS
0857
7020
95BC
A IM
I 3,3
% S
W 2
016
INTE
REST
RAT
E31
-Dec
-201
231
-Dec
-201
6EU
R87
0,00
0.00
868,
351.
07NS
NOXS
0900
8772
09BC
A IM
I 5Y
EUR
TVIN
TERE
ST R
ATE
18-M
ar-2
013
19-M
ar-2
018
EUR
4,00
0,00
0.00
3,95
0,83
4.29
NSNO
XS12
5108
0088
B IM
I 15-
22 3
.55
INTE
REST
RAT
E26
-Jun
-201
526
-Jun
-202
2US
D13
2,56
6,00
0.00
123,
295,
659.
26NS
NOXS
1251
0808
31B
IMI 1
5-21
4.3
INTE
REST
RAT
E26
-Jun
-201
526
-Jun
-202
1AU
D98
,510
,000
.00
67,6
00,5
15.6
8NS
NOXS
1251
9269
67B
IMI 1
5-20
2.5
INTE
REST
RAT
E28
-Jul
-201
528
-Jul
-202
0US
D28
,736
,000
.00
26,0
91,1
40.4
1NS
NOXS
1252
2154
85B
IMI 1
5-20
TV
INTE
REST
RAT
E28
-Jul
-201
528
-Jul
-202
0EU
R33
,650
,000
.00
33,0
04,4
12.8
8NS
NOXS
1254
4117
36B
IMI 1
5-22
2IN
TERE
ST R
ATE
31-J
ul-2
015
31-J
ul-2
022
EUR
7,82
1,00
0.00
7,78
2,78
0.97
Stru
ctur
edNO
XS12
5964
7706
B IM
I 15-
22 2
INTE
REST
RAT
E7-
Aug-
2015
7-Au
g-20
22EU
R10
,000
,000
.00
9,92
6,37
6.00
Stru
ctur
edNO
XS12
9874
0314
B IM
I 15-
22 2
INTE
REST
RAT
E11
-Nov
-201
511
-Nov
-202
2EU
R11
,954
,000
.00
11,7
86,9
07.2
4St
ruct
ured
NOXS
1341
0835
55B
IMI 1
6-25
2.2
5IN
TERE
ST R
ATE
26-J
an-2
016
26-J
an-2
026
EUR
285,
380,
000.
0028
4,90
2,63
8.89
NSNO
XS13
4108
3639
B IM
I 16-
23 3
.9IN
TERE
ST R
ATE
26-J
an-2
016
26-J
an-2
023
USD
148,
492,
000.
0013
2,47
9,66
8.31
NSNO
XS13
6927
4425
B IM
I 16-
21 1
.75
INTE
REST
RAT
E30
-Mar
-201
630
-Mar
-202
1EU
R5,
664,
000.
005,
621,
730.
14NS
NOXS
1376
6838
65B
IMI 1
6-22
4IN
TERE
ST R
ATE
31-M
ar-2
016
31-M
ar-2
022
USD
32,0
92,0
00.0
028
,231
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.92
NSNO
XS13
7896
9072
B IM
I 16-
24 3
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TERE
ST R
ATE
15-A
pr-2
016
10-M
ay-2
024
USD
65,3
64,0
00.0
058
,624
,212
.65
NSNO
XS13
7909
1546
B IM
I 16-
26 2
.20
INTE
REST
RAT
E10
-May
-201
610
-May
-202
6EU
R99
,906
,000
.00
99,4
20,9
98.4
7NS
NOXS
1394
2830
78B
IMI 1
6-26
ZC
INTE
REST
RAT
E25
-May
-201
625
-May
-202
6EU
R45
,211
,000
.00
39,1
42,2
57.0
7NS
NOXS
1407
9360
43B
IMI 1
6-22
2IN
TERE
ST R
ATE
14-J
un-2
016
14-J
un-2
022
USD
12,6
98,0
00.0
011
,187
,114
.73
NSNO
XS14
3310
2214
B IM
I 16-
20 1
INTE
REST
RAT
E20
-Jun
-201
620
-Jun
-202
0EU
R75
,000
,000
.00
74,5
71,5
14.6
6NS
NO
TOTA
L13
,569
,735
,418
.76
Attachments
125
Statement of the Manager in charge of financial reporting
Attachments
126
Attachments
128
Attachments
129
Independent Auditors’ Report