1. finance
2. bank

I
DISCLOSURE BY INSTITUTIONS
according to Regulation (EU) No. 575/2013
as at June 30, 2014
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Contents
General requirements ....................................................................................................................5
Scope of application ....................................................................................................................19
Own Funds .................................................................................................................................63
Capital requirements .................................................................................................................149
Credit Risk ...............................................................................................................................161
Credit Risk: write-downs ...............................................................................................169
Credit Risk: unencumbered assets...............................................................................183
Credit Risk: use of ECAIs’ ratings ................................................................................184
Credit Risk: use of the IRB approach ...........................................................................187
Credit Risk: use of risk mitigation techniques ...............................................................225
Counterparty Risk exposure .........................................................................................229
Market Risks ..............................................................................................................................245
Market Risks: exposure and use of internal models.....................................................253
Market Risks: equity exposures not included in the trading book ................................272
Market Risks: exposures to interest rate risk on positions
not included in the trading book .................................................................275
Securitization exposures ...........................................................................................................279
Operational Risk ........................................................................................................................307
Operational Risk: use of Advanced Measurement Approaches ...................................310
Liquidity Risk ................ ………………………………………………………………………………315
Liquidity Risk: Liquidity Framework and Wholesale Funding .......................................320
Glossary/Abbreviations .............................................................................................................323
Declaration by the Manager charged with preparing the financial reports ….... .......................331
Notes:
All amounts, unless otherwise specified, are expressed in thousands of euros.
Data refer to the prudential scope of consolidation.
Any discrepancies between data disclosed in this document are due to the effect of rounding.
With regard to both the standardized approach and the IRB methodology, non-weighted amounts concerning “guarantees given and
commitments to disburse funds” were considered based on the credit equivalent, unless otherwise specified.
This document was prepared in accordance with specific Internal Regulation (Group Governance Rules).
Figures as at March 31, 2014 included in this document may in some cases differ from those disclosed with reference to the first quarter of
2014 due to adjustments connected with the difference between the timing of the approval of the interim financial report and the transmission –
on June 30, 2014 – of the supervisory reports related to March 31, 2014.
For coherence and comparability reasons due to the adoption of Basel III regulatory framework by 01.01.2014, some tables shows figures as of
March 31st, 2014 reporting period as comparison, instead of figures as of December 31st, 2013.
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On 29th October 2012 the document “Enhancing the risk disclosures of banks” was published by the Enhanced Disclosure Task Force – EDTF, established by the Financial
Stability Board (FSB).
The document contains 32 recommendations aiming to improve disclosure transparency for those risk profiles investors envisaged the need of more clear and complete
information for.
The table below summarizes the allocation - in the present DISCLOSURE BY INSTITUTIONS - of the information related to the aforementioned recommendations (*).
TITOLO RACCOMANDAZIONE EDTF
CAPITOLO
SEZIONE E PARAGRAFO / TABELLA
General recommendations
1.Disclosure - Indexing of risk information
Index
2.Disclosure - Risk terminology & measures
Glossary
3.Top and emerging risks
General requirements
Risk governance & risk management strategies/business model
5.Risk management organization
General requirements
6.Risk management Risk culture
General requirements
General requirements
7.Risk management and business model
Capital requirements
Credit Risk
Counterparty Risk exposure
Market Risks: exposure and use of
8.Stress testing disclosures
internal model
Operational Risk
Liquidity Risk
Capital adequacy and risk-weighted assets
9.Capital surcharges & buffers
Capital requirements
10.Regulatory capital - summary and reconciliation
Own Funds
11.Regulatory capital - changes over time
Own Funds
12.Capital planning - targeted level of capital
Capital requirements
13.RWAs and business activities
Capital requirements
Capital requirements
14.RWA calculation method and models
Credit Risk: use of the IRB approach
Counterparty Risk exposure
Market Risks
Market Risks: exposure and use of
internal models
Operational Risk
15.RWA - IRB RWAs by internal rating grade
Credit Risk: use of the IRB approach
16.RWA - Changes overtime
Capital requirements
Credit Risk: use of the IRB approach
17.RWA - Backtesting
Market Risks: exposure and use of
internal models
The present Basel 2 Pillar III Disclosure represents the document
where all related risk information are reported together.
A Glossary / Abbreviations chapter is included at the end of this
document. Specific parameters and definitions are found in the
single risks' sections.
"Top and emerging risks"
"Risk Management Organization"
"Risk Culture at UniCredit Group"
"Other Risks and Risk Aggregation"
"Risk Weighted Assets segmentation" Table
In the chapters concerning the following risks: credit, counterparty,
market, operative and liquidity
"Capital Adequacy" Table (*)
- "Credit and Counterparty risks" Table
- "Capital Adequacy" Table
- "Market risk capital requirement" Table
"Description of the risk measurement methodology (AMA)"
Tables:
- "Internal rating based methodology - Advanced Method" Table
- "Internal rating based methodology - Advanced Method - Retail
exposures" --- “Group Master Scale”
"Flow Statement for RWA" Table
- "Expected loss vs. Actual loss comparison"
- "Model performance comparison between estimated and actual
results"
"VaR Backtesting"
LiquiditY
Liquidity Risk
18.Liquidity
Scope of application
Funding
19.Funding - Asset encumbrance
Liquidity Risk
20.Funding - Maturity Analysis
Credit Risk
21.Funding - Funding strategy
Market Risk
22.Market Risk - linkages with positions included in the
market risk disclosures
Liquidity Risk
23.Market Risk - other significant risk factors
24.Market Risk - Model disclosures
25.Market Risk - techniques to assess the risk of loss beyond
reported risk measures and parameters
Credit Risk
Market Risks: exposure and use of
internal models
Market Risks: exposure and use of
internal models
Market Risks: exposure and use of
internal models
Market Risks: exposure and use of
internal models
Credit Risk
26.Credit Risk - Overall credit risk profile and credit risk
concentrations
Credit Risk
27.Credit Risk - Impaired / NPLs policies
28.Credit Risk - Impaired / NPLs opening v closing balances
Credit Risk
Liquidity Risk
"Substantial or legal impediments, current or foreseeable, that
hinder the rapid transfer of capital resources or funds within the
Group"
"Asset Encumberrance" Tables
"Time breakdown by contractual residual maturity of financial assets
and liabilities"
Liquidity Risk
"Risk measures" (first table)
"Risk on Trading Book", Interest Rates, Credit Spread, Equity and
FX VaR Tables
In each paragraph related to the different models
Throughout the Chapter, plus dedicated paragraph "Stress testing"
Tables:"Breakdown of Sovereign Debt Securities by Country and
Portfolio", "Breakdown of Sovereign Loans by Country", "Credit
Risk: on/off balance sheet to banks/customers/by geographic
area/by business sector"
- "Definition of impaired and past-due exposures"
- "Description of metodology applied to determine write-downs"
- "Information on forborn exposures" and relative tables
- Table: "Balance Sheet exposures: changes in overall impairments"
- "Information on forborn exposures"
29.Credit Risk - Derivatives exposure
Credit Risk
30.Credit risk mitigation
Counterparty Risk exposure
Other Risk
31.Other Risks - Risk types and risk management
General requirements
"Other Risks and Risk Aggregation"
32.Other Risks - Publicly known risk events
Operational Risk
No such events have been identified in 1H2014.
(*) Please note that as at June 30th, 2014 information related to "New Key Regulatory Ratios" (recom. 4), “Dynamics of customer exposures by customers by sector”, “Details
on collaterals”, and any other information raising from Regulation not in force at such date (e.g. counter-cyclical capital buffer) are not disclosed in the present "Disclosure by
institutions".
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>>DISCLOSURE BY INSTITUTIONS
General requirements
General requirements
Risk Management Organization
UniCredit Group monitors and manages its risks through rigorous methodologies and procedures proving to be effective
through all phases of the economic cycle.
The control and steering of the Group’s risks are exerted by the Parent Company’s Risk Management function which pursues
its own steering, coordination and control role in particular through the “Portfolio Risk Managers” which are responsible for the
relevant risks, from a Group perspective. Furthermore, the model considers a specific point of reference for Italy through the
“CRO Italy” function, to which the responsibilities related to credit, operational and reputational risks of the Italian perimeter,
as well as the managerial coordination of Risk Management functions in the Italian Legal Entities, have been assigned.
In particular, the Risk Management function is responsible for the following tasks:
•
optimize the quality of the Group's assets, minimizing the risk cost in accordance with the risk/profitability goals set
for the business areas;
•
ensure the strategic steering and definition of the Group's risk management policies;
•
define and supply the Heads of the Business Functions and Entities with the criteria for assessing, managing,
measuring, monitoring and communicating risk. It also ensures that the procedures and systems designed to
control risk at Group and individual Entity level are coherent;
•
help build a risk culture across the Group by training and developing highly qualified staff, in conjunction with the
competent COO functions;
•
help to find ways to rectify asset imbalances, where needed in conjunction with Planning, Finance and
Administration;
•
help the Business Functions achieve their goals, including by assisting in the development of products and
businesses (e.g. innovation of credit products, competitive opportunities linked to Basel accords, etc.).
Consistently with the Risk Management function architecture and in order to strengthen the capacity of independent steering,
coordination and control of Group risks, improving the efficiency and the flexibility on the risk decision process and addressing
the interaction among the relevant risk stakeholders, three distinct levels of Risk Committees are in place:
•
the "Group Risk Committee" responsible for the Group strategic risk decisions;
•
the "Group Portfolio Risks Committees", tasked with addressing, controlling and managing the different portfolio
risks;
•
the "Group Transactional Committees" in charge of evaluating the single counterparties / transactions impacting the
overall portfolio risk profile.
In particular, the Group Risk Committee meets with consulting and suggestion functions for the definition of the CEO’s
proposal for the Board of Directors, mainly for the following topics:
•
Group risk appetite, including capitalization objectives, capital allocation criteria, risk-taking capacity, cost of equity
and dividends policy, as well as internal capital limits;
•
general strategies for the optimization of risks, and governance guidelines for the management of Group risks;
•
initial approval and fundamental modifications of risk control and measurement systems (for credit, market,
operational and other risks) including possible action plans, processes, IT and data quality requirements;
•
structure of limits by type of risk;
•
strategic funding policies and funding plans;
•
overall Loan Loss Provisions estimates;
•
definition and periodic review of the "ICAAP General Framework", relevant perimeter of application, as well as
yearly Regulatory Report
•
yearly Regulatory Internal Validation Report on market, credit and operational risk.
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Furthermore, it meets with approval functions on the following topics:
•
definition of guidelines relative to Group financial policies (asset and liability management strategies, including the
duration profile at Group level);
•
risk allocation across Business Units and Legal Entities, specific risk guidelines and strategies and consequent limit
setting for achieving the targets in terms of risk appetite and limits by type of risk;
•
cross-border country limit, within the delegated powers;
•
initial approval and fundamental changes of methodologies for the measurement and control of Internal Capital;
•
approval of general "Global Policies" for the management of Group risks, including "Policies" for loan loss
provisioning
•
approval of policies, strategies and methodologies for the measurement and control of real estate risk, financial
investment risk and business risk;
•
approval of action plans in case of critical level findings on the risk control and measurement systems derived from
internal initial and on-going validation reports and from Internal Audit Department;
•
approval of business actions/initiatives also having strategic nature in order to safeguard the Group in the "Alarm
Phase" of a liquidity crisis.
The Group Risk Committee also receives on regular basis information from the competent Committees/functions on the
following topics:
•
reorganization projects affecting risk processes and/or organization structures involved in risk management and
control activities;
•
periodic risk reports (portfolio, large exposures, loan loss provisions, etc.), including those intended for the
Regulators (before they have been disseminated);
•
reports on breaches of limits;
•
corrective action to balance Group risk positions;
•
regular reports on loan loss provisions development;
•
status update of relevant Basel Accords project activities and processes;
•
topics approved or discussed in the Portfolio Risks Committees;
•
risk related topics discussed within the other committees of the Parent Company.
Top and emerging risks
Our view of risk is not static. Top Management is promptly informed on top risks and/or emerging risks through a strict
monitoring process incorporated in the Risk Assessment process.
These practices contribute to the assessment of risk with a forward looking view through the analysis of the macro-economic
environment, the political risks, the regulatory framework development.
Some details of top and emerging risk are discussed below.
Geopolitical Risk:
Hungary. The economy is enjoying good momentum in 2014, with growth expected at 2.9% yoy. Industrial production and
construction on the supply side and fixed investment, exports and public consumption on the demand side are the main
growth drivers. Growth is expected to slow down because the fiscal impulse cannot be sustained. The government’s biggest
challenge will be to reduce public debt to GDP. External debt is falling due to a large C/A surplus and NBH policies. More
liquidity easing is in the pipeline.
Ukraine. Ukraine has made progress in the past quarter, delivering a newly elected President, fiscal and C/A consolidation
and an IMF deal (at the beginning of July Ukraine obtained a USD 500mn loan from the World Bank for the financial sector.
The loan should be used for bank recapitalization/ restructuring, improving the efficiency of the banking system, strengthening
the Deposit Guarantee Fund). The (geo)political risk remains huge while progress on domestic political reform is difficult in
the current environment. Ukraine’s FMI program sees solid financing, containing optimistic assumptions on growth, deposit
flight and market access, amongst other variables, while debt sustainability metrics assume UAH gains. Funding for the
banking sector is lacking. At best, tensions between Russia and Ukraine will fade only slowly while there is an obvious risk
that Russia draws off one of its many triggers to hamper the economy, e.g. gas. To set the economy on a sustainable growth
path, reform efforts will be needed over a multi-year horizon.
Russia. Developments between Russia and Ukraine have served not only to exacerbate the economy’s cyclical downturn in
activity but also to highlight its structural weaknesses. There are some welcome signs of adjustment, generated by RUB
losses and tighter monetary policy but fiscal slippage continues. Foreign reserves are at risk of persistent decline, albeit more
gradually than has been the case YTD. While there is significant uncertainty surrounding both domestic and foreign capital
flows, a repeat of the sort of FX interventions seen in March would threaten Russia’s sovereign ratings.
New restrictive measures have been determined by US and EU in relation to the situation in Ukraine.
DISCLOURE BY INSTITUTIONS
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AS AT JUNE 30, 2014
>>DISCLOSURE BY INSTITUTIONS
General requirements
Credit Risk:
The credit quality is still improving at Group level, as shown by the reduction of impaired loan portfolio and a stable and high
coverage ratio.
In the Region Italy, the Non Core portfolio shrunk the losses, while the asset reduction continued and a coverage ratio higher
than 50%.
Market Risk:
The persistence of a historically very low interest rate scenario could cause the continuation of the pressure on the interest
rate margins as well as on the assets and liabilities held by the Group, although a hedge strategy for this risk is in place.
Operational Risk:
The main sources of Operational risk can be found in its dedicated chapter.
Regulatory developments:
The Group has been preparing to face all implications from the Basel III Framework for EU banks, including new capital and
liquidity requirements as well as the prudential treatment for the Global Systemically Important Financial Institutions (“GSIFI”). Being a G-SIFI, the Group is also engaged in Recovery and Resolution planning (“RRP”); the latter, together with
regulatory developments in the EU regarding banks’ organizational structures1 and further regulatory (implementing) technical
standards for the RRP, the Single Resolution Mechanism, implementation of the CRDIV and the CRR, could induce the
Group to review its business and organization, potentially affecting our business model.
Finally, the implementation of changing accounting standards could also have an impact on the Group, e.g. the IFRS 9 that is
in the course of finalization and will substitute the IAS 39 in the future, introducing significant changes in classification,
measurement, impairment and hedge accounting of financial instruments).
Risk Culture in UniCredit Group
UniCredit defines risk culture as the norms of behavior, reflected in the daily thoughts and actions of all bank’s employees,
that determine the collective and individual ability to identify, understand, openly discuss and make decisions on the
organization’s current and future risks.
Financial institutions operating in the first years of the 21st century must contend with a very challenging environment. The
financial system of the new millennium is characterized by greater degrees of interconnectedness, heterogeneous regulatory
rules, increasingly rapid dissemination of time-sensitive financial information, and highly mobile pools of cross-border capital.
All of these factors combine to create interesting business opportunities – but often some significant risks as well. In fact, the
risks of sharp dislocation, high volatility, widespread financial contagion, large defaults and, ultimately, serious losses appear
to be greater than at any time in our history, and so must be at the center of every risk manager's thoughts and actions.
Since the financial markets crisis, both the financial industry and regulators have been addressing the issue of risk culture,
giving a definition of it, identifying its key elements, establishing principles of conduct, providing recommendations and issuing
guidelines. The main documents are mentioned here below.
•
Institute of International Finance (IIF), 17 July 2008, “Final Report of the IIF Committee on Market Best Practices:
Principles of Conduct and Best Practices Recommendations – Financial Services Industry Response to the Market
Turmoil of 2007-2008”. In this document the financial industry establishes the principle that effective cultivation of
a consistent risk culture throughout firms is the main enabling tool in risk management. Moreover, the
following recommendations are provided:
o Firms should establish clear policies that define risk management as the responsibility of each institution’s
senior management, in particular the CEO;
o Boards have an essential oversight role in risk management;
o Risk management should be a priority for the whole firm and not be focused only on particular business areas
or made a purely quantitative oversight process or an audit or a control function;
o Risk management should be a key responsibility of the entire business-line management;
o All employees should have a clear understanding of their responsibilities in regard to the management of risks
assumed by the firm and should be held accountable for their performance with respect to these
responsibilities.
•
Institute of International Finance (IIF), 9 December 2009, “Risk Culture” – Appendix III to the Report of the IIF
Steering Committee on Implementation “Reform in the Financial Services Industry: Strengthening Practices for a
More Stable System”. In this document the IIF identifies the key elements of an effective risk culture and the most
common categories of risk culture failings within organizations.
•
European Banking Authority (EBA), 27 September 2011, “EBA Guidelines on Internal Governance”. In this
document the EBA requires that a financial institution shall develop an integrated and institution-wide risk culture,
based on a full understanding of the risks it faces and how they are managed, taking into account its risk tolerance
and appetite.
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E.g. the “Proposal for a Regulation of the European Parliament and of the Council on structural measures improving the resilience of EU credit institutions”, January
2014, and similar German, UK and US legislative initiatives.
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Furthermore, on 7 April 2014 the Financial Stability Board (FSB) issued the document “Guidance on Supervisory
Interaction with Financial Institutions on Risk Culture – A Framework for Assessing Risk Culture”, which identifies the
foundational elements that contribute to the promotion of a sound risk culture within financial institutions. It aims at assisting
supervisors in assessing the soundness and effectiveness of a financial institution’s culture in managing risks. There are
several indicators of a sound risk culture that need to be considered collectively and as mutually reinforcing. These indicators
include:
•
Tone from the top: The board of directors and senior management are the starting point for setting the financial
institution’s core values and risk culture, and their behaviors must reflect the values being espoused.
•
Accountability: Successful risk management requires employees at all levels to understand the core values of the
institution’s risk culture and its approach to risk, be capable of performing their prescribed roles, and be aware that
they are held accountable for their actions in relation to the institution’s risk-taking behavior.
•
Effective communication and challenge: A sound risk culture promotes an environment of open communication and
effective challenge in which decision-making processes encourage a range of views, allow for testing of current
practices, and stimulate a positive, critical attitude among employees and an environment of open and constructive
engagement.
•
Incentives: Performance and talent management should encourage and reinforce maintenance of the financial
institution’s desired risk management behavior. Financial and non-financial incentives should reward servicing the
greater, long-term interests of the financial institution and its clients, including sustained profitability, as opposed to
short-term revenue generation.
As far as concerns UniCredit, its Board of Directors – supported by its Internal Controls & Risks Committee (“ICRC”) – is
vested with various authorities. The Board is called upon directly, inter alia, to:
•
formalize policies for governing risks that the Group may be exposed to, periodically reviewing them to ensure their
effectiveness and supervising the actual functioning of risk management and control processes in compliance with
current legal and regulatory provisions. In particular, the Board shall also have jurisdiction over approving policies
for managing non-compliance risks;
•
assess the adequacy of the organizational, administrative and general accounting structure of UniCredit and its
main subsidiaries (to be identified by the Board of Directors), as arranged by their Chief Executive Officers, with
particular reference to the internal control system and conflict of interest management;
•
ensure that all principal corporate risks are being correctly identified and adequately measured, managed and
monitored, determining criteria for ensuring the compatibility of such risks with the sound and proper management
of the Company.
Furthermore the Board, again supported by the ICRC:
•
determines criteria for ensuring the compatibility of corporate risks with the sound and proper management of the
Company (risk appetite);
•
formalizes policies for the management of the risks to which the Group is exposed and periodically reviews them to
ensure their long-term effectiveness;
•
analyzes the reports made by the management control coordination committees on their activities.
In addition to that, the Internal Controls Sub-Committee (within the ICRC):
•
assesses any remarks contained in the reports received from the Control functions, or from the Board of Statutory
Auditors of the companies belonging to the Group, or from third party investigations and/or analyses;
•
analyzes the periodical reports produced by the control functions Internal Audit and Compliance, however not with
reference to legal and regulatory requirements,
and the Risks Sub-Committee (also part of the ICRC):
•
examines the Group risk assessment;
•
supports the Board of Directors in its oversight of the actual functioning of the risk management and control
processes (in respect of credit risk, market risk, liquidity risk and operational risk) in compliance with legal and
regulatory requirements; and, with regard to credit risk, assists the Board of Directors in monitoring concentration
risk, by industry and individual names;
•
analyzes the periodical reports produced by the Risk Management function not with reference to legal and
regulatory requirements.
In the light of the above the Board of Directors, for example, is called upon to resolve on topics such as the definition and
revision of the Internal Rating Based systems; the setting of framework and limits of Group concentration risks; the validation
of the Market Risk Internal Model Framework.
Finally, the Board is also vested with certain exclusive managerial authorities concerning transactions entered into by the
Bank with related parties as well as relevant restructuring initiatives.
The success of risk-taking institutions in this new economic environment highly depends on their risk management
capabilities. The key pillars of successful risk management include understanding risk and its effects on P&L and the balance
sheet, creating a consistent base level of technical risk knowledge, reinforcing communications at all levels, and creating a
mindset that anticipates changes in the macro environment.
In order to be properly prepared to deal with these challenges, the UniCredit Board of Directors is strongly committed to, and
focused on, cultivating a consistent risk culture throughout the Group – the initiative having been identified as the main
enabling tool in risk management.
DISCLOURE BY INSTITUTIONS
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AS AT JUNE 30, 2014
>>DISCLOSURE BY INSTITUTIONS
General requirements
In this context of rapidly evolving markets and regulatory requirements, the Group Risk management, in line with its mission
as defined by the Board of Directors of UniCredit, has launched a structured and comprehensive approach to strengthen
UniCredit risk culture. The transformational program aims at changing mindset and behaviour of all bank’s employees, across
all organizational levels, from top management to front-line, by addressing the following areas:
•
Governance: Reinforcing the link between risk appetite, strategy and compensation mechanisms; strengthening
risk policies and processes.
•
Learning & Development: Designing competency-based learning architectures, institutionalizing risk learning,
enforcing learning-by-doing and cross-functional career paths, and requiring formal and comprehensive risk
assessments in appointment processes.
•
Performance Management: Enhancing guidelines for risk-based incentive systems, deploying quantitative tools to
measure performance of individual risk decisions over time and regulating escalation & exception processes.
•
Communication: Aligning and cascading statements on mission, values, strategy and risk appetite, and reiterating
the importance of and commitment to a strong risk culture by regular top-management communication via different
channels, such as e-mail, intranet, internal radio, internal newspapers, video messages and Group Management
Team meetings.
Building and ultimately strengthening a sound risk culture is a multi-focus, multi-step process that is implemented over
time, across business and control functions.
Governance
Risk Governance – One of the key elements in risk management is the Risk Appetite Framework. Embedding the Risk
Appetite in the Group processes is considered by the bank of paramount importance for a consistent risk culture
implementation. The Risk Appetite Framework is an effective and forward-looking managerial tool developed with the purpose
of setting the desired risk attitude that best steers the business of the bank consistently with an adequate levels of risk.
Risk Appetite is defined as the level of risk that UniCredit Group is prepared to accept in pursuit of its strategic objectives
and business plan, taking into account the interest of its customers and its shareholders, as well as capital and other
requirements.
The main goals of UniCredit Group’s Risk Appetite are:
•
assess explicitly the risks and their interconnections at Group level, that UniCredit accepts taking or should avoid in
a forward-looking view;
•
specify the types of risk the bank intends to assume, setting targets, triggers and limits, under both normal and
stressed operating conditions;
•
ensure “ex-ante” a risk-return profile coherent with a long-term sustainable growth, as defined by the return
projections in the strategic plan or in the budget;
•
ensure that the business develops within the risk tolerance set by the Board of Directors of the Holding Company,
also in respect of national and international regulations;
•
support the discussion of future strategic options with reference to the risk profile;
•
address internal and external stakeholders’ view on a risk profile coherent with the strategic positioning;
•
provide qualitative statements regarding risks that are not easy to measure (e.g., strategic, reputational and
compliance), in order to strategically guide the review of the processes and of the internal controls system.
The Risk Appetite Framework defines the desired risk profile of the Group in terms of strategic targets, triggers and limits, in
order to ensure the control on the overall risk and return positioning. Targets are the amount of risk the Group is willing to
take on in normal conditions and represent the reference thresholds for the development of the business. They are set broad
enough to ensure business flexibility to pursue the highest level of healthy business generation, but sufficiently stringent to
avoid undesired risks. Limits are hard points that represent maximum acceptable level of risk for the Group. Between targets
and limits, triggers represent the maximum acceptable level of deviation from the defined target thresholds; they are set
consistently to assure that the Group can function, even under stressed conditions, within the maximum level of acceptable
risk. In the monitoring phase, an escalation process is set in order to ensure an adequate reaction when triggers or limits are
breached.
Risk appetite metric-setting and related targets, triggers and limits are integrated in the budgeting process, regularly
monitored and cascaded down into the day-by-day risk management and business activities of the Group.
Risk appetite framework is complemented with a set of risk strategies in order to translate the risk appetite boundaries into
operative limits to properly steer the business. Risk strategies represent a key aspect of the integration among the legal
entities belonging to the Group and the adoption of the risk appetite framework in the business.
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UniCredit’s risk appetite is reviewed annually, in parallel with budgeting and planning processes, in order to grant its
consistency with Group strategies, with business and market conditions, and with stakeholders’ requirements.
Also dedicated Group Risk Committees have been established in order to strengthen the capacity of independent steering,
coordination and control of Group risks, to improve the efficiency and the flexibility of the risks decision process and to
address the interaction between the relevant risk stakeholders.
There are three levels of Committees, each imbued with a variety of consultative and/or approval authorities:
•
Group Risk Committee, responsible for Group strategic risk decisions;
•
Group Portfolio Committees, responsible for controlling and managing portfolio risks:
o
Group Market Risk Committee;
o
Debt Capital Markets Commitment Committee;
o
Group Credit and Cross-border Risks Committee;
o
Group Operational and Reputational Risks Committee;
o
Group Assets and Liabilities Committee.
•
Group Transactional Committees, responsible for evaluating single counterparts or transactions above certain
thresholds:
o
Group Credit Committee;
o
Group Rating Committee;
o
Group Transactional Credit Committee.
Learning & Development
Competency Model – The Competency Model of UniCredit describes those behaviors that are expected from all UniCredit
people to support the bank meeting its ambitions and customers’ evolving needs. It is based on five fundamentals, defined by
the Group's leaders, that serve as a compass to the decision making in every professional situation.
One of these five fundamentals is dedicated to the importance of risk culture and risk management. "Balance Risk" defines
key behaviors with respect to risk management, as for example to recognize all risks impacting business, to manage them
transparently and to advocate one common understanding of risk throughout UniCredit.
The UniCredit Competency Model is the basis on which all employees of the Group are appraised and developed in yearly
performance management processes (Executive Development Plan, Talent Management Review, Performance
Management).
These behaviors are part of the Group's essence, giving shape to the way of “being UniCredit”.
Training – Training is fundamental to risk culture. To strengthen the awareness of risk management and to deepen the firm's
risk culture, UniCredit has created and is continuously developing the "Risk Academy", an initiative designed and managed
by a dedicated unit within Group Risk Management competence line in cooperation with internal learning and training
competence centers.
The Risk Academy serves as a center of excellence for risk culture and risk training, providing a common and consistent
learning approach to risk issues and the risk environment. With the set-up of Risk Academy, practical expert know-how joins
state-of-the-art learning. Risk Academy has created a multi-tier risk learning framework which addresses the educational
needs of professionals at all levels, with dedicated learning streams that are available to all of the firm's professional staff.
The Risk Academy also follows a global approach: the same learning and training offer is available to the entire group and
participants join from different Legal Entities and countries. This global approach further strengthens the idea of a common
risk culture and supports a group-wide understanding of major risk concepts and risk know-how.
Since knowledge of risk and risk culture has several components, and must address different levels of experience and
responsibility, Risk Academy has designed differentiated training and learning offers.
Risk Diploma Path
The Risk Diploma Path comprises an intensive on-line Core Curriculum and 2 on-line advanced level Masterclasses. It is
open to the professional risk population and all other interested professional colleagues.
Core Curriculum provides an introduction to the fundamentals of risk and risk management while Masterclasses, which follow
the successful completion of the Core Curriculum, are designed to deepen risk knowledge by allowing participants to explore
advanced concepts. Professionals who passed the Core Curriculum are eligible to enroll and attend 2 Masterclasses of their
choice within a catalogue of 12 Masterclasses. Moreover, all professionals who already attended and successfully completed
the whole Risk Diploma Path and are interested in widen or deepen their risk knowledge can attend all remaining
Masterclasses.
The online training is offered in the major three languages of UniCredit: Italian, English and German.
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>>DISCLOSURE BY INSTITUTIONS
General requirements
Market and Liquidity Risk Certified Path
The Market and Liquidity Risk Certified Path is a new UniCredit on-line qualification program, designed to enhance
knowledge on derivatives, Value-at-Risk models, UniCredit Internal models and liquidity risk. The training content has been
formulated to provide comprehensive and consistent market and liquidity risk management know-how, addressing risk
identification, risk measurement and risk mitigation practices.
Successful completion of the Risk Diploma Path or the Market and Liquidity Risk Certified Path will result in a Certification
issued in cooperation with an internationally recognized university.
Both courses are offered by using on-line web-based training modules, which are supplemented by video lessons, business
cases and on-line testing.
Risk Management Learning Labs
The Risk Management Learning Labs comprise intensive classroom learning and activities related to various key risk
topics, with sessions run by expert professionals from Group Risk Management. The objective is to strengthen key
fundamental risk know-how, enhance an internal sensibility towards risk and raise the awareness on core aspects of risk
culture and risk management.
Contents include risk culture framework, risk governance, fundamentals of risk management, regulatory environment, credit
risk assessment, special credit and restructuring, market risk, liquidity risk, operational and operational risk.
The approach is based on a learning experience which builds on the principle of peer-to-peer knowledge sharing and
combines expert lectures with activities on case studies.
The Learning Labs are offered to executives not belonging to the Risk Management Competence Line.
Tailor-made Trainings for Top Management
Tailor-made trainings for top management represent a new channel by which the Risk Academy caters to the specific
educational needs and requirements of senior executives. As an example, in November 2013 a dedicated workshop on
market and liquidity risk was held for the Group Management Team. The objective of the workshop was presenting real-life
economic scenarios and stimulate a discussion on how new regulations is going to impact UniCredit business and how the
Group needs to preempt changes and seize opportunities by rethinking its service and revenue models.
Performance Management
Compensation – To reinforce the bank's risk culture, also the link between compensation and risk represents an important
element. This link is ensured by the involvement of Risk function in compensation design and the definition of an explicit
framework to base remuneration within an overarching Group Risk Appetite framework, so that incentives to take risk are
appropriately constrained by incentives to manage risk. In particular, the Board of Directors and Remuneration Committee
draw upon the input of involved functions to define the link between profitability, risk and reward within Group incentive
systems. For further information with regards to the risk-alignment of compensation policies, please refer to the dedicated
chapter published annually in the year-end version of this document.
Risk-Based KPIs – At Group level, an important feature of the strong commitment to a consistent risk culture is the renewed
drive to promote individual accountability on risk, compliance and controls. Human Resources (HR) is contributing to this
further enhanced focus through a dedicated plan aimed at spreading Group wide Risk, Compliance & Control Culture by
leveraging on the existing framework and building selected initiatives.
Over the past few years, HR has already built up a framework to enhance Internal Control system awareness and
accountability by setting:
•
Behavioral standards declined for any relevant job/job level within the Group;
•
Global HR processes embedding sensitivity to Risk and Compliance attitudes: Executive Development Plan (EDP the annual performance management / management review process of UniCredit involving all senior Executives of
the Group), Executive Compensation, Learning & Development.
Since 2012, as part of the ongoing Executive Development Program and incentive system process, the Group has introduced
a specific emphasis on risk, compliance and control constituents. In fact, two steps have already been taken as part of the
plan:
•
within the EDP, each Executive is required to perform a specific qualitative assessment on overall Risk (and
compliance and control) competency and attitude, both as self- and as manager- appraisal;
•
within the incentive system framework, the KPI Bluebook (a set of goals and guidelines for performance evaluation
that ensures consistency with business direction, risk perspective, regulatory framework and measurability of
results) contains a specific category of KPIs – “Enhance risk & control culture” – solely focused on indicators that
promote risk and control culture.
11
I
Communication
Within the UniCredit risk culture transformation program, great emphasis is put on aligning and re-iterating key messages on
UniCredit mission, values, strategy and risk appetite, as well as on the importance of and commitment to a strong risk culture.
Furthermore, top management care is devoted to transforming words into tangible actions and to show how the Group is
embedding risk culture into its operating practices.
In order to achieve these targets, a comprehensive communication approach has been adopted. In a first phase, an editorial
plan for the members of the Executive Management Committee has been developed, so they can communicate common
statements on how risk culture is at the core of UniCredit strategy and why a sound risk culture is essential for
healthy growth and sustainable profitability. These statements are then cascaded from senior executives down to all
Group’s employees, by using various communication channels, such as the Group intranet site, newsletters, video messages,
audio pills and corporate meetings.
In the following phases we will establish an internal award for sustainable growth, to acknowledge those UniCredit employees
who devise the best solutions that are client-friendly and risk-friendly at the same time. Furthermore, we will post, on the
dedicated risk culture section of UniCredit intranet site, tangible examples of deals, agreements, products or processes based
on sound risk principles.
Finally, in the second half of 2014 we will continue to focus on further initiatives to bring a visible and concrete impact to
increasingly enhance risk, compliance and control culture, awareness and responsibility.
All of these form the “fabric” of a risk culture and must be allowed to develop in the right environment.
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General requirements
Pillar II risks and integration of risks
The so-called Pillar 1 risk types (credit risk, market risk, operational risk, as described in dedicated chapters) are considered
as primary risks, but there are others the Group considers to be significant which include:
•
business risk;
•
real estate risk;
•
financial investment risk;
•
strategic risk;
•
reputational risk.
These risks are defined as follows.
Business Risk
Business risk is defined as adverse, unexpected changes in business volume and/or margins that are not due to credit,
market and operational risks. Business risk can result, above all, from a serious deterioration in the market environment,
changes in the competitive situation or customer behavior, but may also result from changes in the legal framework.
The exposure data used to calculate business risk are taken from the income statements of each Group Entity for which the
risk is significant. Volatility and correlation are derived from the relevant profit & loss reports.
Business risk is measured by Earnings at Risk (EaR), defined as the maximum annual loss with a confidence level set
according to the rating target, over a one-year time horizon and assuming normal distribution of the risk drivers.
Business Risk is calculated on a quarterly basis for monitoring and for budgeting purposes according to planning time
scheduling.
Real Estate Risk
Real estate risk is defined as the potential losses resulting from market value fluctuations of the Group’s real estate portfolio,
including real estate special purpose vehicles. It does not take into consideration properties held as collateral.
The relevant data for the real estate risk calculation include general information related to properties and area or regional
price indexes for each property to enable calculation of volatility and correlation in the model.
The calculation of real estate risk estimates the maximum potential loss with a confidence level set according to the rating
target over a one-year time horizon, using a variance-covariance approach and assuming normal distribution of the market
values.
Real estate risk is calculated for monitoring purposes every six months and for budgeting purposes according to the timelines
scheduled in the planning process.
Financial Investment Risk
Financial investment risk stems from the equity held in companies not included in the Group and not held in the trading book.
The relevant portfolio mainly includes listed and unlisted shares, derivatives with underlying equity, private equity, units of
mutual, hedge and private equity funds.
For all Group equity positions, capital charges may be calculated using either a PD/LGD based approach or a market-based
one. The PD/LGD approach is used for unlisted or listed but not liquid equities, including direct private equity holdings. The
market-based approach is used for traded equities, equity hedges and all mutual, hedge and private equity funds through the
mapping to market indexes.
The calculation of financial investment risk is based on the maximum potential loss, i.e. Value at Risk (VaR), with a
confidence level set according to the rating target and over a one-year time horizon.
Financial investment risk is calculated quarterly for monitoring and for budgeting purposes according to the timelines
scheduled in the planning process.
Strategic Risk
Strategic Risk is the risk of suffering potential losses due to decisions or radical changes in the business environment,
improper implementation of decisions, lack of responsiveness to changes in the business environment, with negative impact
on the risk profile and consequently on capital, earnings as well as the overall direction and scope of a bank on the long run.
UniCredit Group has in place a dedicated Corporate Governance Structure – the system of rules and procedures that serve
as guidelines for the conduct of the company in carrying out its duties to its stakeholders – that allows the management of
Strategic risk at Group level.
It is generally accepted that Strategic Risk cannot be mitigated via capital charges. As a solution, in order to mitigate its
strategic risk, UniCredit is strengthening internal risk culture. In this context, an important initiative was the launch of the “Risk
Academy”, with the aim of creating a center of risk education excellence for the whole Group.
13
I
Reputational Risk
UniCredit Group defines Reputational Risk as the current or future risk of a loss or decline in profits or share value as a result
of a negative perception of the bank's image by customers, counterparties, bank shareholders, investors or regulators.
Since 2010 UniCredit S.p.A. adopts the Group Reputational Risk Governance Guidelines, which aim at defining a general set
of principles and rules for measuring and controlling reputational risk.
Reputational risk management is the responsibility of the Group Operational & Reputational Risks Department of the parent
Company and of dedicated functions within the Group companies.
Moreover, the set-up of the “Group Operational & Reputational Risk Committee” ensures consistency in reputational risk
policies, methodologies and practices across Divisions, Business Units and Legal Entities, controlling and monitoring the
Group Reputational Risk portfolio.
The UniCredit Group is strongly committed to promote sustainable solutions in all its financing and investment decisions, with
particular attention to the reputational implications. Any transaction undertaken must seek to minimize environmental, social
and reputational risk.
The Transactional Credit Committees are in charge of evaluating possible reputational risks inherent in transactions, as
defined by the current reputational risk Global Rules.
In order to protect the UniCredit Group from reputational risk-taking, in addition to the already existing Group Reputational
Risk Governance Guidelines the following policies in specific sectors are in place: “Defense/Weapons”, “Nuclear Energy”,
“Non-cooperative Jurisdictions”, “Mining” and “Water Infrastructures (dams)”.
Finally, the Human Rights Commitment document aims to identify and manage human rights risks and reduce potential
human rights violations.
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General requirements
Risk Measurement Methods
Within the Internal Capital Adequacy Assessment Process (ICAAP) and in line with the proportionality principle defined in
Pillar II of Basel II, the risk profile of the Group and the main material Legal Entities is assessed for all the Pillar 2 risk types.
Credit, market, operational, business, real estate and financial investment risks are therefore measured quantitatively, by:
•
economic capital and aggregation as an input for internal capital; and
•
stress tests.
On the other side, for small Legal Entities a synthetic approach (top down approach) is used, in which the book value
changes of the entities are simulated using market risk-like methods.
The Internal Capital is defined as the Economic Capital needed to face the potential losses inherent in the Group’s business
activities and it takes into consideration all the Pillar 2 risk types identified by the Group and which are quantifiable in terms of
Economic Capital: credit, market, operational, business, financial investment and real estate risks. The Internal Capital is
therefore the result of the aggregation of the capital charges for each risk type. The capital aggregation is performed using the
Bayesian Copula approach with a one-year time horizon and a confidence level in line with the Group rating target.
The effect of the diversification between risk types is also calculated (‘inter-risk diversification’) together with the diversification
effects at portfolio level (‘intra-risk diversification’). In addition a capital add-on is calculated as prudential cushion in order to
account for model uncertainty risk and the variability of the economic cycle.
For control purposes, the Internal Capital is calculated quarterly or ad hoc if needed; it is also projected for budgeting
purposes.
The multi-dimensional nature of risk makes it necessary to supplement the measurement of economic capital with stress
testing, not only in order to estimate losses in certain scenarios, but also to assess their impacts in terms of capital
requirements.
Stress testing is a key risk management tool for the management of the relevant risks in order to assess the bank's
vulnerability with respect to exceptional but plausible events, providing additional information to the monitoring activities.
Stress testing activities, consistently with regulatory requirements, are performed on the basis of a set of internally defined
stress scenarios. The stress test activities also asses the capital requirements for the main regions where the Group is active,
and are carried out at least twice a year.
The firm-wide stress test considers the various impacts of a given macro-economic scenario on all relevant risks. These
scenarios are drawn analyzing both significant market events happened in the past and plausible worst-case events not yet
occurred. This assessment allows to analyze the capital requirements of the Group in stressed conditions over a two year
time horizon.
The output of the stress test is therefore, for each risk types and at aggregated level, a quantitative analysis of the capital
requirements together with the calculations of the losses conditional on the selected stressed scenarios. In addition the total
capital diversification benefit is also assessed.
The Group top management is involved in the ex-ante as well as the ex-post stress analysis in the following way:
•
before the exercise is finalized, with a presentation regarding the selected scenarios and the underlying
assumptions,
•
after the exercise is finalized, with the disclosure of the results and a potential discussion of a contingency plan, if
needed.
The adequacy of the risk measurement methodologies supporting the ICAAP, including stress testing and risk aggregation, is
checked by internal validation.
Under the corporate governance system, the Parent Company’s Group Risk Management is responsible for the Group
Economic and Internal Capital methodology development and their measurement, moreover the Parent Company is
responsible to set and implement the Group related processes.
The "Group Rules", after the approval, are sent to relevant LEs for approval and implementation.
15
I
Internal Capital Adequacy Assessment Process (ICAAP)
Measuring the risk profile is a fundamental element of the Internal Capital Adequacy Assessment Process under Basel Pillar
II.
The Group’s approach to ICAAP relies on the definition of the “Risk Governance”, as a preliminary requirement, while the
process consists of the following phases:
•
perimeter definition and risk identification;
•
risk profile measurement;
•
risk appetite setting and capital allocation; and
•
monitoring and reporting.
Capital adequacy is assessed considering the balance between the assumed risks, both Pillar I and Pillar II, and the available
capital.
With respect to Pillar II, the relevant metric is the Risk Taking Capacity, which is the ratio between available capital (Available
Financial Resources, AFR) and Internal Capital.
A milestone of the ICAAP is the Risk Appetite which defines the level of risk that UniCredit Group is prepared to accept in
pursuit of its strategic objectives and business plan, taking into account the interest of its customers and shareholders as well
as capital and other requirements.
The structure of the Group Risk Appetite includes qualitative and quantitative items which are included in the Risk Appetite
Statement and in the Risk Appetite KPIs, respectively.
The Risk Appetite Statement defines the positioning of the bank in terms of strategic targets and related risk profiles to
address stakeholders expectations and includes:
•
a guidance on the overall key boundaries for the Group in terms of focus of activity, which are closely related to the
risk ownership;
•
a definition of the desired risk-return profile, in coherence with the Group’s overall strategy;
•
an assessment of the risks the bank accepts taking or should avoid both in normal and in stressed conditions;
•
an indication on strategies to manage key risks in the perimeter of the Group;
•
qualitative statements for risks that are not easy to measure (e.g. strategic, reputational, compliance) in order to
ensure prevention/early intervention on emerging risks;
•
a description of the key roles and responsibilities in the approval, cascading to Group Legal Entities, monitoring,
reporting and escalation process of Risk Appetite.
The Risk Appetite KPIs section is composed by a set of KPIs based on the analysis of the expectations of UniCredit Group
internal and external stakeholders, which leads to the identification of the following risk dimensions relevant for the Group:
•
risk ownership and positioning to explicitly indicate main focus activities of the bank and overall risk positioning;
•
regulatory requirements to include over time KPIs requested by Regulator;
•
profitability and risk to ensure alignment with Group budget;
•
control on specific risk types to ensure control on all key risks.
The Risk Appetite is approved by the Board of Directors and is regularly monitored and reported, at least quarterly, to the
relevant committees.
Moreover, a yearly consolidated report on capital adequacy in accordance with Banca d’Italia guidelines and including an
overview of the main Group companies is prepared and sent to the Regulator.
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General requirements
Reporting
The Group Risk MIS & Reporting unit within the Group Risk Management department provides the production of all the
standards and recurring reporting whose main objectives are to analyze the drivers and credit risk parameters (e.g. Exposure
at Default – EAD, Expected Loss – EL, migrations, adjustments, coverage ratio, cost of risk, etc.), mainly from a Group's or a
Regional perspective, and to offer a representation of all the aggregate risks faced by UniCredit group.
The produced reports also constitute a support tool to take managerial decisions in terms of risk management and mitigation.
Among all the reports produced by the Group Risk Reporting Unit, the ERM Report plays a strategic role in terms of portfolio
asset quality monitoring. In fact, the ERM report is mainly aimed at providing the most complete overview of main Group risks
up to a significant level of detail, both in terms of type of risk (mainly credit risk, but also market, interest rate, investment,
trading, liquidity and operational risk) and in terms of areas where these risks are originated (Italy, Germany, Austria, CEE
and Poland).
The ERM Report, through the consolidation of the information regarding Group's risk exposures, provides a detailed
representation in terms of:
•
credit risk – through analyses at Group and Regional levels on the composition of assets and on the general asset
quality of the Group, with a focus on the impaired portfolio and the coverage ratio, the loan loss provisions and
analyses of selected portfolios (such as, for example, Leasing, LPAC, Shipping and Real Estate) as well as
analyses on top exposures;
•
liquidity risk - through analyses of the Group's ability to meet liquidity needs in the short, medium and long term
even under distressed conditions (all the analyses are performed through the simulation of stress test scenarios),
and to obtain/generate cash and finance on its own or through the access to financial markets;
•
market risk core banking book - through a study of the exposures and of key market risk indicators trends on the
banking book, as well as the compliance to VaR limits in the financial markets arising from the Group's core
investments portfolio;
•
market risk trading & non-core banking book - through the presentation of data (such as, for example, VaR, credit
spreads, interest rates and exchange rates) related to the Group's trading book and non-core investment portfolio
through stress test scenario analyses;
•
operational risk - through monthly analyses of operating losses generated by each Region, with details of losses
over €1 million and corrective measures taken to prevent events with potential future losses. On a quarterly basis,
values of regulatory capital with the Standardized approach (TSA) and the Advanced approach (AMA) are also
presented.
The Group Risk MIS and Reporting Unit has, in addition, the responsibility to secure the optimization, standardization and
improvement of the reporting process ensuring the efficiency and effectiveness of all the reports produced in the Group Credit
& Integrated Risks department, both at Parent Company and Legal Entity level.
Starting from 2013, the Group Risk MIS and Reporting Unit made consistent efforts to further improve data quality and
reporting processes, also thanks to an intensive review of existing reports and data analysis considering the changed market
environment. The aim is defining, gathering and processing risk data according to the Group’s risk reporting requirements
based on definitions from the Basel Committee for Banking Supervision (BCBS #239), which issued a set of principles related
to the Bank’s risk data aggregation capabilities and internal risk reporting practices. The fine-tuning phase and a further
improvement of the reports produced are ongoing and significant results have already been achieved so far in terms of data
gathering and aggregation and quality of the information provided.
17
I
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Scope of application
Scope of application
Name of the bank to which the disclosure requirements apply
UniCredit S.p.A., Parent company of "UniCredit" banking group registered in the Register of Banking Groups.
Outline of the differences in the basis of consolidation for accounting and prudential purposes
In this section of the Third Pillar the prudential scope of consolidation of the UniCredit group is disclosed.
It should be noted that the scope of consolidation is determined according to the prudential regulations and differs from the
scope of the consolidated financial statements, determined under IAS/IFRS.
This situation can create mismatches between the data disclosed in this document and that included in the Consolidated
Financial Statements.
These different treatments are disclosed in the lists of this section, which have the following characteristics:
•
Consolidated entities as at June 30, 2014
o
banking, financial and instrumental companies directly or indirectly controlled by UniCredit S.p.A. to
which the line-by-line consolidation method is applied;
o
banking, financial and instrumental companies in which UniCredit S.p.A. holds, directly or indirectly, a
20% stake or more, when they are jointly controlled with other entities and/or according to agreements
signed with them; to these subsidiaries the proportional consolidation method is applied;
o
other banking and financial companies in which UniCredit S.p.A. holds, directly or indirectly, a 20% stake
or more or anyway subject to significant influence, to which the equity method is applied;
o
companies, other than banking, financial and instrumental companies, directly or indirectly controlled by
UniCredit S.p.A., exclusively or jointly, or subject to significant influence, to which the equity method is
applied.
•
Entities subject to the treatment for Own Funds planned for June 30, 2014 pursuant to articles 46 and 48 of CRR
o
companies of the financial sector in which a non-significant/significant shareholding is owned, subject to
deduction from Own Funds or weighting for the purposes of risk assets, with reference to the thresholds
for exemption from deduction from Common Equity Tier 1 (CET1)2.
•
Entities added to risk-weighted assets as at June 30, 2014
o
investments in companies not belonging to the financial sector subject to weighting for the purposes of
risk assets.
This disclosure, which refers to the consolidated data, does not include equity investments that individually are worth less
than €1,000:
n. 38 subsidiaries and joint ventures
n. 16 associate companies
n. 207 minority interests included in the available for sale (AFS) financial assets portfolio.
It should be noted that the investments in 187 subsidiaries were accounted for at cost (190 as at December 31, 2013), of
which:
n. 13 belonging to the banking group (see Quantitative disclosure of Table Scope of application);
n. 174 not belonging to the banking group (175 as at December 31, 2013).
2
As at June 30, 2014, no investments in Entities of the financial sector were subjected to deduction from Consolidated Own Funds.
19
Basis of consolidation for accounting and prudential purposes
Consolidated entities as at June 30, 2014
Country
UNICREDIT SPA
BANKS
ROME
ITALY
X
X
BANK AUSTRIA REAL INVEST IMMOBILIEN-KAPITALANLAGE
GMBH
BANKS
VIENNA
AUSTRIA
X
X
BANK AUSTRIA WOHNBAUBANK AG
BANKS
VIENNA
AUSTRIA
X
X
BANK PEKAO SA
BANKS
WARSAW
POLAND
X
X
BANKHAUS NEELMEYER AG
BANKS
BREMEN
GERMANY
X
X
CARD COMPLETE SERVICE BANK AG
BANKS
VIENNA
AUSTRIA
X
X
DAB BANK AG
BANKS
MUNICH
GERMANY
X
X
DC BANK AG
BANKS
VIENNA
AUSTRIA
X
X
DIREKTANLAGE.AT AG
BANKS
SALZBURG
AUSTRIA
X
X
FACTORBANK AKTIENGESELLSCHAFT
BANKS
VIENNA
AUSTRIA
X
X
FINECOBANK SPA
BANKS
MILAN
ITALY
X
X
LEASFINANZ BANK GMBH
BANKS
VIENNA
AUSTRIA
X
X
PEKAO BANK HIPOTECZNY S.A.
BANKS
WARSAW
POLAND
X
X
PIONEER INVESTMENTS AUSTRIA GMBH
BANKS
VIENNA
AUSTRIA
X
X
PRVA STAMBENA STEDIONICA DD ZAGREB
BANKS
ZAGREB
CROATIA
X
X
PUBLIC JOINT STOCK COMPANY UKRSOTSBANK
BANKS
KIEV
UKRAINE
X
X
SCHOELLERBANK AKTIENGESELLSCHAFT
BANKS
VIENNA
AUSTRIA
X
X
UNICREDIT BANK A.D. BANJA LUKA
BANKS
BANJA LUKA
BOSNIA AND
HERCEGOVINA
X
X
UNICREDIT BANK AG
BANKS
MUNICH
GERMANY
X
X
UNICREDIT BANK AUSTRIA AG
BANKS
VIENNA
AUSTRIA
X
X
PRAGUE
CZECH
REPUBLIC
X
X
UNICREDIT BANK CZECH REPUBLIC AND SLOVAKIA A.S.
BANKS
UNICREDIT BANK D.D.
BANKS
MOSTAR
BOSNIA AND
HERCEGOVINA
X
X
UNICREDIT BANK HUNGARY ZRT.
BANKS
BUDAPEST
HUNGARY
X
X
UNICREDIT BANK IRELAND PLC
BANKS
DUBLIN
IRELAND
X
X
UNICREDIT BANK SERBIA JSC
BANKS
BELGRADE
SERBIA
X
X
UNICREDIT BANKA SLOVENIJA D.D.
BANKS
LJUBLJANA
SLOVENIA
X
X
UNICREDIT BULBANK AD
BANKS
SOFIA
BULGARIA
X
X
UNICREDIT CREDIT MANAGEMENT BANK SPA
BANKS
VERONA
ITALY
X
X
UNICREDIT INTERNATIONAL BANK (LUXEMBOURG) SA
BANKS
LUXEMBOURG
LUXEMBOURG
X
X
UNICREDIT JELZALOGBANK ZRT.
BANKS
BUDAPEST
HUNGARY
X
X
UNICREDIT LEASING FINANCE GMBH
BANKS
HAMBURG
GERMANY
X
X
UNICREDIT LUXEMBOURG S.A.
BANKS
LUXEMBOURG
LUXEMBOURG
X
X
UNICREDIT TIRIAC BANK S.A.
BANKS
BUCHAREST
ROMANIA
X
X
ZAGREBACKA BANKA D.D.
BANKS
ZAGREB
CROATIA
X
X
ZAO UNICREDIT BANK
BANKS
MOSCOW
RUSSIA
X
X
ACTIVE ASSET MANAGEMENT GMBH
FINANCIAL
COMPANIES
GRUNWALD
GERMANY
X
X
AI BETEILIGUNGS GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
ALINT 458 GRUNDSTUECKVERWALTUNG GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
BAD HOMBURG
GERMANY
X
X
ALLEGRO LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
ALLIB LEASING S.R.O.
FINANCIAL
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
At Equity
Town
Proportional
Consolidation
Full
Consolidation
Type
At Equity
(RWA)
Treatment
IAS/IFRS
Full
Company Name
Treatment in
supervisory report
Proportional
Headquarter
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>> DISCLOSURE BY INSTITUTIONS
Scope of application
Country
ALLIB NEKRETNINE D.O.O. ZA POSLOVANJE NEKRETNINAMA
FINANCIAL
COMPANIES
ZAGREB
CROATIA
X
X
ALLIB ROM S.R.L.
FINANCIAL
COMPANIES
BUCHAREST
ROMANIA
X
X
ALMS LEASING GMBH.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
ALPINE CAYMAN ISLANDS LTD.
FINANCIAL
COMPANIES
GEORGE TOWN
CAYMAN
ISLANDS
X
X
ALV IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
ANTARES IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
ARANY PENZUEGYI LIZING ZRT.
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
ARNO GRUNDSTUECKSVERWALTUNGS GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
AS UNICREDIT FINANCE
FINANCIAL
COMPANIES
RIGA
LATVIA
X
X
AUSTRIA LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
B.I. INTERNATIONAL LIMITED
FINANCIAL
COMPANIES
GEORGE TOWN
CAYMAN
ISLANDS
X
X
BA ALPINE HOLDINGS, INC.
FINANCIAL
COMPANIES
WILMINGTON
U.S.A.
X
X
BA CA LEASING (DEUTSCHLAND) GMBH
FINANCIAL
COMPANIES
BAD HOMBURG
GERMANY
X
X
BA CA SECUND LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BA CREDITANSTALT BULUS EOOD
FINANCIAL
COMPANIES
SOFIA
BULGARIA
X
X
BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BA/CA-LEASING BETEILIGUNGEN GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BA-CA ANDANTE LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BACA CENA IMMOBILIEN LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BACA CHEOPS LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BA-CA FINANCE (CAYMAN) II LIMITED
FINANCIAL
COMPANIES
GEORGE TOWN
CAYMAN
ISLANDS
X
X
BA-CA FINANCE (CAYMAN) LIMITED
FINANCIAL
COMPANIES
GEORGE TOWN
CAYMAN
ISLANDS
X
X
BACA HYDRA LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BACA KOMMUNALLEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BACA LEASING ALFA S.R.O.
FINANCIAL
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
BACA LEASING CARMEN GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BA-CA LEASING DREI GARAGEN GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BACA LEASING GAMA S.R.O.
FINANCIAL
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
BA-CA LEASING MAR IMMOBILIEN LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BA-CA LEASING MODERATO D.O.O.
FINANCIAL
COMPANIES
LJUBLJANA
SLOVENIA
X
X
BACA LEASING UND BETEILIGUNGSMANAGEMENT GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BA-CA MARKETS & INVESTMENT BETEILIGUNG GES.M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BACA NEKRETNINE DRUSTVO SA OGRANICENOM
ODGOVORNOSCU
FINANCIAL
COMPANIES
SARAJEVO
BOSNIA AND
HERCEGOVINA
X
X
BA-CA PRESTO LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BACAL ALPHA DOO ZA POSLOVANJE NEKRETNINAMA
FINANCIAL
COMPANIES
ZAGREB
CROATIA
X
X
21
At Equity
Town
Proportional
Consolidation
Full
Consolidation
Type
At Equity
(RWA)
Treatment
IAS/IFRS
Full
Company Name
Treatment in
supervisory report
Proportional
Headquarter
Country
BACAL BETA NEKRETNINE D.O.O. ZA POSLOVANJE
NEKRETNINAMA
FINANCIAL
COMPANIES
ZAGREB
CROATIA
X
X
BACA-LEASING AQUILA INGATLANHASNOSITO KORLATOLT
FELELOSSEGUE TARSASAG
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
BACA-LEASING GEMINI INGATLANHASZNOSITO KORLATOLT
FELELOSSEGUE TARSASAG
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
BACA-LEASING OMIKRON INGATLANHASZNOSTO KORLATOLT
FELELOSSEGUE TARSASAG
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
BAL CARINA IMMOBILIEN LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BAL DEMETER IMMOBILIEN LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BAL HESTIA IMMOBILIEN LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BAL HORUS IMMOBILIEN LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BAL HYPNOS IMMOBILIEN LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BAL LETO IMMOBILIEN LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BAL OSIRIS IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BAL SOBEK IMMOBILIEN LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BANDON LEASING LIMITED
FINANCIAL
COMPANIES
DUBLIN
IRELAND
X
X
BANK AUSTRIA CREDITANSTALT LEASING
IMMOBILIENANLAGEN GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BANK AUSTRIA FINANZSERVICE GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BANK AUSTRIA HUNGARIA BETA LEASING KORLATOLT
FELELOSSEGUE TARSASAG
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
BANK AUSTRIA LEASING ARGO IMMOBILIEN LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BANK AUSTRIA LEASING HERA IMMOBILIEN LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BANK AUSTRIA LEASING IKARUS IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BANK AUSTRIA LEASING MEDEA IMMOBILIEN LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BANK AUSTRIA REAL INVEST CLIENT INVESTMENT GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BANK AUSTRIA REAL INVEST IMMOBILIEN-MANAGEMENT
GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BARODA PIONEER ASSET MANAGEMENT COMPANY LTD
FINANCIAL
COMPANIES
MUMBAI
INDIA
X
X
BARODA PIONEER TRUSTEEE COMPANY PVT LTD
FINANCIAL
COMPANIES
MUMBAI
INDIA
X
X
BAULANDENTWICKLUNG GDST 1682/8 GMBH & CO OEG
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK
AUSTRIA CREDITANSTALT LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BIL LEASING-FONDS GMBH & CO VELUM KG
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
BREWO GRUNDSTUECKSVERWALTUNGS-GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
BULBANK LEASING EAD
FINANCIAL
COMPANIES
SOFIA
BULGARIA
X
X
BV GRUNDSTUCKSENTWICKLUNGS-GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
CABET-HOLDING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CABO BETEILIGUNGSGESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CAC REAL ESTATE, S.R.O.
FINANCIAL
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
CAC-IMMO SRO
FINANCIAL
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
CAFU VERMOEGENSVERWALTUNG GMBH & CO OG
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
At Equity
Town
Proportional
Consolidation
Full
Consolidation
Type
At Equity
(RWA)
Treatment
IAS/IFRS
Full
Company Name
Treatment in
supervisory report
Proportional
Headquarter
DISCLOURE BY INSTITUTIONS
22
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Scope of application
Country
CA-LEASING DELTA INGATLANHASZNOSITO KORLATOLT
FELELOSSEGUE TARSASAG
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
CA-LEASING EPSILON INGATLANHASZNOSITO KORLATOLT
FELELOSSEGUE TARSASAG
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
CA-LEASING EURO, S.R.O.
FINANCIAL
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
CA-LEASING KAPPA INGATLANHASZNOSITO KORLATOLT
FELELOSSEGUE TARSASAG
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
CA-LEASING OMEGA INGATLANHASZNOSITO KORLATOLT
FELELOSSEGU TARSASAG
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
CA-LEASING OVUS S.R.O.
FINANCIAL
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
CA-LEASING PRAHA S.R.O.
FINANCIAL
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
CA-LEASING SENIOREN PARK GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CA-LEASING ZETA INGATLANHASZNOSITO KORLATOLT
FELELOSSEGU TARSASAG
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
CALG 307 MOBILIEN LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CALG 443 GRUNDSTUCKVERWALTUNG GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CALG 445 GRUNDSTUCKVERWALTUNG GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CALG 451 GRUNDSTUCKVERWALTUNG GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CALG ALPHA GRUNDSTUCKVERWALTUNG GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CALG ANLAGEN LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CALG ANLAGEN LEASING GMBH & CO
GRUNDSTUCKVERMIETUNG UND -VERWALTUNG KG
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
CALG DELTA GRUNDSTUCKVERWALTUNG GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CALG GAMMA GRUNDSTUCKVERWALTUNG GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CALG GRUNDSTUCKVERWALTUNG GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CALG IMMOBILIEN LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CALG IMMOBILIEN LEASING GMBH & CO 1050 WIEN,
SIEBENBRUNNENGASSE 10-21 OG
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CALG IMMOBILIEN LEASING GMBH & CO 1120 WIEN,
SCHONBRUNNER SCHLOSS-STRASSE 38-42 OG
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CALG IMMOBILIEN LEASING GMBH & CO PROJEKT ACHT OG
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CALG IMMOBILIEN LEASING GMBH & CO PROJEKT VIER OG
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CALG MINAL GRUNDSTUCKVERWALTUNG GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CAL-PAPIER INGATLANHASZNOSITO KORLATOLT
FELELOSSEGU TARSASAG
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
CAPITAL MORTGAGE SRL (CARTOLARIZZAZIONE : BIPCA
CORDUSIO RMBS)
FINANCIAL
COMPANIES
VERONA
ITALY
X
X
CAPITAL MORTGAGE SRL (CARTOLARIZZAZIONE : CAPITAL
MORTGAGE 2007 - 1)
FINANCIAL
COMPANIES
VERONA
ITALY
X
X
CDM CENTRALNY DOM MAKLERSKI PEKAO SA
FINANCIAL
COMPANIES
WARSAW
POLAND
X
X
CEAKSCH VERWALTUNGS G.M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CHARADE LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CHEFREN LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CIVITAS IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
COFIRI S.P.A. IN LIQUIDAZIONE
FINANCIAL
COMPANIES
ROME
ITALY
X
X
23
At Equity
Town
Proportional
Consolidation
Full
Consolidation
Type
At Equity
(RWA)
Treatment
IAS/IFRS
Full
Company Name
Treatment in
supervisory report
Proportional
Headquarter
Country
COMMUNA - LEASING
GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CONSUMER ONE SRL (CARTOLARIZZAZIONE : CONSUMER
ONE)
FINANCIAL
COMPANIES
VERONA
ITALY
X
X
CONSUMER TWO SRL (CARTOLARIZZAZIONE : CONSUMER
TWO)
FINANCIAL
COMPANIES
VERONA
ITALY
X
X
CONTRA LEASING-GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
CORDUSIO RMBS - UCFIN SRL (CARTOLARIZZAZIONE :
CORDUSIO RMBS UCFIN - SERIE 2006)
FINANCIAL
COMPANIES
VERONA
ITALY
X
X
CORDUSIO RMBS SECURITISATION SRL (CARTOLARIZZAZIONE
: CORDUSIO RMBS SECURITISATION - SERIE 2006)
FINANCIAL
COMPANIES
VERONA
ITALY
X
X
CORDUSIO RMBS SECURITISATION SRL (CARTOLARIZZAZIONE
: CORDUSIO RMBS SECURITISATION - SERIE 2007)
FINANCIAL
COMPANIES
VERONA
ITALY
X
X
CORDUSIO RMBS SRL (CARTOLARIZZAZIONE : CORDUSIO
RMBS)
FINANCIAL
COMPANIES
VERONA
ITALY
X
X
CORDUSIO SIM - ADVISORY & FAMILY OFFICE SPA
FINANCIAL
COMPANIES
MILAN
ITALY
X
X
CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI
FINANCIAL
COMPANIES
MILAN
ITALY
X
X
CORIT - CONCESSIONARIA RISCOSSIONE TRIBUTI S.P.A. IN
LIQUIDAZIONE
FINANCIAL
COMPANIES
ROME
ITALY
X
X
DEBO LEASING IFN S.A.
FINANCIAL
COMPANIES
BUCHAREST
ROMANIA
X
X
DINERS CLUB CS S.R.O.
FINANCIAL
COMPANIES
BRATISLAVA
SLOVAKIA
X
X
DINERS CLUB POLSKA SP.Z.O.O.
FINANCIAL
COMPANIES
WARSAW
POLAND
X
X
DLV IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
DOM INWESTYCYJNY XELION SP. Z O.O.
FINANCIAL
COMPANIES
WARSAW
POLAND
X
X
DUODEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
ENTASI SRL
FINANCIAL
COMPANIES
ROME
ITALY
X
X
ENTASI SRL (CARTOLARIZZAZIONE : ENTASI)
FINANCIAL
COMPANIES
ROME
ITALY
X
X
EUROLEASE AMUN IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
EUROLEASE ANUBIS IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
EUROLEASE ISIS IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
EUROLEASE MARDUK IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
EUROLEASE RA IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
EUROLEASE RAMSES IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
EUROPA BEFEKTETESI ALAPKEZELOE ZRT (EUROPA
INVESTMENT FUND MANAGEMENT LTD.)
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
EUROPEAN-OFFICE-FONDS
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
EUROVENTURES-AUSTRIA-CA-MANAGEMENT GESMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
EXPANDA IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
FCT UCG TIKEHAU
FINANCIAL
COMPANIES
PARIS
FRANCE
X
X
F-E GOLD SRL (CARTOLARIZZAZIONE : F-E GOLD)
FINANCIAL
COMPANIES
MILAN
ITALY
X
X
F-E MORTGAGES SRL (CARTOLARIZZAZIONE : F-E MORTGAGES
2005)
FINANCIAL
COMPANIES
VERONA
ITALY
X
X
F-E MORTGAGES SRL (CARTOLARIZZAZIONE : F-E MORTGAGES
SERIES 1 - 2003)
FINANCIAL
COMPANIES
VERONA
ITALY
X
X
At Equity
Town
Proportional
Consolidation
Full
Consolidation
Type
At Equity
(RWA)
Treatment
IAS/IFRS
Full
Company Name
Treatment in
supervisory report
Proportional
Headquarter
DISCLOURE BY INSTITUTIONS
24
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Scope of application
Country
FINECO VERWALTUNG AG (IN LIQUIDATION)
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
FMC LEASING INGATLANHASZNOSITO KORLATOLT
FELELOSSEGU TARSASAG
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
FMZ SAVARIA SZOLGALTATO KFT
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
FMZ SIGMA PROJEKTENTWICKLUNGS GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
FOLIA LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
FONDO SIGMA IMMOBILIARE
FINANCIAL
COMPANIES
ROME
ITALY
X
X
FUGATO LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
G.N.E. GLOBAL GRUNDSTUCKSVERWERTUNG GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
GALA GRUNDSTUCKVERWALTUNG GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
GBS GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
GEBAUDELEASING
GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
GEMEINDELEASING GRUNDSTUCKVERWALTUNG
GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
GRUNDSTUCKSVERWALTUNG LINZ-MITTE GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
GUS CONSULTING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
H.F.S. HYPO-FONDSBETEILIGUNGEN FUR SACHWERTE GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
HELICONUS SRL (CARTOLARIZZAZIONE : HELICONUS)
FINANCIAL
COMPANIES
VERONA
ITALY
X
X
HERKU LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
HOKA LEASING-GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
HONEU LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
HVB ASSET LEASING LIMITED
FINANCIAL
COMPANIES
LONDON
UNITED
KINGDOM
X
X
HVB ASSET MANAGEMENT HOLDING GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
HVB AUTO LEASING EOOD
FINANCIAL
COMPANIES
SOFIA
BULGARIA
X
X
HVB CAPITAL LLC
FINANCIAL
COMPANIES
WILMINGTON
U.S.A.
X
X
HVB CAPITAL LLC II
FINANCIAL
COMPANIES
WILMINGTON
U.S.A.
X
X
HVB CAPITAL LLC III
FINANCIAL
COMPANIES
WILMINGTON
U.S.A.
X
X
HVB CAPITAL PARTNERS AG
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
HVB EXPORT LEASING GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
HVB FUNDING TRUST
FINANCIAL
COMPANIES
WILMINGTON
U.S.A.
X
X
HVB FUNDING TRUST II
FINANCIAL
COMPANIES
WILMINGTON
U.S.A.
X
X
HVB FUNDING TRUST III
FINANCIAL
COMPANIES
WILMINGTON
U.S.A.
X
X
HVB GLOBAL ASSETS COMPANY (GP), LLC
FINANCIAL
COMPANIES
DOVER
U.S.A.
X
X
HVB HONG KONG LIMITED
FINANCIAL
COMPANIES
HONG KONG
CHINA
X
X
HVB IMMOBILIEN AG
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
HVB INVESTMENTS (UK) LIMITED
FINANCIAL
COMPANIES
GEORGE TOWN
CAYMAN
ISLANDS
X
X
25
At Equity
Town
Proportional
Consolidation
Full
Consolidation
Type
At Equity
(RWA)
Treatment
IAS/IFRS
Full
Company Name
Treatment in
supervisory report
Proportional
Headquarter
Country
HVB LEASING CZECH REPUBLIC S.R.O.
FINANCIAL
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
HVB LEASING EOOD
FINANCIAL
COMPANIES
SOFIA
BULGARIA
X
X
HVB LONDON INVESTMENTS (AVON) LIMITED
FINANCIAL
COMPANIES
LONDON
UNITED
KINGDOM
X
X
HVB PRINCIPAL EQUITY GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
HVB PROJEKT GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
HVB REALTY CAPITAL INC.
FINANCIAL
COMPANIES
NEW YORK
U.S.A.
X
X
HVB TECTA GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
HVB VERWA 1 GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
HVB VERWA 4 GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
HVB VERWA 4.4 GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
HVBFF INTERNATIONAL GREECE GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
HVBFF INTERNATIONALE LEASING GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
HVBFF OBJEKT BETEILIGUNGS GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
HVBFF PRODUKTIONSHALLE GMBH I.L.
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
HVB-LEASING AIDA INGATLANHASZNOSITO KORLATOLT
FELELOSSEGU TARSASAG
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
HVB-LEASING ATLANTIS INGATLANHASZNOSITO KORLATOLT
FELELOSSEGU TARSASAG
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
HVB-LEASING FIDELIO INGATLANHASNOSITO KORLATOLT
FELELOSSEGU TARSASAG
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
HVB-LEASING FORTE INGATLANHASNOSITO KORLATOLT
FELELOSSEGU TARSASAG
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
HVB-LEASING GARO KFT
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
HVB-LEASING HAMLET INGATLANHASZNOSITO KORLATOLT
FELELOSSEGU TARSASAG
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
HVB-LEASING JUPITER KFT
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
HVB-LEASING LAMOND INGATLANHASZNOSITO KFT.
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
HVB-LEASING MAESTOSO INGATLANHASZNOSITO KFT.
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
HVB-LEASING NANO KFT
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
HVB-LEASING ROCCA INGATLANHASZNOSITO KORLATOLT
FELELOSSEGU TARSASAG
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
HVB-LEASING RUBIN KFT.
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
HVB-LEASING SMARAGD KFT.
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
HVB-LEASING SPORT INGATLANHASZNOSITO KOLATPOT
FEOEOASSEGU TARSASAG
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
HYPOVEREINSFINANCE N.V.
FINANCIAL
COMPANIES
AMSTERDAM
NETHERLANDS
X
X
IMMOBILIENLEASING GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
IMPRESA ONE SRL (CARTOLARIZZAZIONE : IMPRESA ONE)
FINANCIAL
COMPANIES
VERONA
ITALY
X
X
INPROX CHOMUTOV, S.R.O.
FINANCIAL
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
INPROX KLADNO, S.R.O.
FINANCIAL
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
INPROX POPRAD, SPOL. S.R.O.
FINANCIAL
COMPANIES
BRATISLAVA
SLOVAKIA
X
X
INPROX SR I., SPOL. S R.O.
FINANCIAL
COMPANIES
BRATISLAVA
SLOVAKIA
X
X
At Equity
Town
Proportional
Consolidation
Full
Consolidation
Type
At Equity
(RWA)
Treatment
IAS/IFRS
Full
Company Name
Treatment in
supervisory report
Proportional
Headquarter
DISCLOURE BY INSTITUTIONS
26
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Scope of application
Country
INTERKONZUM DOO SARAJEVO
FINANCIAL
COMPANIES
SARAJEVO
BOSNIA AND
HERCEGOVINA
X
X
INTRO LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
JAUSERN-LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
KINABALU FINANCIAL PRODUCTS LLP
FINANCIAL
COMPANIES
LONDON
UNITED
KINGDOM
X
X
KINABALU FINANCIAL SOLUTIONS LTD
FINANCIAL
COMPANIES
LONDON
UNITED
KINGDOM
X
X
KUNSTHAUS LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
KUTRA GRUNDSTUCKSVERWALTUNGS-GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
LAGERMAX LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
LAGEV IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
LARGE CORPORATE ONE SRL (CARTOLARIZZAZIONE : LARGE
CORPORATE ONE)
FINANCIAL
COMPANIES
VERONA
ITALY
X
X
LARGO LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
LEASFINANZ GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
LEGATO LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
LELEV IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
LIFE MANAGEMENT ERSTE GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
LIFE MANAGEMENT ZWEITE GMBH
FINANCIAL
COMPANIES
GRUNWALD
GERMANY
X
X
LINO HOTEL-LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
LIPARK LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
LIVA IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
LOCAT CROATIA DOO
FINANCIAL
COMPANIES
ZAGREB
CROATIA
X
X
LOCAT SV SRL (CARTOLARIZZAZIONE : SERIE 2005)
FINANCIAL
COMPANIES
CONEGLIANO
ITALY
X
X
LOCAT SV SRL (CARTOLARIZZAZIONE : SERIE 2006)
FINANCIAL
COMPANIES
CONEGLIANO
ITALY
X
X
LOCAT SV SRL (CARTOLARIZZAZIONE : SERIE 2011)
FINANCIAL
COMPANIES
CONEGLIANO
ITALY
X
X
LTD SI&C AMC UKRSOTS REAL ESTATE
FINANCIAL
COMPANIES
KIEV
UKRAINE
X
X
M. A. V. 7., BANK AUSTRIA LEASING BAUTRAGER GMBH &
CO.OHG.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
MBC IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
MENUETT GRUNDSTUCKSVERWALTUNGS-GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
MIK 2012 KARLATOLT FELELOSSEGU TARSAAG
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
MM OMEGA PROJEKTENTWICKLUNGS GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
MOBILITY CONCEPT GMBH
FINANCIAL
COMPANIES
OBERHACHING
GERMANY
X
X
MOGRA LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
MOVIE MARKET BETEILIGUNGS GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
NAGE LOKALVERMIETUNGSGESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
NATA IMMOBILIEN-LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
NEWSTONE MORTGAGE SECURITIES No.1 PLC
FINANCIAL
COMPANIES
LONDON
UNITED
KINGDOM
X
X
27
At Equity
Town
Proportional
Consolidation
Full
Consolidation
Type
At Equity
(RWA)
Treatment
IAS/IFRS
Full
Company Name
Treatment in
supervisory report
Proportional
Headquarter
Country
NO. HYPO LEASING ASTRICTA GRUNDSTUCKVERMIETUNGS
GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
OCEAN BREEZE FINANCE S.A. - COMPARTMENT 1
FINANCIAL
COMPANIES
LUXEMBOURG
LUXEMBOURG
X
X
OCT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
OLG HANDELS- UND
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
OOO UNICREDIT LEASING
FINANCIAL
COMPANIES
MOSCOW
RUSSIA
X
X
ORESTOS IMMOBILIEN-VERWALTUNGS GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
PARZHOF-ERRICHTUNGS- UND VERWERTUNGSGESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
PEKAO FAKTORING SP. ZOO
FINANCIAL
COMPANIES
LUBLIN
POLAND
X
X
PEKAO FINANCIAL SERVICES SP. ZOO
FINANCIAL
COMPANIES
WARSAW
POLAND
X
X
PEKAO FUNDUSZ KAPITALOWY SP. ZOO
FINANCIAL
COMPANIES
WARSAW
POLAND
X
X
PEKAO LEASING HOLDING S.A.
FINANCIAL
COMPANIES
WARSAW
POLAND
X
X
PEKAO LEASING SP ZO.O.
FINANCIAL
COMPANIES
WARSAW
POLAND
X
X
PEKAO PIONEER P.T.E. SA
FINANCIAL
COMPANIES
WARSAW
POLAND
X
X
PELOPS LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
PESTSZENTIMREI SZAKORVOSI RENDELO KFT.
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
PIANA LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
PIONEER ALTERNATIVE INVESTMENT MANAGEMENT
(BERMUDA) LIMITED
FINANCIAL
COMPANIES
HAMILTON
BERMUDA
X
X
PIONEER ALTERNATIVE INVESTMENT MANAGEMENT LTD
FINANCIAL
COMPANIES
DUBLIN
IRELAND
X
X
PIONEER ALTERNATIVE INVESTMENTS (ISRAEL) LTD
FINANCIAL
COMPANIES
RAMAT GAN.
ISRAEL
X
X
PIONEER ALTERNATIVE INVESTMENTS (NEW YORK) LTD
FINANCIAL
COMPANIES
DOVER
U.S.A.
X
X
PIONEER ASSET MANAGEMENT AS
FINANCIAL
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
PIONEER ASSET MANAGEMENT S.A.I. S.A.
FINANCIAL
COMPANIES
BUCHAREST
ROMANIA
X
X
PIONEER ASSET MANAGEMENT SA
FINANCIAL
COMPANIES
LUXEMBOURG
LUXEMBOURG
X
X
PIONEER FUNDS DISTRIBUTOR INC
FINANCIAL
COMPANIES
BOSTON
U.S.A.
X
X
PIONEER GLOBAL ASSET MANAGEMENT SPA
FINANCIAL
COMPANIES
MILAN
ITALY
X
X
PIONEER GLOBAL FUNDS DISTRIBUTOR LTD
FINANCIAL
COMPANIES
HAMILTON
BERMUDA
X
X
PIONEER GLOBAL INVESTMENTS (AUSTRALIA) PTY LIMITED
FINANCIAL
COMPANIES
SYDNEY
AUSTRALIA
X
X
PIONEER GLOBAL INVESTMENTS (TAIWAN) LTD.
FINANCIAL
COMPANIES
TAIPEI
TAIWAN
X
X
PIONEER GLOBAL INVESTMENTS LIMITED
FINANCIAL
COMPANIES
DUBLIN
IRELAND
X
X
PIONEER INSTITUTIONAL ASSET MANAGEMENT INC
FINANCIAL
COMPANIES
WILMINGTON
U.S.A.
X
X
PIONEER INVESTMENT COMPANY AS
FINANCIAL
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
PIONEER INVESTMENT FUND MANAGEMENT LIMITED
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
PIONEER INVESTMENT MANAGEMENT INC
FINANCIAL
COMPANIES
WILMINGTON
U.S.A.
X
X
PIONEER INVESTMENT MANAGEMENT LIMITED
FINANCIAL
COMPANIES
DUBLIN
IRELAND
X
X
At Equity
Town
Proportional
Consolidation
Full
Consolidation
Type
At Equity
(RWA)
Treatment
IAS/IFRS
Full
Company Name
Treatment in
supervisory report
Proportional
Headquarter
DISCLOURE BY INSTITUTIONS
28
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Scope of application
Country
PIONEER INVESTMENT MANAGEMENT SHAREHOLDER
SERVICES INC.
FINANCIAL
COMPANIES
BOSTON
U.S.A.
X
X
PIONEER INVESTMENT MANAGEMENT SOC. DI GESTIONE DEL
RISPARMIO PER AZ
FINANCIAL
COMPANIES
MILAN
ITALY
X
X
PIONEER INVESTMENT MANAGEMENT USA INC.
FINANCIAL
COMPANIES
WILMINGTON
U.S.A.
X
X
PIONEER INVESTMENTS KAPITALANLAGEGESELLSCHAFT MBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
PIONEER PEKAO INVESTMENT FUND COMPANY SA (POLISH
NAME: PIONEER PEKAO TFI SA)
FINANCIAL
COMPANIES
WARSAW
POLAND
X
X
PIONEER PEKAO INVESTMENT MANAGEMENT SA
FINANCIAL
COMPANIES
WARSAW
POLAND
X
X
POSATO LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
PRELUDE GRUNDSTUCKSVERWALTUNGS-GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
PRIM Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
PRIVATE JOINT STOCK COMPANY FERROTRADE
INTERNATIONAL
FINANCIAL
COMPANIES
KIEV
UKRAINE
X
X
PROJEKT-LEASE GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
QUADEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
QUART Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
QUINT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
REAL ESTATE MANAGEMENT POLAND SP. Z O.O.
FINANCIAL
COMPANIES
WARSAW
POLAND
X
X
REAL-LEASE GRUNDSTUCKSVERWALTUNGS-GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
REAL-RENT LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
REDSTONE MORTGAGES LIMITED
FINANCIAL
COMPANIES
LONDON
UNITED
KINGDOM
X
X
REGEV REALITATENVERWERTUNGSGESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
RONDO LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
ROYSTON LEASING LIMITED
FINANCIAL
COMPANIES
GRAND
CAYMAN
CAYMAN
ISLANDS
X
X
RSB ANLAGENVERMIETUNG GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
SCHOELLERBANK INVEST AG
FINANCIAL
COMPANIES
SALZBURG
AUSTRIA
X
X
SECA-LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
SEDEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
SEXT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
SIA UNICREDIT LEASING
FINANCIAL
COMPANIES
RIGA
LATVIA
X
X
SIGMA LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
SOLOS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH &
CO. SIRIUS BETEILIGUNGS KG
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
SONATA LEASING-GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
SPECTRUM GRUNDSTUCKSVERWALTUNGS-GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
STATUS VERMOGENSVERWALTUNG GMBH
FINANCIAL
COMPANIES
SCHWERIN
GERMANY
X
X
STEWE GRUNDSTUCKSVERWALTUNGS-GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
STRUCTURED INVEST SOCIETE ANONYME
FINANCIAL
COMPANIES
LUXEMBOURG
LUXEMBOURG
X
X
STRUCTURED LEASE GMBH
FINANCIAL
COMPANIES
HAMBURG
GERMANY
X
X
29
At Equity
Town
Proportional
Consolidation
Full
Consolidation
Type
At Equity
(RWA)
Treatment
IAS/IFRS
Full
Company Name
Treatment in
supervisory report
Proportional
Headquarter
Country
TERRONDA DEVELOPMENT B.V.
FINANCIAL
COMPANIES
AMSTERDAM
NETHERLANDS
X
X
TERZ Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
TREDEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
TREUCONSULT BETEILIGUNGSGESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
TREVI FINANCE N 2 SPA (CARTOLARIZZAZIONE : TREVI
FINANCE 2)
FINANCIAL
COMPANIES
CONEGLIANO
ITALY
X
X
TREVI FINANCE N 3 SRL (CARTOLARIZZAZIONE : TREVI
FINANCE 3)
FINANCIAL
COMPANIES
CONEGLIANO
ITALY
X
X
TREVI FINANCE N. 2 S.P.A.
FINANCIAL
COMPANIES
CONEGLIANO
ITALY
X
X
TREVI FINANCE N. 3 S.R.L.
FINANCIAL
COMPANIES
CONEGLIANO
ITALY
X
X
TREVI FINANCE S.P.A.
FINANCIAL
COMPANIES
CONEGLIANO
ITALY
X
X
TREVI FINANCE SPA (CARTOLARIZZAZIONE : TREVI FINANCE)
FINANCIAL
COMPANIES
CONEGLIANO
ITALY
X
X
TRINITRADE VERMOGENSVERWALTUNGS-GESELLSCHAFT MIT
BESCHRANKTER HAFTUNG
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
UCL NEKRETNINE D.O.O.
FINANCIAL
COMPANIES
SARAJEVO
BOSNIA AND
HERCEGOVINA
X
X
UFFICIUM IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
UNICOM IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
UNICREDIT (CHINA) ADVISORY LIMITED
FINANCIAL
COMPANIES
BEIJING
CHINA
X
X
UNICREDIT AURORA LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
UNICREDIT AUTO LEASING E.O.O.D.
FINANCIAL
COMPANIES
SOFIA
BULGARIA
X
X
UNICREDIT BETEILIGUNGS GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
UNICREDIT BPC MORTAGE SRL (COVERED BONDS)
FINANCIAL
COMPANIES
VERONA
ITALY
X
X
UNICREDIT BPC MORTGAGE S.R.L.
FINANCIAL
COMPANIES
VERONA
ITALY
X
X
UNICREDIT CAIB POLAND S.A.
FINANCIAL
COMPANIES
WARSAW
POLAND
X
X
UNICREDIT CAIB SECURITIES UK LTD.
FINANCIAL
COMPANIES
LONDON
UNITED
KINGDOM
X
X
UNICREDIT CAPITAL MARKETS LLC
FINANCIAL
COMPANIES
NEW YORK
U.S.A.
X
X
UNICREDIT CONSUMER FINANCING EAD
FINANCIAL
COMPANIES
SOFIA
BULGARIA
X
X
UNICREDIT CONSUMER FINANCING IFN S.A.
FINANCIAL
COMPANIES
BUCHAREST
ROMANIA
X
X
UNICREDIT DELAWARE INC
FINANCIAL
COMPANIES
DOVER
U.S.A.
X
X
UNICREDIT FACTORING EAD
FINANCIAL
COMPANIES
SOFIA
BULGARIA
X
X
UNICREDIT FACTORING SPA
FINANCIAL
COMPANIES
MILAN
ITALY
X
X
UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG
GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
UNICREDIT GLOBAL LEASING EXPORT GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
UNICREDIT GLOBAL LEASING PARTICIPATION MANAGEMENT
GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
UNICREDIT INGATLANLIZING ZRT
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
UNICREDIT KFZ LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
UNICREDIT LEASING (AUSTRIA) GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
UNICREDIT LEASING AVIATION GMBH
FINANCIAL
COMPANIES
HAMBURG
GERMANY
X
X
At Equity
Town
Proportional
Consolidation
Full
Consolidation
Type
At Equity
(RWA)
Treatment
IAS/IFRS
Full
Company Name
Treatment in
supervisory report
Proportional
Headquarter
DISCLOURE BY INSTITUTIONS
30
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Scope of application
Country
UNICREDIT LEASING CORPORATION IFN S.A.
FINANCIAL
COMPANIES
BUCHAREST
ROMANIA
X
X
UNICREDIT LEASING CROATIA D.O.O. ZA LEASING
FINANCIAL
COMPANIES
ZAGREB
CROATIA
X
X
UNICREDIT LEASING CZ, A.S.
FINANCIAL
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
UNICREDIT LEASING D.O.O.
FINANCIAL
COMPANIES
SARAJEVO
BOSNIA AND
HERCEGOVINA
X
X
UNICREDIT LEASING EAD
FINANCIAL
COMPANIES
SOFIA
BULGARIA
X
X
UNICREDIT LEASING GMBH
FINANCIAL
COMPANIES
HAMBURG
GERMANY
X
X
UNICREDIT LEASING HUNGARY ZRT
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
UNICREDIT LEASING IMMOTRUCK ZRT.
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
UNICREDIT LEASING KFT
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
UNICREDIT LEASING LUNA KFT
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
UNICREDIT LEASING MARS KFT
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
UNICREDIT LEASING REAL ESTATE S.R.O.
FINANCIAL
COMPANIES
BRATISLAVA
SLOVAKIA
X
X
UNICREDIT LEASING ROMANIA S.A.
FINANCIAL
COMPANIES
BUCHAREST
ROMANIA
X
X
UNICREDIT LEASING S.P.A.
FINANCIAL
COMPANIES
BOLOGNA
ITALY
X
X
UNICREDIT LEASING SLOVAKIA A.S.
FINANCIAL
COMPANIES
BRATISLAVA
SLOVAKIA
X
X
UNICREDIT LEASING SRBIJA D.O.O. BEOGRAD
FINANCIAL
COMPANIES
BELGRADE
SERBIA
X
X
UNICREDIT LEASING TECHNIKUM GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
UNICREDIT LEASING TOB
FINANCIAL
COMPANIES
KIEV
UKRAINE
X
X
UNICREDIT LEASING URANUS KFT
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
UNICREDIT LEASING, LEASING, D.O.O.
FINANCIAL
COMPANIES
LJUBLJANA
SLOVENIA
X
X
UNICREDIT LUNA LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
UNICREDIT LUXEMBOURG FINANCE SA
FINANCIAL
COMPANIES
LUXEMBOURG
LUXEMBOURG
X
X
UNICREDIT MOBILIEN UND KFZ LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
UNICREDIT OBG S.R.L.
FINANCIAL
COMPANIES
VERONA
ITALY
X
X
UNICREDIT OBG SRL (COVERED BONDS)
FINANCIAL
COMPANIES
VERONA
ITALY
X
X
UNICREDIT PEGASUS LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
UNICREDIT POLARIS LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
UNICREDIT RENT D.O.O. BEOGRAD
FINANCIAL
COMPANIES
BELGRADE
SERBIA
X
X
UNICREDIT TECHRENT LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
UNICREDIT U.S. FINANCE LLC
FINANCIAL
COMPANIES
WILMINGTON
U.S.A.
X
X
UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
UNICREDIT-LEASING HOSPES KFT
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
UNICREDIT-LEASING NEPTUNUS KFT
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
UNICREDIT-LEASING ORION INGATLANHASZNOSITO
KORLATOLT FELELOSSEGU TARSASAG
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
UNICREDITO ITALIANO CAPITAL TRUST III
FINANCIAL
COMPANIES
NEWARK
U.S.A.
X
X
31
At Equity
Town
Proportional
Consolidation
Full
Consolidation
Type
At Equity
(RWA)
Treatment
IAS/IFRS
Full
Company Name
Treatment in
supervisory report
Proportional
Headquarter
Country
UNICREDITO ITALIANO CAPITAL TRUST IV
FINANCIAL
COMPANIES
NEWARK
U.S.A.
X
X
UNICREDITO ITALIANO FUNDING LLC III
FINANCIAL
COMPANIES
WILMINGTON
U.S.A.
X
X
UNICREDITO ITALIANO FUNDING LLC IV
FINANCIAL
COMPANIES
WILMINGTON
U.S.A.
X
X
US PROPERTY INVESTMENTS INC.
FINANCIAL
COMPANIES
DALLAS
U.S.A.
X
X
VANDERBILT CAPITAL ADVISORS LLC
FINANCIAL
COMPANIES
WILMINGTON
U.S.A.
X
X
VAPE COMMUNA LEASINGGESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
VERBA VERWALTUNGSGESELLSCHAFT MIT BESCHRANKTER
HAFTUNG
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
WEALTH MANAGEMENT CAPITAL HOLDING GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP EQUITY GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP FONDS GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP INITIATOREN GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP INVESTORENBETREUUNG GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP LEASING GMBH
FINANCIAL
COMPANIES
GRUNWALD
GERMANY
X
X
WEALTHCAP PEIA KOMPLEMENTAR GMBH
FINANCIAL
COMPANIES
GRUNWALD
GERMANY
X
X
WEALTHCAP PEIA MANAGEMENT GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP REAL ESTATE MANAGEMENT GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP STIFTUNGSTREUHAND GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
WOM GRUNDSTUCKSVERWALTUNGS-GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING ALFA IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING ARKTUR IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING AURIGA IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING CORVUS IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING DORADO IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING DRACO IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING GAMA IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING GEMINI IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING HEBE IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING HERCULES IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING IPSILON IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING ITA IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING JANUS IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING KALLISTO IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING KAPA IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING LYRA IMMOBILIEN LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING NEREIDE IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
At Equity
Town
Proportional
Consolidation
Full
Consolidation
Type
At Equity
(RWA)
Treatment
IAS/IFRS
Full
Company Name
Treatment in
supervisory report
Proportional
Headquarter
DISCLOURE BY INSTITUTIONS
32
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Scope of application
Country
Z LEASING OMEGA IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING PERSEUS IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING SCORPIUS IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING TAURUS IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING VENUS IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
Z LEASING VOLANS IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
ZAO LOCAT LEASING RUSSIA
FINANCIAL
COMPANIES
MOSCOW
RUSSIA
X
X
ZB INVEST DOO
FINANCIAL
COMPANIES
ZAGREB
CROATIA
X
X
ALTUS ALPHA PLC
FINANCIAL
COMPANIES
SPV
DUBLIN
IRELAND
X
X
BA IMMO GEWINNSCHEIN FONDS1
FINANCIAL
COMPANIES
SPV
VIENNA
AUSTRIA
X
X
BA BETRIEBSOBJEKTE GMBH
INSTRUMENTAL
COMPANIES
VIENNA
AUSTRIA
X
X
BA BETRIEBSOBJEKTE GMBH & CO BETA VERMIETUNGS OG
INSTRUMENTAL
COMPANIES
VIENNA
AUSTRIA
X
X
BA BETRIEBSOBJEKTE PRAHA, SPOL.S.R.O.
INSTRUMENTAL
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
BA GVG-HOLDING GMBH
INSTRUMENTAL
COMPANIES
VIENNA
AUSTRIA
X
X
BA PRIVATE EQUITY GMBH
INSTRUMENTAL
COMPANIES
VIENNA
AUSTRIA
X
X
BALEA SOFT GMBH & CO. KG
INSTRUMENTAL
COMPANIES
HAMBURG
GERMANY
X
X
BALEA SOFT VERWALTUNGSGESELLSCHAFT MBH
INSTRUMENTAL
COMPANIES
HAMBURG
GERMANY
X
X
BAVARIA SERVICOS DE REPRESENTACAO COMERCIAL LTDA.
INSTRUMENTAL
COMPANIES
SAO PAULO
BRAZIL
X
X
BIL LEASING-FONDS VERWALTUNGS-GMBH
INSTRUMENTAL
COMPANIES
MUNICH
GERMANY
X
X
CENTRUM BANKOWOSCI BEZPOSREDNIEJ SPOLKA Z
OGRANICZONA ODPOWIEDZIALNOSC
INSTRUMENTAL
COMPANIES
KRAKOW
POLAND
X
X
CENTRUM KART SA
INSTRUMENTAL
COMPANIES
WARSAW
POLAND
X
X
DOMUS CLEAN REINIGUNGS GMBH
INSTRUMENTAL
COMPANIES
VIENNA
AUSTRIA
X
X
FOOD & MORE GMBH
INSTRUMENTAL
COMPANIES
MUNICH
GERMANY
X
X
GRUNDSTUCKSGESELLSCHAFT SIMON BESCHRANKT
HAFTENDE KOMMANDITGESELLSCHAF
INSTRUMENTAL
COMPANIES
MUNICH
GERMANY
X
X
HUMAN RESOURCES SERVICE AND DEVELOPMENT GMBH
INSTRUMENTAL
COMPANIES
VIENNA
AUSTRIA
X
X
HVB GESELLSCHAFT FUR GEBAUDE BETEILIGUNGS GMBH
INSTRUMENTAL
COMPANIES
MUNICH
GERMANY
X
X
33
At Equity
Town
Proportional
Consolidation
Full
Consolidation
Type
At Equity
(RWA)
Treatment
IAS/IFRS
Full
Company Name
Treatment in
supervisory report
Proportional
Headquarter
Country
HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG
INSTRUMENTAL
COMPANIES
MUNICH
GERMANY
X
X
HVB SECUR GMBH
INSTRUMENTAL
COMPANIES
MUNICH
GERMANY
X
X
HVZ GMBH & CO. OBJEKT KG
INSTRUMENTAL
COMPANIES
MUNICH
GERMANY
X
X
HYPO-BANK VERWALTUNGSZENTRUM GMBH
INSTRUMENTAL
COMPANIES
MUNICH
GERMANY
X
X
HYPOVEREINS IMMOBILIEN EOOD
INSTRUMENTAL
COMPANIES
SOFIA
BULGARIA
X
X
IMMOBILIEN RATING GMBH
INSTRUMENTAL
COMPANIES
VIENNA
AUSTRIA
X
X
KLEA ZS-IMMOBILIENVERMIETUNG G.M.B.H.
INSTRUMENTAL
COMPANIES
VIENNA
AUSTRIA
X
X
KLEA ZS-LIEGENSCHAFTSVERMIETUNG G.M.B.H.
INSTRUMENTAL
COMPANIES
VIENNA
AUSTRIA
X
X
LASSALLESTRASSE BAU-, PLANUNGS-, ERRICHTUNGS- UND
VERWERTUNGSGESELLSCHAFT M.B.H.
INSTRUMENTAL
COMPANIES
VIENNA
AUSTRIA
X
X
LOCALMIND SPA IN LIQUIDAZIONE
INSTRUMENTAL
COMPANIES
MILAN
ITALY
X
X
MERKURHOF GRUNDSTUCKSGESELLSCHAFT MIT
BESCHRANKTER HAFTUNG
INSTRUMENTAL
COMPANIES
MUNICH
GERMANY
X
X
PALAIS ROTHSCHILD VERMIETUNGS GMBH & CO OG
INSTRUMENTAL
COMPANIES
VIENNA
AUSTRIA
X
X
POMINVEST DD
INSTRUMENTAL
COMPANIES
SPLIT
CROATIA
X
X
PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH
& CO. OBJEKT KG
INSTRUMENTAL
COMPANIES
MUNICH
GERMANY
X
X
PORTIA GRUNDSTUCKSVERWALTUNGS-GESELLSCHAFT MIT
BESCHRANKTER HAFTUNG
INSTRUMENTAL
COMPANIES
MUNICH
GERMANY
X
X
PROPERTY SP. Z.O.O. (IN LIQUIDAZIONE)
INSTRUMENTAL
COMPANIES
WARSAW
POLAND
X
X
SALVATORPLATZ-GRUNDSTUCKSGESELLSCHAFT MBH
INSTRUMENTAL
COMPANIES
MUNICH
GERMANY
X
X
SALVATORPLATZ-GRUNDSTUCKSGESELLSCHAFT MBH & CO.
OHG SAARLAND
INSTRUMENTAL
COMPANIES
MUNICH
GERMANY
X
X
SALVATORPLATZ-GRUNDSTUCKSGESELLSCHAFT MBH & CO.
OHG VERWALTUNGSZENTRUM
INSTRUMENTAL
COMPANIES
MUNICH
GERMANY
X
X
SAS-REAL INGATLANUEZEMELTETO ES KEZELO KFT (ENGL ISH
:SAS-REAL KFT)
INSTRUMENTAL
COMPANIES
BUDAPEST
HUNGARY
X
X
SOCIETA' ITALIANA GESTIONE ED INCASSO CREDITI S.P.A. IN
LIQUIDAZIONE
INSTRUMENTAL
COMPANIES
ROME
ITALY
X
X
SOFIGERE SOCIETE PAR ACTIONS SIMPLIFIEE
INSTRUMENTAL
COMPANIES
PARIS
FRANCE
X
X
SUVREMENE POSILOVNE KOMUNIKACIJE D.O.O
INSTRUMENTAL
COMPANIES
ZAGREB
CROATIA
X
X
TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT
INSTRUMENTAL
COMPANIES
MUNICH
GERMANY
X
X
At Equity
Town
Proportional
Consolidation
Full
Consolidation
Type
At Equity
(RWA)
Treatment
IAS/IFRS
Full
Company Name
Treatment in
supervisory report
Proportional
Headquarter
DISCLOURE BY INSTITUTIONS
34
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Scope of application
Country
At Equity
Town
Proportional
Consolidation
Full
Consolidation
Type
At Equity
(RWA)
Treatment
IAS/IFRS
Full
Company Name
Treatment in
supervisory report
Proportional
Headquarter
UNI IT SRL
INSTRUMENTAL
COMPANIES
TRENTO
ITALY
X
X
UNICREDIT BUSINESS INTEGRATED SOLUTIONS AUSTRIA
GMBH
INSTRUMENTAL
COMPANIES
VIENNA
AUSTRIA
X
X
UNICREDIT BUSINESS INTEGRATED SOLUTIONS SOCIETA
CONSORTILE PER AZIONI
INSTRUMENTAL
COMPANIES
MILAN
ITALY
X
X
UNICREDIT BUSINESS PARTNER S.R.O. IN LIQUIDATION
INSTRUMENTAL
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
UNICREDIT CREDIT MANAGEMENT IMMOBILIARE S.P.A.
INSTRUMENTAL
COMPANIES
VERONA
ITALY
X
X
UNICREDIT DIRECT SERVICES GMBH
INSTRUMENTAL
COMPANIES
MUNICH
GERMANY
X
X
UNICREDIT GLOBAL BUSINESS SERVICES GMBH
INSTRUMENTAL
COMPANIES
UNTERFOHRING
GERMANY
X
X
VERWALTUNGSGESELLSCHAFT KATHARINENHOF MBH
INSTRUMENTAL
COMPANIES
MUNICH
GERMANY
X
X
ZAGREB NEKRETNINE DOO
INSTRUMENTAL
COMPANIES
ZAGREB
CROATIA
X
X
ZANE BH DOO
INSTRUMENTAL
COMPANIES
SARAJEVO
BOSNIA AND
HERCEGOVINA
X
X
CHIYODA FUDOSAN GK
OTHER
COMPANIES
SPV
TOKYO
JAPAN
X
X
GEMMA VERWALTUNGSGESELLSCHAFT MBH & CO.
VERMIETUNGS KG
OTHER
COMPANIES
SPV
PULLACH
GERMANY
X
X
H.F.S. LEASINGFONDS DEUTSCHLAND 1 GMBH & CO. KG
(IMMOBILIENLEASING)
OTHER
COMPANIES
SPV
MUNICH
GERMANY
X
X
H.F.S. LEASINGFONDS DEUTSCHLAND 7 GMBH & CO. KG
OTHER
COMPANIES
SPV
MUNICH
GERMANY
X
X
HJS 12 BETEILIGUNGSGESELLSCHAFT MBH
OTHER
COMPANIES
SPV
MUNICH
GERMANY
X
X
MOC VERWALTUNGS GMBH & CO. IMMOBILIEN KG
OTHER
COMPANIES
SPV
MUNICH
GERMANY
X
X
OCEAN BREEZE ASSET GMBH & CO. KG
OTHER
COMPANIES
SPV
MUNICH
GERMANY
X
X
OCEAN BREEZE ENERGY GMBH & CO. KG
OTHER
COMPANIES
SPV
MUNICH
GERMANY
X
X
OCEAN BREEZE GMBH
OTHER
COMPANIES
SPV
MUNICH
GERMANY
X
X
PERIKLES 20092 VERMOGENSVERWALTUNG GMBH
OTHER
COMPANIES
SPV
MUNICH
GERMANY
X
X
SVIF UKRSOTSBUD
OTHER
COMPANIES
SPV
KIEV
UKRAINE
X
X
YAPI KREDI BANK AZERBAIJAN CLOSED JOINT STOCK
COMPANY
BANKS
BAKU
AZERBAIJAN
X
X
YAPI KREDI BANK MOSCOW
BANKS
MOSCOW
RUSSIA
X
X
YAPI KREDI BANK NEDERLAND N.V.
BANKS
AMSTERDAM
NETHERLANDS
X
X
YAPI VE KREDI BANKASI AS
BANKS
ISTANBUL
TURKEY
X
X
KOC FINANSAL HIZMETLER AS
FINANCIAL
COMPANIES
ISTANBUL
TURKEY
X
X
35
Country
At Equity
Town
Proportional
Consolidation
Full
Consolidation
Type
At Equity
(RWA)
Treatment
IAS/IFRS
Full
Company Name
Treatment in
supervisory report
Proportional
Headquarter
STICHTING CUSTODY SERVICES YKB
FINANCIAL
COMPANIES
AMSTERDAM
NETHERLANDS
X
X
TASFIYE HALINDE YAPI KREDI B TIPI YATIRIM ORTAKLIGI A.S.
FINANCIAL
COMPANIES
ISTANBUL
TURKEY
X
X
UNICREDIT MENKUL DEGERLER AS
FINANCIAL
COMPANIES
ISTANBUL
TURKEY
X
X
YAPI KREDI FAKTORING AS
FINANCIAL
COMPANIES
ISTANBUL
TURKEY
X
X
YAPI KREDI FINANSAL KIRALAMA AO
FINANCIAL
COMPANIES
ISTANBUL
TURKEY
X
X
YAPI KREDI HOLDING BV
FINANCIAL
COMPANIES
AMSTERDAM
NETHERLANDS
X
X
YAPI KREDI INVEST LIMITED LIABILITY COMPANY
FINANCIAL
COMPANIES
BAKU
AZERBAIJAN
X
X
YAPI KREDI PORTFOEY YOENETIMI AS
FINANCIAL
COMPANIES
ISTANBUL
TURKEY
X
X
YAPI KREDI YATIRIM MENKUL DEGERLER AS
FINANCIAL
COMPANIES
ISTANBUL
TURKEY
X
X
YAPI KREDI DIVERSIFIED PAYMENT RIGHTS FINANCE
FINANCIAL
COMPANIES
SPV
GEORGE TOWN
CAYMAN
ISLANDS
X
X
A&T-PROJEKTENTWICKLUNGS GMBH & CO. POTSDAMER
PLATZ BERLIN KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
ACIS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH &
CO. OBERBAUM CITY KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
ACIS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH &
CO. PARKKOLONNADEN KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
ACIS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH &
CO. STUTTGART KRONPRINZSTRASSE KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
ADLER FUNDING LLC
OTHER
COMPANIES
DOVER
U.S.A.
X
AGROB IMMOBILIEN AG
OTHER
COMPANIES
ISMANING
GERMANY
X
X
AMBASSADOR PARC DEDINJE D.O.O. BEOGRAD
OTHER
COMPANIES
BELGRADE
SERBIA
X
X
ANTUS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
ARGENTAURUS IMMOBILIEN-VERMIETUNGS- UND
VERWALTUNGS GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
ARRONDA IMMOBILIENVERWALTUNGS GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
ARTIST MARKETING ENTERTAINMENT GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
ASSET BANCARI II
OTHER
COMPANIES
MILAN
ITALY
X
ATLANTERRA IMMOBILIENVERWALTUNGS GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
AUFBAU DRESDEN GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
AWT HANDELS GESELLSCHAFT M.B.H.
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
BA GEBAEUDEVERMIETUNGSGMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
BA-CA INFRASTRUCTURE FINANCE ADVISORY GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
BA-CA WIEN MITTE HOLDING GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
BANK AUSTRIA IMMOBILIENSERVICE GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
BDK CONSULTING LLC
OTHER
COMPANIES
LUCK
UKRAINE
X
X
BF NINE HOLDING GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
BIL IMMOBILIEN FONDS GMBH & CO OBJEKT PERLACH KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
BLUE CAPITAL EUROPA IMMOBILIEN GMBH & CO. ACHTE
OBJEKTE GROSSBRITANNIEN KG
OTHER
COMPANIES
HAMBURG
GERMANY
X
X
BLUVACANZE SPA
OTHER
COMPANIES
MILAN
ITALY
X
BORGO DI PEROLLA SRL
OTHER
COMPANIES
MASSA
MARITTIMA
ITALY
X
X
X
X
X
DISCLOURE BY INSTITUTIONS
36
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Scope of application
Consolidation
Consolidation
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
BULKMAX HOLDING LTD
OTHER
COMPANIES
LA VALLETTA
MALTA
X
BV GRUNDSTUCKSENTWICKLUNGS-GMBH & CO.
VERWALTUNGS-KG
OTHER
COMPANIES
MUNICH
GERMANY
X
CA IMMOBILIEN ANLAGEN AKTIENGESELLSCHAFT
OTHER
COMPANIES
VIENNA
AUSTRIA
X
CAMPO DI FIORI S.R.L.
OTHER
COMPANIES
ROME
ITALY
X
X
CARDS & SYSTEMS EDV-DIENSTLEISTUNGS GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
CASH SERVICE COMPANY AD
OTHER
COMPANIES
SOFIA
BULGARIA
X
X
CBD INTERNATIONAL SP.ZO.O.
OTHER
COMPANIES
WARSAW
POLAND
X
X
CENTAR KAPTOL DOO
OTHER
COMPANIES
ZAGREB
CROATIA
X
X
CENTER HEINRICH-COLLIN-STRASSE1 VERMIETUNGS GMBH
U.CO KG
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
CHRISTOPH REISEGGER GESELLSCHAFT M.B.H. IN LIQ
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
COMPAGNIA FONDIARIA ROMANA - SOCIETA' A
RESPONDABILITA' LIMITATA
OTHER
COMPANIES
ROME
ITALY
X
X
COMPAGNIA ITALPETROLI S.P.A.
OTHER
COMPANIES
ROME
ITALY
X
X
COMTRADE GROUP B.V.
OTHER
COMPANIES
AMSTERDAM
NETHERLANDS
X
CONSORZIO QUENIT
OTHER
COMPANIES
VERONA
ITALY
X
CONSORZIO SE.TEL. SERVIZI TELEMATICI IN LIQUIDAZIONE
OTHER
COMPANIES
NAPLES
ITALY
X
CRIVELLI SRL
OTHER
COMPANIES
MILAN
ITALY
X
X
CUMTERRA GESELLSCHAFT FUR IMMOBILIENVERWALTUNG
MBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
DA VINCI S.R.L.
OTHER
COMPANIES
ROME
ITALY
X
DBC SP.Z O.O.
OTHER
COMPANIES
WARSAW
POLAND
X
X
DC ELEKTRONISCHE ZAHLUNGSSYSTEME GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
DELPHA IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH
& CO. GROSSKUGEL BAUABSCHNITT ALPHA MANAGEMENT
KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
DELPHA IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH
& CO. GROSSKUGEL BAUABSCHNITT BETA MANAGEMENT KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
DELPHA IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH
& CO. GROSSKUGEL BAUABSCHNITT GAMMA MANAGEMENT
KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
DIRANA LIEGENSCHAFTSVERWERTUNGSGESELLSCHAFT
M.B.H.
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
DV ALPHA GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
DV BETEILIGUNGSVERWALTUNGS GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
ENDERLEIN & CO. GMBH
OTHER
COMPANIES
BIELEFELD
GERMANY
X
X
ERSTE ONSHORE WINDKRAFT BETEILIGUNGSGESELLSCHAFT
MBH & CO. WINDPARK GREFRATH KG
OTHER
COMPANIES
OLDENBURG
GERMANY
X
X
ERSTE ONSHORE WINDKRAFT BETEILIGUNGSGESELLSCHAFT
MBH & CO. WINDPARK KRAHENBERG KG
OTHER
COMPANIES
OLDENBURG
GERMANY
X
X
37
Country
At Equity
BUCHSTEIN IMMOBILIENVERWALTUNG GMBH UND CO OG
Town
Full
Full
Type
Proportional
Treatment
IAS/IFRS
At Equity
(RWA)
Company Name
Treatment in
supervisory report
Proportional
Headquarter
X
X
X
X
X
X
X
Consolidation
Consolidation
OTHER
COMPANIES
OLDENBURG
GERMANY
X
X
ES SHARED SERVICE CENTER SOCIETA' PER AZIONI
OTHER
COMPANIES
CERNUSCO SUL
NAVIGLIO
ITALY
X
EUROPEYE SRL
OTHER
COMPANIES
ROME
ITALY
X
FENICE HOLDING S.P.A.
OTHER
COMPANIES
CALENZANO
ITALY
X
FONDIARIA LASA SPA
OTHER
COMPANIES
ROME
ITALY
X
X
FORUM POLSKIEGO BIZNESU MEDIA SP.Z O.O.
OTHER
COMPANIES
WARSAW
POLAND
X
X
GENERAL LOGISTIC SOLUTIONS LLC
OTHER
COMPANIES
MOSCOW
RUSSIA
X
X
GIMMO IMMOBILIEN-VERMIETUNGS- UND VERWALTUNGS
GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
GOLF- UND COUNTRY CLUB SEDDINER SEE IMMOBILIEN
GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
GRUNDSTUCKSAKTIENGESELLSCHAFT AM POTSDAMER PLATZ
(HAUS VATERLAND)
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H & B IMMOBILIEN GMBH & CO. OBJEKTE KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. IMMOBILIENFONDS GMBH
OTHER
COMPANIES
EBERSBERG
GERMANY
X
X
HAWA GRUNDSTUCKS GMBH & CO. OHG
HOTELVERWALTUNG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
HAWA GRUNDSTUCKS GMBH & CO. OHG
IMMOBILIENVERWALTUNG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
HVB LIFE SCIENCE GMBH & CO. BETEILIGUNGS-KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
HVB PROFIL GESELLSCHAFT FUR PERSONALMANAGEMENT
MBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
HYPO-BANK VERWALTUNGSZENTRUM GMBH & CO. KG
OBJEKT ARABELLASTRASSE
OTHER
COMPANIES
MUNICH
GERMANY
X
X
HYPO-REAL HAUS- UND GRUNDBESITZ GESELLSCHAFT MBH &
CO. IMMOBILIEN-VERMIETUNGS KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
I-FABER SPA
OTHER
COMPANIES
MILAN
ITALY
X
X
IMMOBILIARE PATETTA SRL
OTHER
COMPANIES
ROME
ITALY
X
X
INTERRA GESELLSCHAFT FUR IMMOBILIENVERWALTUNG
MBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
IPSE 2000 S.P.A. (IN LIQUIDAZIONE)
OTHER
COMPANIES
ROME
ITALY
X
X
ISB UNIVERSALE BAU GMBH
OTHER
COMPANIES
BRANDENBURG
GERMANY
X
X
ISTRA D.M.C. DOO
OTHER
COMPANIES
UMAG
CROATIA
X
X
ISTRATURIST UMAG, HOTELIJERSTVO TURIZAM I TURISTICKA
AGENCIJA DD
OTHER
COMPANIES
UMAG
CROATIA
X
X
IVONA BETEILIGUNGSVERWALTUNG GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
JOHA GEBAEUDE- ERRICHTUNGS- UND VERMIETUNGSGESELLSCHAFT M.B.H.
OTHER
COMPANIES
LEONDING
AUSTRIA
X
X
KAISERWASSER BAU- UND ERRICHTUNGS GMBH UND CO OG
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
KELLER CROSSING TEXAS L.P.
OTHER
COMPANIES
WILMINGTON
U.S.A.
X
X
KSG KARTEN-VERRECHNUNGS- UND SERVICEGESELLSCHAFT
M.B.H.
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
LAURO SESSANTUNO S.P.A.
OTHER
COMPANIES
ITALY
X
LIFE SCIENCE I BETEILIGUNGS GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
LLC UKROTSBUD
OTHER
COMPANIES
KIEV
UKRAINE
X
X
M.A.I.L. BETEILIGUNGSMANAGEMENT GESELLSCHAFT M.B.H.
& CO. MCL THETA KG
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
Country
At Equity
ERSTE ONSHORE WINDKRAFT BETEILIGUNGSGESELLSCHAFT
MBH & CO. WINDPARK MOSE KG
Town
Full
Full
Type
Proportional
Treatment
IAS/IFRS
At Equity
(RWA)
Company Name
Treatment in
supervisory report
Proportional
Headquarter
X
X
X
X
DISCLOURE BY INSTITUTIONS
38
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Scope of application
Country
At Equity
Town
Proportional
Consolidation
Full
Consolidation
Type
At Equity
(RWA)
Treatment
IAS/IFRS
Full
Company Name
Treatment in
supervisory report
Proportional
Headquarter
MARINA CITY ENTWICKLUNGS GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
MARINA TOWER HOLDING GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
MARTIANEZ COMERCIAL, SOCIEDAD ANONIMA
OTHER
COMPANIES
PUERTO DE LA
CRUZ
SPAIN
X
MARTUR SUNGER VE KOLTUK TESISLERI TICARET VE SANAYI
A. S.
OTHER
COMPANIES
ISTANBUL
TURKEY
X
MC MARKETING GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
MC RETAIL GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
MEGAPARK OOD
OTHER
COMPANIES
SOFIA
BULGARIA
X
MERIDIONALE PETROLI SRL
OTHER
COMPANIES
VIBO VALENTIA
ITALY
X
X
MILLETERRA GESELLSCHAFT FUR IMMOBILIENVERWALTUNG
MBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
MULTIPLUS CARD D.O.O. ZA PROMIDZBU I USLUGE
OTHER
COMPANIES
ZAGREB
CROATIA
X
MY BETEILIGUNGS GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
NAUTILUS TANKERS LIMITED
OTHER
COMPANIES
LA VALLETTA
MALTA
X
X
NEEP ROMA HOLDING SPA
OTHER
COMPANIES
ROME
ITALY
X
X
NF OBJEKT FFM GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
NF OBJEKT MUNCHEN GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
NF OBJEKTE BERLIN GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
NORDBAHNHOF BAUFELD ACHT PROJEKTENTWICKLUNG
GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
NORDBAHNHOF BAUFELD FUENF PROJEKTENTWICKLUNG
GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
NORDBAHNHOF BAUFELD SIEBEN PROJEKTENTWICKLUNG
GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
NORDBAHNHOF PROJEKTE HOLDING GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
NXP CO-INVESTMENT PARTNERS VIII L.P.
OTHER
COMPANIES
LONDON
UNITED
KINGDOM
X
X
OESTERREICHISCHE WERTPAPIERDATEN SERVICE GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
OMNIA GRUNDSTUCKS-GMBH & CO. OBJEKT
EGGENFELDENER STRASSE KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
OMNIA GRUNDSTUCKS-GMBH & CO. OBJEKT
HAIDENAUPLATZ KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
OTHMARSCHEN PARK HAMBURG GMBH & CO. CENTERPARK
KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
OTHMARSCHEN PARK HAMBURG GMBH & CO.
GEWERBEPARK KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
PEKAO PROPERTY SA
OTHER
COMPANIES
WARSAW
POLAND
X
X
PEKAO TELECENTRUM SP. ZOO IN LIQUIDATION
OTHER
COMPANIES
WARSAW
POLAND
X
X
PETROLI INVESTIMENTI SPA
OTHER
COMPANIES
CIVITAVECCHIA
ITALY
X
X
PIONEER INVESTMENTS (SCHWEIZ) GMBH
OTHER
COMPANIES
ZURICH
SWITZERLAND
X
X
PIRTA VERWALTUNGS GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
PLANETHOME AG
OTHER
COMPANIES
UNTERFOHRING
GERMANY
X
X
PLANETHOME GMBH
OTHER
COMPANIES
MANNHEIM
GERMANY
X
X
POLLUX IMMOBILIEN GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
PURE FUNDING No. 10 LTD
OTHER
COMPANIES
DUBLIN
IRELAND
X
X
39
X
X
X
X
X
X
Consolidation
Consolidation
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
RANA-LIEGENSCHAFTSVERWERTUNG GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
REAL INVEST IMMOBILIEN GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
RHOTERRA GESELLSCHAFT FUR IMMOBILIENVERWALTUNG
MBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
RIGEL IMMOBILIEN GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
ROMA 2000 SRL IN LIQUIDAZIONE
OTHER
COMPANIES
ROME
ITALY
X
X
RONCASA IMMOBILIEN-VERWALTUNGS GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
SANITA' - S.R.L. IN LIQUIDAZIONE
OTHER
COMPANIES
ROME
ITALY
X
X
SANTA ROSA S.R.L.
OTHER
COMPANIES
ROME
ITALY
X
X
SCHOTTENGASSE 6-8 IMMOBILIEN GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
SELFOSS BETEILIGUNGSGESELLSCHAFT MBH
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
SIMON VERWALTUNGS-AKTIENGESELLSCHAFT I.L.
OTHER
COMPANIES
MUNICH
GERMANY
X
X
SIRIUS IMMOBILIEN GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
SIRIUS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
SMIA SPA
OTHER
COMPANIES
ROME
ITALY
X
SOCIETA' DEPOSITI COSTIERI - SO.DE.CO. SRL
OTHER
COMPANIES
ROME
ITALY
X
X
SOCIETA' PETROLIFERA GIOIA TAURO SRL
OTHER
COMPANIES
REGGIO
CALABRIA
ITALY
X
X
SOCIETA' VERONESE GESTIONE COMPRAVENDITA IMMOBILI
A R.L.
OTHER
COMPANIES
ROME
ITALY
X
X
SOLARIS VERWALTUNGSGESELLSCHAFT MBH & CO.
VERMIETUNGS KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
SP PROJEKTENTWICKLUNG SCHOENEFELD GMBH & CO.KG
OTHER
COMPANIES
SCHOENEFELD
GERMANY
X
SPREE GALERIE HOTELBETRIEBSGESELLSCHAFT MBH
OTHER
COMPANIES
MUNICH
GERMANY
X
SVILUPPO GLOBALE GEIE
OTHER
COMPANIES
ROME
ITALY
X
T & P FRANKFURT DEVELOPMENT B.V.
OTHER
COMPANIES
AMSTERDAM
NETHERLANDS
X
X
T & P VASTGOED STUTTGART B.V.
OTHER
COMPANIES
AMSTERDAM
NETHERLANDS
X
X
TERRENO GRUNDSTUCKSVERWALTUNG GMBH & CO.
ENTWICKLUNGS- UND FINANZIERUNGSVERMITTLUNGS-KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
TRANSTERRA GESELLSCHAFT FUR IMMOBILIENVERWALTUNG
MBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
TRICASA GRUNDBESITZ GESELLSCHAFT MBH & CO. 1.
VERMIETUNGS KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
TRICASA GRUNDBESITZGESELLSCHAFT DES BURGERLICHEN
RECHTS NR. 1
OTHER
COMPANIES
MUNICH
GERMANY
X
X
TRIESTE ADRIATIC MARITIME INITIATIVES SRL
OTHER
COMPANIES
TRIESTE
ITALY
X
X
UCTAM BALTICS SIA
OTHER
COMPANIES
RIGA
LATVIA
X
X
UCTAM BULGARIA EOOD
OTHER
COMPANIES
SOFIA
BULGARIA
X
X
UCTAM CZECH REPUBLIC SRO
OTHER
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
UCTAM D.O.O. BEOGRAD
OTHER
COMPANIES
BELGRADE
SERBIA
X
X
UCTAM HUNGARY KFT
OTHER
COMPANIES
BUDAPEST
HUNGARY
X
X
UCTAM RO S.R.L.
OTHER
COMPANIES
BUCHAREST
ROMANIA
X
X
Country
At Equity
RAMSES IMMOBILIEN GESELLSCHAFT M.B.H. & CO OG
Town
Full
Full
Type
Proportional
Treatment
IAS/IFRS
At Equity
(RWA)
Company Name
Treatment in
supervisory report
Proportional
Headquarter
X
X
X
X
DISCLOURE BY INSTITUTIONS
40
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Scope of application
Consolidation
Consolidation
OTHER
COMPANIES
MOSCOW
RUSSIA
X
X
UCTAM UKRAINE LLC
OTHER
COMPANIES
KIEV
UKRAINE
X
X
UCTAM UPRAVLJANJE D.O.O.
OTHER
COMPANIES
LJUBLJANA
SLOVENIA
X
X
UNI GEBAEUDEMANAGEMENT GMBH
OTHER
COMPANIES
LINZ
AUSTRIA
X
UNICREDIT CENTER AM KAISERWASSER GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
UNICREDIT FLEET MANAGEMENT S.R.O.
OTHER
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
UNICREDIT FLEET MANAGEMENT S.R.O.
OTHER
COMPANIES
BRATISLAVA
SLOVAKIA
X
X
UNICREDIT LEASING FLEET MANAGEMENT S.R.L.
OTHER
COMPANIES
BUCHAREST
ROMANIA
X
X
UNICREDIT LEASING FUHRPARKMANAGEMENT GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
UNICREDIT SUBITO CASA SPA
OTHER
COMPANIES
MILAN
ITALY
X
X
UNICREDIT TURN-AROUND MANAGEMENT CEE GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
UNICREDIT TURN-AROUND MANAGEMENT GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
UNIVERSALE INTERNATIONAL REALITAETEN GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
UNO-EINKAUFSZENTRUM-VERWALTUNGSGESELLSCHAFT
M.B.H.
OTHER
COMPANIES
LEONDING
AUSTRIA
X
X
V.M.G. VERMIETUNGSGESELLSCHAFT MBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
VERMIETUNGSGESELLSCHAFT MBH & CO OBJEKT MOC KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
VIENNA DC BAUTRAEGER GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
VIENNA DC TOWER 1 LIEGENSCHAFTSBESITZ GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
VIENNA DC TOWER 2 LIEGENSCHAFTSBESITZ GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
VILLINO PACELLI SRL
OTHER
COMPANIES
ROME
ITALY
X
X
VISCONTI SRL
OTHER
COMPANIES
MILAN
ITALY
X
X
VUWB INVESTMENTS INC.
OTHER
COMPANIES
ATLANTA
U.S.A.
X
X
WEALTH CAPITAL INVESTMENT INC.
OTHER
COMPANIES
WILMINGTON
U.S.A.
X
X
WEALTHCAP EQUITY MANAGEMENT GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP USA IMMOBILIEN VERWALTUNGS GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WED DONAU-CITY GESELLSCHAFT M.B.H.
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
WED HOLDING GESELLSCHAFT M.B.H.
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
WED WIENER ENTWICKLUNGSGESELLSCHAFT FUER DEN
DONAURAUM AKTIENGESELLSCHAFT
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
WIEN MITTE IMMOBILIEN GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
WMC MANAGEMENT GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
ZAPADNI TRGOVACKI CENTAR D.O.O.
OTHER
COMPANIES
RIJEKA
CROATIA
X
X
ZETA FUENF HANDELS GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
REAL INVEST EUROPE D BA RI KAG
OTHER
COMPANIES
SPV
VIENNA
AUSTRIA
X
X
SALONE N. 1 SPA
OTHER
COMPANIES
SPV
CONEGLIANO
ITALY
X
X
41
Country
At Equity
UCTAM RU LIMITED LIABILITY COMPANY
Town
Full
Full
Type
Proportional
Treatment
IAS/IFRS
At Equity
(RWA)
Company Name
Treatment in
supervisory report
Proportional
Headquarter
X
X
Consolidation
Full
CONEGLIANO
ITALY
X
X
SALONE N. 3 SPA
OTHER
COMPANIES
SPV
CONEGLIANO
ITALY
X
X
Country
Full
SALONE N. 2 SPA
OTHER
COMPANIES
SPV
Town
At Equity
Consolidation
Type
Proportional
Treatment
IAS/IFRS
At Equity
(RWA)
Company Name
Treatment in
supervisory report
Proportional
Headquarter
DISCLOURE BY INSTITUTIONS
42
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Scope of application
Entities added to risk-weighted assets as at June 30, 2014
Treatment
in
supervisory
report
AFS
Cost
Country
At Equity
Town
Full
Type
RWA
Company Name
Treatment
IAS/IFRS
Proportional
Headquarter
AKA AUSFUHRKREDIT-GESELLSCHAFT MBH
BANKS
FRANKFURT
GERMANY
X
X
BANCA D' ITALIA
BANKS
ROME
ITALY
X
X
BANCA MEDIOCREDITO DEL FRIULI VENEZIA GIULIA SPA
BANKS
UDINE
ITALY
X
X
BANCA UBAE S.P.A.
BANKS
ROME
ITALY
X
X
BANK FUER TIROL UND VORARLBERG
AKTIENGESELLSCHAFT
BANKS
INNSBRUCK
AUSTRIA
X
BANK OF VALLETTA PLC
BANKS
LA VALLETTA
MALTA
X
BANQUE DE COMMERCE ET DE PLACEMENTS SA
BANKS
GENEVA
SWITZERLAND
X
BBB BURGSCHAFTSBANK ZU BERLIN-BRANDENBURG
GMBH
BANKS
BERLIN
GERMANY
X
X
BGG BAYERISCHE GARANTIEGESELLSCHAFT MBH FUR
MITTELSTANDISCHE BETEILIGUNGEN
BANKS
MUNICH
GERMANY
X
X
BKS BANK AG
BANKS
KLAGENFURT
AUSTRIA
X
BURGSCHAFTSBANK BRANDENBURG GMBH
BANKS
POTSDAM
GERMANY
X
X
BURGSCHAFTSBANK MECKLENBURG-VORPOMMERN
GMBH
BANKS
SCHWERIN
GERMANY
X
X
BURGSCHAFTSBANK NORDRHEIN-WESTFALEN GMBH KREDITGARANTIEGEMEINSCHAFT -
BANKS
NEUSS
GERMANY
X
X
BURGSCHAFTSBANK RHEINLAND-PFALZ GMBH
BANKS
MAINZ
GERMANY
X
X
BURGSCHAFTSBANK SAARLAND GESELLSCHAFT MIT
BESCHRANKTER HAFTUNG,
KREDITGARANTIEGEMEINSCHAFT FUR DEN HANDEL,
HANDWERK UND GEWERBE
BANKS
SAARBRUCKEN
GERMANY
X
X
BURGSCHAFTSBANK SACHSEN GMBH
BANKS
DRESDEN
GERMANY
X
X
BURGSCHAFTSBANK SACHSEN-ANHALT GMBH
BANKS
MAGDEBURGO
GERMANY
X
X
BURGSCHAFTSBANK SCHLESWIG-HOLSTEIN GMBH
BANKS
KIEL
GERMANY
X
X
BURGSCHAFTSBANK THURINGEN GMBH
BANKS
ERFURT
GERMANY
X
X
BURGSCHAFTSGEMEINSCHAFT HAMBURG GMBH
BANKS
HAMBURG
GERMANY
X
X
EUROPEAN INVESTMENT FUND
BANKS
LUXEMBOURG
LUXEMBOURG
X
X
FUNDAMENTA-LAKAKASSZA LAKAS-TAKAREKPENZTAR ZRT.
BANKS
BUDAPEST
HUNGARY
X
X
ISTANBUL TAKAS VE SAKLAMA BANKASI AS
BANKS
ISTANBUL
TURKEY
X
X
ISTITUTO PER IL CREDITO SPORTIVO EDP
BANKS
ROME
ITALY
X
X
KREDITGARANTIEGEMEINSCHAFT DER FREIEN BERUFE
BADEN-WURTTEMBERG VERWALTUNGS-GMBH
BANKS
STUTTGART
GERMANY
X
X
KREDITGARANTIEGEMEINSCHAFT DER INDUSTRIE, DES
VERKEHRSGEWERBES UND DES GASTGEWERBES BADENWURTTEMBERG VERWALTUNGS-GMBH
BANKS
STUTTGART
GERMANY
X
X
KREDITGARANTIEGEMEINSCHAFT DES BAYERISCHEN
GARTENBAUES GMBH
BANKS
MUNICH
GERMANY
X
X
KREDITGARANTIEGEMEINSCHAFT DES BAYERISCHEN
HANDWERKS GMBH
BANKS
MUNICH
GERMANY
X
X
KREDITGARANTIEGEMEINSCHAFT DES HANDELS BADENWURTTEMBERG VERWALTUNGS-GMBH
BANKS
STUTTGART
GERMANY
X
X
KREDITGARANTIEGEMEINSCHAFT DES HANDWERKS
BADEN-WURTTEMBERG VERWALTUNGSGESELLSCHAFT
MBH
BANKS
STUTTGART
GERMANY
X
X
KREDITGARANTIEGEMEINSCHAFT DES HOTEL- UND
GASTSTATTENGEWERBES IN BAYERN GMBH
BANKS
MUNICH
GERMANY
X
X
KREDITGARANTIEGEMEINSCHAFT FUR DEN HANDEL IN
BAYERN GMBH
BANKS
MUNICH
GERMANY
X
X
KREDITGARANTIEGEMEINSCHAFT IN BADENWURTTEMBERG VERWALTUNGS-GMBH
BANKS
STUTTGART
GERMANY
X
X
LIQUIDITATS-KONSORTIALBANK GMBH
BANKS
FRANKFURT
GERMANY
X
X
43
X
X
X
X
Treatment
in
supervisory
report
AFS
Cost
Country
At Equity
Town
Full
Type
RWA
Company Name
Treatment
IAS/IFRS
Proportional
Headquarter
MEDIOBANCA BANCA DI CREDITO FINANZIARIO SPA
BANKS
MILAN
ITALY
X
X
NIEDERSACHSISCHE BURGSCHAFTSBANK GMBH
BANKS
HANNOVER
GERMANY
X
NOTARTREUHANDBANK AG
BANKS
VIENNA
AUSTRIA
X
X
OBERBANK AG
BANKS
LINZ
AUSTRIA
X
X
OESTERREICHISCHE HOTEL- UND TOURISMUSBANK
GESELLSCHAFT M.B.H.
BANKS
VIENNA
AUSTRIA
X
X
OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT
BANKS
VIENNA
AUSTRIA
X
X
SAARLANDISCHE INVESTITIONSKREDITBANK AG
BANKS
SAARBRUCKEN
GERMANY
X
X
TURKIYE CUMHURIYETI MERKEZ BANKASI A.S. (T.C.
MERKEZ BANKASI A.S.)
BANKS
ANKARA
TURKEY
X
X
ABE CLEARING SAS
FINANCIAL
COMPANIES
PARIS
FRANCE
X
X
ALLIANZ ZB DRUSTVO ZA UPRAVLJANJIE DOBROVOLJNIM
MIROVINSKIM FONDOM D.O.O.
FINANCIAL
COMPANIES
ZAGREB
CROATIA
X
X
ALLIANZ ZB DRUSTVO ZA UPRAVLJANJIE OBVEZNIM
MIROVINSKIM FONDOM D.O.O.
FINANCIAL
COMPANIES
ZAGREB
CROATIA
X
X
ARABELLA FINANCE LTD
FINANCIAL
COMPANIES
DUBLIN
IRELAND
X
AUGUSTO SRL
FINANCIAL
COMPANIES
MILAN
ITALY
X
X
B. GROUP SPA
FINANCIAL
COMPANIES
BOLOGNA
ITALY
X
X
BACA INVESTOR BETEILIGUNGS GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
BAKU STOCK EXCHANGE
FINANCIAL
COMPANIES
BAKU
AZERBAIJAN
X
X
BAMCARD DD SARAJEVO
FINANCIAL
COMPANIES
SARAJEVO
BOSNIA AND
HERCEGOVINA
X
X
BANJALUCKA BERZA HARTIJA OD VRJEDNOSTI A.D. BANJA
LUKA
FINANCIAL
COMPANIES
BANJA LUKA
BOSNIA AND
HERCEGOVINA
X
X
BANKALARARASI KART MERKEZI AS
FINANCIAL
COMPANIES
ISTANBUL
TURKEY
X
X
BANKART D.O.O.
FINANCIAL
COMPANIES
LJUBLJANA
SLOVENIA
X
X
BARN BV
FINANCIAL
COMPANIES
AMSTERDAM
NETHERLANDS
X
BAYERISCHE IMMOBILIEN-LEASING GMBH & CO.
VERWALTUNGS-KG
FINANCIAL
COMPANIES
PULLAH
GERMANY
X
X
BIURO INFORMACJI KREDYTOWEJ SA
FINANCIAL
COMPANIES
WARSAW
POLAND
X
X
BNP PARIBAS REAL ESTATE INVESTMENT MANAGEMENT
GERMANY GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
BORICA-BANKSERVICE AD
FINANCIAL
COMPANIES
SOFIA
BULGARIA
X
X
BORSA ISTANBUL AS
FINANCIAL
COMPANIES
EMIRGAN ISTANBUL
TURKEY
X
X
BTG BETEILIGUNGSGESELLSCHAFT HAMBURG MBH
FINANCIAL
COMPANIES
HAMBURG
GERMANY
X
X
BUERGSCHAFTSBANK SALZBURG GMBH
FINANCIAL
COMPANIES
SALZBURG
AUSTRIA
X
X
BULGARIAN STOCK EXCHANGE SOFIA
FINANCIAL
COMPANIES
SOFIA
BULGARIA
X
X
BURZA CENNYCH PAPIEROV BRATISLAVA AS
FINANCIAL
COMPANIES
BRATISLAVA
SLOVAKIA
X
X
BWA BETEILIGUNGS- UND VERWALTUNGSAKTIENGESELLSCHAFT
FINANCIAL
COMPANIES
SALZBURG
AUSTRIA
X
X
CARLO TASSARA S.P.A.
FINANCIAL
COMPANIES
BRENO
ITALY
X
X
CASA DE COMPENSARE BUCURESTI SA
FINANCIAL
COMPANIES
BUCHAREST
ROMANIA
X
X
CENTRAL DEPOSITORY AD
FINANCIAL
COMPANIES
SOFIA
BULGARIA
X
X
CHINA INVESTMENT INCORPORATIONS (BVI) LTD.
FINANCIAL
COMPANIES
TORTOLA
BRITISH VIRGIN
ISLANDS
X
X
X
X
X
X
DISCLOURE BY INSTITUTIONS
44
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Scope of application
Treatment
in
supervisory
report
AFS
Cost
Country
At Equity
Town
Full
Type
RWA
Company Name
Treatment
IAS/IFRS
Proportional
Headquarter
CLS GROUP HOLDINGS AG
FINANCIAL
COMPANIES
ZURICH
SWITZERLAND
X
X
CME GROUP INC
FINANCIAL
COMPANIES
CHICAGO
U.S.A.
X
X
COLOMBO SRL
FINANCIAL
COMPANIES
MILAN
ITALY
X
X
COMMODITY EXCHANGE INTERBANK CURRENCY
EXCHANGE OF CRIMEA
FINANCIAL
COMPANIES
SIMPHEROPOL
UKRAINE
X
X
CONCARDIS GESELLSCHAFT MIT BESCHRANKTER HAFTUNG
FINANCIAL
COMPANIES
ESCHBORN
GERMANY
X
X
CONFIDICOOP MARCHE SOCIETA COOPERATIVA A
MUTUALITA PREVALENTE
FINANCIAL
COMPANIES
ANCONA
ITALY
X
X
CREDIFARMA SPA
FINANCIAL
COMPANIES
ROME
ITALY
X
X
DIOCLEZIANO SRL
FINANCIAL
COMPANIES
MILAN
ITALY
X
X
DUNAV OSIGURANJE A.D. BANJA LUKA
FINANCIAL
COMPANIES
BANJA LUKA
BOSNIA AND
HERCEGOVINA
X
X
ELEKTRA PURCHASE No. 17 S.A. - COMPARTMENT 2
FINANCIAL
COMPANIES
LUXEMBOURG
LUXEMBOURG
X
X
ELEKTRA PURCHASE No. 23 LTD
FINANCIAL
COMPANIES
DUBLIN
IRELAND
X
X
ELEKTRA PURCHASE No. 28 LTD
FINANCIAL
COMPANIES
DUBLIN
IRELAND
X
X
ELEKTRA PURCHASE No. 31 LTD
FINANCIAL
COMPANIES
DUBLIN
IRELAND
X
X
ELEKTRA PURCHASE No. 911 LTD
FINANCIAL
COMPANIES
ST. HELIER
IRELAND
X
X
E-MID SIM SPA
FINANCIAL
COMPANIES
MILAN
ITALY
X
X
EUREX BONDS GMBH
FINANCIAL
COMPANIES
FRANKFURT
GERMANY
X
X
EURO KARTENSYSTEME GESELLSCHAFT MIT
BESCHRANKTER HAFTUNG
FINANCIAL
COMPANIES
FRANKFURT
GERMANY
X
X
EUROFIDI SOCIETA' CONSORTILE DI GARANZIA COLLETTIVA
FIDI S.C.A.R.L.
FINANCIAL
COMPANIES
TURIN
ITALY
X
X
EUROPROGETTI & FINANZA S.P.A. IN LIQUIDAZIONE
FINANCIAL
COMPANIES
ROME
ITALY
X
EUROTLX SIM SPA
FINANCIAL
COMPANIES
MILAN
ITALY
X
F2I SGR SPA - FONDI ITALIANI PER LE INFRASTRUTTURE
SOCIETA DI GESTIONE
FINANCIAL
COMPANIES
MILAN
ITALY
X
FIDES LEASING GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
FIDIA SPA IN LIQUIDAZIONE
FINANCIAL
COMPANIES
MILAN
ITALY
X
X
FINPIEMONTE PARTECIPAZIONI SPA
FINANCIAL
COMPANIES
TURIN
ITALY
X
X
FONDO ITALIANO D'INVESTIMENTO SGR SPA
FINANCIAL
COMPANIES
MILAN
ITALY
X
X
FONDUL ROMAN DE GARANTARE A CREDITELOR PENTRU
INTREPRINZATORII PRIVATI-IFN S.A.
FINANCIAL
COMPANIES
BUCHAREST
ROMANIA
X
X
FRIULIA SPA - FINANZIARIA REGIONALE FRIULI-VENEZIA
GIULIA
FINANCIAL
COMPANIES
TRIESTE
ITALY
X
X
GELDILUX-TS-2010 SA
FINANCIAL
COMPANIES
LUXEMBOURG
LUXEMBOURG
X
X
GELDILUX-TS-2011 SA
FINANCIAL
COMPANIES
LUXEMBOURG
LUXEMBOURG
X
X
GELDILUX-TS-2013 SA
FINANCIAL
COMPANIES
LUXEMBOURG
LUXEMBOURG
X
X
GEPAFIN SPA
FINANCIAL
COMPANIES
PERUGIA
ITALY
X
X
GIELDA PAPIEROW WARTOSCIOWYCH W WARSZAWIE S.A.
FINANCIAL
COMPANIES
WARSAW
POLAND
X
X
H2I - HOLDING DI INIZIATIVA INDUSTRIALE S.P.A.
FINANCIAL
COMPANIES
ROME
ITALY
X
X
HYPO-BA LEASING SUD GMBH
FINANCIAL
COMPANIES
KLAGENFURT
AUSTRIA
X
45
X
X
X
X
Treatment
in
supervisory
report
AFS
Cost
Country
At Equity
Town
Full
Type
RWA
Company Name
Treatment
IAS/IFRS
Proportional
Headquarter
JOINT-STOCK COMPANY PFTS STOCK EXCHANGE
FINANCIAL
COMPANIES
KYIV
UKRAINE
X
X
KEPLER CAPITAL MARKETS SA
FINANCIAL
COMPANIES
PARIS
FRANCE
X
X
KRAJINA OSIGURANJE D.D. BANJA LUKA
FINANCIAL
COMPANIES
BANJA LUKA
BOSNIA AND
HERCEGOVINA
X
X
KRAJOWA IZBA ROZLICZENIOWA SA
FINANCIAL
COMPANIES
WARSAW
POLAND
X
KREDI GARANTI FONU A.S.
FINANCIAL
COMPANIES
ANKARA
TURKEY
X
X
KREDI KAYIT BUEROSU AS
FINANCIAL
COMPANIES
ISTANBUL
TURKEY
X
X
LEASING 439 GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
MACCORP ITALIANA SPA
FINANCIAL
COMPANIES
MILAN
ITALY
X
X
MEDIOFACTORING S.P.A.
FINANCIAL
COMPANIES
MILAN
ITALY
X
X
MEDIOFIMAA SRL
FINANCIAL
COMPANIES
ROME
ITALY
X
X
MOLISE SVILUPPO S.C.P.A.
FINANCIAL
COMPANIES
CAMPOBASSO
ITALY
X
X
NOE BETEILIGUNGSFINANZIERUNGEN GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
NOE BUERGSCHAFTEN GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
OAK RIDGE INVESTMENT LLC
FINANCIAL
COMPANIES
WILMINGTON
U.S.A.
X
OBEROESTERREICHISCHE KREDITGARANTIEGESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
LINZ
AUSTRIA
X
X
OBEROESTERREICHISCHE
UNTERNEHMENSBETEILIGUNGSGESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
LINZ
AUSTRIA
X
X
OBJEKT-LEASE
GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
OOE HIGHTECHFONDS GMBH
FINANCIAL
COMPANIES
LINZ
AUSTRIA
X
ORBIT ASSET MANAGEMENT LIMITED
FINANCIAL
COMPANIES
HAMILTON
BERMUDA
X
X
PALATIN GRUNDSTUCKVERWALTUNGS GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
STOCKERAU
AUSTRIA
X
X
PAR.CO. S.P.A.
FINANCIAL
COMPANIES
REGGIO EMILIA
ITALY
X
X
PJSC SETTLEMENT CENTRE
FINANCIAL
COMPANIES
KIEV
UKRAINE
X
X
PRACOWNICZE TOWARZYSTWO EMERYTALNE S.A.
FINANCIAL
COMPANIES
WARSAW
POLAND
X
X
PSA PAYMENT SERVICE AUSTRIA GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
PURGE GRUNDSTUCKSVERWALTUNGS-GESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
RCI FINANCIAL SERVICES S.R.O.
FINANCIAL
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
REGISTAR VRIJEDNOSNIH PAPIRA U FEDERACIJI BOSNE I
HERCEGOVINE D.D. SARAJEVO
FINANCIAL
COMPANIES
SARAJEVO
BOSNIA AND
HERCEGOVINA
X
REMBRA LEASING GESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
ROSENKAVALIER 2008 GMBH
FINANCIAL
COMPANIES
FRANKFURT
GERMANY
X
SAARLANDISCHE KAPITALBETEILIGUNGSGESELLSCHAFT
MBH
FINANCIAL
COMPANIES
SAARBRUCKEN
GERMANY
X
SCHULERRICHTUNGSGESELLSCHAFT M.B.H.
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
SERFACTORING S.P.A.
FINANCIAL
COMPANIES
SAN DONATO
MILANESE (MI)
ITALY
X
SIA UNICREDIT INSURANCE BROKER
FINANCIAL
COMPANIES
RIGA
LITHUANIA
X
X
X
X
X
X
X
X
X
X
X
X
X
DISCLOURE BY INSTITUTIONS
46
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Scope of application
Treatment
in
supervisory
report
AFS
Cost
Country
At Equity
Town
Full
Type
RWA
Company Name
Treatment
IAS/IFRS
Proportional
Headquarter
SOCIETA' CONSORTILE MATESE PER L'OCCUPAZIONE S.P.A.
FINANCIAL
COMPANIES
CAMPOBASSO
ITALY
X
SOCIETA' DI GESTIONI ESATTORIALI IN SICILIA SO.G.E.SI.
S.P.A. IN LIQ.
FINANCIAL
COMPANIES
PALERMO
ITALY
X
SOCIETA' GESTIONE CREDITI DELTA SPA
FINANCIAL
COMPANIES
BOLOGNA
ITALY
X
X
SOCIETA ITALIANA PER LE IMPRESE ALL ESTERO - SIMEST
SPA
FINANCIAL
COMPANIES
ROME
ITALY
X
X
SOCIETA REGIONALE DI GARANZIA MARCHE SOC.COOP.A
R.L.
FINANCIAL
COMPANIES
ANCONA
ITALY
X
X
SOVAGRI SOC.CONSORTILE P.A. IN LIQ.
FINANCIAL
COMPANIES
NAPLES
ITALY
X
X
SPARKASSEN-HAFTUNGS AKTIENGESELLSCHAFT
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
SREDISNJE KLIRINSKO DEPOZITARNO DRUSTVO, DIONICKO
DRUSTVO
FINANCIAL
COMPANIES
ZAGREB
CROATIA
X
X
STEIRISCHE BETEILIGUNGSFINANZIERUNGSGESELLSCHAFT
M.B.H.
FINANCIAL
COMPANIES
GRAZ
AUSTRIA
X
X
SWANCAP PARTNERS GMBH
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
TIKEHAU CAPITAL ADVISORS S.A.S
FINANCIAL
COMPANIES
PARIS
FRANCE
X
TORRE SGR S.P.A.
FINANCIAL
COMPANIES
ROME
ITALY
X
TRANSFOND S.A.
FINANCIAL
COMPANIES
BUCHAREST
ROMANIA
X
X
TRZISTE NOVCA I KRATKOROCNIH VRJEDNOSNICA D.D.
FINANCIAL
COMPANIES
ZAGREB
CROATIA
X
X
UNICREDIT BROKER DOO SARAJEVO ZA BROKERSKE
POSLOVE U OSIGURANJU
FINANCIAL
COMPANIES
SARAJEVO
BOSNIA AND
HERCEGOVINA
X
X
UNICREDIT BROKER S.R.O.
FINANCIAL
COMPANIES
BRATISLAVA
SLOVAKIA
X
X
UNICREDIT FUGGETLEN BIZTOSITASKOZVETITO KFT
FINANCIAL
COMPANIES
BUDAPEST
HUNGARY
X
X
UNICREDIT GLOBAL LEASING VERSICHERUNGSSERVICE
GMBH
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
UNICREDIT INSURANCE BROKER EOOD
FINANCIAL
COMPANIES
SOFIA
BULGARIA
X
X
UNICREDIT INSURANCE BROKER SRL
FINANCIAL
COMPANIES
BUCHAREST
ROMANIA
X
X
UNICREDIT LEASING VERSICHERUNGSSERVICE GMBH & CO
KG
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
UNICREDIT PARTNER D.O.O
FINANCIAL
COMPANIES
ZAGREB
CROATIA
X
X
UNICREDIT PARTNER D.O.O BEOGRAD
FINANCIAL
COMPANIES
BELGRADE
SERBIA
X
X
UNICREDIT PARTNER LLC
FINANCIAL
COMPANIES
KIEV
UKRAINE
X
X
UNICREDIT POIJIST'OVACI MAKLERSKA SPOL. S R.O.
FINANCIAL
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
UNICREDIT ZAVAROVALNO ZASTOPINSKA DRUZBA DOO
FINANCIAL
COMPANIES
LJUBLJANA
SLOVENIA
X
X
VBV-BETRIEBLICHE ALTERSVORSORGE AG
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
X
VENETO SVILUPPO SPA
FINANCIAL
COMPANIES
VENICE
ITALY
X
X
VENETO SVILUPPO SPA - PATRIMONIO DESTINATO PMI
FINANCIAL
COMPANIES
VENICE
ITALY
X
X
VV IMMOBILIEN GMBH & CO. UNITED STATES KG I.L.
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
VV IMMOBILIEN GMBH & CO. US CITY KG I.L,
FINANCIAL
COMPANIES
MUNICH
GERMANY
X
X
WKBG WIENER KREDITBURGSCHAFTS- UND
BETEILIGUNGSBANK AG
FINANCIAL
COMPANIES
VIENNA
AUSTRIA
X
WUSTENROT & WURTTEMBERGISCHE AG
FINANCIAL
COMPANIES
STUTTGART
GERMANY
X
47
X
X
X
X
X
X
X
X
Treatment
in
supervisory
report
AFS
Cost
Country
At Equity
Town
Full
Type
RWA
Company Name
Treatment
IAS/IFRS
Proportional
Headquarter
YAPI KREDI KORAY GAYRIMENKUL YATIRIM ORTAKLIGI AS
FINANCIAL
COMPANIES
ISTANBUL
TURKEY
X
ZAGREBACKA BURZA D.D.
FINANCIAL
COMPANIES
ZAGREB
CROATIA
X
BANK AUSTRIA-CEE BETEILIGUNGSGMBH
FINANCIAL
COMPANIES (*)
VIENNA
AUSTRIA
X
X
CAFU VERMOEGENSVERWALTUNG GMBH
FINANCIAL
COMPANIES (*)
VIENNA
AUSTRIA
X
X
COBB BETEILIGUNGEN UND LEASING GMBH
FINANCIAL
COMPANIES (*)
VIENNA
AUSTRIA
X
X
GE.S.E.T.T. - GESTIONE SERVIZI ESAZIONE TRIBUTI E
TESORERIE S.P.A. IN LIQUIDAZIONE
FINANCIAL
COMPANIES (*)
ROME
ITALY
X
X
HVB LONDON TRADING LTD.
FINANCIAL
COMPANIES (*)
LONDON
UNITED
KINGDOM
X
X
LLC UKRSOTSFINANCE
FINANCIAL
COMPANIES (*)
KIEV
UKRAINE
X
X
PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH
FINANCIAL
COMPANIES (*)
VIENNA
AUSTRIA
X
X
SFS FINANCIAL SERVICES GMBH IN LIQU
FINANCIAL
COMPANIES (*)
VIENNA
AUSTRIA
X
X
UNICREDIT (U.K.) TRUST SERVICES LTD
FINANCIAL
COMPANIES (*)
LONDON
UNITED
KINGDOM
X
X
VEREINWEST OVERSEAS FINANCE (JERSEY) LIMITED
FINANCIAL
COMPANIES (*)
ST. HELIER
JERSEY
X
X
ALLIANZ YASAM VE EMEKLILIK AS
INSURANCE
COMPANIES
ISTANBUL
TURKEY
X
ALLIANZ ZAGREB DD
INSURANCE
COMPANIES
ZAGREB
CROATIA
X
AVIVA SPA
INSURANCE
COMPANIES
MILAN
ITALY
X
BOSNA REOSIGURANJE DD SARAJEVO
INSURANCE
COMPANIES
SARAJEVO
BOSNIA AND
HERCEGOVINA
X
CNP UNICREDIT VITA S.P.A.
INSURANCE
COMPANIES
MILAN
ITALY
X
X
CREDITRAS ASSICURAZIONI SPA
INSURANCE
COMPANIES
MILAN
ITALY
X
X
CREDITRAS VITA SPA
INSURANCE
COMPANIES
MILAN
ITALY
X
X
ERGO VERSICHERUNG AG
INSURANCE
COMPANIES
VIENNA
AUSTRIA
X
X
EUROVITA ASSICURAZIONI SPA
INSURANCE
COMPANIES
ROME
ITALY
X
X
GENERALI LIFE INSURANCE AD
INSURANCE
COMPANIES
SOFIA
BULGARIA
X
X
GRAND CENTRAL RE LIMITED
INSURANCE
COMPANIES
HAMILTON
BERMUDA
X
INCONTRA ASSICURAZIONI S.P.A.
INSURANCE
COMPANIES
MILAN
ITALY
X
NET INSURANCE S.P.A.
INSURANCE
COMPANIES
ROME
ITALY
X
X
SARAJEVO OSIGURANJE D.D.
INSURANCE
COMPANIES
SARAJEVO
BOSNIA AND
HERCEGOVINA
X
X
ZABA PARTNER DOO ZA POSREDOVANJE U OSIGURANJU I
REOSIGURANJU
INSURANCE
COMPANIES
ZAGREB
CROATIA
X
ABC - CONSORZIO DI BANCHE E ASSICURAZIONI PER LO
SVILUPPO DEGLI ASSET OPERATIVI, DEL PROCUREMENT E
DEL COST MANAGEMENT
OTHER
COMPANIES
ROME
ITALY
X
X
ABI LAB - CENTRO DI RICERCA E INNOVAZIONE PER LA
BANCA
OTHER
COMPANIES
ROME
ITALY
X
X
ACCENTURE BACK OFFICE AND ADMINISTRATION SERVICES
SPA
OTHER
COMPANIES
MILAN
ITALY
X
X
ACIS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
ADRIA AIRWAYS SLOVENSKI LETALSKI PREVOZNIK DD
OTHER
COMPANIES
BRNIK AERODROM
SLOVENIA
X
X
AEDES SPA
OTHER
COMPANIES
MILAN
ITALY
X
X
X
X
X
X
X
X
X
X
X
DISCLOURE BY INSTITUTIONS
48
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Scope of application
Treatment
in
supervisory
report
AFS
Cost
Country
At Equity
Town
Full
Type
RWA
Company Name
Treatment
IAS/IFRS
Proportional
Headquarter
AEROPORTO DI REGGIO EMILIA S.R.L.
OTHER
COMPANIES
REGGIO EMILIA
ITALY
X
X
AEROPORTO G. MARCONI DI BOLOGNA SPA
OTHER
COMPANIES
BOLOGNA
ITALY
X
X
AGENZIA DI POLLENZO S.P.A.
OTHER
COMPANIES
BRA (CUNEO)
ITALY
X
X
AGRUND GRUNDSTUCKS-GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
ALTEA VERWALTUNGSGESELLSCHAFT MBH & CO. OBJEKT I
KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
AMFA SPA
OTHER
COMPANIES
RIMINI
ITALY
X
AMMS ERSATZ-KOMPLEMENTAR GMBH
OTHER
COMPANIES
EBERSBERG
GERMANY
X
X
AMMS KOMPLEMENTAR GMBH
OTHER
COMPANIES
EBERSBERG
GERMANY
X
X
ANWA GESELLSCHAFT FUR ANLAGENVERWALTUNG MBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
AQM S.R.L.
OTHER
COMPANIES
PROVAGLIO D'ISEO
(BS)
ITALY
X
ARENA STADION BETEILIGUNGSVERWALTUNGS-GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
ARETHA FACILITY MANAGEMENT GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
AREZZO FIERE E CONGRESSI SRL
OTHER
COMPANIES
AREZZO
ITALY
X
X
ARZ ALLGEMEINES RECHENZENTRUM GMBH
OTHER
COMPANIES
INNSBRUCK
AUSTRIA
X
X
ASTRIM S.P.A.
OTHER
COMPANIES
ROME
ITALY
X
X
A-TRUST GESELLSCHAFT FUER SICHERHEITSSYSTEME IM
ELEKTRONISCHEN DATENVERKEHR GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
AUSTRIAN REPORTING SERVICES GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
BANK AUSTRIA IMMOBILIEN ENTWICKLUNGS- UND
VERWERTUNGSGMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
BANK AUSTRIA REAL INVEST ASSET MANAGEMENT GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
BAREAL IMMOBILIENTREUHAND GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
BAYBG BAYERISCHE BETEILIGUNGSGESELLSCHAFT MBH
OTHER
COMPANIES
MUNICH
GERMANY
X
BAYERISCHE WOHNUNGSGESELLSCHAFT FUER HANDEL
UND INDUSTRIE, GESELLSCHAFT MIT BESCHRAENKTER
HAFTUNG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
BFL BETEILIGUNGSGESELLSCHAFT FUR FLUGZEUG-LEASING
MBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
BIL AIRCRAFTLEASING GMBH
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
BIL IMMOBILIEN FONDS GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
BIL LEASING GMBH & CO OBJEKTE FREIBERG KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
BILANCIAI INTERNATIONAL SPA
OTHER
COMPANIES
CAMPOGALLIANO
ITALY
X
X
BIROUL DE CREDIT S.A.
OTHER
COMPANIES
BUCHAREST
ROMANIA
X
X
BLUE CAPITAL EUROPA IMMOBILIEN GMBH & CO. FUNFTE
OBJEKTE OSTERREICH KG
OTHER
COMPANIES
HAMBURG
GERMANY
X
X
BLUE CAPITAL EUROPA IMMOBILIEN GMBH & CO. SECHSTE
OBJEKTE GROSSBRITANNIEN KG
OTHER
COMPANIES
HAMBURG
GERMANY
X
X
BLUE CAPITAL EUROPA IMMOBILIEN GMBH & CO. SIEBTE
OBJEKTE OSTERREICH KG
OTHER
COMPANIES
HAMBURG
GERMANY
X
X
BLUE CAPITAL EUROPA IMMOBILIEN GMBH & CO. ZWEITE
OBJEKTE NIEDERLANDE KG
OTHER
COMPANIES
HAMBURG
GERMANY
X
X
49
X
X
X
Treatment
in
supervisory
report
AFS
Cost
Country
At Equity
Town
Full
Type
RWA
Company Name
Treatment
IAS/IFRS
Proportional
Headquarter
BLUE CAPITAL METROPOLITAN AMERIKA GMBH & CO. KG
(GI AMERIKA GMBH & CO DRITTE OBJEKT USA KG)
OTHER
COMPANIES
HAMBURG
GERMANY
X
X
BORSE DUSSELDORF AG
OTHER
COMPANIES
DUSSELDORF
GERMANY
X
X
BOX 2004 SRL (IN LIQUIDAZIONE)
OTHER
COMPANIES
ROME
ITALY
X
BRIXIA EXPO - FIERA DI BRESCIA S.P.A.
OTHER
COMPANIES
BRESCIA
ITALY
X
BV-BGPB BETEILIGUNGSGESELLSCHAFT PRIVATER BANKEN
FUR INTERNET - UND MOBILE BEZAHLUNGEN MBH
OTHER
COMPANIES
BERLIN
GERMANY
X
C.A.A.B. SCPA- CENTRO AGROALIMENTARE DI BOLOGNA
OTHER
COMPANIES
BOLOGNA
ITALY
X
X
C.A.A.N. - CENTRO AGRO ALIMENTARE DI NAPOLI S.C.P.A.
OTHER
COMPANIES
LOCALITA'
LUFRANO - VOLLA
(NAPOLI)
ITALY
X
X
C.A.R. - CENTRO AGRO ALIMENTARE DI ROMA S.C.P.A.
OTHER
COMPANIES
GUIDONIA
MONTECELIO
(ROMA)
ITALY
X
X
C.I.M. BETEILIGUNGEN 1998 GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
C.I.M.VERWALTUNG UND BETEILIGUNGEN 1999 GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
CAAT - CENTRO AGRO-ALIMENTARE TORINO SCPA
OTHER
COMPANIES
GRUGLIASCO
ITALY
X
X
CBCB - CZECH BANKING CREDIT BUREAU, A.S.
OTHER
COMPANIES
PRAGUE
CZECH
REPUBLIC
X
X
CEESEG AG
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
CENTER HEINRICH - COLLIN - STRASSE 1 VERMIETUNGS
GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
CENTRAL REGISTER OF SECURITIES
OTHER
COMPANIES
BANJA LUKA
BOSNIA AND
HERCEGOVINA
X
X
CISFI SPA
OTHER
COMPANIES
NAPLES
ITALY
X
X
CITTA' STUDI SPA
OTHER
COMPANIES
BIELLA
ITALY
X
X
CIVITA SICILIA S.R.L.
OTHER
COMPANIES
PALERMO
ITALY
X
X
CL DRITTE CAR LEASING GMBH & CO. KG I.L.
OTHER
COMPANIES
HAMBURG
GERMANY
X
X
CL DRITTE CAR LEASING VERWALTUNGSGESELLSCHAFT
MBH I.L.
OTHER
COMPANIES
HAMBURG
GERMANY
X
X
CLASS CNBC SPA
OTHER
COMPANIES
MILAN
ITALY
X
X
CO.SVI.G. SCRL
OTHER
COMPANIES
ROME
ITALY
X
X
COLORADO -ASSOCIAZIONE IN PARTECIPAZIONE FUGA DI
CERVELLI
OTHER
COMPANIES
MILAN
ITALY
X
X
COMPAGNIA INVESTIMENTI E SVILUPPO C.I.S. - SPA
OTHER
COMPANIES
VILLAFRANCA
ITALY
X
X
COMPAGNIE FONCIERE DU VIN S.A. - (IN FORMA
ABBREVIATA CFV S.A.)
OTHER
COMPANIES
LUXEMBOURG
LUXEMBOURG
X
X
CONSORZIO PATTICHIARI
OTHER
COMPANIES
ROME
ITALY
X
X
CONSORZIO PER LO SVILUPPO INDUSTRIALE DELLA
PROVINCIA DI RIETI
OTHER
COMPANIES
RIETI
ITALY
X
X
CONSORZIO ROMA RICERCHE
OTHER
COMPANIES
ROME
ITALY
X
X
COSTA PARCHI SPA
OTHER
COMPANIES
CATTOLICA
ITALY
X
X
DELTATERRA GESELLSCHAFT FUR
IMMOBILIENVERWALTUNG MBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
DFA DEGGENDORFER FREIHAFEN ANSIEDLUNGS-GMBH
OTHER
COMPANIES
DEGGENDORF
GERMANY
X
X
X
X
X
X
DISCLOURE BY INSTITUTIONS
50
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Scope of application
Treatment
in
supervisory
report
AFS
Cost
Country
At Equity
Town
Full
Type
RWA
Company Name
Treatment
IAS/IFRS
Proportional
Headquarter
DUSSELDORFER BORSENHAUS GMBH
OTHER
COMPANIES
DUSSELDORF
GERMANY
X
X
DUTY FREE ZONE BOURGAS AD
OTHER
COMPANIES
BOURGAS
BULGARIA
X
X
EBG - EUROPAY BETEILIGUNGS GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
EINKAUFSGALERIE ROTER TURM BETEILIGUNGS GMBH &
CO. KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
EINKAUFSGALERIE ROTER TURM CHEMNITZ GMBH & CO.
KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
ERG RENEW SPA
OTHER
COMPANIES
MILAN
ITALY
X
X
EUROCLASS MULTIMEDIA HOLDING S.A.
OTHER
COMPANIES
LUXEMBOURG
LUXEMBOURG
X
X
EUROIMPRESA LEGNANO S.C.R.L.
OTHER
COMPANIES
LEGNANO
(MILANO)
ITALY
X
X
EUROPEAN DATAWAREHOUSE GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
EUROSANITA' S.P.A.
OTHER
COMPANIES
ROME
ITALY
X
X
FELICITAS GMBH I.L.
OTHER
COMPANIES
MUNICH
GERMANY
X
X
FENICE SRL
OTHER
COMPANIES
MILAN
ITALY
X
FIERA DI FORLI SPA
OTHER
COMPANIES
FORLI'
ITALY
X
X
FIERA TRIESTE SPA IN LIQUIDAZIONE
OTHER
COMPANIES
TRIESTE
ITALY
X
X
FILM & ENTERTAINMENT VIP MEDIENFONDS 4 GMBH &
CO. KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
FILMAURO SRL ASSOCIAZIONE IN PARTECIPAZIONE COLPI
DI FULMINE
OTHER
COMPANIES
ROME
ITALY
X
X
FILMAURO SRL ASSOCIAZIONE IN PARTECIPAZIONE COLPO
DI FORTUNA
OTHER
COMPANIES
ROME
ITALY
X
X
FILMAURO SRL ASSOCIAZIONE IN PARTECIPAZIONE SOTTO
UNA BUONA STELLA
OTHER
COMPANIES
ROME
ITALY
X
X
G.A.L. DELL'ALTA MARCA TREVIGIANA SCRL
OTHER
COMPANIES
PIEGHE DI SOLIGO
ITALY
X
X
G.A.L. TERRE DI MARCA SCRL
OTHER
COMPANIES
GORGO AL
MONTICANO
ITALY
X
X
GABETTI PROPERTY SOLUTIONS SPA
OTHER
COMPANIES
MILAN
ITALY
X
X
GARAGE AM HOF GESELLSCHAFT M.B.H.
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
GARANTIQA HITELGARANCIA ZRT.
OTHER
COMPANIES
BUDAPEST
HUNGARY
X
X
GELDSERVICE AUSTRIA LOGISTIK FUER
WERTGESTIONIERUNG UND TRANSPORTKOORDINATION
GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
GESCHUETZTE WERKSTAETTE WR. NEUSTADT
GESELLSCHAFT M.B.H.
OTHER
COMPANIES
WR. NEUSTADT
AUSTRIA
X
X
GESFOE GEMEINNUETZIGE BAU- UND
SIEDLUNGSGESELLSCHAFT M.B.H.
OTHER
COMPANIES
REGAU
AUSTRIA
X
GOLF CLUB MODENA SPA
OTHER
COMPANIES
COLOMBARO DI
FORMIGINE
ITALY
X
X
GOLFPARK KLOPEINERSEE-SUEDKAERNTEN GMBH & CO.
KG
OTHER
COMPANIES
ST.KANZIAN
AUSTRIA
X
X
H.F.S. IMMOBILIENFONDS BAHNHOFSPASSAGEN
POTSDAM GMBH & CO. KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. IMMOBILIENFONDS DAS SCHLOSS BERLIN-STEGLITZ
GMBH & CO. KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. IMMOBILIENFONDS DEUTSCHLAND 1 GMBH & CO.
KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. IMMOBILIENFONDS DEUTSCHLAND 10 GMBH & CO.
KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. IMMOBILIENFONDS DEUTSCHLAND 11 GMBH & CO.
KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
51
X
X
Treatment
in
supervisory
report
AFS
Cost
Country
At Equity
Town
Full
Type
RWA
Company Name
Treatment
IAS/IFRS
Proportional
Headquarter
H.F.S. IMMOBILIENFONDS DEUTSCHLAND 12 GMBH & CO.
KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. IMMOBILIENFONDS DEUTSCHLAND 15 GMBH & CO.
KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. IMMOBILIENFONDS DEUTSCHLAND 16 GMBH & CO.
KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. IMMOBILIENFONDS DEUTSCHLAND 18 GMBH & CO.
KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. IMMOBILIENFONDS DEUTSCHLAND 19 GMBH & CO.
KG
OTHER
COMPANIES
MUNICH
GERMANY
X
H.F.S. IMMOBILIENFONDS DEUTSCHLAND 3 GMBH & CO.
KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. IMMOBILIENFONDS DEUTSCHLAND 4 GMBH & CO.
KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. IMMOBILIENFONDS DEUTSCHLAND 6 GMBH & CO.
KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. IMMOBILIENFONDS DEUTSCHLAND 7 GMBH & CO.
KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. IMMOBILIENFONDS DEUTSCHLAND 8 GMBH & CO.
KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. IMMOBILIENFONDS DEUTSCHLAND 9 GMBH & CO.
KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. IMMOBILIENFONDS EUROPA 2 BETEILIGUNGS GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. IMMOBILIENFONDS EUROPA 3 BETEILIGUNGS B.V.
OTHER
COMPANIES
L'AJA
NETHERLANDS
X
X
H.F.S. IMMOBILIENFONDS GMBH & CO. EUROPA 3 KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. IMMOBILIENFONDS KOLN GMBH & CO. KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. IMMOBILIENFONDS SCHWEINFURT GMBH & CO. KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. LEASINGFONDS GMBH
OTHER
COMPANIES
EBERSBERG
GERMANY
X
X
H.F.S. VALUE MANAGEMENT GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. ZWEITMARKTFONDS DEUTSCHLAND 1 GMBH & CO.
KG
OTHER
COMPANIES
EBERSBERG
GERMANY
X
X
H.F.S. ZWEITMARKTFONDS DEUTSCHLAND 2 GMBH & CO.
KG
OTHER
COMPANIES
EBERSBERG
GERMANY
X
X
H.F.S. ZWEITMARKTFONDS DEUTSCHLAND 3 KG GMBH &
CO. KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
H.F.S. ZWEITMARKTFONDS DEUTSCHLAND 4 GMBH & CO.
KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
HEIZKRAFTWERK COTTBUS VERWALTUNGS GMBH
OTHER
COMPANIES
COTTBUS
GERMANY
X
X
HEIZKRAFTWERKE-POOL-VERWALTUNGS-GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
HOBEX AG
OTHER
COMPANIES
WALS-SIEZENHEIM
AUSTRIA
X
HP IT-SOLUTIONS GESELLSCHAFT MIT BESCHRAENKTER
HAFTUNG
OTHER
COMPANIES
INNSBRUCK
AUSTRIA
X
HROK DOO
OTHER
COMPANIES
ZAGREB
CROATIA
X
HVB LIFE SCIENCE GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
HVBFF BAUMANAGEMENT GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
HVBFF KAPITALVERMITTLUNGS GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
HVBFF LEASING & INVESTITION GMBH & CO ERSTE KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
HVBFF LEASING OBJEKT GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
HVBFF LEASING-FONDS VERWALTUNGS GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
HVBFF OBJEKT LEIPZIG GMBH
OTHER
COMPANIES
LEIPZIG
GERMANY
X
X
X
X
X
X
DISCLOURE BY INSTITUTIONS
52
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Scope of application
Treatment
in
supervisory
report
AFS
Cost
Country
At Equity
Town
Full
Type
RWA
Company Name
Treatment
IAS/IFRS
Proportional
Headquarter
HYPO-REAL HAUS- UND GRUNDBESITZ GESELLSCHAFT
MBH
OTHER
COMPANIES
MUNICH
GERMANY
X
IGEPA GEWERBEPARK GMBH & CO VERMIETUNGS KG
OTHER
COMPANIES
FURSTENFELDBRUCK
GERMANY
X
X
IMOF SPA - SOCIETA' CONSORTILE PER LA REALIZZAZIONE
DEL CENTRO AGROALIMENTARE ALL'INGROSSO DI FONDI
OTHER
COMPANIES
FONDI
ITALY
X
X
INGOSSTRAKH
OTHER
COMPANIES
MOSCOW
RUSSIA
X
X
INTERBANKING SYSTEMS S.A. (DIAS S.A.)
OTHER
COMPANIES
MAROUSSI
GREECE
X
X
INTERNATIONAL FACTORS GROUP SCRL
OTHER
COMPANIES
BRUXELLES
BELGIUM
X
X
INTERPORTO BOLOGNA SPA
OTHER
COMPANIES
BOLOGNA
ITALY
X
X
INTERPORTO CAMPANO S.P.A.
OTHER
COMPANIES
NAPLES
ITALY
X
X
INTERPORTO DI ROVIGO SPA
OTHER
COMPANIES
ROVIGO
ITALY
X
X
INTERPORTO MARCHE SPA
OTHER
COMPANIES
JESI
ITALY
X
X
INTERPORTO PADOVA SPA
OTHER
COMPANIES
PADOVA
ITALY
X
X
ISFOR 2000 S.C.P.A.
OTHER
COMPANIES
BRESCIA
ITALY
X
X
ISTICA - ISTITUTO IMMOBILIARE DI CATANIA SPA
OTHER
COMPANIES
CATANIA
ITALY
X
X
ISTITUTO DELLA ENCICLOPEDIA ITALIANA FONDATA DA
G.TRECCANI S.P.A.
OTHER
COMPANIES
ROME
ITALY
X
X
ISTITUTO EUROPEO DI ONCOLOGIA SRL
OTHER
COMPANIES
MILAN
ITALY
X
X
ITALCARNI SOCIETA COOPERATIVA AGRICOLA
OTHER
COMPANIES
MIGLIARINA DI
CARPI (MODENA)
ITALY
X
X
ITALIAN INTERNATIONAL FILM - ASSOCIAZIONE IN
PARTECIPAZIONI L' ULTIMA SPIAGGIA
OTHER
COMPANIES
ROME
ITALY
X
X
ITALTEL SPA
OTHER
COMPANIES
SETTIMO MILANESE
ITALY
X
X
KOC KUELTUER SANAT VE TANITIM HITZMETLERI VE
TICARET (KOC KUELTUER SANAT TANITIM AS)
OTHER
COMPANIES
ISTANBUL
TURKEY
X
KREDITNI BIRO SISBON, UPRAVLJALEC SISTEMA IZMENJAVE
INFORMACIJO BONITETI STRANK, D.O.O.
OTHER
COMPANIES
LJUBLJANA
SLOVENIA
X
LANDOS IMMOBILIEN- UND PROJEKTENTWICKLUNGS
GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
LIFE BRITANNIA MANAGEMENT GMBH
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
LIFE GMBH & CO ERSTE KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
LIFE GMBH & CO. ZWEITE KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
LIFE VERWALTUNGS ERSTE GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
LIFE VERWALTUNGS ZWEITE GMBH
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
LUX VIDE FINANZIARIA SPA ASSOCIAZIONE IN
PARTECIPAZIONE BIANCA COME IL LATTE ROSSA COME IL
SANGUE
OTHER
COMPANIES
ROME
ITALY
X
M.A.I.L. REAL ESTATE MANAGEMENT JOTA BRATISLAVA
S.R.O.
OTHER
COMPANIES
BRATISLAVA
SLOVAKIA
X
MANTOVA INTERPORTO SRL
OTHER
COMPANIES
MANTOVA
ITALY
X
X
MARINA DI NETTUNO CIRCOLO NAUTICO S.P.A.
OTHER
COMPANIES
NETTUNO (ROMA)
ITALY
X
X
MARTIN SCHMALZLE GRUNDESTUCKSGESELLSCHAFT
OBJEKT WOLFSBURG GMBH & CO. KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
53
X
X
X
X
X
Treatment
in
supervisory
report
AFS
Cost
Country
At Equity
Town
Full
Type
RWA
Company Name
Treatment
IAS/IFRS
Proportional
Headquarter
MBG MITTELSTANDISCHE BETEILIGUNGSGESELLSCHAFT
BADEN-WURTTEMBERG GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
MBG MITTELSTANDISCHE BETEILIGUNGSGESELLSCHAFT
RHEINLAND-PFALZ MBH
OTHER
COMPANIES
MAINZ
GERMANY
X
X
MBG MITTELSTANDISCHE BETEILIGUNGSGESELLSCHAFT
SCHLESWIG-HOLSTEIN MBH
OTHER
COMPANIES
KIEL
GERMANY
X
X
MEDNAV S.P.A.
OTHER
COMPANIES
ROME
ITALY
X
X
MEGAPARK INVEST GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
MILANOSESTO SPA
OTHER
COMPANIES
MILAN
ITALY
X
X
MITTELSTANDISCHE BETEILIGUNGSGESELLSCHAFT BERLINBRANDENBURG GMBH
OTHER
COMPANIES
SCHWERIN
GERMANY
X
X
MITTELSTANDISCHE BETEILIGUNGSGESELLSCHAFT
MECKLENBURG-VORPOMMERN MBH
OTHER
COMPANIES
SCHWERIN
GERMANY
X
X
MITTELSTANDISCHE BETEILIGUNGSGESELLSCHAFT
NIEDERSACHSEN (MBG) MBH
OTHER
COMPANIES
HANNOVER
GERMANY
X
X
MITTELSTANDISCHE BETEILIGUNGSGESELLSCHAFT
SACHSEN MBH
OTHER
COMPANIES
DRESDA
GERMANY
X
X
MITTELSTANDISCHE BETEILIGUNGSGESELLSCHAFT
SACHSEN-ANHALT MIT BESCHRANKTER HAFTUNG
OTHER
COMPANIES
MAGDEBURGO
GERMANY
X
X
MITTELSTANDISCHE BETEILIGUNGSGESELLSCHAFT
THURINGEN MBH
OTHER
COMPANIES
ERFURT
GERMANY
X
X
MIZUHO CORPORATE BANK - BA INVESTMENT CONSULTINGGMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
MOTION PICTURE PRODUCTION GMBH
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
MOTION PICTURE PRODUCTION GMBH & CO. ERSTE KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
MUHOGA MUNCHNER HOCHGARAGEN GESELLSCHAFT MIT
BESCHRANKTER HAFTUNG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
MUTNEGRA BETEILIGUNGS- UND VERWALTUNGS-GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
NATURAL STONE INVESTMENTS SA
OTHER
COMPANIES
LUXEMBOURG
LUXEMBOURG
X
X
NEUMAYER TEKFOR VERWALTUNGS GMBH I.L.
OTHER
COMPANIES
OFFENBURG
GERMANY
X
X
NOMISMA - SOCIETA' DI STUDI ECONOMICI SPA
OTHER
COMPANIES
BOLOGNA
ITALY
X
X
OFFICINAE VERDI SOCIETA' PER AZIONI
OTHER
COMPANIES
ROME
ITALY
X
X
OGR-CRT SOCIETA' CONSORTILE PER AZIONI
OTHER
COMPANIES
TURIN
ITALY
X
X
OJSC NATIONAL BUREAU OF CREDIT HISTORIES
OTHER
COMPANIES
MOSCOW
RUSSIA
X
OMNIA GRUNDSTUCKS-GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
OMNIA GRUNDSTUCKS-GMBH & CO. BETRIEBS KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
OMNIA GRUNDSTUCKS-GMBH & CO. OBJEKT
OSTRAGEHEGE KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
OPP DEUTSCHLAND BETEILIGUNGSGESELLSCHAFT MBH
OTHER
COMPANIES
BERLIN
GERMANY
X
X
OSCA GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT MBH
& CO. KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
OT-OPTIMA TELEKOM DOO
OTHER
COMPANIES
CROATIA
X
X
P.A.N. GMBH & CO. KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
P.A.N. VERWALTUNGS GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
P.B. SRL IN LIQUIDAZIONE
OTHER
COMPANIES
MILAN
ITALY
X
X
X
X
X
DISCLOURE BY INSTITUTIONS
54
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Scope of application
Treatment
in
supervisory
report
AFS
Cost
Country
At Equity
Town
Full
Type
RWA
Company Name
Treatment
IAS/IFRS
Proportional
Headquarter
PACO CINEMATOGRAFICA SRL - ASSOCIAZIONE IN
PARTECIPAZIONI THE BEST OFFER
OTHER
COMPANIES
ROME
ITALY
X
X
PALOMAR SPA ASSOCIAZIONE IN PARTECIPAZIONE
L'INTREPIDO
OTHER
COMPANIES
ROME
ITALY
X
X
PATTO 2000 SCARL
OTHER
COMPANIES
CITTA DELLA PIEVE
ITALY
X
X
PEGASO INVESTIMENTI - CAMPIONI D'IMPRESA SPA
OTHER
COMPANIES
TURIN
ITALY
X
X
PEGASUS PROJECT STADTHAUS HALLE GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
PERTERRA GESELLSCHAFT FUR IMMOBILIENVERWALTUNG
MBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
PETROL, SLOVENSKA ENERGETSKA DRU-BA, D.D.
OTHER
COMPANIES
LJUBLJANA
SLOVENIA
X
X
PEVEC D.D.
OTHER
COMPANIES
BJELOVAR
CROATIA
X
X
PONTI ENGINEERING SCARL
OTHER
COMPANIES
CITTA DI CASTELLO
ITALY
X
X
POSLOVNI SISTEM MERCATOR D.D. (MERCATOR D.D.)
OTHER
COMPANIES
LJUBLJANA
SLOVENIA
X
X
PRELIOS SPA
OTHER
COMPANIES
MILAN
ITALY
X
X
PROJEKTENTWICKLUNG SCHOENEFELD
VERWALTUNGSGESELLSCHAFT MBH
OTHER
COMPANIES
SCHOENEFELD
GERMANY
X
X
QUINTERRA GESELLSCHAFT FUR
IMMOBILIENVERWALTUNG MBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
RAMSES-IMMOBILIENHOLDING GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
REAL (E) VALUE IMMOBILIEN BEWERTUNGSGMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
REAL INVEST PROPERTY GMBH & CO SPB JOTA KG
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
REGGIO EMILIA FIERE S.R.L. IN CONCORDATO PREVENTIVO
OTHER
COMPANIES
REGGIO EMILIA
ITALY
X
X
REGGIO EMILIA INNOVAZIONE S.C.A R.L.
OTHER
COMPANIES
REGGIO EMILIA
ITALY
X
X
RIMINITERME SPA
OTHER
COMPANIES
MIRAMARE DI
RIMINI
ITALY
X
X
RISANAMENTO SPA
OTHER
COMPANIES
MILAN
ITALY
X
X
ROLIN GRUNDSTUCKSPLANUNGS- UND VERWALTUNGSGESELLSCHAFT MBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
ROTUS IMMOBILIEN-VERWALTUNGS GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
ROUBINI GLOBAL ECONOMICS LLC
OTHER
COMPANIES
WILMINGTON
U.S.A.
X
X
S.A.S.E. SPA
OTHER
COMPANIES
PERUGIA
ITALY
X
X
SALZBURGER
UNTERNEHMENSBETEILIGUNGSGESELLSCHAFT M.B.H.
OTHER
COMPANIES
SALZBURG
AUSTRIA
X
X
SATEL SABAH TELEVIZYON PRODUKSIYON A.S. (SATEL)
OTHER
COMPANIES
ISTANBUL
TURKEY
X
X
SAVA D.D., DRU-BA ZA UPRAVLJANJE IN FINANCIRANJE,
D.D.
OTHER
COMPANIES
KRANJ
SLOVENIA
X
X
SHOPPING USA GMBH & CO. ERSTE IMMOBILIEN KG I.L.
OTHER
COMPANIES
HAMBURG
GERMANY
X
X
SIA SPA
OTHER
COMPANIES
MILAN
ITALY
X
X
SICILIA CONVENTION BUREAU S.C.A R.L
OTHER
COMPANIES
CATANIA
ITALY
X
X
SINERA AG IN LIQUIDATION
OTHER
COMPANIES
ZURICH
SWITZERLAND
X
X
SK BV GRUNDSTUCKSENTWICKLUNG VERWALTUNG GMBH
I.L.
OTHER
COMPANIES
COLONIA
GERMANY
X
X
SOCIETA COOPERATIVA BILANCIAI CAMPOGALLIANO
OTHER
COMPANIES
CAMPOGALLIANO
ITALY
X
55
X
Treatment
in
supervisory
report
AFS
Cost
Country
At Equity
Town
Full
Type
RWA
Company Name
Treatment
IAS/IFRS
Proportional
Headquarter
SOCIETA' ITALIANA DI MONITORAGGIO S.P.A.
OTHER
COMPANIES
ROME
ITALY
X
X
SOCIETY FOR WORLDWIDE INTERBANK FINANCIAL
TELECOMMUNICATION S.C. (S.W.I.F.T.)
OTHER
COMPANIES
LA HULPE
BELGIUM
X
X
SOFIA L.P.
OTHER
COMPANIES
ST. PETER PORT
GUERNSEY
X
X
SPA IMMOBILIARE FIERA DI BRESCIA
OTHER
COMPANIES
BRESCIA
ITALY
X
X
SPACE SPA
OTHER
COMPANIES
MILAN
ITALY
X
X
SPARKASSEN IT HOLDING AG
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
STAR22 PLANUNGS - UND ERRICHTUNGS GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
STIL NOVO PARTECIPAZIONI SPA
OTHER
COMPANIES
MILAN
ITALY
X
X
STUDIENGESELLSCHAFT FUER ZUSAMMENARBEIT IM
ZAHLUNGSVERKEHR (STUZZA) G.M.B.H.
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
TC-TERTIA PROJEKTVERWALTUNGSGESELLSCHAFT M.B.H.
OTHER
COMPANIES
VIENNA
AUSTRIA
X
TECHNOLOGIE-U DIENSTLEISTUNGSZENTRUM ENNSTAL
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
THERME WIEN G.M.B.H. & CO KG
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
THERME WIEN GES.M.B.H.
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
TREUCONSULT PROPERTY ALPHA GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
TREUCONSULT PROPERTY BETA GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
TREUCONSULT PROPERTY EPSILON GMBH
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
TSG EDV-TERMINAL-SERVICE GES.M.B.H.
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
TURKIYE PETROLLERI AO
OTHER
COMPANIES
ANKARA
TURKEY
X
X
UNIPEG - SOCIETA COOPERATIVA AGRICOLA
OTHER
COMPANIES
REGGIO EMILIA
ITALY
X
X
VALUE TRANSFORMATION SERVICES SPA
OTHER
COMPANIES
VERONA
ITALY
X
X
VBII INDUSTRIE UND IMMOBILIEN GMBH IN LIQ
OTHER
COMPANIES
HAMBURG
GERMANY
X
X
VBW BAUEN UND WOHNEN GMBH
OTHER
COMPANIES
BOCHUM
GERMANY
X
X
VICTORIA-VOLKSBANKEN PENSIONSKASSEN AKTIENGESELLSCHAFT
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
VINCENZO ZUCCHI SPA
OTHER
COMPANIES
RESCALDINA
ITALY
X
X
WACHSTUMSINITIATIVE SUDERELBE AKTIENGESELLSCHAFT
OTHER
COMPANIES
HAMBURG
GERMANY
X
X
WCREM CANADIAN MANAGEMENT INC.
OTHER
COMPANIES
TORONTO
CANADA
X
WEALTHCAP AIRCRAFT 1 GMBH & CO. KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP AIRCRAFT 25 GMBH & CO. KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
WEALTHCAP AIRCRAFT 26 GMBH CO. KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
WEALTHCAP AIRCRAFT 27 GMBH & CO GESCHLOSSENE
INVESTMENTKG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
WEALTHCAP DRITTE EUROPA IMMOBILIEN
VERWALTUNGSGESELLSCHAFT MBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP ENTITY SERVICE GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP EQUITY SEKUNDAR GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP ERSTE KANADA IMMOBILIEN
VERWALTUNGSGESELLSCHAFT MBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
X
X
DISCLOURE BY INSTITUTIONS
56
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Scope of application
Treatment
in
supervisory
report
AFS
Cost
Country
At Equity
Town
Full
Type
RWA
Company Name
Treatment
IAS/IFRS
Proportional
Headquarter
WEALTHCAP EUROPA ERSTE IMMOBILIEN - OBJEKTE
NIEDERLANDE - VERWALTUNGS GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP EUROPA IMMOBILIEN FUNFTE OBHEKTE
OSTERREICH KOMPLEMENTAR GMBH
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
WEALTHCAP EUROPA IMMOBILIEN SIEBTE OBJEKTE
TERREICH KOMPLEMENT GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP EUROPA IMMOBILIEN VERWALTUNGS GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP IMMOBILIEN DEUTSCHLAND 38 GMBH & CO
GESCHLOSSENE INVESTMENT KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP IMMOBILIEN UND VERWALTUNG SEKUNDAR
GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP IMMOBILIENFONDS DEUTSCHLAND 30 GMBH
& CO. KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP IMMOBILIENFONDS DEUTSCHLAND 31 GMBH
& CO. KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP IMMOBILIENFONDS DEUTSCHLAND 32 GMBH
& CO. KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP IMMOBILIENFONDS DEUTSCHLAND 33 GMBH
& CO KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP IMMOBILIENFONDS DEUTSCHLAND 34 GMBH
& CO. KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP IMMOBILIENFONDS DEUTSCHLAND 35 GMBH
& CO. KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP IMMOBILIENFONDS DEUTSCHLAND 36 GMBH
& CO. KG
OTHER
COMPANIES
MUNICH
GERMANY
X
WEALTHCAP IMMOBILIENFONDS DEUTSCHLAND 37 GMBH
& CO KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP INFRASTRUCTURE FUND I GMBH & CO. KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP INFRASTRUKTUR AMERIKA GMBH & CO. KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
WEALTHCAP LEASING 1 GMBH & CO. KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
WEALTHCAP LEASING 2 GMBH & CO KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
WEALTHCAP LEASING 3 GMBH & CO. KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
WEALTHCAP LEASING 4 GMBH & CO KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
WEALTHCAP LEBENSWERT 1 GMBH & CO. KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
WEALTHCAP LEBENSWERT 2. GMBH & CO. KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
WEALTHCAP LIFE BRITANNIA 2 GMBH & C0 KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP LIFE USA 4 GMBH & CO. KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
WEALTHCAP OBJEKT HUFELANDSTRASSE GMBH & CO KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP OBJEKT RIEM GMBH & CO KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP OBJEKT-VORRAT 2 GMBH & CO. KG
OTHER
COMPANIES
GERMANY
X
X
WEALTHCAP PEIA SEKUNDAR GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP PHOTOVOLTAIK 1 GMBH & CO. KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
WEALTHCAP PRIVATE EQUITY GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP PRIVATE EQUITY SEKUNDAR GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP REAL ESTATE GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP REAL ESTATE KOMPLEMENTAR GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP REAL ESTATE SEKUNDAR GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
57
X
X
Treatment
in
supervisory
report
AFS
Cost
Country
At Equity
Town
Full
Type
RWA
Company Name
Treatment
IAS/IFRS
Proportional
Headquarter
WEALTHCAP SACHWERTE PORTFOLIO 1 GMBH & CO. KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
WEALTHCAP SACHWERTE PORTFOLIO 2 KOMPLEMENTAR
GMBH
OTHER
COMPANIES
GRUNWALD
GERMANY
X
WEALTHCAP US LIFE DRITTE GMBH & CO.KG
OTHER
COMPANIES
MUNICH
GERMANY
X
WEALTHCAP VORRATS-1 GMBH
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
WEALTHCAP VORRATS-2 GMBH
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
WEALTHCAP ZWEITE EUROPA IMMOBILIEN
VERWALTUNGSGESELLSCHAFT MBH
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP ZWEITMARKT 3 BASIS GMBH & CO.KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
WEALTHCAP ZWEITMARKT 3 PLUS GMBH & CO. KG
OTHER
COMPANIES
GRUNWALD
GERMANY
X
X
WEALTHCAP ZWEITMARKTWERTE IMMOBILIEN 4 GMBH &
CO. KG
OTHER
COMPANIES
MUNICH
GERMANY
X
X
WEALTHCAP ZWEITMARKTWERTE IMMOBILIEN 4
KOMPLEMENTAR GMBH
OTHER
COMPANIES
MUNICH
GERMANY
X
WESTFONDS 5 BUEROPARK AACHEN LAURENSBERG KG
OTHER
COMPANIES
DUSSELDORF
GERMANY
X
X
WESTFONDS 5 PALAZZO FIORENTINO FRANKFURT KG
OTHER
COMPANIES
DUSSELDORF
GERMANY
X
X
WESTFONDS 5 WALLE-CENTER BREMEN KG
OTHER
COMPANIES
DUSSELDORF
GERMANY
X
X
WH - ERSTE GRUNDSTUCKS GMBH & CO. KG
OTHER
COMPANIES
SCHOENEFELD
GERMANY
X
X
WIRTSCHAFTSVEREIN DER MITARBEITERINNEN DER
UNICREDIT BANK AUSTRIA E.GEN.
OTHER
COMPANIES
VIENNA
AUSTRIA
X
WOHNUNGSBAUGESELLSCHAFT DER STADT ROTHENBACH
A.D.PEGNITZ MIT BESCHRANKTER HAFTUNG
OTHER
COMPANIES
ROTHENBACH A.D.
PEGNITZ
GERMANY
X
X
WWE WOHN- UND WIRTSCHAFTSPARK
ENTWICKLUNGSGESELLSCHAFT M.B.H.
OTHER
COMPANIES
VIENNA
AUSTRIA
X
X
YAPI KREDI KUELTUER-SANAT YAYINCILIK TICARET VE
SANAYI AS
OTHER
COMPANIES
ISTANBUL
TURKEY
X
YATIRIM FINANSMAN A.S.
OTHER
COMPANIES
ISTANBUL
TURKEY
X
ALEXANDA GV GMBH & Co. VERMIETUNGS KG
OTHER
COMPANIES
SPV
WIESBADEN
GERMANY
X
X
BARD BUILDING GMBH & Co. KG
OTHER
COMPANIES
SPV
EMDEN
GERMANY
X
X
BARD EMDEN ENERGY GMBH & Co. KG
OTHER
COMPANIES
SPV
EMDEN
GERMANY
X
X
BARD ENGINEERING GMBH
OTHER
COMPANIES
SPV
EMDEN
GERMANY
X
X
BARD HOLDING GMBH
OTHER
COMPANIES
SPV
EMDEN
GERMANY
X
X
BARD LOGISTIK GMBH
OTHER
COMPANIES
SPV
EMDEN
GERMANY
X
X
BARD NEARSHORE HOOKSIEL GMBH
OTHER
COMPANIES
SPV
EMDEN
GERMANY
X
X
BARD PHONIX VERWALTUNGS GMBH
OTHER
COMPANIES
SPV
EMDEN
GERMANY
X
X
BARD SCHIFFSBETRIEBSGESELLSCHAT MBH & Co. NATALIE
KG
OTHER
COMPANIES
SPV
EMDEN
GERMANY
X
X
BARD SERVICE GMBH
OTHER
COMPANIES
SPV
EMDEN
GERMANY
X
X
X
X
X
X
X
X
X
DISCLOURE BY INSTITUTIONS
58
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Scope of application
Treatment
in
supervisory
report
OTHER
COMPANIES
SPV
EEMSHAVEN
NETHERLANDS
X
X
CUXHAVEN STEEL CONSTRUCTION GMBH
OTHER
COMPANIES
SPV
CUXHAVEN
GERMANY
X
X
EUROPE REAL-ESTATE INVESTMENT FUND
OTHER
COMPANIES
SPV
BUDAPEST
HUNGARY
X
X
GRAND CENTRAL FUNDING CORPORATION
OTHER
COMPANIES
SPV
NEW YORK
U.S.A.
X
X
OSI OFF-SHORE SERVICE INVEST GMBH
OTHER
COMPANIES
SPV
HAMBURG
GERMANY
X
X
OWS LOGISTIK GMBH
OTHER
COMPANIES
SPV
EMDEN
GERMANY
X
X
OWS NATALIA BEKKER GMBH & Co. KG
OTHER
COMPANIES
SPV
EMDEN
GERMANY
X
X
OWS OCEAN ZEPHYR GMBH & Co. KG
OTHER
COMPANIES
SPV
EMDEN
GERMANY
X
X
OWS OFF-SHORE WIND SOLUTIONS GMBH
OTHER
COMPANIES
SPV
EMDEN
GERMANY
X
X
OWS WINDLIFT 1 CHARTER GMBH & Co. KG
OTHER
COMPANIES
SPV
EMDEN
GERMANY
X
X
HVB SERVICES SOUTH AFRICA (PROPRIETARY) LIMITED
OTHERE
COMPANIES /
INSTRUMENTAL
COMPANIES (*)
JOHANNESBURG
SOUTH
AFRICAN
REPUBLIC
X
X
MY DREI HANDELS GMBH
OTHERE
COMPANIES /
INSTRUMENTAL
COMPANIES (*)
VIENNA
AUSTRIA
X
X
PALAIS ROTHSCHILD VERMIETUNGS GMBH
OTHERE
COMPANIES /
INSTRUMENTAL
COMPANIES (*)
VIENNA
AUSTRIA
X
X
(*) Company belonging to the Banking Group consolidated at cost due to immateriality
59
Country
Cost
BUITENGAATS HOLDING B.V.
Town
AFS
At Equity
Full
Type
RWA
Company Name
Treatment
IAS/IFRS
Proportional
Headquarter
Substantial or legal impediments, current or foreseeable, that hinder the rapid transfer of capital
resources or funds within the Group.
•
•
•
•
As a result of the financial crisis, with specific focus on the sovereign sector, some regulatory authorities have
asked – starting from previous periods – that Group companies (UniCredit S.p.A. included) reduce their credit
exposure to other Group companies operating in their jurisdictions. In particular, the total net exposure of UniCredit
Bank AG to Entities of UniCredit Group (excluded Entities controlled by UniCredit Bank AG itself) amounted to
around € 8,2 billion as of June 30, 2014, of which around € 3.5 billion related to gross cash exposure. In order to
reduce and mitigate such:
o
UniCredit S.p.A. has provided UniCredit Bank AG with collaterals, including pledges on financial
instruments, against financial exposures of UniCredit Bank AG towards UniCredit S.p.A. itself, and
o
during 1st half 2012, collateral agreements (Credit Support Annex) were signed with respect to the ISDA
Master Agreements that regulate transactions in derivatives traded among UniCredit Bank AG and
certain Group companies (among which UniCredit S.p.A., UniCredit Bank (Ireland) Plc and UniCredit
Leasing S.p.A.) in order to optimize the management of intragroup exposures.
UniCredit S.p.A. (“UCI”) and UniCredit Bank AG (“UCB AG”) committed themselves with the German regulator
“Bundesanstalt für Finanzdienstleistungsaufsicht” (BaFin) to maintain an additional capital requirement for UCB AG
on top of the common and regular capital requirement, that brings the Total Capital Ratio to exceed 13%, as of
June 30th, 2014. Such commitment aims to maintain regulatory capital – both at an individual UCB AG level and on
a sub-consolidated basis – sufficient to absorb any possible loss arising from lack of risk management policies, and
it has to be considered valid till BaFin will positively judge related improvements. Moreover it has been taken the
obligation to avoid actions which may reduce UCB AG own funds below the agreed threshold.
Commitments to maintain local supervisory capital higher than regulatory thresholds exist in some jurisdictions and
for some foreign entities of the Group; it is considered that such overall commitments are not material at Group
level.
Moreover, constraints related the availability of some balance sheet assets exist in light of the ordinary transactions
(e.g. repo, securities lending, etc.).
Given the economic and political uncertainty in the country, please note that the Group’s net exposure to the Ukrainian
subsidiaries as at June 30, 2014 was approximately €1.3 billion.
DISCLOURE BY INSTITUTIONS
60
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Scope of application
Names of all subsidiaries not included in the basis of consolidation and aggregate amount of their
capital deficiencies with respect to any mandatory capital requirements.
Here follows a list of the banking, financial and instrumental companies directly or indirectly controlled by UniCredit S.p.A.
registered in the Banking Group that are held at cost due to immateriality.
As at June 30, 2014, for these companies no capital deficiencies with respect to the any mandatory capital requirements were
disclosed.
Headquarter
Company Name
Type
Town
Country
BANK AUSTRIA-CEE BETEILIGUNGSGMBH
FINANCIAL COMPANIES
VIENNA
AUSTRIA
CAFU VERMOEGENSVERWALTUNG GMBH
FINANCIAL COMPANIES
VIENNA
AUSTRIA
COBB BETEILIGUNGEN UND LEASING GMBH
GE.S.E.T.T. - GESTIONE SERVIZI ESAZIONE TRIBUTI E TESORERIE S.P.A. IN
LIQUIDAZIONE
FINANCIAL COMPANIES
VIENNA
AUSTRIA
FINANCIAL COMPANIES
ROME
ITALY
HVB LONDON TRADING LTD.
FINANCIAL COMPANIES
LONDON
HVB SERVICES SOUTH AFRICA (PROPRIETARY) LIMITED
INSTRUMENTAL COMPANIES
JOHANNESBURG
UNITED KINGDOM
SOUTH AFRICAN
REPUBLIC
LLC UKRSOTSFINANCE
FINANCIAL COMPANIES
KIEV
UKRAINE
MY DREI HANDELS GMBH
INSTRUMENTAL COMPANIES
VIENNA
AUSTRIA
PALAIS ROTHSCHILD VERMIETUNGS GMBH
INSTRUMENTAL COMPANIES
VIENNA
AUSTRIA
PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH
FINANCIAL COMPANIES
VIENNA
AUSTRIA
SFS FINANCIAL SERVICES GMBH
FINANCIAL COMPANIES
VIENNA
AUSTRIA
UNICREDIT (U.K.) TRUST SERVICES LTD
FINANCIAL COMPANIES
LONDON
UNITED KINGDOM
VEREINWEST OVERSEAS FINANCE (JERSEY) LIMITED
FINANCIAL COMPANIES
ST. HELIER
JERSEY
61
DISCLOURE BY INSTITUTIONS
62
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Own Funds
Capital instruments main features templates (*)
1
2
3
Issuer
Unique identifier (1)
Governing laws of the instrument (2)
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
15
16
17
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
20a
20b
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
amount
Existence of step up or other incentive to redeem
Noncumulative or cumulative
Convertible or non-convertible
If convertible, conversion trigger(s)
If convertible, fully or partially
If convertible, conversion rate
If convertible, mandatory or optional conversion
If convertible, specify instrument type convertible into
If convertible, specify issuer of instrument it converts into
Write-down features
If write-down, write down triggers
If write-down, full or partial
If write-down, permanent or temporary
If temporary write-down, description of write-up mechanism (4)
Position in subordination hierarchy in liquidation
Non-compliant transitioned features
If yes, specify non-compliant features
37
(*) ‘N/A’ if the information is not applicable
63
XS0527624059
Whole Instrument - English Law
Subordinated provisions - Italian Law
UNICREDIT INTERNATIONAL BANK
(LUXEMBOURG) SA
XS0372556299
Whole Instrument - English Law
Subordinated provisions - Italian Law
Additional Tier 1
Ineligible
Solo & Consolidated
Bond - Art. 51 and 484 CRR
325
Buybacks
Additional Tier 1
Ineligible
Consolidated
Bond - Art. 51 and 484 CRR
177
Buybacks
500
350
EUR
GBP
500
442
100
100
Liability – amortised cost
07.21.2010
Perpetual
No maturity
YES
07.21.2020
Regulatory call: 100 + accrued interest
Tax event: at any interest payment date
or reset date at principal amount +
accrued interest
Additional event: at any interest payment
date or reset date at principal amount +
accrued interest.
Quarterly
100
100
Liability – amortised cost
06.27.2008
Perpetual
No maturity
YES
06.27.2018
Fixed to Floating
NO
Fixed to Floating
8.5925% from issue date to 06/27/2018
payable semi-annually, equivalent to MS
+ 2.95%; Libor 3M + 3.95% from
06/27/2018
NO
Partially discretionary
Partially discretionary
No distributable profit; Prohibited by
regulator; Capital Deficiency; Dividend
pusher
No distributable profit; Prohibited by
regulator; Capital Deficiency; Dividend
pusher
Partially discretionary
Partially discretionary
YES
Non Cumulative
Non Convertible
YES
Capital deficiency
Full or partial
Temporary
Pari-passu and prorata with Core Tier 1
Tier 2
YES
Step-up, Subsequent Calls, Not fully
discretionary, Dividend pusher,
Recapitalization hindering
YES
Non Cumulative
Non Convertible
YES
Capital deficiency
Full or partial
Temporary
Pari-passu and prorata with Core Tier 1
Tier 2
YES
Step-up, Subsequent Calls, Not fully
discretionary, Dividend pusher,
Recapitalization hindering
UNICREDIT SPA
9.375% from issue date to 07/21/2020,
equivalent to MS + 6.49%; Euribor 3M +
7.49% from 07/21/2020
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest
Additional event: at principal amount +
accrued interest
Quarterly
I
Capital instruments main features templates (*)
Issuer
1
2
Unique identifier (1)
Governing laws of the instrument (2)
Whole Instrument - English Law
Subordinated provisions - Italian Law
3
4
5
6
7
8
9
9a
9b
10
11
12
13
14
17
18
19
20a
20b
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
HVB FUNDING TRUST II
XS0102826673
Waiver, Improvement Agreement and the
Subordinated Note - State of New York;
Declaration, Certificates and the Charter
- Delaware; Silent Partnership &
Partnership Interests - Delaware and
German law
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
Additional Tier 1
Ineligible
Consolidated
Amount recognised in regulatory capital (€/mln) (3)
568
Buybacks
Additional Tier 1
Tier 2
Consolidated
Silent Partnership Certificates - Art. 51
and 484 CRR
17
Buybacks
750
100
EUR
GBP
750
153
100
100
Liability – amortised cost
12.10.2009
Perpetual
No maturity
YES
12.10.2019
100
100
Liability – amortised cost
10.13.1999
Dated
10.13.2036
YES
10.13.2034
Regulatory call: Greater of (i) the Current
Nominal Value plus accrued and unpaid
distributions for the current Distribution
Period and (ii) the Make-Whole Amount
Tax event: at current nominal amount +
accrued interest and unpaid distributions
Additional event: at current nominal
amount + accrued interest and unpaid
distributions
Annually
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Bond - Art. 51 and 484 CRR
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest
Additional event: at principal amount +
accrued interest
15
16
UNICREDIT INTERNATIONAL BANK
(LUXEMBOURG) SA
XS0470937243
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
amount
Existence of step up or other incentive to redeem
Noncumulative or cumulative
Convertible or non-convertible
If convertible, conversion trigger(s)
If convertible, fully or partially
If convertible, conversion rate
If convertible, mandatory or optional conversion
If convertible, specify instrument type convertible into
If convertible, specify issuer of instrument it converts into
Write-down features
If write-down, write down triggers
If write-down, full or partial
If write-down, permanent or temporary
If temporary write-down, description of write-up mechanism (4)
Position in subordination hierarchy in liquidation
Non-compliant transitioned features
If yes, specify non-compliant features
37
Quarterly
Fixed to Floating
8.125% from issue date to 12/10/2019;
Euribor 3M + 6.650%
NO
Fixed
Partially discretionary
Partially Discretionary
No distributable profit; Prohibited by
regulator; Capital Deficiency; Dividend
pusher
Capital deficiency; Dividend pusher
Partially discretionary
Partially Discretionary
YES
Non Cumulative
Non Convertible
YES
Capital deficiency
Full or partial
Temporary
NO
Non Cumulative
Non Convertible
YES
Capital deficiency
Full or partial
Temporary
each profit available is used to write-up to
par
Tier 2
YES
Dated instrument, Dividend pusher,
Accelerated write-up, Recapitalization
hindering, Not fully discretionary
Pari-passu and prorata with Core Tier 1
Tier 2
YES
Step-up, Subsequent Calls, Not fully
discretionary, Dividend pusher,
Recapitalization hindering
7.76% p.a.
NO
(*) ‘N/A’ if the information is not applicable
DISCLOSURE BY INSTITUTIONS
64
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
Issuer
1
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
8
9
9a
9b
10
11
12
13
14
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
15
16
17
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
20a
20b
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
amount
Existence of step up or other incentive to redeem
Noncumulative or cumulative
Convertible or non-convertible
If convertible, conversion trigger(s)
If convertible, fully or partially
If convertible, conversion rate
If convertible, mandatory or optional conversion
If convertible, specify instrument type convertible into
If convertible, specify issuer of instrument it converts into
Write-down features
If write-down, write down triggers
If write-down, full or partial
If write-down, permanent or temporary
If temporary write-down, description of write-up mechanism (4)
Position in subordination hierarchy in liquidation
Non-compliant transitioned features
If yes, specify non-compliant features
37
(*) ‘N/A’ if the information is not applicable
65
UNICREDITO ITALIANO CAPITAL
TRUST III
XS0231436238
Whole Instrument - Delaware, New York
and English law
Subordinated provisions - Italian Law
UNICREDITO ITALIANO CAPITAL
TRUST IV
XS0231436667
Whole Instrument - Delaware, New York
and English law
Subordinated provisions - Italian Law
Additional Tier 1
Ineligible
Consolidated
Preferred Securities - Art. 51 and 484
CRR
121
Buybacks
Additional Tier 1
Ineligible
Consolidated
Preferred Securities - Art. 51 and 484
CRR
25
Buybacks
750
300
EUR
GBP
750
442
100
100 + accrued interest
Liability – amortised cost
10.27.2005
Perpetual
No maturity
YES
10.27.2015
Regulatory call: Greater of: (1) LLC
Liquidation Preference per LLC preferred
Security (2) Make-Whole Amount. Plus,
any accumulated and unpaid Dividends
Tax event: at principal amount + accrued
interest
Additional event: at principal amount +
accrued interest
Quarterly
100
100 + accrued interest
Liability – amortised cost
10.27.2005
Perpetual
No maturity
YES
10.27.2015
Regulatory call: Greater of: (1) LLC
Liquidation Preference per LLC preferred
Security (2) Make-Whole Amount. Plus,
any accumulated and unpaid Dividends
Tax event: at principal amount + accrued
interest
Additional event: at principal amount +
accrued interest
Quarterly
Fixed to Floating
4.028% from issue date to 10/27/2015,
equivalent to MS + 0.76%; Euribor 3M +
1.76% from 10/27/2015
NO
Fixed to Floating
5.396% from issue date to 10/27/2015,
equivalent to MS + 0.76%; Libor 3M +
1.76% from 10/27/2015
NO
Partially discretionary
Partially discretionary
No distributable profit; Prohibited by
regulator; Capital Deficiency; Dividend
pusher
No distributable profit; Prohibited by
regulator; Capital Deficiency; Dividend
pusher
Partially discretionary
Partially discretionary
YES
Non Cumulative
Non Convertible
YES
Capital deficiency
Full or partial
Temporary
Pari-passu and prorata with Core Tier 1
Tier 2
YES
Step-up, Subsequent Calls, Not fully
discretionary, Dividend pusher,
Recapitalization hindering
YES
Non Cumulative
Non Convertible
YES
Capital deficiency
Full or partial
Temporary
Pari-passu and prorata with Core Tier 1
Tier 2
YES
Step-up, Subsequent Calls, Not fully
discretionary, Dividend pusher,
Recapitalization hindering
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
8
9
9a
9b
10
11
12
13
14
15
16
17
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
20a
20b
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
amount
Existence of step up or other incentive to redeem
Noncumulative or cumulative
Convertible or non-convertible
If convertible, conversion trigger(s)
If convertible, fully or partially
If convertible, conversion rate
If convertible, mandatory or optional conversion
If convertible, specify instrument type convertible into
If convertible, specify issuer of instrument it converts into
Write-down features
If write-down, write down triggers
If write-down, full or partial
If write-down, permanent or temporary
If temporary write-down, description of write-up mechanism (4)
Position in subordination hierarchy in liquidation
Non-compliant transitioned features
If yes, specify non-compliant features
ALPINE CAYMAN ISLANDS LTD.
DE000A0DD4K8
Whole Instrument - Cayman Law,
Support Agreement - English Law
Subordination Provision - Austrian Law
ALPINE CAYMAN ISLANDS LTD.
DE000A0DYW70
Whole Instrument - Cayman Law,
Support Agreement - English Law
Subordination Provision - Austrian Law
Additional Tier 1
Tier 2
Consolidated
Preferred Securities - Art. 51 and 484
CRR
95
Increase of Intercompany amount
Additional Tier 1
Tier 2
Consolidated
Preferred Securities - Art. 51 and 484
CRR
50
Increase of Intercompany amount
250
150
EUR
EUR
250
150
100
100
Shareholders' equity
10.28.2004
Perpetual
No maturity
YES
10.28.2011
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest and unpaid dividends
Semi-annually
100
100
Shareholders' equity
02.22.2005
Perpetual
No maturity
YES
03.22.2012
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest and unpaid dividends
Annually
Fixed to Floating
1Y 6.00%, max between 8.00% and CMS
Euro 10y + 0.10% from 10/28/2005.
Payable semi-annually
NO
Fixed to Floating
1Y 7.5% payable in arrear, max between
8.00% and Euro CMS 10 y + 0.15% from
second year to maturity.
NO
Partially discretionary
Partially discretionary
Capital Deficiency, Regulatory
prohibition; Dividend pusher
Capital Deficiency, Regulatory
prohibition; Dividend pusher
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Tier 2
YES
Dividend Pusher, Recapitalization
hindering
NO
Non Cumulative
Non Convertible
NO
N/A
Tier 2
YES
Dividend Pusher, Recapitalization
hindering
(*) ‘N/A’ if the information is not applicable
DISCLOSURE BY INSTITUTIONS
66
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
8
9
9a
9b
10
11
12
13
14
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
17
18
19
20a
20b
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
amount
Existence of step up or other incentive to redeem
Noncumulative or cumulative
Convertible or non-convertible
If convertible, conversion trigger(s)
If convertible, fully or partially
If convertible, conversion rate
If convertible, mandatory or optional conversion
If convertible, specify instrument type convertible into
If convertible, specify issuer of instrument it converts into
Write-down features
If write-down, write down triggers
If write-down, full or partial
If write-down, permanent or temporary
If temporary write-down, description of write-up mechanism (4)
Position in subordination hierarchy in liquidation
Non-compliant transitioned features
If yes, specify non-compliant features
37
(*) ‘N/A’ if the information is not applicable
67
HVB FUNDING TRUST III
US404399AA50
Waiver and Improvement Agreement and
the Subordinated Note - State of New
York; Declaration, Certificates and the
Charter - Delaware; Silent Partnership &
Partnership Interests - Delaware and
German law
Additional Tier 1
Tier 2
Consolidated
Silent Partnership Certificates - Art. 51
and 484 CRR
15
Buybacks and Increase of Intercompany
amount
Additional Tier 1
Tier 2
Consolidated
Silent Partnership Certificates - Art. 51
and 484 CRR
15
Buybacks and Increase of Intercompany
amount
300
200
USD
USD
294
186
100
100
Liability – amortised cost
07.15.1999
Dated
06.30.2031
YES
06.30.2029
Semi-annually
100
100
Liability – amortised cost
10.22.1999
Dated
10.22.2031
YES
10.22.2029
Regulatory call: the greater of (i) the
Current Nominal Value plus accrued and
unpaid distributions for the current
Distribution Period and (ii) the MakeWhole Amount
Tax event: at current nominal amount +
accrued interest and unpaid distributions
Additional event: at current nominal
amount + accrued interest and unpaid
distributions
Semi-annually
Fixed
8.741% p.a.
NO
Fixed
9% payable semi-annually
NO
Partially Discretionary
Partially Discretionary
Capital deficiency; Dividend pusher
Capital deficiency; Dividend pusher
Partially Discretionary
Partially Discretionary
NO
Non Cumulative
Non Convertible
YES
Capital deficiency
Full or partial
Temporary
each profit available is used to write-up to
par
Tier 2
YES
Dated instrument, Dividend pusher,
Accelerated write-up, Recapitalization
hindering, Not fully discretionary
NO
Non Cumulative
Non Convertible
YES
Capital deficiency
Full or partial
Temporary
each profit available is used to write-up to
par
Tier 2
YES
Dated instrument, Dividend pusher,
Accelerated write-up, Recapitalization
hindering, Not fully discretionary
Regulatory call: 100 + accrued interest
Tax event: at current nominal amount +
accrued interest and unpaid distributions
Additional event: at current nominal
amount + accrued interest and unpaid
distributions
15
16
HVB FUNDING TRUST
US404398AA77
Waiver and Improvement Agreement and
the Subordinated Note - State of New
York; Declaration, Certificates and the
Charter - Delaware; Silent Partnership &
Partnership Interests - Delaware and
German law
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
UNICREDIT SPA
XS1046224884
Whole Instrument - English Law;
Subordinated provisions - Italian Law
UNICREDIT SPA
XS0200676160
Whole Instrument - English Law
Subordinated provisions - Italian Law
Additional Tier 1
Solo & Consolidated
Bond
899
0
Tier 2
Ineligible
Solo & Consolidated
Bond - Art. 62 and 484 CRR
416
Buybacks
1250
500
USD
EUR
908
500
100
100
Shareholders' equity
04.03.2014
Perpetual
No maturity
YES
06.03.2024
Regulatory call: 100
Semi-annually
99.59
100
Liability – amortised cost
09.22.2004
Dated
09.22.2019
YES
09.22.2014
Tax event: anytime at principal amount +
accrued interest until 22nd September
2014; at any interest payment date
thereafter
Quarterly
Fixed
8% p.a. until 06/03/2024; therafter fixed
every 5 years for 5-Year Mid-Swap Rate
+ 518bps
NO
Fixed to Floating
4.5% from issue date to 09/20/2014,
equivalent to MS + 0.35%; Euribor 3M +
0.95% from 09/22/2014
NO
Fully discretionary
Mandatory
Insufficient Available Distributable Items;
Distributions exceeding Maximum
Distributable Amount; Loss Absorption
Event
-
Fully discretionary
Mandatory
NO
Non cumulative
Non Convertible
YES
Group of issuer CET1 < 5.125% or the
minimum trigger event ratio specified by
the Regulation
Full or partial
Temporary
If the Issuer records a positive net
income, the Issuer may, in its full
discretion and subject to the Maximum
Distributable Amount, increase the
Prevailing Principal Amount of each note
up to a maximum of the Initial Principal
Amount on a prorata basis with similar
AT1 notes
Tier 2
NO
-
YES
Non Cumulative
Non Convertible
NO
15
16
17
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
20a
20b
21
22
23
24
25
26
27
28
29
30
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
amount
Existence of step up or other incentive to redeem
Noncumulative or cumulative
Convertible or non-convertible
If convertible, conversion trigger(s)
If convertible, fully or partially
If convertible, conversion rate
If convertible, mandatory or optional conversion
If convertible, specify instrument type convertible into
If convertible, specify issuer of instrument it converts into
Write-down features
If write-down, write down triggers
31
32
33
If write-down, full or partial
If write-down, permanent or temporary
If temporary write-down, description of write-up mechanism (4)
34
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
N/A
-
Senior
YES
Step-Up, Subsequent Calls
DISCLOSURE BY INSTITUTIONS
68
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
20a
20b
21
22
23
24
25
26
27
28
29
30
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
amount
Existence of step up or other incentive to redeem
Noncumulative or cumulative
Convertible or non-convertible
If convertible, conversion trigger(s)
If convertible, fully or partially
If convertible, conversion rate
If convertible, mandatory or optional conversion
If convertible, specify instrument type convertible into
If convertible, specify issuer of instrument it converts into
Write-down features
If write-down, write down triggers
UNICREDIT SPA
IT0003866412
Whole Instrument - Italian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
70
Buybacks and amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
283
Buybacks and amortisation
400
900
EUR
EUR
400
900
100
100
Liability – amortised cost
06.30.2005
Dated
06.30.2015
YES
06.30.2010
99.63
100
Liability – amortised cost
02.01.2006
Dated
02.01.2016
NO
Tax event: at principal amount + accrued
interest
-
Annually
Fixed to Floating
3% first year, max between minimum
rate and 75% of swap Euro 10 y from
second year to maturity
NO
Fixed
Mandatory
Partially discretionary
-
Breach of minimum capital
Mandatory
Partially discretionary
NO
Non Cumulative
Non Convertible
NO
NO
Cumulative
Non Convertible
YES
Minimum Capital Deficiency in
accordance to Italian Civil Code (art.
2446, 2447)
Full or partial
Temporary
Pari-passu and prorata with Lower Tier 2
Lower Tier 2
NO
-
31
-
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
N/A
Senior
NO
-
69
UNICREDIT SPA
XS0241369577
Whole Instrument - English Law
Subordinated provisions - Italian Law
3.95% p.a.
NO
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
20a
20b
21
22
23
24
25
26
27
28
29
30
UNICREDIT SPA
XS0241198315
Whole Instrument - English Law
Subordinated provisions - Italian Law
UNICREDIT SPA
IT0004012552
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
176
Buybacks and amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
55
Buybacks and amortisation
450
170
GBP
EUR
661
170
99.80
100
Liability – amortised cost
02.01.2006
Dated
02.01.2016
NO
Tax event: at principal amount + accrued
interest
-
100
100
Liability – amortised cost
03.30.2006
Dated
03.30.2016
YES
03.30.2011
Fixed
NO
Fixed to Floating
4% first year, max between 3.2% and
65% of swap Euro 10 y from second year
to maturity
NO
Partially discretionary
Mandatory
Breach of minimum capital
-
Partially discretionary
Mandatory
NO
Cumulative
Non Convertible
YES
Minimum Capital Deficiency in
accordance to Italian Civil Code (art.
2446, 2447)
Full or partial
Temporary
Pari-passu and prorata with Lower Tier 2
Lower Tier 2
NO
-
NO
Non Cumulative
Non Convertible
NO
5% p.a.
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
amount
Existence of step up or other incentive to redeem
Noncumulative or cumulative
Convertible or non-convertible
If convertible, conversion trigger(s)
If convertible, fully or partially
If convertible, conversion rate
If convertible, mandatory or optional conversion
If convertible, specify instrument type convertible into
If convertible, specify issuer of instrument it converts into
Write-down features
If write-down, write down triggers
31
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
Whole Instrument - Italian Law
Annually
N/A
Senior
NO
-
DISCLOSURE BY INSTITUTIONS
70
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
71
UNICREDIT SPA
IT0004012586
Whole Instrument - Italian Law
UNICREDIT SPA
XS0322918565
Whole Instrument - English Law
Subordinated provisions - Italian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
73
Buybacks and amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
624
Buybacks and amortisation
230
1,000
EUR
EUR
230
1,000
100
100
Liability – amortised cost
03.30.2006
Dated
03.30.2016
YES
03.30.2011
Annually
99.59
100
Liability – amortised cost
09.26.2007
Dated
09.26.2017
NO
-
Fixed to Floating
3.5% first year, max between minimum
rate and 75% of swap Euro 10 y from
second year to maturity
NO
Fixed
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
5.75% p.a.
NO
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
18
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT SPA
XS0332831485
Whole Instrument - English Law
Subordinated provisions - Italian Law
UNICREDIT SPA
XS0334815601
Whole Instrument - English Law
Subordinated provisions - Italian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
117
Buybacks and amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
68
Buybacks and amortisation
171
100
EUR
EUR
171
100
100
100
Liability – amortised cost
12.04.2007
Dated
12.04.2017
NO
Tax event: at any interest payment date
at principal amount + accrued interest
-
100
100
Liability – amortised cost
12.11.2007
Dated
12.11.2017
NO
Tax event: at any interest payment date
at principal amount + accrued interest
-
Floating
Max between 5.14% and 100% of swap
Euro 10 y
NO
Floating
Minimum between 11% and 113.5% of
swap Euro 10 y
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
DISCLOSURE BY INSTITUTIONS
72
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
18
19
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
73
UNICREDIT SPA
XS0348222802
Whole Instrument - English Law
Subordinated provisions - Italian Law
UNICREDIT SPA
XS0356063940
Whole Instrument - English Law
Subordinated provisions - Italian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
118
Buybacks
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
11
Buybacks and amortisation
125
15
EUR
EUR
125
15
99.90
100
Liability – amortised cost
03.03.2008
Dated
03.03.2023
NO
-
100
100
Liability – amortised cost
04.10.2008
Dated
04.10.2018
NO
-
Fixed
NO
Floating
Max between 5.535% and 10 y Euro
CMS
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
6.04% p.a.
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
18
19
20a
20b
21
22
23
24
25
26
27
28
29
30
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
amount
Existence of step up or other incentive to redeem
Noncumulative or cumulative
Convertible or non-convertible
If convertible, conversion trigger(s)
If convertible, fully or partially
If convertible, conversion rate
If convertible, mandatory or optional conversion
If convertible, specify instrument type convertible into
If convertible, specify issuer of instrument it converts into
Write-down features
If write-down, write down triggers
UNICREDIT SPA
XS0356629369
Whole Instrument - English Law
Subordinated provisions - Italian Law
UNICREDIT SPA
XS0367777884
Whole Instrument - English Law
Subordinated provisions - Italian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
76
Buybacks and amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
553
Buybacks and amortisation
100
1,000
EUR
EUR
100
1,000
100
100
Liability – amortised cost
04.24.2008
Dated
04.24.2018
NO
Tax event: at any interest payment date
at principal amount + accrued interest
-
99.82
100
Liability – amortised cost
06.05.2008
Dated
06.05.2018
NO
-
Floating
Max between 5% and 10 y Euro CMS +
0.67%
NO
Fixed
Mandatory
Partially discretionary
-
Breach of minimum capital
Mandatory
Partially discretionary
NO
Non Cumulative
Non Convertible
NO
NO
Cumulative
Non Convertible
YES
Minimum Capital Deficiency in
accordance to Italian Civil Code (art.
2446, 2447)
Full or partial
Temporary
Pari-passu and prorata with Lower Tier 2
Lower Tier 2
NO
-
31
-
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
N/A
Senior
NO
-
-
6.70% p.a.
NO
DISCLOSURE BY INSTITUTIONS
74
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
18
19
20a
20b
21
22
23
24
25
26
27
28
29
30
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
amount
Existence of step up or other incentive to redeem
Noncumulative or cumulative
Convertible or non-convertible
If convertible, conversion trigger(s)
If convertible, fully or partially
If convertible, conversion rate
If convertible, mandatory or optional conversion
If convertible, specify instrument type convertible into
If convertible, specify issuer of instrument it converts into
Write-down features
If write-down, write down triggers
31
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
75
UNICREDIT SPA
XS0372227982
Whole Instrument - English Law
Subordinated provisions - Italian Law
UNICREDIT SPA
XS0503612250
Whole Instrument - English Law
Subordinated provisions - Italian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
75
Buybacks and amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
50
-
125
50
EUR
EUR
125
50
100
100
Liability – amortised cost
06.25.2008
Dated
06.25.2018
NO
-
100
100
Liability – amortised cost
04.21.2010
Dated
04.21.2021
NO
-
Floating
Euribor 6M + 1.7%
NO
Fixed
5% p.a.
NO
Partially discretionary
Mandatory
Breach of minimum capital
-
Partially discretionary
Mandatory
NO
Cumulative
Non Convertible
YES
Minimum Capital Deficiency in
accordance to Italian Civil Code (art.
2446, 2447)
Full or partial
Temporary
Pari-passu and prorata with Lower Tier 2
Lower Tier 2
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
9a
Issue price
9b
Redemption price
10
Accounting classification
11
Original date of issuance
12
Perpetual or dated
13
Original maturity date
14
Issuer call subject to prior Supervisory approval
Optional call date
15
Contingent call dates and redemption amount
16
Subsequent call dates, if applicable
Coupon/dividends
17
Fixed or floating dividend/coupon
18
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
9
UNICREDIT SPA
XS0504566414
Whole Instrument - Italian Law
UNICREDIT SPA
XS0503708280
Whole Instrument - English Law
Subordinated provisions - Italian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
50
-
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
50
-
50
50
EUR
EUR
50
50
100
100
Liability – amortised cost
04.23.2010
Dated
04.25.2022
NO
-
100
100
Liability – amortised cost
04.26.2010
Dated
04.26.2020
NO
-
Fixed
5.05% p.a.
NO
Fixed
4.75% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
DISCLOSURE BY INSTITUTIONS
76
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
77
UNICREDIT SPA
IT0004605074
Whole Instrument - Italian Law
UNICREDIT SPA
XS0515754587
Whole Instrument - English Law
Subordinated provisions - Italian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
330
-
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
50
-
333
50
EUR
EUR
333
50
100
100
Liability – amortised cost
05.31.2010
Dated
05.31.2020
NO
-
100
100
Liability – amortised cost
06.14.2010
Dated
06.14.2020
NO
-
Fixed
05/31/2011: 3.00%; 05/31/2012: 3.25%;
05/31/2013: 3.50%; 05/31/2014: 3.75%;
05/31/2015: 4.00%; 05/31/2016: 4.40%;
05/31/2017: 4.70%; 05/31/2018: 5.07%;
05/31/2019: 5.40%; 05/31/2020: 6.00%.
NO
Fixed
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
5.16% p.a.
NO
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
9
9a
9b
10
11
12
13
14
15
16
17
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT SPA
IT0004615305
Whole Instrument - Italian Law
UNICREDIT SPA
IT0004698418
Whole Instrument - Italian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
193
Buybacks and amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
347
Buybacks and amortisation
327
464
EUR
EUR
327
464
100
100
Liability – amortised cost
06.14.2010
Dated
06.14.2017
NO
-
100
100
Liability – amortised cost
03.31.2011
Dated
03.31.2018
NO
-
Fixed
06/14/2011: 3.00%; 06/14/2012: 3.25%;
06/14/2013: 3.50%; 06/14/2014: 3.80%;
06/14/2015: 4.10%; 06/14/2016: 4.40%;
06/14/2017: 4.70%.
NO
Fixed to Floating
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
5.00% p.a. from 30/06/2011 to
03/31/2013; from 06/30/2013 Euribor 3M
+ 1% p.a.
NO
DISCLOSURE BY INSTITUTIONS
78
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
79
UNICREDIT SPA
IT0004698426
Whole Instrument - Italian Law
UNICREDIT SPA
XS0618847775
Whole Instrument - English Law
Subordinated provisions - Italian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
557
Buybacks and amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
745
-
759
750
EUR
EUR
759
750
100
100
Liability – amortised cost
03.31.2011
Dated
03.31.2018
NO
-
99.62
100
Liability – amortised cost
04.19.2011
Dated
04.19.2021
NO
-
Fixed
03/31/2012: 4.10%; 03/31/2013: 4.30%;
03/31/2014: 4.50%; 03/31/2015: 4.70%;
03/31/2016: 4.90%; 03/31/2017: 5.05%;
03/31/2018: 5.10%
NO
Fixed
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
6.125% p.a.
NO
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
9
9a
9b
10
11
12
13
14
15
16
17
18
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT SPA
IT0004723927
Whole Instrument - Italian Law
UNICREDIT SPA
IT0004740368
Whole Instrument - Italian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
313
Buybacks and amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
16
Buybacks and amortisation
394
20
EUR
EUR
394
20
100
100
Liability – amortised cost
06.30.2011
Dated
06.30.2018
NO
-
100
100
Liability – amortised cost
07.05.2011
Dated
07.05.2018
NO
-
Fixed to Floating
5% p.a. until 06/30/2013; from
09/30/2013 Euribor 3M + 1% p.a.
NO
Floating
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
Euribor 3M + 2.50% p.a.
NO
DISCLOSURE BY INSTITUTIONS
80
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
18
19
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
81
UNICREDIT SPA
XS0849517650
Whole Instrument - English Law
Subordinated provisions - Italian Law
UNICREDIT SPA
IT0004854870
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
1,490
-
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
536
Buybacks and amortisation
1,500
539
EUR
EUR
1,500
539
100.24
100
Liability – amortised cost
10.31.2012
Dated
10.31.2022
NO
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest
-
100
100
Liability – amortised cost
11.05.2012
Dated
12.05.2019
NO
-
Fixed
NO
Fixed to Floating
6.00% p.a. till 12/05/2015, Euribor 3M +
2.15% p.a. from 03/05/2016
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
6.95% p.a
Whole Instrument - Italian Law
-
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
9
9a
9b
10
11
12
13
14
15
16
17
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT SPA
IT0004747330
Whole Instrument - Italian Law
UNICREDIT SPA
IT0004748882
Whole Instrument - Italian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
126
Buybacks and amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
8
Buybacks and amortisation
157
10
EUR
EUR
157
10
100
100
Liability – amortised cost
08.19.2011
Dated
08.19.2018
NO
-
100
100
Liability – amortised cost
07.21.2011
Dated
07.21.2018
NO
-
Fixed
08/19/2012: 4.40%; 08/19/2013: 4.60%;
08/19/2014: 4.80%; 08/19/2015: 5.00%;
08/19/2016; 5.30%; 08/19/2017: 5.65%;
08/19/2018: 6.00%
NO
Floating
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
Euribor 3M + 2.637% p.a.
NO
DISCLOSURE BY INSTITUTIONS
82
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
9
9a
9b
10
11
12
13
14
15
16
17
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
83
UNICREDIT SPA
IT0004764004
Whole Instrument - Italian Law
UNICREDIT SPA
IT0004780562
Whole Instrument - Italian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
354
Buybacks and amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
468
Buybacks and amortisation
414
518
EUR
EUR
414
518
100
100
Liability – amortised cost
10.31.2011
Dated
10.31.2018
NO
-
100
100
Liability – amortised cost
12.23.2011
Dated
01.31.2019
NO
-
Fixed
10/31/2012: 5.60%; 10/31/2013: 5.90%;
10/31/2014: 6.10%; 10/31/2015: 6.30%;
10/31/2016: 6.50%; 10/31/2017: 6.80%;
10/31/2018: 7.20%
NO
Fixed
01/31/2013: 6.50%; 01/31/2014: 6.90%;
01/31/2015: 7.30%; 01/31/2016: 7.80%;
01/31/2017: 8.10%; 01/31/2018: 8.30%;
01/31/2019: 8.50%
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
UNICREDIT SPA
IT0004883689
Whole Instrument - Italian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
189
-
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
173
Buybacks
189
300
EUR
SGD
189
179
100
100
Liability – amortised cost
12.31.2012
Dated
02.28.2020
NO
-
100
100
Liability – amortised cost
01.30.2013
Dated
07.30.2023
YES
07.30.2018
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest
-
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT SPA
XS0878681419
Whole Instrument - English Law
Subordinated provisions - Italian Law
Fixed
02/28/2014: 3.60%; 02/28/2015: 3.80%;
02/28/2016: 4.00%; 02/28/2017: 4.20%;
02/28/2018: 4.40%; 02/28/2019: 4.60%;
02/28/2020: 5.00%
NO
Fixed
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
1-5.5Y 5.5% p.a., 5.5-10.5Y SOR +
4.47% p.a.
NO
DISCLOSURE BY INSTITUTIONS
84
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
9
9a
9b
10
11
12
13
14
15
16
17
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
85
UNICREDIT SPA
IT0004907785
Whole Instrument - Italian Law
UNICREDIT SPA
IT0004907850
Whole Instrument - Italian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
240
-
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
336
-
241
338
EUR
EUR
241
338
100
100
Liability – amortised cost
04.29.2013
Dated
06.30.2020
NO
-
100
100
Liability – amortised cost
04.29.2013
Dated
06.30.2020
NO
-
Fixed to Floating
4.50% p.a. payable on 03/30, 06/30,
09/30 and 12/30 each year till
06/30/2016; Euribor 3M + 2.00% p.a.
payable on 03/30, 06/30, 09/30 and
12/30 each year from 09/30/2016
NO
Fixed
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
06/30/2014: 3.25%; 06/30/2015: 3.50%;
06/30/2016: 4.00%; 06/30/2017;
06/30/2018: 5.00%; 06/30/2019: 5.50%;
06/30/2020: 6.50%
NO
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
UNICREDIT SPA
XS0925177130
Whole Instrument - English Law
Subordinated provisions - Italian Law
UNICREDIT SPA
IT0004917917
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
546
Increase of Intercompany amount
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
542
-
750
554
USD
EUR
569
554
100
100
Liability – amortised cost
05.02.2013
Dated
05.02.2023
YES
05.02.2018
Regulatory call: 100 + accrued interest
Tax event: at any interest payment date
at principal amount + accrued interest
-
98
100
Liability – amortised cost
05.15.2013
Dated
07.15.2020
NO
-
Fixed to Floating
Whole Instrument - Italian Law
-
18
1-5Y 6.375%. 6-10Y USD MS + 5.51%
19
NO
Fixed to Floating
3.35% p.a payable on 01/15, 04/15,
07/15 and 10/15 until 06/15/2016;
Euribor 3M + 2.65% p.a payable on
01/15, 04/15, 07/15 and 10/15 from
10/15/2016
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
DISCLOSURE BY INSTITUTIONS
86
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
9
9a
9b
10
11
12
13
14
15
16
17
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
87
UNICREDIT SPA
IT0004917867
Whole Instrument - Italian Law
UNICREDIT SPA
IT0004941412
Whole Instrument - Italian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
400
-
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
297
-
400
297
EUR
EUR
400
297
100
100
Liability – amortised cost
05.15.2013
Dated
07.15.2020
NO
-
100
100
Liability – amortised cost
08.13.2013
Dated
10.13.2020
NO
-
Fixed
07/15/2014: 3.25%; 07/15/2015: 3.50%;
07/15/2016: 4.00%; 07/15/2017: 4.50%;
07/15/2018: 5.00%; 07/15/2019: 5.50%;
07/15/2020: 6.50%
NO
Fixed
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
1Y 3.20%; 2Y 3.40%; 3Y 3.65%; 4Y
4.00%; 5Y 4.40%; 6Y 4.80%; 7Y 5.20%
NO
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
18
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT SPA
XS0986063864
Whole Instrument - English Law
Subordinated provisions - Italian Law
UNICREDIT SPA
IT0004982200
Tier 2
Tier 2
Solo & Consolidated
Notes - Art. 62 CRR
994
-
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
267
-
1,000
267
EUR
EUR
1,000
267
99.91
100
Liability – amortised cost
10.28.2013
Dated
10.28.2025
YES
10.28.2020
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest
-
100
100
Liability – amortised cost
01.31.2014
Dated
03.31.2021
NO
-
Fixed
5.75% p.a.. after the call. 5Y Swap + 410
bps
NO
Fixed
1Y 2.50%. 2Y 2.80%. 3Y 3.20%. 4Y
3.50%. 5Y 4.30%. 6Y 4.70%. 7Y 5.50%
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
Whole instrument - Italian Law
-
DISCLOSURE BY INSTITUTIONS
88
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
UNICREDIT SPA
N/A
Whole Instrument - German Law
Subordinated provisions - Italian Law
UNICREDIT SPA
N/A
Whole Instrument - German Law
Subordinated provisions - Italian Law
Tier 2
Tier 2
Consolidated
Loan - Art. 62 CRR
7
Amortisation
Tier 2
Tier 2
Consolidated
Loan - Art. 62 CRR
7
Amortisation
10
10
EUR
EUR
10
10
16
100
100
Liability – amortised cost
10.30.2007
Dated
10.30.2017
NO
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest
-
100
100
Liability – amortised cost
10.30.2007
Dated
10.30.2017
NO
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest
-
17
18
19
Fixed
5.45% p.a.
NO
Fixed
5.45% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
89
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
16
Subsequent call dates, if applicable
Coupon/dividends
17
Fixed or floating dividend/coupon
18
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT SPA
N/A
Whole Instrument - German Law
Subordinated provisions - Italian Law
UNICREDIT SPA
N/A
Whole Instrument - German Law
Subordinated provisions - Italian Law
Tier 2
Tier 2
Consolidated
Loan - Art. 62 CRR
7
Amortisation
Tier 2
Tier 2
Consolidated
Loan - Art. 62 CRR
3
Amortisation
10
5
EUR
EUR
10
5
100
100
Liability – amortised cost
11.13.2007
Dated
11.13.2017
NO
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest
-
100
100
Liability – amortised cost
11.27.2007
Dated
11.27.2017
NO
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest
-
Fixed
5.54% p.a.
NO
Fixed
5.7% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
DISCLOSURE BY INSTITUTIONS
90
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
UNICREDIT SPA
N/A
Whole Instrument - German Law
Subordinated provisions - Italian Law
UNICREDIT SPA
N/A
Whole Instrument - German Law
Subordinated provisions - Italian Law
Tier 2
Tier 2
Consolidated
Loan - Art. 62 CRR
3
Amortisation
Tier 2
Tier 2
Consolidated
Loan - Art. 62 CRR
14
Amortisation
5
20
EUR
EUR
5
20
16
100
100
Liability – amortised cost
11.27.2007
Dated
11.27.2017
NO
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest
-
100
100
Liability – amortised cost
11.27.2007
Dated
11.27.2017
NO
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest
-
17
18
19
Fixed
5.7% p.a.
NO
Fixed
5.7% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
91
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
16
Subsequent call dates, if applicable
Coupon/dividends
17
Fixed or floating dividend/coupon
18
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT SPA
N/A
Whole Instrument - German Law
Subordinated provisions - Italian Law
UNICREDIT SPA
N/A
Whole Instrument - German Law
Subordinated provisions - Italian Law
Tier 2
Tier 2
Consolidated
Loan - Art. 62 CRR
14
Amortisation
Tier 2
Tier 2
Consolidated
Loan - Art. 62 CRR
0
Amortisation
20
1
EUR
EUR
20
1
100
100
Liability – amortised cost
11.27.2007
Dated
11.27.2017
NO
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest
-
100
100
Liability – amortised cost
11.27.2007
Dated
11.27.2017
NO
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest
-
Fixed
5.7% p.a.
NO
Fixed
5.7% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
DISCLOSURE BY INSTITUTIONS
92
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
UNICREDIT SPA
N/A
Whole Instrument - German Law
Subordinated provisions - Italian Law
UNICREDIT SPA
N/A
Whole Instrument - German Law
Subordinated provisions - Italian Law
Tier 2
Tier 2
Consolidated
Loan - Art. 62 CRR
27
Amortisation
Tier 2
Tier 2
Consolidated
Loan - Art. 62 CRR
3
Amortisation
40
5
EUR
EUR
40
5
16
100
100
Liability – amortised cost
11.27.2007
Dated
11.27.2017
NO
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest
-
100
100
Liability – amortised cost
11.27.2007
Dated
11.27.2017
NO
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest
-
17
18
19
Fixed
5.7% p.a.
NO
Fixed
5.7% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
93
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
16
Subsequent call dates, if applicable
Coupon/dividends
17
Fixed or floating dividend/coupon
18
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT SPA
N/A
Whole Instrument - German Law
Subordinated provisions - Italian Law
UNICREDIT SPA
N/A
Whole Instrument - German Law
Subordinated provisions - Italian Law
Tier 2
Tier 2
Consolidated
Loan - Art. 62 CRR
14
Amortisation
Tier 2
Tier 2
Consolidated
Loan - Art. 62 CRR
3
Amortisation
20
5
EUR
EUR
20
5
100
100
Liability – amortised cost
11.27.2007
Dated
11.27.2017
NO
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest
-
100
100
Liability – amortised cost
11.27.2007
Dated
11.27.2017
NO
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest
-
Fixed
5.7% p.a.
NO
Fixed
5.7% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
DISCLOSURE BY INSTITUTIONS
94
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
UNICREDIT SPA
N/A
Whole Instrument - German Law
Subordinated provisions - Italian Law
UNICREDIT SPA
N/A
Whole Instrument - German Law
Subordinated provisions - Italian Law
Tier 2
Tier 2
Consolidated
Loan - Art. 62 CRR
7
Amortisation
Tier 2
Tier 2
Consolidated
Loan - Art. 62 CRR
7
Amortisation
10
10
EUR
EUR
10
10
16
100
100
Liability – amortised cost
01.30.2008
Dated
01.30.2018
NO
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest
-
100
100
Liability – amortised cost
01.30.2008
Dated
01.30.2018
NO
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest
-
17
18
19
Fixed
5.74% p.a.
NO
Fixed
5.74% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
95
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
16
Subsequent call dates, if applicable
Coupon/dividends
17
Fixed or floating dividend/coupon
18
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT BANK AUSTRIA AG
XS0062981500
Instrument - English Law
Subordinated provisions - Austrian Law
UNICREDIT BANK AUSTRIA AG
XS0070770333
Instrument - English Law
Subordinated provisions - Austrian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
53
Buybacks
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
17
Amortisation
10,000
5,000
JPY
JPY
72
34
100
100
Liability – amortised cost
03.12.1996
Dated
03.12.2021
NO
Tax event: at principal amount + accrued
interest
-
100
100
Liability – amortised cost
10.30.1996
Dated
10.31.2016
NO
Tax event: at principal amount + accrued
interest
-
Fixed
6.3% p.a.
NO
Fixed
5.39% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
DISCLOSURE BY INSTITUTIONS
96
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
17
Fixed or floating dividend/coupon
18
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
97
UNICREDIT BANK AUSTRIA AG
XS0071432222
Instrument - English Law
Subordinated provisions - Austrian Law
UNICREDIT BANK AUSTRIA AG
US060587AB85
Instrument - State of New York Law
Subordinated provisions - Austrian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
17
Amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
269
Amortisation
5,000
700
JPY
USD
34
598
100
100
Liability – amortised cost
11.27.1996
Dated
11.28.2016
NO
Tax event: at principal amount + accrued
interest
-
99.81
100
Liability – amortised cost
02.11.1997
Dated
02.15.2017
NO
Tax event: at principal amount + accrued
interest
-
Fixed
5.2% p.a.
NO
Fixed
7.25% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
9
9a
9b
10
11
12
13
14
15
16
17
18
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT BANK AUSTRIA AG
AT0000541917
Whole Instrument - Austrian Law
UNICREDIT BANK AUSTRIA AG
AT0000541719
Whole Instrument - Austrian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
14
Amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
20
-
45
20
EUR
EUR
45
20
100
100
Liability – amortised cost
01.25.2001
Dated
01.25.2016
NO
-
100
100
Liability – amortised cost
10.06.2000
Dated
10.06.2020
NO
-
Floating
Euribor 6M + 0.40% payable semiannually
NO
Fixed
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
6.5% p.a.
NO
DISCLOSURE BY INSTITUTIONS
98
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
99
UNICREDIT BANK AUSTRIA AG
AT0000541669
Whole Instrument - Austrian Law
UNICREDIT BANK AUSTRIA AG
XS0110196093
Instrument - English Law
Subordinated provisions - Austrian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
5
-
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
2
Amortisation
5
12
EUR
EUR
5
12
100
100
Liability – amortised cost
08.01.2000
Dated
07.31.2020
NO
-
-
100
100
Liability – amortised cost
04.17.2000
Dated
04.17.2015
NO
Tax event: at principal amount + accrued
interest
-
Fixed to Floating
7.1% payable until 07/31/2005, thereafter
1.8 x 10yJPYCMS. floor: 3.25%, cap:
8.25%
NO
Fixed to Floating
6.00% p.a. from issue date to
04/14/2007; CMS Euro 10y p.a. from
04/17/2007.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
-
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
18
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT BANK AUSTRIA AG
XS0111846001
Instrument - English Law
Subordinated provisions - ustrian Law
UNICREDIT BANK AUSTRIA AG
XS0112532535
Instrument - English Law
Subordinated provisions - Austrian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
2
Amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
3
Amortisation
11
15
EUR
EUR
11
15
100
100
Liability – amortised cost
05.25.2000
Dated
05.25.2015
NO
Tax event: at principal amount + accrued
interest
-
100
100
Liability – amortised cost
06.15.2000
Dated
06.15.2015
NO
Tax event: at principal amount + accrued
interest
-
Floating
Euro CMS 30y (min 5.50%. max 7.25%)
p.a.
NO
Fixed
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
6.31% p.a.
NO
DISCLOSURE BY INSTITUTIONS
100
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
9
9a
9b
10
11
12
13
14
15
16
17
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
UNICREDIT BANK AUSTRIA AG
AT0000541396
Whole Instrument - Austrian Law
UNICREDIT BANK AUSTRIA AG
AT0000541313
Whole Instrument - Austrian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
1
Amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
3
Amortisation
8
19
EUR
EUR
8
19
100
100
Liability – amortised cost
04.28.2000
Dated
04.28.2015
NO
-
100
100
Liability – amortised cost
03.17.2000
Dated
03.17.2015
NO
-
Fixed
18
6.8% p.a.
19
NO
Fixed to Floating
5.75% from 03/17/2000 to 03/16/2001;
thereafter arithmetic average Secondary
Market Yield of Government Bonds
according to ONB plus 0.25%
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
101
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
18
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT BANK AUSTRIA AG
AT0000541305
Whole Instrument - Austrian Law
UNICREDIT BANK AUSTRIA AG
XS0118835676
Instrument - English Law
Subordinated provisions - Austrian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
4
Amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
13
Amortisation
27
50
EUR
EUR
27
50
100
100
Liability – amortised cost
03.17.2000
Dated
03.17.2015
NO
-
99.67
100
Liability – amortised cost
10.24.2000
Dated
10.24.2015
NO
Tax event: at principal amount + accrued
interest
-
Fixed
NO
Floating
Euribor 6M + 0.29% payable semiannually
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
6.625% p.a.
DISCLOSURE BY INSTITUTIONS
102
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
18
19
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
103
UNICREDIT BANK AUSTRIA AG
XS0122710188
Instrument - English Law
Subordinated provisions - Austrian Law
UNICREDIT BANK AUSTRIA AG
XS0123313636
Instrument - English Law
Subordinated provisions - Austrian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
20
-
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
30
-
20
30
EUR
EUR
20
30
99.85
100
Liability – amortised cost
01.24.2001
Dated
01.24.2031
NO
Tax event: on any interest payment date
at principal amount + accrued interest
-
99.80
100
Liability – amortised cost
01.25.2001
Dated
01.25.2031
NO
Tax event: on any interest payment date
at principal amount + accrued interest
-
Floating
NO
Floating
Euribor 6M + 0.3925% payable semiannually
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
Euribor 3M + 0.39% p.a.
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
16
Subsequent call dates, if applicable
Coupon/dividends
17
Fixed or floating dividend/coupon
18
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT BANK AUSTRIA AG
XS0123117292
Instrument - English Law
Subordinated provisions - Austrian Law
UNICREDIT BANK AUSTRIA AG
AT0000539606
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
46
-
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
9
-
46
9
EUR
EUR
46
9
99.28
100
Liability – amortised cost
01.25.2001
Dated
01.25.2031
NO
Tax event: at principal amount + accrued
interest
-
100
100
Liability – amortised cost
12.21.2001
Dated
12.21.2026
YES
12.21.2017
Floating
Euribor 3M + 0.35% payable quarterly
NO
Fixed
6% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
Whole Instrument - Austrian Law
Annually
DISCLOSURE BY INSTITUTIONS
104
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
17
Fixed or floating dividend/coupon
18
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
105
UNICREDIT BANK AUSTRIA AG
XS0134061893
Instrument - English Law
Subordinated provisions - Austrian Law
UNICREDIT BANK AUSTRIA AG
XS0136314415
Instrument - English Law
Subordinated provisions - Austrian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
55
-
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
35
-
55
35
EUR
EUR
55
35
100
100
Liability – amortised cost
08.20.2001
Dated
08.20.2033
NO
Tax event: on any interest payment date
at principal amount + accrued interest
-
99.32
100
Liability – amortised cost
10.01.2001
Dated
10.31.2031
NO
Tax event: on any interest payment date
at principal amount + accrued interest
-
Floating
Euribor 3M + 0.52% payable quarterly
NO
Floating
Euribor 3M + 0.49% payable quarterly
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT BANK AUSTRIA AG
AT0000539531
Whole Instrument - Austrian Law
UNICREDIT BANK AUSTRIA AG
XS0137905153
Instrument - English Law
Subordinated provisions - Austrian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
2
Amortisation
Tier 2
Tier 2
Solo & Consolidated
Notes - Art. 62 CRR
12
-
5
12
EUR
EUR
5
12
100
100
Liability – amortised cost
12.06.2001
Dated
12.06.2016
NO
-
99.25
100
Liability – amortised cost
10.30.2001
Dated
10.30.2031
NO
Tax event: on any interest payment date
at principal amount + accrued interest
-
Fixed to Floating
7% from 12/06/2001 to 12/05/2006;
thereafter 9.90% minus Euribor 12M.
floor: 0%
NO
Fixed
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
5.935% p.a.
NO
DISCLOSURE BY INSTITUTIONS
106
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
17
Fixed or floating dividend/coupon
18
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
107
UNICREDIT BANK AUSTRIA AG
XS0138428684
Instrument - English Law
Subordinated provisions - Austrian Law
UNICREDIT BANK AUSTRIA AG
XS0138355515
Instrument - English Law
Subordinated provisions - Austrian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
60
-
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
3
Amortisation
60
10
EUR
USD
60
11
99.31
100
Liability – amortised cost
11.05.2001
Dated
12.31.2031
NO
Tax event: on any interest payment date
at principal amount + accrued interest
-
100
100
Liability – amortised cost
11.14.2001
Dated
11.14.2016
NO
Tax event: on any interest payment date
at principal amount + accrued interest
-
Floating
Euribor 3M + 0.50% payable quarterly
NO
Fixed
6.00% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
16
Subsequent call dates, if applicable
Coupon/dividends
17
Fixed or floating dividend/coupon
18
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT BANK AUSTRIA AG
XS0138294201
Instrument - English Law
Subordinated provisions - Austrian Law
UNICREDIT BANK AUSTRIA AG
XS0139264682
Instrument - English Law
Subordinated provisions - Austrian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
10
Amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
29
-
30
40
USD
USD
34
45
100
100
Liability – amortised cost
11.14.2001
Dated
11.14.2016
NO
Tax event: on any interest payment date
at principal amount + accrued interest
-
100
100
Liability – amortised cost
12.05.2001
Dated
12.05.2031
NO
Tax event: on any interest payment date
at principal amount + accrued interest
-
Fixed
6.00% p.a.
NO
Fixed
6.21% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
DISCLOSURE BY INSTITUTIONS
108
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
17
Fixed or floating dividend/coupon
18
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
109
UNICREDIT BANK AUSTRIA AG
N/A
Whole Instrument - Austrian Law
UNICREDIT BANK AUSTRIA AG
XS0140394817
Instrument - English Law
Subordinated provisions - Austrian Law
Tier 2
Tier 2
Solo & Consolidated
Loan - Art. 62 CRR
20
-
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
94
-
28
95
USD
EUR
21
95
100
100
Liability – amortised cost
12.25.2006
Dated
12.15.2046
NO
-
-
98.76
100
Liability – amortised cost
12.27.2001
Dated
12.27.2031
NO
Tax event: on any interest payment date
at principal amount + accrued interest
-
Fixed
USD 130.000 per month/ 5.673% p.a.
NO
Floating
Euribor 3M + 0.48% payable quarterly
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
-
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
16
Subsequent call dates, if applicable
Coupon/dividends
17
Fixed or floating dividend/coupon
18
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT BANK AUSTRIA AG
XS0140907626
Instrument - English Law
Subordinated provisions - Austrian Law
UNICREDIT BANK AUSTRIA AG
XS0140691865
Instrument - English Law
Subordinated provisions - Austrian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
50
-
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
50
-
50
50
EUR
EUR
50
50
99.72
100
Liability – amortised cost
12.27.2001
Dated
12.27.2021
NO
Tax event: on any interest payment date
at principal amount + accrued interest
-
99.84
100
Liability – amortised cost
12.27.2001
Dated
12.27.2026
NO
Tax event: on any interest payment date
at principal amount + accrued interest
-
Floating
Euribor 3M + 0.48% payable quarterly
NO
Floating
Euribor 6M + 0.5% payable quarterly
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
DISCLOSURE BY INSTITUTIONS
110
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
17
Fixed or floating dividend/coupon
18
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
111
UNICREDIT BANK AUSTRIA AG
XS0140608125
Instrument - English Law
Subordinated provisions - Austrian Law
UNICREDIT BANK AUSTRIA AG
XS0140608398
Instrument - English Law
Subordinated provisions - Austrian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
12
Amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
63
-
40
63
EUR
EUR
40
63
99.89
100
Liability – amortised cost
12.27.2001
Dated
12.27.2015
NO
Tax event: on any interest payment date
at principal amount + accrued interest
-
99.87
100
Liability – amortised cost
12.27.2001
Dated
12.27.2021
NO
Tax event: on any interest payment date
at principal amount + accrued interest
-
Floating
Euribor 3M + 0.43% payable quarterly
NO
Fixed
5.80% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
18
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT BANK AUSTRIA AG
XS0140838474
Instrument - English Law
Subordinated provisions - Austrian Law
UNICREDIT BANK AUSTRIA AG
XS0141069442
Instrument - English Law
Subordinated provisions - Austrian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
125
-
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
100
-
125
100
EUR
EUR
125
100
99.62
100
Liability – amortised cost
12.27.2001
Dated
12.27.2029
NO
Tax event: on any interest payment date
at principal amount + accrued interest
-
99.79
100
Liability – amortised cost
12.28.2001
Dated
12.28.2021
NO
Tax event: on any interest payment date
at principal amount + accrued interest
-
Floating
Euribor 6M + 0.52% payable semiannually
NO
Floating
Euribor 6M +0.48% payable semiannually
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
DISCLOSURE BY INSTITUTIONS
112
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
9
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
9a
Issue price
9b
Redemption price
10
Accounting classification
11
Original date of issuance
12
Perpetual or dated
13
Original maturity date
14
Issuer call subject to prior Supervisory approval
Optional call date
15
Contingent call dates and redemption amount
16
Subsequent call dates, if applicable
Coupon/dividends
17
Fixed or floating dividend/coupon
18
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
113
UNICREDIT BANK AUSTRIA AG
AT0000539481
Whole Instrument - Austrian Law
UNICREDIT BANK AUSTRIA AG
N/A
Whole Instrument - Austrian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
40
-
Tier 2
Tier 2
Solo & Consolidated
Loan - Art. 62 CRR
25
-
40
25
EUR
EUR
40
25
100
100
Liability – amortised cost
11.30.2001
Dated
11.29.2021
NO
-
100
100
Liability – amortised cost
10.19.2001
Dated
10.19.2021
NO
-
Fixed
6% p.a.
NO
Fixed
6.01% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
9
9a
9b
10
11
12
13
14
15
16
17
18
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT BANK AUSTRIA AG
N/A
Whole Instrument - Austrian Law
UNICREDIT BANK AUSTRIA AG
AT0000246814
Whole Instrument - Austrian Law
Tier 2
Tier 2
Solo & Consolidated
Loan - Art. 62 CRR
20
-
Tier 2
Tier 2
Solo & Consolidated
Notes - Art. 62 CRR
2
Buybacks
20
15
EUR
EUR
20
15
100
100
Liability – amortised cost
12.03.2001
Dated
12.02.2021
NO
-
100
100
Liability – amortised cost
02.14.1996
Dated
02.26.2021
YES
02.26.2016
Anytime after call date with notice
Fixed
NO
Floating
Euribor 6M + 0.20% payable semiannually
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
5.51% p.a.
DISCLOSURE BY INSTITUTIONS
114
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
9
9a
9b
10
11
12
13
14
15
16
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
17
Fixed or floating dividend/coupon
18
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
115
UNICREDIT BANK AG
XS0100204766
Whole instrument - German law
UNICREDIT BANK AG
XS0093266939
Whole instrument - German law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
0
Amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
27
Amortisation
45
60
DEM
DEM
23
31
99.60
100
Liability – amortised cost
08.02.1999
Dated
08.04.2014
NO
Regulatory call: 100 + accrued interest
Tax event: at principal amount + accrued
interest
-
100
100
Liability – amortised cost
12.21.1998
Dated
12.21.2018
NO
-
Fixed
5.75% p.a. payable quarterly
NO
Fixed
5.43% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
-
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
9
9a
9b
10
11
12
13
14
15
16
17
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT BANK AG
XS0097425226
Whole instrument - German law
UNICREDIT BANK AG
XS0097950900
Whole instrument - German law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
38
-
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
3
-
40
3
EUR
EUR
40
3
99.83
100
Liability – amortised cost
05.14.1999
Dated
05.14.2019
NO
-
100
100
Liability – amortised cost
05.28.1999
Dated
05.28.2019
NO
-
Fixed to Floating
5.00% from issue date to 05/14/2009;
5.00% + 16% of Euro CMS 10y from
05/14/2009.
NO
Fixed to Floating
4.50% from issue date to 05/28/2004;
max between 4.50% and 90% of Euro
CMS 10y from 05/28/2004.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
DISCLOSURE BY INSTITUTIONS
116
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
9
9a
9b
10
11
12
13
14
15
16
17
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
117
UNICREDIT BANK AG
XS0098170003
Whole instrument - German law
UNICREDIT BANK AG
XS0098907693
Whole instrument - German law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
42
-
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
21
Buybacks
43
25
EUR
EUR
43
25
100
100
Liability – amortised cost
06.01.1999
Dated
06.01.2019
NO
-
100
100
Liability – amortised cost
06.25.1999
Dated
06.25.2019
YES
06.25.2009
-
Fixed to Floating
4.70% from issue date to 06/01/2009;
max between 4.70% and 102% of Euro
CMS 10y from 06/01/2009
NO
Fixed
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
7.00% p.a.
NO
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
9
9a
9b
10
11
12
13
14
15
16
17
18
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT BANK AG
XS0100695054
Whole instrument - German law
UNICREDIT BANK AG
XS0102734984
Whole instrument - German law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
0
Amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
4
Buybacks and amortisation
8
80
EUR
EUR
8
80
100
100
Liability – amortised cost
08.11.1999
Dated
08.11.2014
NO
-
100
100
Liability – amortised cost
10.06.1999
Dated
10.06.2014
NO
-
Floating
Max between 4.86% and 92% of Euro
CMS 10y.
NO
Fixed
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
6.46% p.a.
NO
DISCLOSURE BY INSTITUTIONS
118
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
9
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
9a
Issue price
9b
Redemption price
10
Accounting classification
11
Original date of issuance
12
Perpetual or dated
13
Original maturity date
14
Issuer call subject to prior Supervisory approval
Optional call date
15
Contingent call dates and redemption amount
16
Subsequent call dates, if applicable
Coupon/dividends
17
Fixed or floating dividend/coupon
18
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
119
UNICREDIT BANK AG
XS0104764377
Whole instrument - German law
UNICREDIT BANK AG
DE0002298890
Whole instrument - German law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
39
-
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
20
-
39
20
EUR
EUR
39
20
100
100
Liability – amortised cost
11.26.1999
Dated
11.19.2029
NO
-
100
100
Liability – amortised cost
06.07.1999
Dated
06.07.2019
NO
-
Floating
Euribor 6M + 0.62%
NO
Fixed
5.5% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
9
9a
9b
10
11
12
13
14
15
16
17
18
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT BANK AG
XS0105174352
Whole instrument - German law
UNICREDIT BANK AG
XS0105656267
Whole instrument - German law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
12
-
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
12
-
12
15
EUR
EUR
12
15
99.75
100
Liability – amortised cost
12.13.1999
Dated
12.13.2024
NO
-
79.15
100
Liability – amortised cost
12.21.1999
Dated
12.21.2029
NO
-
Fixed
2.00% p.a. from issue date to
12/13/2004; 9.00% p.a. from 12/13/2004.
NO
Fixed
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
5.00% p.a.
NO
DISCLOSURE BY INSTITUTIONS
120
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
9
9a
9b
10
11
12
13
14
15
16
17
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
121
UNICREDIT BANK AG
XS0106620288
Whole instrument - German law
UNICREDIT BANK AG
N/A
Whole instrument - German law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
1
Amortisation
Tier 2
Tier 2
Solo & Consolidated
Loan - Art. 62 CRR
0
Amortisation
10
5
EUR
EUR
10
5
100
100
Liability – amortised cost
01.21.2000
Dated
01.21.2015
NO
-
100
100
Liability – amortised cost
10.07.1999
Dated
11.03.2014
NO
-
Fixed to Floating
8.90% p.a. from issue date to
01/21/2003; Min between 8.90% and
GBP CMS 10y from 01/21/2003.
NO
Fixed
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
6.52% p.a.
NO
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
9
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
9a
Issue price
9b
Redemption price
10
Accounting classification
11
Original date of issuance
12
Perpetual or dated
13
Original maturity date
14
Issuer call subject to prior Supervisory approval
Optional call date
15
Contingent call dates and redemption amount
16
Subsequent call dates, if applicable
Coupon/dividends
17
Fixed or floating dividend/coupon
18
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT BANK AG
N/A
Whole instrument - German law
UNICREDIT BANK AG
N/A
Whole instrument - German law
Tier 2
Tier 2
Solo & Consolidated
Loan - Art. 62 CRR
1
Amortisation
Tier 2
Tier 2
Solo & Consolidated
Loan - Art. 62 CRR
0
Amortisation
10
5
EUR
EUR
10
5
100
100
Liability – amortised cost
10.07.1999
Dated
11.03.2014
NO
-
100
100
Liability – amortised cost
11.10.1999
Dated
11.07.2014
NO
-
Fixed
6.52% p.a.
NO
Fixed
6.20% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
DISCLOSURE BY INSTITUTIONS
122
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
9
9a
9b
10
11
12
13
14
15
16
17
18
19
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
123
UNICREDIT BANK AG
XS0111214465
Whole instrument - German law
UNICREDIT BANK AG
XS0114878233
Whole instrument - German law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
11
Amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
8
-
60
8
EUR
EUR
60
8
100
100
Liability – amortised cost
06.02.2000
Dated
06.02.2015
NO
-
99.71
100
Liability – amortised cost
08.01.2000
Dated
08.03.2020
NO
Tax event: at principal amount + accrued
interest
-
Floating
Max between 5.50% and 75% of Euro
CMS 10y.
NO
Floating
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
Euribor 6M + 0.65%
NO
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
9
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
9a
Issue price
9b
Redemption price
10
Accounting classification
11
Original date of issuance
12
Perpetual or dated
13
Original maturity date
14
Issuer call subject to prior Supervisory approval
Optional call date
15
Contingent call dates and redemption amount
16
Subsequent call dates, if applicable
Coupon/dividends
17
Fixed or floating dividend/coupon
18
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT BANK AG
N/A
Whole instrument - German law
UNICREDIT BANK AG
N/A
Whole instrument - German law
Tier 2
Tier 2
Solo & Consolidated
Loan - Art. 62 CRR
0
Amortisation
Tier 2
Tier 2
Solo & Consolidated
Loan - Art. 62 CRR
1
Amortisation
5
5
EUR
EUR
5
5
100
100
Liability – amortised cost
11.10.1999
Dated
11.07.2014
NO
-
100
100
Liability – amortised cost
03.17.2000
Dated
03.17.2015
NO
-
Fixed
6.20% p.a.
NO
Fixed
6.59% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
DISCLOSURE BY INSTITUTIONS
124
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
9
9a
9b
10
11
12
13
14
15
16
17
18
19
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
125
UNICREDIT BANK AG
XS0119485885
Whole instrument - German law
UNICREDIT BANK AG
XS0120851174
Whole instrument - German law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
14
-
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
10
-
14
10
EUR
EUR
14
10
100
100
Liability – amortised cost
10.23.2000
Dated
10.23.2020
NO
-
100
100
Liability – amortised cost
12.22.2000
Dated
12.22.2020
NO
-
Floating
NO
Floating
67% of Euro CMS 10y, with a min. of
4.85% and a max of 5.85%
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
Euribor 3M + 0.70%
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
9
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
9a
Issue price
9b
Redemption price
10
Accounting classification
11
Original date of issuance
12
Perpetual or dated
13
Original maturity date
14
Issuer call subject to prior Supervisory approval
Optional call date
15
Contingent call dates and redemption amount
16
Subsequent call dates, if applicable
Coupon/dividends
17
Fixed or floating dividend/coupon
18
Coupon rate and any related index
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT BANK AG
N/A
Whole instrument - German law
UNICREDIT BANK AG
N/A
Whole instrument - German law
Tier 2
Tier 2
Solo & Consolidated
Loan - Art. 62 CRR
1
Amortisation
Tier 2
Tier 2
Solo & Consolidated
Loan - Art. 62 CRR
2
Amortisation
5
10
EUR
EUR
5
10
100
100
Liability – amortised cost
03.17.2000
Dated
03.17.2015
NO
-
100
100
Liability – amortised cost
04.25.2000
Dated
04.20.2015
NO
-
Fixed
6.59% p.a.
NO
Fixed
6.48% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
DISCLOSURE BY INSTITUTIONS
126
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
9
9a
9b
10
11
12
13
14
15
16
17
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
UNICREDIT BANK AG
N/A
Whole instrument - German law
UNICREDIT BANK AG
XS0150812872
Whole instrument - German law
Tier 2
Tier 2
Solo & Consolidated
Loan - Art. 62 CRR
7
Amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
6
Amortisation
10
10
EUR
EUR
10
10
100
100
Liability – amortised cost
11.27.2002
Dated
11.27.2017
NO
-
100
100
Liability – amortised cost
07.08.2002
Dated
07.08.2017
NO
-
Fixed
18
5.85% p.a.
19
NO
Fixed
1.00% from 07/08/2003 to 07/08/2007;
3.00% from 07/08/2008 to 07/08/2012;
4.00% from 07/08/2013 to 07/08/2017
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
127
I
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
9
9a
9b
10
11
12
13
14
15
16
17
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT BANK AG
XS0154897317
Whole instrument - German law
UNICREDIT BANK AG
N/A
Whole instrument - German law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
16
Amortisation
Tier 2
Tier 2
Solo & Consolidated
Loan - Art. 62 CRR
4
Amortisation
25
10
EUR
EUR
25
10
100
100
Liability – amortised cost
09.24.2002
Dated
09.24.2017
NO
-
100
100
Liability – amortised cost
12.29.2003
Dated
05.30.2016
NO
-
Floating
Max between 6.50% and 94% of Euro
CMS 10y from issue date to 09/24/2007;
94% of Euro CMS 10Y 09/24/2007.
NO
Fixed
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
6% p.a.
NO
DISCLOSURE BY INSTITUTIONS
128
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
3
Governing laws of the instrument (2)
Regulatory treatment
4
Transitional CRR rules
5
Post-transitional CRR rules
6
Eligible at: solo; consolidated; solo & consolidated
7
Instrument type
8
9
9a
9b
10
11
12
13
14
15
16
17
18
19
20a
20b
21
22
23
24
Amount recognised in regulatory capital (€/mln) (3)
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
amount
Existence of step up or other incentive to redeem
Noncumulative or cumulative
Convertible or non-convertible
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
129
UNICREDIT BANK AG
N/A
Whole instrument - German law
BANK AUSTRIA WOHNBAUBANK AG
AT0000347695
Whole Instrument - Austrian Law
Tier 2
Tier 2
Solo & Consolidated
Loan - Art. 62 CRR
2
Amortisation
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
5
Amortisation
15
12
EUR
EUR
15
12
100
100
Liability – amortised cost
04.29.2005
Dated
04.29.2015
NO
-
100
100
Shareholders' equity
11.03.2003
Dated
11.02.2016
YES
11.03.2013
-
Fixed
4.21% p.a.
NO
Fixed
4.875% p.a.
NO
Mandatory
Partially discretionary
-
must be covered by annual profit
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
Cumulative
Convertible
No conversion trigger (Every payment
date at option of the holder)
Fully or Partially
4:5
at the option of the holders
Additional Tier 1
BANK AUSTRIA WOHNBAUBANK AG
YES
Capital Deficiency
Full or partial
Temporary
Triggered by profit
Senior
NO
-
NO
N/A
Senior
NO
-
I
Capital instruments main features templates (*)
Issuer
1
BANK AUSTRIA WOHNBAUBANK AG
2
AT000B074141
Unique identifier (1)
Governing laws of the instrument (2)
3
Whole Instrument - Austrian Law
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
18
19
20a
20b
21
22
23
24
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
amount
Existence of step up or other incentive to redeem
Noncumulative or cumulative
Convertible or non-convertible
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
UNICREDIT LUXEMBOURG FINANCE
SA
US90466GAC69
Whole Instrument - State of New York
Law
Subordinated provision - Italian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
4
Amortisation
Tier 2
Tier 2
Consolidated
Bond - Art. 62 CRR
355
Amortisation
8
750
EUR
USD
8
519
100
100
Shareholders' equity
10.23.2007
Dated
10.22.2017
NO
-
-
99.93
100
Liability – amortised cost
10.31.2007
Dated
10.31.2017
NO
Tax event: at principal amount + accrued
interest
-
Fixed
4.625% p.a.
NO
Fixed
6.00% p.a.
NO
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Cumulative
Convertible
No conversion trigger (Every payment
date at option of the holder)
Fully or Partially
4:5
at the option of the holders
Additional Tier 1
BANK AUSTRIA WOHNBAUBANK AG
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
-
NO
N/A
Senior
NO
-
DISCLOSURE BY INSTITUTIONS
130
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital instruments main features templates (*)
1
Issuer
2
Unique identifier (1)
Governing laws of the instrument (2)
3
4
5
6
7
Regulatory treatment
Transitional CRR rules
Post-transitional CRR rules
Eligible at: solo; consolidated; solo & consolidated
Instrument type
8
Amount recognised in regulatory capital (€/mln) (3)
9
9a
9b
10
11
12
13
14
15
16
17
Nominal amount of instrument: original amount of currency of
issuance (in million)
Nominal amount of instrument: original amount - currency of issuance
Nominal amount of instrument: conversion of original amount in Euro
(€ mln)
Issue price
Redemption price
Accounting classification
Original date of issuance
Perpetual or dated
Original maturity date
Issuer call subject to prior Supervisory approval
Optional call date
Contingent call dates and redemption amount
Subsequent call dates, if applicable
Coupon/dividends
Fixed or floating dividend/coupon
Coupon rate and any related index
18
19
Existence of a dividend stopper
Fully discretionary, partially discretionary or mandatory - in terms of
timing
20a
Fully discretionary, partially discretionary or mandatory - in terms of
timing - reasons for discretion
Fully discretionary, partially discretionary or mandatory - in terms of
20b
amount
21
Existence of step up or other incentive to redeem
22
Noncumulative or cumulative
23
Convertible or non-convertible
24
If convertible, conversion trigger(s)
25
If convertible, fully or partially
26
If convertible, conversion rate
27
If convertible, mandatory or optional conversion
28
If convertible, specify instrument type convertible into
29
If convertible, specify issuer of instrument it converts into
30
Write-down features
31
If write-down, write down triggers
32
If write-down, full or partial
33
If write-down, permanent or temporary
34
If temporary write-down, description of write-up mechanism (4)
35
Position in subordination hierarchy in liquidation
36
Non-compliant transitioned features
37
If yes, specify non-compliant features
(*) ‘N/A’ if the information is not applicable
131
UNICREDIT BANK AUSTRIA AG
AT0000245790
Whole Instrument - Austrian Law
UNICREDIT SPA
XS1070428732
Whole Instrument - English Law,
Subordination Provisions - Italian Law
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
1
Buybacks
Tier 2
Tier 2
Solo & Consolidated
Bond - Art. 62 CRR
184
Buybacks and amortisation
27
185
EUR
EUR
27
185
100
130
Liability – amortised cost
10.25.1989
Dated
10.25.2019
NO
-
99.26
100
Liability – amortised cost
05.21.2014
Dated
05.21.2024
YES
05.21.2019
Regulatory call: 100 + accrued interest
NO
Fixed to Floating
7.25% for first five years, thereafter
arithmetic average Secondary Market
Yield of Banking Bonds according to
ONB minus 0.25%
NO
Fixed
Mandatory
Mandatory
-
-
Mandatory
Mandatory
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
NO
Non Cumulative
Non Convertible
NO
N/A
Senior
NO
-
3.125% from issue date to 05/21/2019;
fixed rate equivalent to 5Y MS + 2.50%
from 05/21/2019
NO
I
Notes:
In addition to the instruments reported in the table, it has also been recognised in the AT1 the “Preferred shares” BAZGBMP00006 and
UA1002232007, issued, respectively, by Zabamostar and JSCBanksdu, that are included in the calculation of AT1 minority interest.
1.
2.
3.
4.
Please note that ISIN Guidelines (paragraph 7) states that “banking instruments or facilities such as bank loans are outside of the scope
of the ISO-6166 standard and should not be identified by ISIN codes". Hence, the present section shows "NA" (Not Applicable) for those
instruments classified as Loans.
If not specifically indicated, governing law of subordinated provisions follows the whole instrument's.
In case of instruments issued by Group's subsidiaries, the value represents the computable amount of the instrument, that is the basis for
the calculation of minority interests.
The write-up mechanisms described are aligned with the original Final Terms & Conditions; therefore, the classification of instruments is
coherent with the regulatory framework in force at the issuance date.
DISCLOSURE BY INSTITUTIONS
132
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Transitional Own Funds disclosure template (*)
Common Equity Tier 1 capital: instruments and reserves
Data referred to June 30, 2014
(C) - Amounts subject to preRegulation (EU) No 575/2013
treatment or prescribed
residual amount of Regulation
(EU) No 575/2013
(A) - Amount at
disclosure date
1
Capital instruments and the related share premium accounts (1)
2
Retained earnings (2)
6,761,164
-1,051,857
3
Accumulated other comprehensive income (and other reserves, to include unrealised gains and losses under the
applicable accounting standards)
3,927,028
3,322,881
Funds for general banking risk
0
0
Amount of qualifying items referred to in Article 484 (3) and the related share premium accounts subject to phase out
from CET1
0
0
Public sector capital injections grandfathered until 1 January 2018
0
0
of which: ordinary shares
3a
4
5
5a
6
133
Minority interests (amount allowed in consolidated CET1) (3)
Independently reviewed interim profits net of any fore-seeable charge or dividend (4)
Common Equity Tier 1 (CET1) capital before regulatory adjustment
35,222,289
Data referred to March 31, 2014
(C) - Amounts subject to preRegulation (EU) No 575/2013
treatment or prescribed
residual amount of Regulation
(EU) No 575/2013
(A) - Amount at
disclosure date
42,896,456
35,222,289
2,640,005
42,896,456
1,363,989
2,605,391
830,695
0
49,381,182
47,772,871
1,310,693
I
Common Equity Tier 1 (CET1) capital: regulatory adjustments
7
Additional value adjustments
8
9
Data referred to June 30, 2014
(C) - Amounts subject to preRegulation (EU) No 575/2013
(A) - Amount at
treatment or prescribed
disclosure date
residual amount of Regulation
(EU) No 575/2013
Data referred to March 31, 2014
(C) - Amounts subject to preRegulation (EU) No 575/2013
(A) - Amount at
treatment or prescribed
disclosure date
residual amount of Regulation
(EU) No 575/2013
-295,199
0
-205,000
0
Intangible assets (net of related tax liability)
-5,416,536
0
-5,382,274
0
Transitional adjustment related to IAS 19 (5)
1,780,707
0
1,296,794
0
-47,072
188,290
-63,891
255,563
-662,077
0
-525,676
0
-29,067
116,269
-34,451
137,804
0
0
0
0
10
Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax
liability where the conditions in Article 38 (3) are met)
11
Fair value reserves related to gains or losses on cash flow hedges
12
Negative amounts resulting from the calculation of expected loss amounts
13
Any increase in equity that results from securitised assets
14
Gains or losses on liabilities valued at fair value resulting from changes in own credit standing (6)
-178,482
0
-245,136
0
15
Defined - benefit pension fund assets
-23,206
0
-39,475
0
16
Direct and indirect holdings by an institution of own CET1 instruments (7)
-55,988
0
-68,896
0
17
Holdings of the CET1 instruments of financial sector entities where those entities have reciprocal cross holdings with the
institutions designed to inflate artificially the own funds of the institution
0
0
0
0
18
Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution
does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions)
0
0
0
0
19
Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the
institution has a significant investment in those entities (amount above 10% threshold and net of eligible short positions)
0
0
0
0
20a
Exposure amount of the following items which qualify for a RW of 1250%, where the institution opts for the deduction
alternative
-282,339
0
-276,587
0
20c
-282,339
0
-276,587
0
21
Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability where the
conditions in 38 (3) are met)
of which: securitisation positions
0
0
0
0
22
Amount exceeding the 15% threshold
0
0
0
0
25a
Losses for the current financial year
0
0
0
0
25b
Foreseeable tax charges relating to CET1 items
0
0
0
0
26
Regulatory adjustments applied to Common Equity Tier 1 in respect of amount subject to pre-CRR treatment (8)
26a
Regulatory adjustments relating to unrealised gains and losses pursuant to Article 467 and 468 (9)
-357,109
-332,627
-1,631,974
-1,161,934
of which: Unrealised gains on debt instruments issued by entities different from European Union central
administrations
-409,033
-185,375
of which: Unrealised gains on debt instruments issued by European Union central administrations
-976,109
-732,667
of which: Unrealised gains on capital instruments
-246,832
-243,892
0
0
26b
Amount to be deducted from or added to Common Equity Tier 1 capital with regard to additional filters and deductions
required pre CRR
27
Qualifying AT1 deductions that exceed the AT1 capital of the institution
0
0
28
Total regulatory adjustment to Common Equity Tier 1 (CET1)
-7,198,343
-7,039,153
29
Common Equity Tier 1 (CET1) capital
42,182,839
40,733,718
DISCLOSURE BY INSTITUTIONS
134
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Additional Tier 1 (AT1) capital: Instruments
30
Capital instruments and the related share premium accounts
33
Amount of qualifying items referred to in Article 484 (4) and the related share premium accounts subject to phase out
from AT1 (1)
34
Qualifying Tier 1 capital included in consolidated AT1 capital (including minority interests not included in row 5) issued by
subsidiaries and held by third parties
35
36
Data referred to June 30, 2014
(C) - Amounts subject to preRegulation (EU) No 575/2013
(A) - Amount at
treatment or prescribed
disclosure date
residual amount of Regulation
(EU) No 575/2013
898,604
0
1,842,537
1,840,552
159,891
of which: instruments issued by subsidiaries subject to phase out
Additional Tier 1 (AT1) capital before regulatory adjustments
Data referred to March 31, 2014
(C) - Amounts subject to preRegulation (EU) No 575/2013
(A) - Amount at
treatment or prescribed
disclosure date
residual amount of Regulation
(EU) No 575/2013
111,704
164,624
192,790
90,402
192,209
2,901,032
2,005,176
Additional Tier 1 (AT1) capital: regulatory adjustments
37
Direct and indirect holdings by an institution of own AT1 instruments
0
0
0
0
38
Holdings of the AT1 instruments of financial sector entities where those entities have reciprocal cross holdings with the
institution designed to inflate artificially the own funds of the institution
0
0
0
0
39
Direct and indirect holdings of the AT1 instruments of financial sector entities where the institution does not have a
significant investment in those entities (amount above the 10% threshold and net of eligible short positions)
0
0
0
0
40
Direct and indirect holdings by the institution of the AT1 instruments of financial sector entities where the institution has a
significant in those entities (amount above the 10% threshold net of eligible short positions)
-9,641
38,563
-12,548
50,191
41
Regulatory adjustments applied to AT1 in respect of amounts subject to pre-CRR treatment and transitional treatments
subject to phase out as prescribed in Regulation (EU) No 575/2013 (i.e. CRR residual amounts)
41a
Residual amounts deducted from AT1 capital with regard to deduction from Common Equity Tier 1 capital during the
transitional period pursuant to article 472 of Regulation (EU) No 575/2013
41b
Residual amounts deducted from AT1 capital with regard to deduction from Tier 2 capital during the transitional period
pursuant to article 475 of Regulation (EU) No 575/2013 (10)
0
0
-58,134
-68,902
of which: Residual amount related to the excess of expected losses vs loan loss provisions for IRB positions
-58,134
-68,902
-18,002
of which: Residual amount related to additional tier 1 instruments issued by financial sector entities, held directly for
significant investments
-23,776
-18,002
-23,776
41c
Amount to be deducted from or added to AT1 capital with regard to additional filters and deductions required pre-CRR
0
0
42
Qualifying T2 deductions that exceed the T2 capital of the institution
0
43
Total regulatory adjustments to Additional Tier 1 (AT1) capital
-85,777
44
Additional Tier 1 (AT1) capital
2,815,255
1,899,951
45
Tier 1 capital (T1= CET1+AT1)
44,998,094
42,633,669
12,621,943
12,819,587
415,620
422,582
0
-105,226
Tier 2 (T2) capital: instruments and provisions
46
Capital instruments and the related share premium accounts
47
Amount of qualifying items referred to in Article 484 (5) and the related share premium account subject to phase out from
T2
48
Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments
not included in row 5 or 34) issued by subsidiaries and held by third parties
50
Credit risk adjustments (11)
51
Tier 2 (T2) capital before regulatory adjustments
135
1,406,633
970,753
1,476,977
712,392
906,157
15,156,588
15,625,303
923,780
I
Tier 2 (T2) capital: regulatory adjustments
Data referred to June 30, 2014
(C) - Amounts subject to preRegulation (EU) No 575/2013
(A) - Amount at
treatment or prescribed
disclosure date
residual amount of Regulation
(EU) No 575/2013
Data referred to March 31, 2014
(C) - Amounts subject to preRegulation (EU) No 575/2013
(A) - Amount at
treatment or prescribed
disclosure date
residual amount of Regulation
(EU) No 575/2013
52
Direct and indirect holdings by an institution of own T2 instruments and subordinated loans
0
0
0
0
53
Holdings of the T2 instruments and subordinated loans of financial sector entities where those entities have reciprocal
cross holdings with the institution designed to inflate artificially the own funds of the institution
0
0
0
0
54
Direct and indirect holdings of the T2 instruments and subordinated loans of financial sector entities where the institution
does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions)
0
0
0
0
55
Direct and indirect holdings by the institution of the T2 instruments and subordinated loans of financial sector entities
where the institution has a significant investment in those entities (net of eligible short positions)
-603,656
333,600
-600,076
336,080
56
Regulatory adjustments applied to Tier 2 in respect of amounts subject to pre-CRR treatment and transitional treatments
subject to phase out as prescribed in Regulation (EU) No 575/2013 (i.e. CRR residual amounts)
56a
Residual amounts deducted from Tier 2 capital with regard to deduction form Common Equity Tier 1 capital during the
transitional period pursuant to article 472 of Regulation (EU) No 575/2013
of which: Residual amount related to the excess of expected losses vs loan loss provisions for IRB positions
56b
Residual amounts deducted from T2 capital with regard to deduction from Additional Tier 1 capital during the transitional
period pursuant to Article 475 of Regulation (EU) No 575/2013 (10)
of which: Residual amount related to additional tier 1 instruments issued by financial sector entities, held directly for
significant investments
56c
Amount to be deducted from or added to Tier 2 capital with regard to additional filters and deductions required pre-CRR
of which: unrealized gain on AFS securities subject to national additional filter
0
0
-58,134
-68,902
-58,134
-18,002
-18,002
262,346
262,346
-68,902
-23,776
-23,776
171,707
171,707
57
Total regulatory adjustments to Tier 2 (T2) capital
-417,446
-521,047
58
Tier 2 (T2) capital
14,739,142
15,104,256
59,737,236
57,737,925
336,228
434,156
398,702,012
418,870,049
59
Total capital (TC=T1+T2)
59a
Risk weighted assets in respect of amounts subject to pre-CRR treatment and transitional treatments subject to phase
out as prescribed in Regulation (EU) No 575/2013 (i.e. CRR residual amounts)
60
Total risk weighted assets
DISCLOSURE BY INSTITUTIONS
136
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Capital ratios and buffers
Data referred to June 30, 2014
(C) - Amounts subject to preRegulation (EU) No 575/2013
(A) - Amount at
treatment or prescribed
disclosure date
residual amount of Regulation
(EU) No 575/2013
Data referred to March 31, 2014
(C) - Amounts subject to preRegulation (EU) No 575/2013
(A) - Amount at
treatment or prescribed
disclosure date
residual amount of Regulation
(EU) No 575/2013
61
Common Equity Tier 1 (as a percentage of risk exposure amount)
10.58%
9.72%
62
Tier 1 (as a percentage of risk exposure amount)
11.29%
10.18%
63
Total capital (as a percentage of risk exposure amount)
14.98%
13.78%
64
Institution specific buffer requirement (CET1 requirement in accordance with article 92 (1) (a) plus capital conservation
and countercyclical buffer requirements, plus systemic risk buffer, plus the systemically important institution buffer (G-SII
or O-SII buffer), expressed as a percentage of risk exposure amount)
7.00%
7.00%
65
68
of which: capital conservation buffer requirement
Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount) (12)
2.50%
2.50%
3.29%
2.18%
Capital ratios and buffers
72
Direct and indirect holdings of the capital of financial sector entities where the institution does not have a significant
investment in those entities (amount below 10% threshold and net of eligible short positions)
3,464,400
3,689,478
73
Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has
a significant investment in those entities (amount below 10% threshold and net of eligible short positions)
3,003,782
3,061,139
75
Deferred tax assets arising from temporary differences (amount below 10% threshold, net of related tax liability where the
conditions in Article 38 (3) are met)
2,543,378
2,576,804
Applicable caps on the inclusion of provisions in Tier 2
76
Credit risk adjustments included in T2 in respect of exposures subject to standardized approach (prior to the application
of the cap)
-
-
77
Cap on inclusion of credit risk adjustment in T2 under standardised approach
-
-
78
Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the
application of the gap)
712,392
1,367,644
79
Cap for inclusion of credit risk adjustments in T2 under internal rating-based approach
892,697
906,157
Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2013 and 1 Jan 2022)
80
Current cap on CET1 instruments subject to phase out arrangements
-
-
81
Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities)
-
-
82
Current cap on AT1 instruments subject to phase out arrangements
2,078,505
2,078,505
83
Amount excluded from AT1 due to cap (excess over cap after redmptions and maturities)
84
Current cap on T2 instruments subject to phase out arrangements
85
Amount excluded from T2 due to cap (excess over cap after redemptions and maturities)
137
-
-
1,927,930
1,927,930
-
-
I
Notes:
(*) Sub-amount equal to zero or not applicable are not reported.
1. The ordinary shares underlying to the “CASHES” transaction are accounted under item “1. Capital instruments and the related share premium
accounts” for a total amount of €2,373,915 thousands, and under item “33. Amount of qualifying items referred to in Article 484 (4) and the related
share premium accounts subject to phase out from AT1“ for a total amount of €609,085 thousands, after the capital increase for no consideration for
a nominal amount of €2.499.217,96 thousands approved by the EGM on December 15, 2011. The CASHES are equity-linked instruments, issued for
a counter value of €2,983,000 thousand in February 2009 by The Bank of New York (Luxembourg) SA, with a maturity on December 15, 2050 and
convertible, under certain conditions, into n° 96,756,406 ordinary shares of UniCredit S.p.A. (reduced from n° 967,564,061 after the reverse split
occurred on December 23, 2011) underwritten by Mediobanca in the context of the capital increase approved by the UniCredit Extraordinary
Shareholders' Meeting on November 14, 2008. Therefore, since such shares are legitimately issued, they are fully loss absorbing as any other
ordinary share.
Moreover, €8,312 thousand related to Saving Shares and € 9,662 thousands referred to Share premium have been reclassified to the item “33.
Amount of qualifying items referred to in Article 484 (4) and the related share premium accounts subject to phase out from AT1“ from the item “1.
Capital instruments and the related share premium accounts”.
2. The amount as of March 1, 2014 included the loss of the period (plus the proposal of scrip dividends) pending the approval by UniCredit
Shareholders' Meeting about its allocation.
3. The Amount related to Column (C) includes minority interests recognized in Consolidated Own Funds according to the transitional provisions of
CRR articles 479 and 480.
st
4. The amount as of June 30, 2014 includes the net profit of the 1 half of the year, for €/mln 1.116; such amount is included in Own Funds according
to CRR article 26 (the Condensed Interim Consolidated Financial Statements as at June 30, 2014 were subjected to a limited scope audit by Deloitte
& Touche S.p.A.), net of Group foreseeable dividends, equal to €/mln 285.
st
As of March 31, 2014, the net profit of the 1 quarter of the year, equal to €/mln 712, wasn’t included in Own Funds as not independently reviewed.
5. As of January 1, 2013, following the entry into force of the amendments to IAS 19 (IAS 19R), the elimination of the corridor method – requiring
recognition of present value of defined benefit obligations – will result in an impact on the Group's net equity related to the recognition in the
revaluation reserves of actuarial net losses not previously recognized in line with such method. Under a regulatory perspective, such negative
revaluation reserve – equal to € 1,915 million and reported in item “3. Accumulated other comprehensive income” – is subject to a transitional
adjustment for € 1,781 million reported in the present item, equal to 100% of the amount calculated according to CRR article 473.
6. The amount includes both gains that result from changes in the own credit standing related to cash liabilities valued at fair value, and positions in
derivative instruments.
7. The amount include also synthetic holdings of own Common Equity Tier 1 capital instruments.
8. The amount includes € 279 million related to the negative prudential filter for multiple goodwill redemption (“affrancamenti multipli”), according to
Bank of Italy Circular 285; it also includes €/mln 78 related to the national prudential filter for gain on sale of properties mainly used in operations
(“cessione in blocco”).
9. With reference to the contents of Bank of Italy Bollettino di Vigilanza n° 12 issued on December 2013 related to the transitional provisions on Own
Funds for unrealized gain and losses associated to exposures towards Central Administrations classified in the IAS 39 category “Available For Sale –
AFS”, UniCredit SpA exercised the option contained in the Bank of Italy Circular 285 (“Disposizioni di vigilanza per le banche”, Part 2, Chapter 14,
Section II, Paragraph 2) for the calculation of its Consolidated Supervisory Capital (as well as for the calculation of Individual Supervisory Capitals of
all banks belonging to UniCredit Banking Group supervised by the Bank of Italy).
Accordingly, starting from 31.03.2014 reporting period and in coherence with previous periods, UniCredit SpA (for those securities issued by EU
Central Administration classified in the portfolio "Available for Sale – AFS”) excludes by any element of its Own Funds unrealized gains and losses
related to exposures towards EU Central Administration classified in the IAS 39 category "Available for Sale – AFS", taking into account the
provisions contained in the CRR Article n° 467.
As of June 30th, 2014, the net plus amount neutralized from common equity tier 1 capital is equal to € 976 million.
10. The amount includes the residual amount related to direct holdings in additional tier 1 capital instruments issued by financial sector entities where
the institution has a significant investment, to be deducted for 50% from additional tier 1 capital.
11. It refers to the regulatory item included in CRR article 62, letter d.
12. The amount is obtained by subtracting by the common equity tier 1 capital calculated as of date the following items (in percentage of risk
weighted assets): (I) capital requirements related to the common equity tier 1 capital; (II) capital requirement related to the additional tier 1 capital, for
the amount covered by means of common equity tier 1 capital elements.
DISCLOSURE BY INSTITUTIONS
138
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Comparative regulatory capital breakdown (June 30, 2014 vs December 31, 2013)
between Own funds including transitional adjustments and Supervisory Capital
Regulatory items
Ref. Own Funds
template (column A)
06.30.2014
Ref. Pillar III December
2013 (*)
12.31.2013
A.1.1 + A.1.2 + A.1.3 +
A.2.1 + A.2.4
Capital, share premium account and other reserves (1)
48,758,376
1 + 2 + 3 + 5a + 16
47,784,408
Accumulated other comprehensive income (2)
-2,073,188
3
-1,932,079
A.2.2 + A.2.5
2,640,005
5
2,916,591
A.1.1 + A.1.2 + A.1.3 +
A.2.1 + A.2.4
Adjustments to CET1 due to prudential filters (4)
-1,492,867
7 + 11 + 14 + 26
-320,558
B.2
Intangible assets - Goodwill (2a)
-3,587,066
Intangible assets - Other intangible assets
-1,829,470
Minority interests (3)
-3,668,790
8
A.2.2 + A.2.3
-1,813,038
Deferred tax assets that rely on future profitability excluding those arising from temporary differences
-47,072
10
-
-
Negative amounts resulting from the calculation of expected loss amounts (shortfall for IRB positions) (5)
-29,067
12
-449,279
D.
Defined benefit pension fund assets
Deductions for securitizations (5)
-23,206
15
-
-
-282,339
20c
-275,856
D.
-106
D.
Deductions related to settlement risk on non DVP transactions (5)
0
-
Deductions for shareholdings in financial sector entities where the institutions holds a significant investment (5; a, b)
0
19
-1,694,067
D.
9 + 26a
1,315,290
B.1
-
-1,179,476
B.1 + B.2
Other transitional adjustments to CET1 Capital (6)
Other national filters before 01.01.2014 (7)
COMMON EQUITY TIER 1 CAPITAL
148,733
42,182,839
29
-
898,604
30
2,054,192
1,842,537
33
-
-
159,891
34
-
-
-9,641
40
-
-
-76,136
41a + 41b
-
-
2,815,255
44
-
-
TIER 1 CAPITAL
44,998,094
45
42,737,233
E.
Capital instruments and subordinated loans eligible as T2 Capital, included instruments issued by subsidiaries that are given recognition in T2 Capital (10)
14,028,576
46 + 48
16,907,027
F.1.5 + F.1.6
Capital instruments eligible as AT1 Capital
Transitional adjustments due to grandfathered AT1 Capital instruments (8)
Instruments issued by subsidiaries that are given recognition in AT1 Capital (9)
Deductions for AT1 instruments of financial sector entities where the institution has a significant investment (5b)
Other transitional adjustments to AT1 Capital
ADDITIONAL TIER 1 CAPITAL
Transitional adjustments due to grandfathered T2 Capital instruments and subordinated loans
415,620
47
-
IRB Excess of provisions over expected losses eligible
712,392
50
1,889,559
-603,656
55
-
-76,136
56a + 56b
-
Deductions for T2 instruments of financial sector entities where the institution has a significant investment (5b)
Other transitional adjustments to T2 Capital
Other accumulated other comprehensive income, difference from those recognized at CET1 / CT1 (11)
T2 capital elements or deductions - other (12)
-
-
A.1.4 + A.1.5 + A.1.6
F.1.7
-
-1,195,484
F.1.2 + F.1.9 + F.2.3
262,346
56c
-2,687,176
F.2.1 + I + G2
TIER 2 CAPITAL
14,739,142
58
14,913,926
L.
TOTAL OWN FUNDS
59,737,236
59
57,651,159
P.
139
I
Note to the table in previous page:
(*) The cross-reference relates to the scheme “Regulatory Capital Breakdown” included in Table 3 of Market Disclosure document as of 31.12.2013.
1. The amount as of 30.06.2014 includes the following item of the table “Transitional Own Funds disclosure template”:
•
“1. Capital instruments and the related share premium accounts”;
•
“2. Retained earnings”;
•
“3. Accumulated other comprehensive income (and other reserves, to include unrealised gains and losses under the applicable
accounting standards)”, only for the component related to other reserves, equal to €/mln 6.006;
•
“5a. Independently reviewed interim profits net of any foreseeable charge or dividends”, per €/mln 831.
The amount as of 31.12.2013 includes the Group components related to the following items: (I) Capital, (II) Share premium account, (III) Reserves,
(IV) Treasury stocks, (V) Result of the period.
2. The amount as of 30.06.2014 includes only the component related to accumulated other comprehensive income, while the component related to
other reserves is included in the item “Capital, share premium account and other reserves” (ref. to note 1).
a)
The amount as of 31.12.2013 includes the forex effect related to the goodwill, deducted from tier 1 capital together with the goodwill itself,
and the revaluation reserves of actuarial net losses deriving from the elimination of the corridor method following the entry into force of
the amendments to IAS 19 (IAS 19R). Such amount does not include – as not allowed to be part of Core Tier1 according to the regulatory
rules in force as of 31.12.2013 – the other evaluation reserves (reserve for exchange difference, special law revaluation reserves, positive
reserves on AFS securities), classified under T2; ref. to note 11.
3. The amount as of 30.06.2014 includes minority interests recognized in Consolidated Own Funds according to the transitional provisions of CRR
articles 479 and 480.
The amount as of 31.12.2013 includes the minority interests related to the following items: (I) Capital, (II) Share premium account, (III) Reserves, (IV)
Treasury stocks, (V) Result of the period.
4. The amount as of 31.12.2013 includes the following prudential filters: own credit spread, multiple goodwill redemption (“affrancamenti mutipli”),
gain on sale of properties mainly used in operations (“cessione in blocco”); the amount does not include the filter on the revaluation of the stake in
Bank of Italy capital, reported in the item “Other national filters before” (ref. note 7).
5. Amount as of 31.12.2013 include 50% of the amounts to be deducted, according to the Bank of Italy’s regulatory requirements stating the
deduction of 50% of these items from Tier1 and the remaining 50% from Tier2.
The sum of such elements is equal to €/mln 2,419, in coherence with point D. of the “Regulatory Capital Breakdown” template as of 31.12.2013. For
the remaining 50%, ref. to note 12.
a)
Deductions for shareholdings in financial sector entities where the institutions holds a significant investment do not exceed the conditional
threshold defined by CRR as of 30.06.2014.
b)
As of 31.12.2013, such amount also included subordinated assets issued by the same shareholdings companies to be deducted.
6. The amount as of 30.06.2014 includes the following effects: (I) transitional positive adjustment for €/mln 1.781 related to IAS 19R (ref. note 2) as
transitional adjustment related to the negative revaluation reserve for €/mln 1.915; (II) elimination of unrealized gains on AFS securities.
The amount as of 31.12.2013 includes the prudential filter related to IAS 19R.
7. The amount as of 31.12.2013 includes the following main effects: (I) prudential negative filter which eliminates the benefits arising from the
revaluation of Bank of Italy stake. The amount of the prudential filter, equal to €/mln 1,190, is net of tax (€/mln 184); (II) filter related to net plus
amount on subordinated liabilities classified “held-for-trading”.
As of June 30th, 2014, carrying value of Bank of Italy stake is risk weighted at 100% according to the CRR article 133 (Equity exposures) and the
revaluation recognized at P&L as of December 31st, 2013 is not filtered out.
8. The amount as of 30.06.2014 includes – among the others – the portion of CASHES classified under item “33. Amount of qualifying items referred
to in Article 484 (4) and the related share premium accounts subject to phase out from AT1“ for a total amount of €/mln 609.
Such amount was included in the item A.1.5 of the “Regulatory Capital Breakdown” as of 31.12.2013.
9. The amount as of 30.06.2014 includes the additional tier1 instruments issued by subsidiaries and allowed for the inclusion in the consolidated own
funds according to the CRR article 480.
10. The amount as of 30.06.2014 also includes the tier2 instruments issued by subsidiaries and allowed for the inclusion in the consolidated own
funds according to the CRR article 480.
11. (ref. note 2.a) The amount as of 31.12.2013 includes the following items:
•
reserve for exchange differences, excluded those related to the goodwill, negative for €/mln 1,958 (it represents the main amount of the
item “F.2.3 - Other negative items” of the “Regulatory Capital Breakdown” as of 31.12.2013, equal to €/mln 1,960; the remaining €/mln 2 –
related to other negative element – is conventionally included in the present item as well);
•
special revaluation laws reserves (ref. to item “F.1.9 - Other positive items” of the “Regulatory Capital Breakdown” as of 31.12.2013),
positive for €/mln 278;
•
positive revaluation reserves on AFS securities (excluded net plus amount related to debt securities issued by EU central
administrations), positive for €/mln 487.
12. The amount as of 31.12.2013 includes:
•
the 50% of the items to be deducted, according to the Bank of Italy’s regulatory requirements stating the deduction of 50% from Tier1 and
the remaining 50% from Tier2. The sum of such elements is equal to €/mln 2,419, in coherence with point I. of the “Regulatory Capital
Breakdown” as of 31.12.2013. The items deducted from Core Tier 1 as of 31.12.2013 (remaining 50%, always equal to €/mln 2,419) are
those indicated under letter D. in the column related to “Regulatory capital breakdown” as of 31.12.2013;
•
net capital losses on participating interests (ref. to item F.2.1 of the “Regulatory Capital Breakdown” as of 31.12.2013), negative for €/mln
24;
•
the negative prudential filter related to the 50% of the positive revaluation reserves on AFS securities included in T2 capital, equal to
€/mln 244.
DISCLOSURE BY INSTITUTIONS
140
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Flow Statement for Own Funds
(€ '000)
O WN FUNDS (* ) (* * )
Common Equity Tie r 1 Ca pita l - CET1 (Core Tie r 1 Ca pita l - CT1 with re fe re nc e to 2 0 13 ) (* * * )
O pe ning Amount
Instrume nts a nd re se rve s
1. Capital (1) (1a)
2. Other reserves and share premium reserves (1)
3. Accumulated other comprehensive income, of/w:
3.1 Revaluation reserves of actuarial net losses and forex effect related to the goodwill (2)
3.2 CRR: Fair value reserves related to gains or losses on cash flow hedges, unrealized gains/losses; etc. (3)
4. Net profit of the period (excluded minority interets, net of charity and Group foreseeable dividends ) (1b)
5. Eligible minority interests (4)
Re gula tory a djustme nts
6. Gains or losses on liabilities valued at fair value resulting from changes in own credit standing
7. Disposal of properties
0 1. 0 1. 2 0 14 - 0 6 . 3 0 . 2 0 14
40,683,041
0 1. 0 1. 2 0 13 - 0 6 . 3 0 . 2 0 13
4 6 , 3 14 , 3 9 7
232,643
6,907
(3 7 , 13 7 )
395,943
(14 1, 10 9 )
(1, 5 7 6 , 8 3 0 )
(497,268)
(1,576,830)
356,159
-
830,695
553,642
(2 7 6 , 7 9 0 )
5 14 , 8 5 6
(16 1, 6 0 1)
(4 , 8 2 3 )
(6 7 9 )
1, 5 9 4
(5 2 , 7 5 3 )
(16 6 , 4 0 6 )
9. CRR: Fair value reserves related to gains or losses on cash flow hedges (5)
(6 6 2 , 0 7 7 )
-
10. CRR: Additional value adjustments (6)
(2 9 5 , 19 9 )
-
(5 2 , 0 2 9 )
1, 3 6 6
8. Multiple goodwill redemption
11. Direct and indirect holdings of own CET1 instruments, of/w: (7)
11.1 Treasury stocks
11.2 CRR: Indirect and synthetic positions
12. Goodwill (8) (2)
288
(52,317)
1,366
-
8 1, 7 2 4
110 , 6 8 3
13. Other intangible assets
(16 , 4 3 2 )
7 8 , 19 8
14. CRR: Deferred tax assets that rely on future profitability excluding those arising from temporary differences
(4 7 , 0 7 2 )
-
15. CRR: Defined benefit pension fund assets
(2 3 , 2 0 6 )
-
16. Shortfall for IRB positions (9)
4 2 0 , 2 11
(2 6 6 , 2 7 2 )
17. Deductions for securitizations (10)
(6 , 4 8 3 )
(2 , 2 7 5 )
18. Deductions related to settlement risk on non- DVP transactions
19. Deductions for shareholdings in financial sector entities where a significant investment is held (11) (14)
20. Other transitional adjustment, of/w:
20.1 Transitional adjustment related to IAS 19
20.2 CRR: Regulatory adjustments for unrealized gains / losses (12)
21. Other national filters before 01.01.2014 (13)
Closing Amount
10 6
-
1, 6 9 4 , 0 6 7
(4 8 2 , 9 8 9 )
(1, 16 6 , 5 5 7 )
1, 4 17 , 6 2 0
465,417
1,417,620
(1,631,974)
1, 17 9 , 4 7 6
(11, 0 13 )
4 2 , 18 2 , 8 3 9
46,884,598
2 , 0 5 4 , 19 2
2,553,877
Additiona l Tie r 1 Ca pita l - AT1 (Tie r 1 Ca pita l with re fe re nc e to 2 0 13 )
O pe ning Amount
Instrume nts
22. Eligible instruments, included instruments issued by subsidiaries
Re gula tory a djustme nts
23. Deductions for AT1 instruments of financial sector entities where a significant investment is held (14)
24. Other transitional adjustments to AT1 Capital (15)
Closing Amount
846,840
(4 0 4 , 2 6 9 )
(9 , 6 4 1)
-
(7 6 , 13 6 )
-
44,998,094
49,034,206
14 , 9 13 , 9 2 6
14 , 3 4 2 , 6 0 3
Tie r 2 Ca pita l - T2
O pe ning Amount
25. Eligible capital instruments and subordinated loans (16)
26. Other accumulated other comprehensive income, different from those recognized at CET1 / CT1 (17)
9 1, 9 0 7
1, 19 5 , 4 8 4
(6 4 4 , 10 3 )
27. Shortfall for IRB positions
(1, 17 7 , 16 7 )
111, 3 9 6
28. Other negative elements and deductions, of/w:
2,345,866
(8 0 1, 5 4 3 )
28.1 Deductions for T2 instruments of financial sector entities where a significant investment is held (11) (14)
1,090,411
(482,989)
28.2 Excess of provisions over expected losses for IRB positions (9)
449,279
(266,272)
28.3 Deductions for securitizations (10)
275,856
(2,275)
28.4 Unrealized gains related to AFS securities subject to national prudential filter
506,051
(38,020)
24,165
(11,988)
28.5 Net capital losses on participating interests (18)
29. Other transitional adjustments to T2 Capital (15)
Closing Amount
Tota l O wn Funds a t the e nd of the pe riod (Tota l Ca pita l with re fe re nc e to 2 0 13 )
141
(2 , 4 6 2 , 8 3 1)
(7 6 , 13 6 )
-
14 , 7 3 9 , 14 2
13 , 10 0 , 2 6 0
59,737,236
6 2 , 13 4 , 4 6 6
I
Notes to the table in previous page:
(*) All amounts are referred to changes of periods, except for the opening/end ones.
(**) CRR refers to the Own Funds items introduced with UE Regulation 575/2013.
(***) The opening amount for the period 01.01.2014 – 30.06.2014 is represented by the Core Tier 1 Capital (CT1) as of 31.12.2013, calculated – at
that time – according to an internal methodology. New regulatory requirements related to CRR adoption are reported within the evolution of the
st
capital elements of the 1 half 2014. The evolution related to the period 1.1.2013 – 06.30.2013 reflects the regulatory amounts in accordance with
the regulations in force in that period.
(1) The change as of 30.06.2014 does not include the portion related to minority interests, reported in the item related to the overall minority interest
eligible for Common Equity Tier 1 (CET1) according to CRR (ref. row 5 of the scheme).
Coherently, the change related to minority interests as of 30.06.2013 was reclassified and is reported – for sake of comparability – within “Eligible
minority interests” item (ref. row 5).
(1a) With reference to the item “Capital”, the increase as of 30.06.2014 is mainly due to the scrip dividend scheme approved for €/mln 223 by the
Extraordinary Shareholders’ Meeting of May 13th, 2014, under which newly-issued ordinary and savings shares of the Company were allocated to the
shareholders entitled to receive the 2013 dividend who did not opt for a cash payout.
(1b) With reference to the item “Net profit of the period” (ref. row 4) , the amount as of 30.06.2014 refers to the net profit of the 1st half of the year
equal to €/mln 1,116, eligible in Consolidated Own Funds according to CRR article 26, after the deduction of Group foreseeable dividends equal to
€/mln 285.
(2) The decrease as of 30.06.2013 (€/mln 1,577) refers to the following items:
•
forex effect related to goodwill for €/mln 109, deducted from CT1 together with goodwill;
•
revaluation reserves of actuarial net losses deriving from the elimination of the corridor method following the entry into force of the
amendments to IAS 19 (IAS 19R), for €/mln 1,467.
(3) The increase as of 30.06.2014 (€/mln 356) refers to all accumulated other comprehensive income not reported in the item 3.1 (e.g.: foreign
exchange reserve, reserve on available-for-sale securities, cash flow hedge reserve of financial instruments).
The amount as of 30.06.2013 is equal to zero as the above mentioned evaluation reserves were not allowed to be included in Tier1 Capital, being
classified under Tier 2 Capital (T2).
(4) The amount as of 30.06.2014 refers to minority interests recognized in Consolidated Own Funds according to the transitional provisions of CRR
articles 479 and 480. The decrease is mainly due to the limits for the eligibility of minority interests introduced by CRR, although mitigated by minority
interests net profit of the 1st half 2014.
The positive change as of 30.06.2013 refers to the minority interests related to the following items: Capital, Share premium account, Reserves, net
profit of the 1st half 2013 (after the deduction of minority interests foreseeable dividends calculated at that time).
(5) The amount as of 30.06.2014 (negative for €/mln 662) is associated to the requirements of the CRR article 33.1.a, which states that Own Funds
cannot include fair value reserves related to gains or losses on cash flow hedges of financial instruments.
(6) The amount as of 30.06.2014 (negative for €/mln 295) refers to the application of the prudent valuation. Indeed, CRR requires institutions – ref.
article 34 – to deduct from CET1 the amount of Additional Value Adjustments (AVA) calculated according to the article 105.
(7) Further to Treasury Stocks, shown in coherence for comparison with the amount as of 30.06.2013, the decrease as of 30.06.2014 (for €/mln 52)
also includes and is mainly related to indirect and synthetic positions held in Own CET1 capital instruments.
(8) Changes are net of forex effect related to the goodwill, reported within “Accumulated Other Comprehensive Income” (row 3.1).
(9) With reference to CET1 – CT1 items:
•
the positive change as of 30.06.2014 also takes into account the transitional regulatory adjustment (for €/mln 116) equal to the 80% of
the deduction related to excess of expected losses compared to provisions related to IRB positions;
•
with reference to 30.06.2013, the amount (€/mln 266) represents the 50% of the overall change of the period, in coherence with
regulatory requirements in force as of such date requiring deductions 50% from T1 and 50% from T2; thus, the remaining 50% is reported
in the T2 item “Other negative elements and deductions” (row 28.2).
The positive change reported under T2 as of 30.06.2014 (row 28.2) refers to the deduction as of 31.12.2013 (in coherence with regulatory
requirements in force at the time); indeed, according to the CRR adoption by 01.01.2014, such deduction is no longer relevant for T2 purposes, while
it affects CET1.
(10) With reference to 30.06.2013, the amount (€/mln 2) represents the 50% of the overall change of the period, in coherence with regulatory
requirements in force as of such date requiring deductions 50% from T1 and 50% from T2; thus, the remaining 50% is reported in the T2 item “Other
negative elements and deductions” (row 28.3).
The positive change reported under T2 as of 30.06.2014 (row 28.3) refers to the deduction as of 31.12.2013 (in coherence with regulatory
requirements in force at the time); indeed, according to the CRR adoption by 01.01.2014, such deduction is no longer relevant for T2 purposes, while
it affects CET1.
DISCLOSURE BY INSTITUTIONS
142
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
(11) As of 30.06.2014, deductions are not applied to CET1 since the amounts of significant / not significant investments in financial sector entities
(FSE) do not exceed the conditional thresholds defined by the CRR (ref. articles 46, 48). Hence, the increase is equal to the deduction for equity
investments as of 31.12.2013, no longer registered as of 30.06.2014 in light of the different calculation method defined by CRR.
With reference to 30.06.2013:
•
in coherence with regulatory requirements in force as of such date, requiring deductions 50% from T1 and 50% from T2, the amount
(€/mln 483) represents the 50% of the overall change of the period; thus, the remaining 50% is reported in the T2 item “Other negative
elements and deductions” (row 28.1);
•
the change related to subordinated assets to be deducted is comprised in this item.
(12) As of 30.06.2014, the decrease (for €/mln 1,632) arises from the following items: (I) transitional adjustment to CET1 referred to unrealized gains
related to assets measured at fair value and classified in the “available-for-sale” portfolio which are excluded from Own Funds according to CRR
article 467; (II) negative adjustment equal to €/mln 976, related to unrealized gains associated to exposures towards Central Administrations
classified in the IAS39 category “available-for-sale”, in accordance with the option exercised by UniCredit SpA defined in Bank of Italy Circular n° 285
(Part 2, Chapter 14, Section II).
(13) The increase as of 30.06.2014 is mainly due to the removal of the following effects: (I) prudential negative filter which eliminates the benefits
arising from the revaluation of Bank of Italy stake, for €/mln 1,190, net of tax (€/mln 184); (II) positive filter related to net plus amount on subordinated
liabilities classified “held-for-trading” (for €/mln 10).
With reference to the above point (I), carrying value of Bank of Italy stake as of 30.06.2014 is risk weighted at 100% according to the CRR article 133
(Equity exposures); the revaluation recognized at P&L as of 31.12.2013 is not subject to filter as it is realized.
(14) The decrease as of 30.06.2014 (negative for €/mln 10) is related to the regulatory adjustment for direct, indirect and synthetic positions in
Additional Tier 1 (AT1) instruments issued by FSE, in which a significant investment is held. Such amount is net of the positive transitional
adjustment (€/mln 39), equal to 80% of the whole deduction (€/mln 48).
With reference to 30.06.2013, the amount of subordinated assets deducted by the supervisory capital is reported in the item “Deductions for
shareholdings in financial sector entities where a significant investment is held” (row 19).
(15) The decrease as of 30.06.2014 refers to the following regulatory adjustments, subject to deduction for 50% from AT1 and 50% from T2 (row 29):
residual amount related to Additional Tier 1 instruments issued by FSE, held directly for significant investments, for €/mln 18;
residual amount related to the excess of expected losses vs loan loss provisions for IRB positions, for €/mln 58.
(16) The decrease as of 30.06.2014 (€/mln 2,463) also includes – further to the reduction of the computable amount of capital instruments and
subordinated loans – changes related to the following items: (I) instruments issued by subsidiaries (positive for €/mln 1,407); (II) grandfathered T2
Capital instruments and subordinated loans (positive for €/mln 416).
The increase as of 30.06.2013 (€/mln 92) is due to the changes related to the following items: (I) hybrid capital instruments (negative for €/mln 151);
(II) Tier 2 Subordinated liabilities (positive for €/mln 243).
(17) The T2 increase as of 30.06.2014 (for €/mln 1,195) refers to the revaluation reserves classified in T2 as of 31.12.2013; indeed, according to the
regulatory requirements introduced with CRR adoption by 01.01.2014, such item is no longer relevant for T2 purposes, while it affects CET1
Accumulated other comprehensive income. Such positive change arises from the following items (the indication “positive”/”negative” regarding the
following items must be read as the balance sheet amount as of 31.12.2013, then assuming contrary sign when read in the flow statement
movements): (I) valuation reserves of available-for-sale securities (positive for €/mln 487); (II) exchange rates differences (negative for €/mln 1,960),
excluded the forex effect related to goodwill already registered at CET1; (III) special revaluation reserves (positive for €/mln 278).
The decrease as of 30.06.2013 (€/mln 644) mainly arises from changes in the following items: (I) valuation reserves of available-for-sale securities
(positive for €/mln 76); (II) exchange rates differences (negative for €/mln 720), excluded the forex effect related to goodwill already registered at
CT1.
(18) The increase as of 30.06.2014 (€/mln 24) refers to the net capital losses on participating interests as of 31.12.2013, relevant according to the
former regulatory framework in force at that time, but no longer applicable according to CRR.
143
I
Accounting and Regulatory Balance Sheet reconciliation, with cross-reference to Transitional Own Funds items
(€ '000)
A cco unt ing f ig ur es ( * )
BALANCE S HEET - AS S ETS
A cco unt ing
p er imet er
Pr ud ent ial
Per imet er
A mo unt s r elevant
f o r Own F und s
p ur p o ses ( * * )
R ef . t o T ab le
" T r ansit io nal Own
F und s d isclo sur e
t emp lat e"
R ef . no t es
( ***)
40. Available- for- sale financial assets - Equity instruments
2,632,949
2,630,849
-
18, 19, 21
1
100. Investments in associates and joint ventures
6,245,504
3,857,501
-
18, 19, 21
1
130. Intangible assets, of/w
5,390,026
5,433,503
(5 , 4 16 , 5 3 6 )
Goodwill
3,536,328
3,533,897
(3,587,066)
8
2
Other Intangible Assets
1,853,698
1,899,606
(1,829,470)
8
3
140. Deferred Tax assets, of/w mainly:
Multiple goodwill redemption
Deferred tax assets that rely on future profitability
15 , 9 2 1, 5 18
16 , 0 0 4 , 3 2 2
(3 2 5 , 9 9 0 )
557,835
557,835
(278,918)
26
4
(5,259,616)
(5,342,420)
(47,072)
10, 21, 22
5
R ef . t o T ab le
" T r ansit io nal Own
F und s d isclo sur e
t emp lat e"
R ef . no t es
( ***)
46
6
A cco unt ing f ig ur es ( * )
BALANCE S HEET - LIABILITIES AND S HAREHO LDERS ' EQ UITY
20. Deposits from customers - Subordinated Liabilities, of/w:
Subordinated liabilities eligible in Tier 2
30. Debt securities in issue - Subordinated Liabilities, of/w:
Subordinated liabilities eligible in Additional Tier 1
A cco unt ing
p er imet er
3 4 9 , 10 9
40. Financial liabilities held for trading - Subordinated Liabilities, of/w:
Subordinated liabilities eligible in Tier 2
140. Revaluation reserves, of/w mainly:
Valuation reserves of available- for- sale securities
Revaluation reserves of actuarial net losses
Other positive items - Special revaluation laws
Cash flow hedge
Exchange differences
160. Equity instruments, of/w:
Instruments eligible in Additional Tier 1
170. Reserves
346,909
346,912
18 , 2 2 0 , 13 9
18 , 8 0 7 , 5 3 0
1,445,889
1,233,452
33
6 - 11
0
609,085
33
6 - 11
16,774,250
16,774,250
12,920,943
46, 47
6
16 6 , 10 5
16 6 , 10 5
166,105
(2 , 0 7 4 , 0 5 5 )
1,631,974
0
3 - 26a
7
(1,915,253)
(134,546)
3- 9
8
277,020
277,020
277,020
3
710,671
662,077
0
(1,712,229)
(2,725,988)
(2,729,006)
898,604
898,604
898,604
898,604
15 , 9 7 6 , 6 0 4
19 , 9 0 5 , 7 7 4
220. Net profit (loss) for the year (+/- )
O the r e le me nts for re c onc ilia tion with O wn Funds
Tota l othe r e le me nts, of whic h:
6
575,155
190. Issued capital, of/w:
210. Minority interests (+/- )
0
(2 , 5 8 6 , 5 3 2 )
(1,916,728)
180. Share premium
200. Treasury shares (- )
0
166,105
(2 , 0 7 3 , 18 8 )
12 , 7 6 1, 3 8 0
Ordinary shares underlying to the “ CASHES” transaction - Additional Tier 1 instruments
116,620
14 , 7 6 3 , 4 8 0
0
13 , 118 , 3 2 5
Ordinary shares underlying to the “ CASHES” transaction - Capital amount
116 , 6 2 0
346,912
1,445,889
Reclassification: Ordinary shares underlying to the “ CASHES” transaction - Additional Tier 1 instruments
Subordinated liabilities eligible in Tier 2
A mo unt s r elevant
f o r Own F und s
p ur p o ses ( * * )
Pr ud ent ial
Per imet er
3 - 11
3
9
30
10
898,604
898,604
12 , 7 6 1, 3 8 0
2, 3
15 , 9 7 6 , 6 0 4
15 , 9 5 2 , 10 1
1, 33
11
19 , 9 0 5 , 7 7 4
19 , 2 7 0 , 18 8
1, 33
11
1
11
16
12
2,373,915
2,373,915
2,373,915
609,085
609,085
0
11
(3 , 6 7 1)
(3 , 6 7 1)
(3 , 6 7 1)
3,234,467
3 , 2 17 , 0 2 5
2,640,005
5
13
1, 115 , 6 9 5
1, 115 , 6 9 5
830,695
5a
14
A mo unt s r elevant
f o r Own F und s
p ur p o ses ( * * )
R ef . t o T ab le
" T r ansit io nal Own
F und s d isclo sur e
t emp lat e"
836,892
Deduction for holdings in own Common Equity Tier 1 instruments
(52,317)
16
Assets referred to defined benefit pension funds
(23,206)
15
Additional value adjustments
(295,199)
7
Prudential filters to Common Equity Tier 1, of/w:
(256,673)
Own credit spread
Disposal of properties
Deduction for Securitizations
Expected losses/provisions (IRB models)
Instruments issued by subsidiaries included in Additional Tier 1
Deduction for Additional Tier 1 subordinated assets issued by Financial Entities
Transitional adjustments to Additional Tier 1
(178,482)
14
(78,191)
26
(282,339)
12
15
20c
(29,067)
12
159,891
34
16
(9,641)
40
17
41a, 41b
18
(76,136)
Instruments issued by subsidiaries included in Tier 2
1,406,633
48
19
Deduction for Tier 2 subordinated assets issued by Financial Entities
(603,656)
55
20
Surplus of the overall value adjustments compared to the expected losses (IRB models)
712,392
50
Transitional adjustments to Tier 2 Capital
186,210
56a, 56b, 56c
Tota l O wn Funds
59,737,236
21
59
DISCLOSURE BY INSTITUTIONS
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AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
Notes to the table in previous page:
(*) The differences between accounting and regulatory figures are mainly attributable to differences between the statutory (IFRS) and regulatory
(Banking Group) scope of consolidation as defined in the previous section “Scope of application”. In this regard, please note that since January 1,
2014 the statutory and regulatory consolidation scopes have undergone significant changes mainly due to the introduction of IFRS 10 and IFRS 11.
Specifically, IFRS 11 replaced IAS 31, “Interests in Joint Ventures” and SIC-13, “Jointly-controlled Entities – Non-monetary Contributions by
Venturers”, removing the possibility to adopt – under an accounting perspective – the proportional consolidation method, hence requiring the switch
to the equity method for the consolidation of joint controlled entities. For the UniCredit group, the associated main impact refers to the Entities
belonging to Koc/Yapi Kredi group, now deconsolidated under the accounting scope, while proportionally consolidated under regulatory perimeter in
coherence with the previous periods.
(**) The plus / minus sign (+/-) represents the contribution (positive / negative) to the Own Funds.
(***) Notes related to column “Amounts relevant for Own Funds purposes”:
1.
As of 30.06.2014, deductions are not applied to Own Funds since the amounts of significant / not significant investments in financial sector
entities (FSE) do not exceed the conditional thresholds defined by the CRR (ref. articles 46, 48).
With reference to the item “Investments in associates and joint ventures”, the main difference between accounting and regulatory amounts
refers to those Entities consolidated by equity method, consistently with the contents of note (*).
2.
The deduction related to goodwill (€/mln 3.587) is increased by the goodwill included in the valuation of significant investments, while it is net of
related deferred tax liabilities.
3.
In addition to the baseline represented by the regulatory accounting value of “Other intangible assets” (negative for €/mln 1.900), the amount of
the deduction also includes: (I) reduction for tax effects related to the write down of such activities (ref. CRR article 37); (II) portion of additional
intangible assets in disposal (ref. item B.9 of the table “15.1 Non-current assets and disposal groups classified as held for sale: breakdown by
type assets” included in the Explanatory Notes to The Accounts of the document Consolidated First Half Financial Report as at June 30, 2014).
4.
€/mln 558 refer to deferred tax assets related to multiple redemptions of the same goodwill; with reference to such deferred tax assets, €/mln
279 refers to the negative prudential filter for multiple goodwill redemption (“affrancamenti multipli”), calculated according to Bank of Italy
Communication issued on May 9th, 2013 (20% per year, starting from December 31st, 2012).
5.
The amount of deferred tax assets deducted from Own Funds is offset by related deferred tax liabilities where conditions stated by the CRR
article 48 are met. The amount deducted from Common Equity Tier 1 Capital as of 30.06.2014 (€/mln 47 in light of 20% phase-in of the overall
amount, equal to €/mln 235) only refers to deferred tax assets that rely on future profitability and do not arise from temporary differences;
indeed, the amount of deferred tax assets arising from temporary differences is not deducted as it does not exceed the conditional thresholds
identified by the CRR (ref. article 48).
6.
The amount refers to instruments issued by UniCredit S.p.A., while instruments issued by subsidiaries (e.g. financial liabilities held for trading)
are included in consolidated Own Funds for the amount resulting from the application of CRR articles 85-88 (reported among the “Other
elements for reconciliation with Own Funds”).
This item also include the following amount subject to re-classification:
a.
€/mln 609 related to the portion of Cashes (from the item Capital) not included in the capital increase for no consideration for a
nominal amount of €/mln 2.499 approved by the Extraordinary General Meeting held on December 15th, 2011;
b.
€/mln 8 related to Saving Shares (from the item Capital);
c.
€/mln 10 related to share premium reserve related to Saving Shares (from the item Share Premium).
7.
The amount of revaluation reserves on available for sale assets also includes the portion of reserves related to assets in disposal and
investments measured at equity; in light of the latter, the main difference between accounting and regulatory amount refers to re-evaluation
reserve for Entities consolidated by equity method, consistently with the contents of the note (*).
The amount included in Own Funds is nil according to the following elements: (I) transitional adjustment to Common Equity Tier 1 referred to
unrealized gains related to assets measured at fair value and classified in the “available-for-sale” portfolio which are excluded from Own Funds
according to CRR article 467; (II) negative adjustment equal to €/mln 976, related to unrealized gains associated to exposures towards Central
Administrations classified in the IAS39 category “available-for-sale”, in accordance with the option exercised by UniCredit SpA defined in Bank
of Italy Circular n° 285 (Part 2, Chapter 14, Section II).
8.
As of January 1st, 2013, following the entry into force of the amendments to IAS 19 (IAS 19R), the elimination of the corridor method – requiring
recognition of present value of defined benefit obligations – will result in an impact on the Group's net equity related to the recognition in the
revaluation reserves of actuarial net losses not previously recognized in line with such method. Under a regulatory perspective, such negative
revaluation reserve – equal to €/mln 1.915 – is subject to a positive transitional adjustment for €/mln 1.781, equal to 100% of the amount
calculated according to CRR article 473.
9.
The main difference between accounting and regulatory amount refers to the exchange rate reserves related to the Entities belonging to
Koc/Yapi Kredi group (negative approx. for €/bn 1), now deconsolidated under the accounting scope, while proportionally consolidated under
regulatory perimeter in coherence with the previous periods.
10. The amount refers to the Additional Tier 1 notes, denominated in USD, for a total of USD/bn 1.25, issued by UniCredit S.p.A. on March 27th,
2014, with value date April 3rd, 2014, with characteristics compliant with new "CRD IV" regulation in place starting from January 1 st, 2014.
11. With reference to the item Share Premium reserve, the difference (for €/mln 25) between the accounting figures and the amount included in
Own Funds refers to: (I) share premium reserves equal to €/mln 10, reclassified in Additional Tier 1 (ref. to note 6); (II) exclusion of share
premium reserves related to Common Equity Tier 1 instruments indirectly funded, for €/mln 15.
With reference to the item Capital, the ordinary shares underlying to the “CASHES” transaction are included in Common Equity Tier 1 for €/mln
2.374 and in Additional Tier 1 for €/mln 609 as instruments subject to phase-out (ref. to note 6).
12. The amount deducted from Own Funds referred to the item 16 of the table "Transitional Own Funds disclosure template" (equal to €/mln 56)
also includes – other than Treasury Shares item – indirect and synthetic position in own Common Equity Tier 1 instruments (equal to €/mln 52)
reported in this table among the “Other elements for reconciliation with Own Funds”.
13. The relevant amount to be included in Own Funds is the sum of the following items: (I) amount of minority interests recognized in consolidated
Common Equity Tier 1 according to CRR article 84 (equal to €/mln 1.276); (II) transitional adjustments due to CRR articles 479 and 480
(positive filter equal to €/mln 1.364).
145
I
14.
15.
16.
17.
18.
19.
20.
21.
st
The amount includes the net profit of the 1 half of the year, for €/mln 1.116, net of Group foreseeable dividends equal to €/mln 285.
The amount includes both gains that result from changes in the own credit standing related to cash liabilities valued at fair value, and positions
in derivative instruments.
The amount refers to Qualifying Tier 1 capital included in the Consolidated AT1 capital (equal to €/mln 48) issued by subsidiaries and held by
third parties, including minority interests not included in the item “210. Minority interests (+/-)” (equal to €/mln 112).
The amount is reported net of the positive transitional adjustment (equal to €/mln 39), that is 80% of the amount of the deduction (€/mln 48)
related to direct, indirect and synthetic positions in AT1 instruments issued by FSE, in which a significant investment is held.
The item includes the following regulatory adjustments, to be deducted for 50% from Additional Tier 1 capital:
a.
residual amount related to Additional Tier 1 instruments issued by FSE, held directly for significant investments, for €/mln 18;
b.
residual amount related to the excess of expected losses vs loan loss provisions for IRB positions, for €/mln 58.
The amount relevant for Own Funds purposes is equal to the sum of the following items: (I) Additional Tier 1 and Tier 2 instruments issued by
subsidiaries and recognized in consolidated Own Funds according to CRR articles 85-88 (equal to €/mln 436); (II) the transitional adjustments
due to CRR article 480 (positive filter for €/mln 971).
The amount to be deducted (equal to €/mln 604) is reported net of transitional adjustment (for €/mln 334), that is 80% of the amount of the
deduction (€/mln 417) related to indirect and synthetic positions in T2 instruments issued by FSE, in which a significant investment is held
The item includes the following transitional adjustments to Tier 2 Capital:
a.
deduction of 50% of the residual amount referred to direct positions held in AT1 instruments issued by FSE in which a significant
investment is held, for €/mln 18 (-);
b.
deduction of 50% of the residual amount related to the excess of expected losses compared to provisions referred to IRB position,
equal to €/mln 58 (-);
c.
national positive filter as regulated by Bank of Italy Circular n° 285, equal to 80% of 50% of unrealised gains on AFS, equal to
€/mln 262 (+).
DISCLOSURE BY INSTITUTIONS
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AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Own Funds
147
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DISCLOSURE BY INSTITUTIONS
148
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Capital requirements
Capital requirements
The UniCredit group has made a priority of capital management and allocation on the basis of the risk assumed in order to
expand the Group’s operations and create value. These activities are part of the Group planning and monitoring process and
comprise:
•
planning and budgeting processes:
o
proposals as to risk propensity and capitalization objectives;
o
analysis of risk associated with value drivers and allocation of capital to business areas and units;
o
assignment of risk-adjusted performance objectives;
o
analysis of the impact on the Group’s value and the creation of value for shareholders;
o
preparation and proposal of the equity plan and dividend policy;
•
monitoring processes:
o
analysis of performance achieved at Group and business unit level and preparation of management
reports for internal and external use;
o
analysis and monitoring of limits;
o
analysis and performance monitoring of the capital ratios of the Group and individual companies.
The Group has set itself the goal of generating income in excess of that necessary to remunerate risk (cost of equity), and
thus of creating value for its shareholders by allocating capital to the various business areas and business units on the basis
of specific risk profiles. In support of planning and monitoring processes, the Group has adopted a methodology based on
risk-adjusted performance measurement (Rapm) which provides a number of indicators that combine and summarize the
operating, financial and risk variables to be considered.
Capital and its allocation are therefore extremely important in defining strategies, since on the one hand it represents the
shareholders’ investment in the Group which must be adequately remunerated, on the other hand it is a scarce resource on
which there are external limitations imposed by regulatory provisions.
The definitions of capital used in the allocation process are as follows:
•
Risk or employed capital: This is the equity component provided by shareholders (employed capital) for which a
return that is greater than or equal to expectations (cost of equity) must be provided;
•
Capital at risk: This is the portion of capital and reserves that is used (the budgeted amount or allocated capital) or
was used to cover (at period-end - absorbed capital) risks assumed to pursue the objective of creating value.
If capital at risk is measured using risk management methods, it is defined as economic capital, if it is measured using
regulatory provisions, it is defined as regulatory capital.
Economic capital and regulatory capital differ in terms of their definition and the categories of risk covered. The former is
based on the actual measurement of exposure assumed, while the latter is based on schedules specified in regulatory
provisions.
Economic capital is set at a level that will cover adverse events with a probability of 99.93% (confidence interval), while
regulatory capital is quantified on the basis of a CET1 target ratio in line with that of major international banking groups and
taking into account the impacts of the supervisory regulations in force or that will be adopted (CRR, Global Systemically
Important Financial Institutions: G-SIFIs, etc.).
The process of capital allocation is based on a “dual track” logic, considering both economic capital, measured through the
full evaluation of risks by risk management models, and regulatory capital, quantified applying internal capitalization targets to
regulatory capital requirements.
The purpose of the capital management function performed by the Capital Management unit of Planning, Strategy and Capital
Management is to define the target level of capitalization for the Group and its companies in line with supervisory regulations
and the propensity for risk.
Capital is managed dynamically: the Capital Management unit prepares the equity plan and monitors capital ratios for
regulatory purposes.
On the one hand, monitoring is carried out in relation to shareholders’ equity, for both accounting and regulatory purposes
(Common Equity Tier 1, Additional Tier 1 and Tier 2 Capital), and on the other hand, in relation to the planning and
performance of risk-weighted assets (RWAs).
The dynamic management approach is aimed at identifying the investment and capital-raising instruments (ordinary shares
and other equity instruments) that are most suitable for achieving the Group’s goals. If there is a capital shortfall, the gaps to
be filled and capital generation measures are indicated, and their cost and efficiency are measured using RAPM. In this
context, value analysis is enhanced by the joint role played by the Capital Management unit in the areas of regulatory,
accounting, financial, tax-related, risk management and other aspects and the changing regulations3 affecting these aspects
so that an assessment and all necessary instructions can be given to other Group HQ areas or the companies asked to
perform these tasks.
3
E.g. Basel 2/3, IAS/IFRS etc.
149
I
Capital Strengthening
On March 27, 2014, with value date April 3, 2014, UniCredit S.p.A. launched Additional Tier 1 notes, denominated in USD, for
a total of USD 1.25 billion, with characteristics compliant with new "CRD IV" regulation in place starting from January 1, 2014.
The securities are perpetual (with maturity linked to corporate duration of UniCredit S.p.A.) and can be called by the Issuer
after 10 years and thereafter at any interest payment date. Notes pay fixed rate coupons of 8.00% per annum for the initial 10
years on a semi-annual basis; if not redeemed, coupon will be reset every 5 years to the then 5-Years Mid-Swap rate + 518
bps. In line with the regulatory requirements, the coupon payments are fully discretionary.
Additional Tier 1 contribute to strengthening the Tier 1 ratio of UniCredit S.p.A. The Notes have a 5.125% Common Equity
Tier 1 (CET1) trigger - if the Group or Issuer CET1 at any time falls below the trigger level, the instrument will be temporarily
written down to cure the breach, taking into consideration other instruments with similar write down triggers.
The transaction represents the inaugural deal for a CRD IV compliant AT1 by an Italian Issuer and the first RegS Perp NC10
USD denominated issue by a European Bank. The offer has encountered exceptional interest from investors, bringing the
order book to almost 8 billion USD with approx. 450 investors.
Given the positive feedback, the initial price guidance was set at 8.25% area and has been revised to 8.00%/8.25%. Coupon
was finally fixed at 8.00% for the initial 10 years, with an issue price set at 100%. Furthermore, the final size of the deal has
increased to USD 1.25 billion from initial target of USD 1 billion.
The Notes were distributed to different institutional investors' categories such as funds (71%), insurance companies/pension
funds (10%) and private banks (9%). The initial demand was mainly coming from the following regions: UK (39%), Italy (20%),
Asia (12%) and Switzerland (8%).
UniCredit Corporate & Investment Banking, together with Citi, HSBC, Societe Generale and UBS, has managed the
placement acting as joint bookrunners. The assigned rating from Fitch is "BB-". Bonds are listed on the Luxembourg Stock
Exchange.
Please note that on March 11, 2014 UniCredit’s Board of Directors, pursuant to the powers conferred by the Extraordinary
Shareholders' Meeting of April 29, 2011 and the Extraordinary Shareholders' Meeting of May 11, 2012, resolved to increase
the share capital by €28,143,498.84 by issuing 8,498,340 ordinary shares to be granted to the employees of UniCredit and of
Group banks and companies.
It should also be noted that, following the scrip dividend scheme approved by the Extraordinary Shareholders’ Meeting of May
13, 2014, under which newly-issued ordinary and savings shares of the Company were allocated to the shareholders entitled
to receive a dividend who did not opt for a cash payout, the share capital increased by €222,774,043.97. Therefore, the share
capital of the Bank is now €19,905,773,742.24.
DISCLOSURE BY INSTITUTIONS
150
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Capital requirements
Credit and Counterparty risk
(€ '000)
0 6 .3 0 .2 0 14
N o n- weig ht ed
amo unt s
0 3 .3 1.2 0 14
W eig ht ed
amo unt s
N o n- weig ht ed
amo unt s
R eq uir ement
W eig ht ed
amo unt s
R eq uir ement
A. CREDIT AND COUNTERPARTY RISK
A.1 Standardized Approach
392,582,006
186,143,686
14,891,495
392,421,184
188,508,646
15,080,692
129,998,939
21,336,086
1,706,887
130,240,086
23,205,447
1,856,436
50,268,126
1,982,223
158,578
51,013,194
2,139,416
171,153
Exposures w ith or secured by administrative bodies and non-commercial undertakings
8,156,970
2,921,605
233,728
6,831,541
2,968,665
237,493
Exposures w ith or secured by multilateral development banks
1,262,897
0
0
1,317,397
0
0
Exposures w ith or secured by international organizations
4,989,322
0
0
4,621,139
0
0
Exposures w ith or secured by supervised institutions
20,817,047
12,948,657
1,035,893
12,771,512
4,572,837
365,827
Exposures w ith or secured by corporates
62,213,886
62,087,264
4,966,981
65,865,085
61,934,183
4,954,735
Retail exposures
46,359,563
32,977,314
2,638,185
44,363,809
31,656,521
2,532,522
Exposures secured by real estate property
24,337,540
13,057,156
1,044,572
24,614,685
13,284,098
1,062,728
Past due exposures
12,370,316
14,643,169
1,171,454
12,229,546
14,617,086
1,169,367
High risk exposures
1,337,489
2,005,736
160,459
2,452,420
2,855,396
228,432
Exposures in the form of guaranteed bank bonds (covered bond)
2,247,259
324,354
25,948
2,207,965
308,542
24,683
Exposures in the form of Collective Investment Undertakings (CIU)
1,344,454
1,065,763
85,261
1,340,846
1,254,347
100,348
Short term exposures w ith corporates
441,654
540,614
43,249
390,656
416,000
33,280
Securitization positions
222,705
164,863
13,189
984,347
410,056
32,804
5,272,701
4,686,111
374,889
8,672,461
13,319,525
1,065,562
Exposures w ith or secured by central governments or central banks
Exposures w ith or secured by regional administrations and local authorities
Equity exposures
Other exposures
A.2 IRB Approach - RisK Assets
20,941,138
15,402,771
1,232,222
22,504,495
15,566,527
1,245,322
462,006,400
147,012,425
11,760,994
463,482,963
147,742,760
11,819,421
Exposures w ith or secured by central administration and central banks
11,583,456
568,815
45,505
15,530,130
635,768
50,861
Exposures w ith or secured by supervised institutions, public and territorial entities and other entities
60,537,145
11,914,432
953,155
60,149,795
12,638,812
1,011,105
Exposures w ith or secured by corporate - SME
69,688,864
28,183,602
2,254,688
76,776,327
31,506,699
2,520,536
Exposures w ith or secured by corporate - Specialised lending
25,108,920
10,853,534
868,283
24,954,432
11,545,564
923,645
142,061,624
64,779,219
5,182,338
131,773,276
59,233,941
4,738,715
Exposures w ith or secured by corporate - Other
Retail exposures secured by residential real estate property - SME
8,568,913
1,946,677
155,734
8,749,734
2,026,463
162,117
87,332,777
12,067,408
965,393
87,663,549
12,105,415
968,433
5,200,271
683,001
54,640
5,258,775
709,366
56,749
34,954,348
7,598,958
607,917
34,879,332
7,959,353
636,748
Retail exposures - other non SME
9,459,629
4,100,865
328,069
9,846,667
4,279,789
342,383
Securitization positions
7,510,453
2,637,045
210,964
7,900,946
3,402,707
272,217
1,678,869
134,310
1,698,883
135,911
659,475
1,770,468
141,637
1,294,526
3,235,411
258,833
233,039
469,385
37,551
730,915
1,606,099
128,488
0
0
0
0
0
0
426,436
1,301,083
104,087
563,611
1,629,312
130,345
139,070
264,231
21,138
236,177
448,735
35,899
33,006
95,717
7,657
38,665
112,127
8,970
254,360
941,135
75,291
288,769
1,068,450
85,476
Exposures subject to transitional arrangements in relation to Ow n Funds requirements
0
0
0
0
0
0
Exposures subject to grandfathering provisions in relation to Ow n Funds requirements
0
0
0
0
0
0
Retail exposures secured by residential real estate property - non SME
Retail exposures - qualifying revolving
Retail exposures - other SME
Other non credit obligation assets
A.3 Metodologia basata sui rating interni - Esposizioni in strum enti di capitale
PD/LGD approach: risk assets
Internal models approach: risk assets
Simple risk w eight approach: risk assets
Equity exposures - private equity in sufficiently diversified portolios
Equity exposures - exchange-traded
Equity exposures - other
151
I
Credit and Counterparty risk
(€ '000)
A mo unt s as at June 3 0 , 2 0 14
C r ed it r isk
C ap it al
r eq uir ement s
R W A ( net o f IC )
STANDARD METHOD
Exposures w ith or secured by central governments or central banks
A mo unt s as at M ar ch 3 1, 2 0 14
C o unt er p ar t y r isk
C r ed it r isk
C ap it al
r eq uir ement s
R W A ( net o f IC )
R W A ( net o f IC )
C o unt er p ar t y r isk
C ap it al
r eq uir ement s
C ap it al
r eq uir ement s
R W A ( net o f IC )
182,716,426
14,617,314
3,427,260
274,181
184,484,646
14,758,772
4,024,000
321,920
21,233,929
1,698,714
102,157
8,173
23,105,125
1,848,410
100,322
8,026
Exposures w ith or secured by regional administrations and local authorities
1,960,155
156,812
22,068
1,765
2,117,170
169,374
22,246
1,780
Exposures w ith or secured by administrative bodies and non-commercial undertakings
2,877,938
230,235
43,667
3,493
2,923,579
233,886
45,086
3,607
Exposures w ith or secured by multilateral development banks
0
0
0
0
0
0
0
0
Exposures w ith or secured by international organizations
0
0
0
0
0
0
0
0
Exposures w ith or secured by supervised institutions
12,105,538
968,443
843,119
67,450
3,484,001
278,720
1,088,836
87,107
Exposures w ith or secured by corporates
60,038,605
4,803,088
2,048,659
163,893
59,667,366
4,773,389
2,266,817
181,345
Retail exposures
32,623,366
2,609,869
353,948
28,316
31,169,885
2,493,591
486,636
38,931
Exposures secured by real estate property
13,057,156
1,044,572
0
0
13,284,098
1,062,728
0
0
Past due exposures
14,631,292
1,170,503
11,877
950
14,605,789
1,168,463
11,297
904
High risk exposures
2,005,600
160,448
136
11
2,854,896
228,392
500
40
Exposures in the form of guaranteed bank bonds (covered bond)
324,354
25,948
0
0
308,542
24,683
0
0
Exposures in the form of Collective Investment Undertakings (CIU)
1,065,763
85,261
0
0
1,254,347
100,348
0
0
Short term exposures w ith corporates
538,997
43,120
1,617
129
413,751
33,100
2,249
180
Securitization positions
164,863
13,189
410,056
32,804
Equity exposures
4,686,101
374,888
10
13,319,515
1,065,561
10
1
Other exposures
15,402,769
1,232,222
2
15,566,526
1,245,322
1
0
17,387,947
1,391,036
419,681
33,574
16,432,115
1,314,569
312,891
25,031
329,994
26,400
1,974
158
400,142
32,011
3,179
254
1
0
IRB
FOUNDATION
Exposures w ith or secured by central administration and central banks
Exposures w ith or secured by supervised institutions, public and territorial entities and other entities
1,184,613
94,769
123,163
9,853
1,036,098
82,888
58,071
4,646
Exposures w ith or secured by corporate - SME
5,569,688
445,575
84,393
6,751
5,439,130
435,130
78,609
6,289
Exposures w ith or secured by corporate - Specialised lending
2,214,799
177,184
31,592
2,527
2,187,352
174,988
28,108
2,249
Exposures w ith or secured by corporate - Other
8,088,853
647,108
178,559
14,285
7,369,393
589,551
144,924
11,594
119,596,711
9,567,737
6,971,041
557,683
121,402,607
9,712,209
6,192,440
495,395
216,953
17,356
19,894
1,592
215,221
17,218
17,226
1,378
8,931,898
714,552
1,674,758
133,981
9,165,471
733,238
2,379,172
190,334
21,350,243
1,708,019
1,179,278
94,342
25,254,920
2,020,394
ADVANCED
Exposures w ith or secured by central administration and central banks
Exposures w ith or secured by supervised institutions, public and territorial entities and other entities
Exposures w ith or secured by corporate - SME
Exposures w ith or secured by corporate - Specialised lending
734,040
58,723
7,653,620
612,290
953,523
76,282
8,335,929
666,874
994,175
79,534
53,502,676
4,280,214
3,009,131
240,730
49,767,255
3,981,380
1,952,369
156,190
1,946,677
155,734
0
0
2,026,463
162,117
0
0
12,067,408
965,393
0
0
12,105,415
968,433
0
0
683,001
54,640
0
0
709,366
56,749
0
0
Retail exposures - other SME
7,561,695
604,936
37,263
2,981
7,943,337
635,467
16,016
1,281
Retail exposures - other non SME
4,003,671
320,294
97,194
7,776
4,180,347
334,428
99,442
7,955
1,678,869
134,310
1,698,883
135,911
4,407,513
352,601
6,638,118
531,049
469,385
37,551
1,606,099
128,488
0
0
0
0
1,301,083
104,087
1,629,312
130,345
264,231
21,138
448,735
35,899
95,717
7,657
112,127
941,135
75,291
1,068,450
85,476
2,637,045
210,964
3,402,707
272,217
Exposures w ith or secured by corporate - Other
Retail exposures secured by residential real estate property - SME
Retail exposures secured by residential real estate property - non SME
Retail exposures - qualifying revolving
Other non credit obligation assets
OTHER IRB EXPOSURES
PD/LGD approach: risk assets
Internal models approach: risk assets
Simple risk w eight approach: risk assets
Equity exposures - private equity in sufficiently diversified portolios
Equity exposures - exchange-traded
Equity exposures - other
Securitization positions
8,970
In the “Capital Adequacy” scheme, the weighted amounts regarding securitization exposures are included in the item “A.1.3 Securitization”; while capital requirement
regarding securitization exposures is included in the item “B.1 Credit and counterparty Risk”.
DISCLOSURE BY INSTITUTIONS
152
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Capital requirements
(€ '000)
Capital Adequacy
UNWEIGHTED ASSETS
06.30.2014
12.31.2013 (4)
WEIGHTED ASSETS/REQUIREMENTS
06.30.2014
12.31.2013 (4)
IT EM S/ V A LU ES
A. RISK ASSETS
A.1 CREDIT AND COUNTERPARTY RISK
1. Standardized approach
2. IRB approaches
2.1 Foundation
2.2 Advanced
3. Securitizations
B. CAPITAL REQUIREMENTS
B.1 Credit and counterparty risk
B.2 Credit valuation adjustment risk (1)
B.3 Settlement risk (2)
B.4 Market Risk
1. Standardized approach
2. Internal Models
3. Concentration Risk
B.5 Operational Risk
1. Basic indicator approach
2. Traditional standardized approach
3. Advanced measurement approach
B.6 Other calculation elements (3)
B.7 Total capital requirements
C. RISK ASSETS AND CAPITAL RATIOS
C.1 Risk Weighted Assets
C.2 Common Equity Tier 1 Capital / Risk weighted assets (CET1 capital ratio)
C.3 Tier 1 Capital / Risk weighted assets (Tier 1 capital ratio)
C.4 Total Own Funds / Risk weighted assets (Total capital ratio)
855,247,881
844,040,506
334,926,579
314,926,556
392,359,301
384,010,405
185,978,824
161,818,076
455,155,422
450,896,787
146,145,848
149,581,278
28,845,373
24,341,555
17,807,627
14,249,517
426,310,049
426,555,232
128,338,221
135,331,761
7,733,158
9,133,314
2,801,907
3,527,202
26,794,126
25,194,124
425,946
5,038
1,123,836
1,424,834
161,989
55,912
961,847
1,368,922
3,547,214
4,161,024
237,789
285,937
303,887
318,696
3,005,538
3,556,391
31,896,161
33,899,086
398,702,012
423,738,575
3,119,104
10.58%
-
11.29%
10.09%
14.98%
13.61%
Unweighted figures reflect some adjustments - immaterial in relation to the amounts disclosed – aimed at ensuring consistency with the figures actually disclosed.
Notes:
1.
2.
3.
4.
Credit valuation adjustment risk is calculated starting from January 1, 2014 (Basel 3 adoption).
Included in credit and counterparty risk as of December 31, 2013.
As of December 31, 2013, the amount was related to the floor adjustment.
Figures as of December 31, 2013 are calculated in coherence with regulatory rules in force at that time.
According to Italian prudential regulation (Bank of Italy - Circular 263), until Q1 2014, UniCredit group consolidated capital
requirement for market risk was calculated as the sum of the individual capital requirements of the banks included in the
scope of consolidation (without eliminating intercompany transactions).
With the coming into force of the CRR such regulatory shortcoming of Italian prudential regulation was eventually rectified
allowing to account for the diversification among different legal entities for market risk consolidated capital requirements
calculation.
Bank of Italy authorized UniCredit group to calculate market risk consolidated RWAs embedding the effect of the
diversification across the different legal entities starting from Q2 2014, with the exception of CEE subsidiaries operating in
Non-EU member states.
The overall reduction in consolidated market risk RWAs is approx. €6 billion due to:
•
€4.4 billion from diversification benefit among Group Legal Entities authorized to use group-wide internal model to
calculate market risk regulatory capital (i.e. UCI Spa, UCB AG, UCBA AG and CEE subsidiaries, domiciled in
countries that are members of the European Union);
•
€1.6 billion from standardized treatment of risk-weighted assets for CEE subsidiaries domiciled in Non-EU
countries.
In addition, in 2014 first half UniCredit group has benefited from a decrease in the Operational RWA in the amount of over €7
billion mainly due to the introduction of the new internal model recently approved by the relevant Regulators. The new internal
model better describes Group operational risk profile also improving the use of some forward looking elements such
scenarios analysis and enlarging the type of available statistical distributions.
153
I
(€'000)
Risk Weighted Assets segmentation
Weighted am ounts
Categories
06.30.2014
Total Risk Weighted Assets
03.31.2014
12.31.2013
09.30.2013
06.30.2013
03.31.2013
398,702,012
419,000,341
423,738,581
399,747,366
410,870,784
422,873,287
334,926,579
339,486,817
314,926,556
329,561,853
343,091,434
353,804,786
A.1. Commercial Banking Italy
64,245,454
63,872,607
66,813,118
65,709,568
65,818,743
62,746,700
A.2. Commercial Banking Germany
27,539,843
28,138,882
27,868,611
28,717,825
30,886,743
32,047,558
A.3. Commercial Banking Austria
19,696,674
22,397,271
20,951,398
20,959,091
20,737,543
21,264,667
A.4. Poland
21,780,535
21,410,224
21,705,357
20,885,811
20,191,455
20,573,836
A.5.CEE
71,812,962
68,421,919
70,830,848
72,922,852
77,315,420
A.6. CIB
48,215,504
50,440,229
51,682,930
58,887,941
63,725,220
67,843,324
2,017,600
2,142,671
1,850,291
1,696,140
1,814,736
1,962,561
596,320
585,560
524,216
494,855
509,429
480,853
50,576,655
53,916,787
23,482,137
24,364,984
24,656,608
29,106,196
28,445,032
28,160,667
29,217,650
34,922,786
37,435,537
38,730,132
A. Credit and Counterparty Risk 1
A.7. Asset Gathering
A.8. Asset Management
A.9. Other
A.10. Non Core
B. Market Risk
2
79,048,959
19,435,255
27,515,893
17,810,425
18,454,238
16,048,075
184,600
201,988
0
0
0
0
5,525
11,800
200
7,413
9,000
5,538
B.3. Commercial Banking Austria
494,125
817,825
333,863
737,175
457,913
345,975
B.4. Poland
911,338
813,163
384,913
380,400
401,400
351,063
B.5.CEE
2,573,500
5,874,450
1,673,288
1,975,463
1,951,413
2,048,388
B.6. CIB
B.1. Commercial Banking Italy
B.2. Commercial Banking Germany
17,899,938
19,167,550
19,345,938
15,229,550
15,170,863
13,047,375
B.7. Asset Gathering
42,388
17,913
41,763
23,988
29,088
70,263
B.8. Asset Management
87,763
71,775
81,150
105,288
101,225
114,913
-4,164,257
215,818
65,700
53,651
50,663
244,488
B.9. Other
B.10. Non Core
C. Operational Risk
C.1. Commercial Banking Italy
14,719,313
132,725
145,225
0
0
0
0
44,340,177
51,997,631
52,012,800
51,731,275
51,731,275
51,168,563
10,056,000
10,820,350
10,815,700
10,996,313
10,996,313
10,689,575
C.2. Commercial Banking Germany
5,137,863
7,048,100
5,954,013
6,123,413
6,037,113
5,414,988
C.3. Commercial Banking Austria
3,634,988
3,941,888
3,844,438
3,749,600
3,692,200
3,868,488
C.4. Poland
2,011,388
2,999,100
2,998,825
2,896,163
2,896,175
2,872,600
C.5.CEE
7,588,750
9,090,238
9,164,100
8,448,575
8,474,525
C.6. CIB
6,868,525
6,787,350
7,615,863
C.7. Asset Gathering
916,388
1,020,700
1,020,888
938,963
938,963
944,613
C.8. Asset Management
934,838
1,439,250
1,440,813
1,383,163
1,383,163
1,377,638
5,567,590
7,185,006
6,980,813
7,323,988
7,212,500
7,121,963
1,623,850
-
1,665,650
-
2,177,350
38,988,800
2,248,400
-
2,248,400
-
2,195,938
-
C.9. Other
C.10. Non Core
D. Integrazione per Floor
7,622,700
7,851,925
8,435,138
8,247,625
1. Starting from 1Q14, Credit RWAs include – under ‘Other’ – the regulatory add-on (risk w eight 250%) calculated on DTA and Significant Investment not
deducted from Common Equity Tier 1 capital (totaling around €14bn)
2. According to Italian prudential regulation (i.e. Banca d'Italia Circular 263), Unicredit Group consolidated capital requirement for market risk w as calculated
as the sum of the individual capital requirements of the LEs included in the scope of consolidation (w ithout eliminating intercompany transactions), until Q1
2014. With the coming into force of the CRR such regulatory shortcoming of Italian prudential regulation w as eventually rectified allow ing to account for the
diversification betw een different LEs for market risk consolidated RWAs calculation. Banca d'Italia eventually authorized Unicredit to calculate market risk
consolidated RWAs embedding the effect of the diversification across the different LEs in Q2 2014, w ith the exception of CEE subsidiaries operating in
Non-EU member states.
DISCLOSURE BY INSTITUTIONS
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AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Capital requirements
Quarterly changes in Risk Weighted Assets
(€ million)
Weighted am ounts
Categories
Changes in 1H14
TOTAL RWA, Opening Balances 1
384,750
A. Credit and Counterparty Risk Changes
20,000
0
A.1. Acquisitions (+)/ Dismissal (-)
A.2. FX Effect
A.3. Change in Exposures
A.4. Prociclicality
-185
-2,007
388
A.5. Model Changes
-1,470
A.6. Regulatory Changes
26,855
A.7. Other Changes
-3,582
B. Market Risk Changes
B.1. Regulatory Changes
1,625
-1,699
B.2. Book Evolution
2,668
B.3. Other Changes
C. Operational Risk Changes
TOTAL RWA, Closing Balances
656
-7,673
398,702
Note
1. Data do not include 39bn Floor
Definitions
A.1. Acquisitions (+)/ Dismissal (-) Acquisition / Dismissal of Consolidated subsidiaries
A.2. FX Effect Impact of fx rate fluctuations
A.3. Change in Exposures Impact on RWA caused by change in Exposure At Default
A.4. Prociclicality Impact of Probability of Default/Loss Given Default/Exposure At Default given by re-rating of customers due to recalibrations and migrations
A.5. Model Changes Impact coming from Rollout, model and methodology changes
A.6. Regulatory Changes Impact of new/updated regulation and of specific feedbacks of the Regulator
B.1. Regulatory Changes Impact of new/updated regulation and of specific feedbacks of the Regulator
B.2. Book Evolution Changes due to business evolution and market indicators
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Market Risk capital requirement
(€ '000)
06.30.2014
Position risk:
- Assets included in regulatory trading portfolio
1.721.324
1.088.178
1.721.324
- Assets not included in regulatory trading portfolio
Settlement risk for DVP transaction
Exchange rate risk
-
-
5.038
5.552
35.658
35.268
Commodities risk position
CVA (Credit Value Adjustment) risk
Market Risk capital requirement
03.31.2014
1.088.178
-
-
425.946
439.128
1.554.820
2.201.272
Specialized lendings - Slotting criteria
(€ '000)
Exp o sur e amo unt s as at 0 6 .3 0 .2 0 14
R emaining mat ur it y/ A ssesment
C at eg o r ie r eg o lament ar i
1 - st r o ng
Remaining maturity less than 2.5 years
47,603
Remaining maturity equal to or more than 2.5 years
2 - good
3 - sat isf act o r y
4 - weak
5 - d ef ault
190,815
333,959
234,007
44,524
325,731
Total specialized lendings as at 06.30.2014
47,603
524,774
234,007
44,524
325,731
Total specialized lendings as at 03.31.2014
68,946
606,806
181,463
74,383
293,330
(€ '000)
Equity - Simple risk weight approach
C at eg o r ies
W eig ht s
0 6 .3 0 .2 0 14
0 3 .3 1.2 0 14
Private equity exposures in sufficiently diversified portfolios
190%
139,070
Exchange traded equity exposures
290%
33,006
38,665
Other equity exposures
370%
254,360
288,769
426,436
563,611
Total Equity
236,177
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AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Capital requirements
Reclassification of Financial Assets
The amendments to IAS 39 and to IFRS 7“Reclassification of financial assets” approved by the IASB in 2008 make it possible
to reclassify certain financial assets, after their initial recognition, out of the HfT and AfS portfolios.
In particular, the following may be reclassified:
•
those HfT or AfS financial assets that would have satisfied the definition specified by international accounting
standards for the loan portfolio (if such assets were not classified as HfT or AfS respectively on initial recognition) if
the entity intends, and is able, to hold them for the foreseeable future or until maturity;
•
"only in rare circumstances" those HfT financial assets, which, at the time of their recording, did not satisfy the
definition of loans.
The following table provides the book value and fair value as at June 30, 2014 (broken down by type of underlying asset and
portfolio) of assets which had been reclassified in H2 2008 and H1 2009.
The income/expenses that would have been recognized if such reclassifications had not occurred, as well as those effectively
recognized through profit or loss or at equity are also provided.
These income/expenses before taxes are broken down into two categories: those arising “from measurement” (including any
write-downs) and “other” (including interest and gains/losses on the disposal of the transferred assets.
As a result the overall impact before taxes that would have been recognized in the income statement as of June 30, 2014, if
these assets had not been reclassified, would have been a gain of €315,865 thousand, while the impact actually recognized
was a gain of €80,853 thousand.
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Reclassified financial assets: book value, fair value and effects on comprehensive income
INCOME/EXPENSES ABSENT
RECLASSIFICATION
(BEFORE TAX)
ACCOUNTING
PORTFOLIO BEFORE
RECLASSIFICATION
(2)
INSTRUMENTS
TYPE
(1)
ACCOUNTING
PORTFOLIO AFTER
RECLASSIFICATION
(3)
A. Debt securities
BOOK VALUE
AS AT
06.30.2014
FAIR VALUE
AS AT
06.30.201
(4)
(5)
FROM
MEASUREMENT
(6)
(€’000)
INCOME/EXPENSE RECOGNIZED
DURING THE PERIOD (BEFORE
TAX)
OTHER
FROM
MEASUREMENT
(8)
(7)
OTHER
(9)
4,599,529
4,796,713
227,836
66,864
(2,598)
9,050
9,050
582
246
462
397
Held to maturity
182,741
186,577
(1,675)
3,156
-
2,936
Held for trading
Loans to Banks
1,354,310
1,439,832
19,253
18,120
(3,654)
22,768
Held for trading
Loans to Customers
2,926,438
3,036,362
203,636
44,350
594
48,083
Available for sale
Loans to Banks
-
-
-
-
-
-
Available for sale
Loans to Customers
126,990
124,892
6,040
992
-
1,002
-
-
-
-
-
-
-
-
-
-
-
-
307,908
339,250
12,759
8,406
-
8,265
-
Held for trading
Available for sale
Held for trading
B. Equity instruments
Held for trading
Available for sale
C. Loans
75,186
Held for trading
Available for sale
-
-
-
-
-
Held for trading
Held to maturity
-
-
-
-
-
-
Held for trading
Loans to Banks
84,100
86,790
(19)
1,743
-
1,996
Held for trading
Loans to Customers
223,808
252,460
12,778
6,663
-
6,269
Available for sale
Loans to Banks
-
-
-
-
-
-
Available for sale
Loans to Customers
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
4,907,437
5,135,963
240,595
75,270
(2,598)
83,451
D. Units in investment funds
Held for trading
Total
Available for sale
Debt securities reclassified in the loan with customers portfolio include structured credit products (other than derivative
contracts and financial instruments with incorporated derivatives) for an amount of €2,432,821 thousand as at June 30, 2014.
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AS AT JUNE 30, 2014
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Capital requirements
159
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DISCLOSURE BY INSTITUTIONS
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Credit Risk
Credit Risk
Structure and Organization
The credit risk organization in Parent Company breaks down into two levels:
•
functions with responsibilities at Group level;
•
functions with responsibilities at Country level.
Functions with responsibilities at Group level include:
•
the Group Credit Risks department that, with respect to credit risk, breaks down into the following structures:
o
the Group Credit Risk Policies, responsible – among others – for the following activity:

drawing up Group regulations on credit risk topics;

defining the concept of the Group Wide credit processes (i.e. credit processes related to global
portfolios / customer segments);
o
the Group Credit Risk Strategies, responsible – among others – for the following activities:

defining strategies and risk limits, executing stress test activities and portfolio analysis;

monitoring credit concentration risk through specific limits;
o
the Group Credit Portfolio Management and Risk Reporting, responsible – among others – for the
following activities:

drawing up reports needed to monitor the Group credit portfolio trend;

monitoring credit portfolio, evaluating the overall quality and managing the quality of the riskiest
asset buckets;

analyzing and monitoring the Special Credit portfolio at consolidated level;
•
the Group Credit Transactions department that, with respect to credit risk, breaks down into the following structures:
o
the Group Credit Committee Secretariat, responsible for supporting, organizing and coordinating the
different procedural phases and information flows for the approval and reporting processes related to
“Group Credit Committee”, “Group Transactional Credit Committee” and “Group Rating Committee”
activities;
o
the FIBS Credit Transactions, responsible the “Financial Institutions, Banks and Sovereigns” counterparts
– among others – of the following activities:

delivering expert advice on credit proposals presented by Legal Entities, acting as Group
Competence Team;

deciding, within its delegated powers, or proposing to the competent delegated bodies, credit
proposals booked with the Parent Company;

deciding, within its delegated powers, or proposing to the competent delegated bodies, Parent
Company Non-Binding Opinion on credit proposals presented by Legal Entities;
o
the CIB & Large Credit Transactions, responsible– among others – for the following activities:

for the counterparts different from “Financial Institutions, Banks and Sovereigns”, delivering
expert advice on credit proposals to be submitted to “Group Credit Committee” or to “Group
Transaction Credit Committee”;

delivering expert advice on credit proposals related to LPAC transactions (e.g. Project Finance,
Acquisition and Leveraged Finance, etc.);

delivering expert advice on credit proposals related to Special Products transactions for all the
Group Legal Entities, acting as Group competence Team;

deciding, within its delegated powers, or proposing to the competent delegated bodies, credit
proposals related to Special Products transactions booked with the Parent Company (e.g. ABS,
Securitizations);

delivering expert advice on restructuring and workout credit proposals to be submitted to
“Group Credit Committee” or to “Group Transaction Credit Committee”;

evaluating the restructuring/workout classification proposal for FIBS counterparts to be
submitted to “Group Credit Committee” or to “Group Transaction Credit Committee”;
o
the Country Risk analysis and Monitoring, responsible– among others – for the following activities:

analyzing and monitoring country risks;

deciding or collecting cross borders limits proposals to be submitted to the competent
delegated bodies;
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•
the Group Risks Control department that, with respect to credit risk, breaks down into the following structures:
o
Group Wide Credit Methodologies responsible – among others – for the following activity:

ensuring development, management and continuous models evolution, rating tools, tools for
Group Credit Risk Portfolio measurement and Credit risk methodologies;
o
Group Basel Program responsible – among others – for the following activity:

coordinating the implementation of Basel rules on credit risk and reporting to company
governance Bodies and Supervisory Authorities;
o
Group Internal Validation responsible – among others – for the following activity:

validating, at Group level, methodologies for the credit risk measurement, as well as related
processes, IT tools and Data Quality, with the aim of verifying the compliance either to
regulatory requirements and to the internal standards;
o
Group Rating Desk responsible – among others – for the following activities:

assigning rating to certain types of relevant counterparties (Top Banking and Top Corporate);

deciding, within its delegated powers, or submitting to the competent delegated Bodies the
rating override proposals related to Group Wide rating systems and local rating systems.
At Country level, steering and credit risk control activities, as well as the conducting of “operational” activities (e. g. loans
disbursement, monitoring, etc.) falls under the responsibility of controlled subsidiaries CRO.
In UniCredit S.p.A., these functions are undertaken by organizational structures of “CRO Italy”, reporting to “Group CRO” and
in particular:
•
CRO Italy Change Management and Support” responsible for the Italian perimeter of UniCredit S.p.A. and for the
CRO Italy perimeter activities, for the management of area projects, for the coordination of relations with
Supervisory and Control Authority Bodies related to CRO Italy perimeter topics, for the budget planning and for the
costs analysis;
•
the Risk Management Italy department responsible – among other activities – for governance and control of credit
risk originating in the “Country Chairman Italy” perimeter activities (including Consumer products). The department
with respect to credit risk, breaks down into the following structures:
o
Credit Risk Portfolio Analytics department responsible – among others – for the following activity:
monitoring and forecasting the credit portfolio riskiness composition in terms of credit quality, cost of risk,
RWA and capital absorption for UniCredit SpA perimeter, preparing requested reporting;
o
Credit Policies & Products Italy department responsible – among others – for the following activity:
defining process/product credit rules related to underwriting, monitoring, restructuring and workout for
UniCredit S.p.A. perimeter;
o
Credit Risk Methodologies department responsible – among others – for the following activity: defining
and managing methodologies regarding credit risk management. Such methodologies refer to credit risk
measurement models for all customer segments;
o
Rating Desk Italy unit responsible – among others – for the following activity: deciding, within its
delegated powers, or submitting to the competent delegated Bodies the rating override proposals related
to Local rating systems for measuring the credit risk related to UniCredit S.p.A. enterprises segments;
•
the Credit Underwriting department responsible – among others – for the following activities:
o
coordinating and management of Regional Industry Team Leaders(excluding RIT 6) and Territorial Credit
Risk Underwriting activities (excluding special portfolio perimeter);
o
coordinating correct execution of RIT and Territorial Credit Risk Underwriting granting activities;
o
coordinating and managing underwriting activities for UniCredit SpA customers related to Consumer and
Mortgages no banking products;
o
preparatory and administrative activities for proposals to be submitted to Italian Transactional Credit
Committee and Italian Special & Transactional Credit Committee;
•
the Loan Administration department responsible – among others – for the following activities:
o
presidium of post credit decision/disbursement administrative activities;
o
subsidized credit management;
o
credit and administrative activities related to “Consorzi di garanzia”;
o
coordination and management of Mortgages post disbursement activities, ensuring information assets
quality and integrity and risks minimization and deciding requests under their granting powers;
o
legal advice on credit issues within the Italian perimeter, for both the performing and non performing
portfolios;
With reference to credit risk, the department is split in the following structures:
o
Loan Administration Network
o
Subsidized Loans
o
Collateral and Personal Guarantees Administration Services
o
Contracts Administration Services and Control
o
Credit Advice Italy
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Credit Risk
•
the Special Credit department responsible – among others – for the following activities:
o
coordinating and managing the credit underwriting activities, for UniCredit S.p.A. customers, within the
“special portfolio” perimeter;
o
conducting borrower assessment, credit analysis and preparing the related documentation for
applications to be submitted to the competent decision-making Bodies;
o
managing the collection of delinquent and overdue unpaid credits and the related activities, as the
classification as doubtful or non performing credits, according to the delegated powers, ensuring the
enforcement and implementations of collection strategies and activities;
o
managing activities aimed at the containment of the cost of risk regarding irregular and problematic credit;
o
making decisions, within its delegated powers, on restructuring and workout proposals;
The department is split in the following structures:
o
Territorial Credit Risk Underwriting Special Portfolio responsible, within the “special portfolio” perimeter –
except for the “Credit Underwriting” perimeter for managing credit underwriting activities for UniCredit
S.p.A. customers;
o
Restructuring & Workout Italy department, responsible with reference to the customers or to the
Economic Groups of any segment of the Italian perimeter of UniCredit S.p.A., for coordinating and
managing the positions classified in restructuring and workout, as well as for the management of the
administrative / accounting activities;
o
Special Credit Analysis & Control Management unit, responsible for the valuation of the conformity of the
rules related to the files management, whose collection is in charge of the Bank, as well as the planning
of the expected proceeds and the monitoring of the collected portfolio, managed by external servicers;
•
Restructuring Large Files, responsible, for exposures above the defined threshold, for:
o
the coordination and management of restructuring positions,
o
monitoring the compliance with restructuring plan agreements and possible covenants;
•
the Credit Monitoring department responsible – among others – for the following activities:
o
coordinating, heading and managing the monitoring activities for all customers within UniCredit S.p.A.;
o
manage and recover past due and unpaid.
The department is split in the following structures:
o
Credit monitoring Operations & Support responsible for the coordination and oversight of the activities
within the monitoring operating model;
o
Central Credit Risk Monitoring Italy responsible for coordinating and guiding the monitoring activities
conducted by the local structures, making decisions based on applicable legislation, for the perimeter of
UniCredit S.p.A.;
o
Territorial Credit Risk Monitoring responsible for coordinating and managing credit monitoring for the
Italian perimeter of UniCredit S.p.A. through the performance monitoring of positions;
o
Customer Recovery responsible for managing and supporting the processes of monitoring, credit
collection and classification of customers to impaired loans portfolio for Individuals, Small Businesses and
Mid Enterprises, as identified by the applicable legislation, including all the assessments and decisions
concerning possible settlements or renegotiations, ensuring their operational effectiveness and efficiency.
Furthermore, with respect to credit risk specific committees are active:
•
the “Group Credit Committee”, in charge of discussing and approving competent credit proposals, including
“restructuring” and “workout” files, relevant strategies and corrective actions to be taken (including classification of
status when applicable) for “watchlist” files, specific limits for transactions related to debt capital markets on Trading
Book, single issuer exposure limits on Trading Book;
•
the "Group Credit and Cross-Border Risks Committee”, responsible for monitoring credit and cross-border risks at
Group level, for submitting to the “Group Risk Committee” - for either approval or information - credit and cross-border
risk strategies, policies, methodologies and limits as well as regular reporting on credit and cross-border risk portfolio
and profile;
•
the "Group Transactional Credit Committee", with approval function, within the delegated powers (decision-making
and/ or issuing of non-binding opinions to the Group Legal Entities) and/or consulting function for files to be
approved by upper Bodies regarding credit proposals, excluding “restructuring” and “workout” files, strategies and
relevant corrective actions to be taken for “watchlist” files, specific limits for transactions related to debt capital
markets, single issuer exposure limits on Trading book;
•
the ”Italian Transactional Credit Committee”, in charge of approving, within the delegated powers, and/or consulting
function for files to be approved by upper Bodies, regarding UniCredit S.p.A. counterparts (excluding FIBS
counterparts) credit proposals (excluding restructuring and workout files), status classification of files, strategies and
measures for “watchlist” files, pledge based credit transactions and for issuing non-binding opinion regarding Italian
Legal Entities of the Group proposals;
•
the “Group Rating Committee”, responsible for taking decisions and/or issuing non-binding opinions to the Group
Legal Entities on rating override proposals;
•
the “Italian Special & Transactional Credit Committee”, in charge, within the delegated powers, of evaluation and
approval (or issuing of consultative opinions for files to be approved by upper Bodies) of restructuring and workout
positions as well as of the client's positions managed by the “Special Credit Italy” department.
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Governance and policies
Relationships between the Parent Company and Group Legal Entities carrying out credit-related businesses are defined by
specific governance rules, assigning the role of guidance, support and control to the Parent Company, in respect of the
following areas: credit policies, credit strategies, models development, rating systems validation, credit concentration risk, the
issuance of credit products, monitoring and reporting portfolio credit risk.
In particular, Group Legal Entities are required to request the Group Risk Management function’s opinion before granting or
reviewing credit lines to individual borrowers or economic groups, whenever they exceed defined thresholds, also with
reference to the obligation of compliance with the credit risk concentration limits that have to be measured with respect to the
regulatory capital.
According to the role assigned to the Parent Company, specifically to the Group Risk Management function under Group
governance, “General Group Credit Policies” define group-wide rules and principles for guiding, governing and standardizing
the credit risk assessment and management, in line with the regulatory requirements and Group best practice.
The general rules are supplemented by policies governing defined subjects (business areas, segment activities, type of
counterpart / transaction, etc.). Such documents are divided in two categories:
•
policies on Group-wide topics, developed by the Parent Company and sent to all the Legal Entities. Some examples
are the policies on FIBS customers (Financial Institutions, Banks and Sovereigns), on Country Limits, on Project
Finance and Acquisition & Leveraged Finance transactions, on collateral management for OTC derivatives and
Repo and securities lending business, on assessment, monitoring and management of underwriting risk limits for
the syndicated loan, on “Commercial Real Estate Financing (CREF)” and on “Structured Trade and Export Finance
(STEF)”;
•
policies developed locally by single Legal Entitles. Such documents provide detailed credit rules for specific regions,
subsidiaries, etc., if required by local market peculiarities, and are applicable only within the specific Legal Entity
perimeter.
At both Legal Entity and Parent Company (if necessary) level, the policies are further detailed through Operative Instructions,
describing specific rules and instructions for the day-by-day activity.
Credit Policies have generally a static approach and are revised when necessary. Therefore they need to be supplemented
with Credit Risk Strategies that are updated at least annually and define customers / products, industry segments and
geographical areas that will form the target of the Legal Entity / the Group’s relevant credit business.
Management and Measurements method
Credit Risk generally represents the risk of losses of the value of a credit exposure arising from an unexpected worsening of
the counterparty's credit quality.
For the purpose of credit risk measurement, credit risk is defined as the risk of incurring losses arising from the possibility that
a counterparty, a borrower or an issuer of a financial obligation (bond, note, etc.) is not able to repay interest and/or principal
or any other amount due (Default Risk). In a broader sense, credit risk can also be defined as potential losses arising either
from a default of the borrower / issuer or a decrease of the market value of a financial obligation due to a deterioration in its
credit quality. On this topic the Group is exploring new approaches to cover also the market value component of banking book
credit risk.
Credit risk is measured by single borrower / transaction and for the whole portfolio. The tools and processes used for lending
to single borrowers during both the approval and monitoring phases include a credit rating process, which is differentiated by
customer segment / product to ensure maximum effectiveness.
The assessment of a counterpart's creditworthiness, within the credit proposal evaluation, begins with an analysis of the
financial statements and the qualitative data (competitive positioning, corporate and organizational structure, etc.), regional
and industry factors and counterpart behavior within the Legal Entity and the banking system (e.g., “Centrale dei Rischi”), and
results in a rating, i.e. the counterpart's probability of default (PD) on a one-year time horizon.
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Credit Risk
Regular monitoring focuses on the borrower's performance management, using all available internal and external information
in order to arrive at a score representing a synthetic assessment of the risk associated to each monitored customer. This
score is obtained using a statistical function that summarizes available information using a set of proven significant variables
that are predictors of an event of default within a 12 months horizon.
The internal rating, or risk level assigned to the customer / transaction, forms a part of the lending decision calculation. In
other words, at a constant credit amount the approval powers granted to the competent Bodies are gradually reduced in
proportion to an increased borrower-related risk level. The organizational model in use includes also a dedicated function,
which is separated from loan approval and business functions and is responsible for the management of the so-called rating
overrides, i.e. any changes to the automatic rating calculated by the model.
Each borrower's credit rating is reviewed at least annually on the basis of new information acquired. Each borrower is also
assessed in the context of any economic group with which it is affiliated by, as a general rule, taking into account the
theoretical maximum risk for the entire economic group.
Besides the methodologies summarized in the rating systems, the Risk Management function uses portfolio models enabled
to measure credit risk on an aggregated portfolio basis and, at the same time, to identify sub-portfolio, or single obligor
contributions to the overall risk position.
There are three fundamental portfolio credit risk measures that are calculated and are evaluated on a one year time horizon:
•
Expected Loss (EL);
•
Credit Value at Risk (Credit VaR), and
•
Expected Shortfall (ES).
In order to derive the Credit VaR of the portfolio, the portfolio loss distribution is specified; it is
represented by the probabilities of getting different values of the portfolio loss on the given time horizon (“discrete loss case”).
The loss associated to a specific probability is the product of the percentage of losses given default (LGD) and exposures at
default (EAD) considering the correlations among the defaults.
The Expected Loss (EL) at portfolio level represents the aggregated average loss of the portfolio due to potential defaults of
the obligors. The EL of the portfolio is just the sum of the single obligor ones, which can be evaluated as the product of PD x
LGD x EAD, and is independent from the default correlations in the portfolio. EL is typically charged as a cost component.
Value at Risk represents the threshold monetary loss overcome only with a given probability level (VaR at 1-α confidence
level). Economic Capital is derived from Value at Risk subtracting the expected loss and it is an input for determining Internal
Capital set up to cover potential unexpected losses from all risk factors.
VaR is a widely used measure of portfolio risk but it does not provide information on potential losses in case the VaR limit has
been exceeded. Such information is provided by the Expected Shortfall (ES) that represents the expected value of losses that
exceed the VaR threshold. Portfolio Credit VaR and ES strongly depend on default correlation and can be reduced by proper
portfolio diversification.
The credit portfolio models produce also measures of economic capital reallocated by individual borrowers within each portfolio
and are the basis for risk-adjusted performance measures.
The measures of economic capital (Credit VaR based) are also a fundamental input for the design and application of credit
strategies, the analysis of credit limits and risk concentration. The economic capital calculation engine is one of the tools used
for the analysis of stress tests of the credit portfolio, starting from macroeconomic variables that affect the various customer
segments, by Country, size, etc.
All the above mentioned risk parameters are subject to an initial validation and a regular monitoring process for each rating
system in all its components: models, processes, IT systems and data quality.
The aim is to give evidence of the systems compliance, highlighting improvement areas as well as possible misalignments in
the methodologies, which could limit the full comparability among the resulting risk measures.
The internal Credit VaR model is also subject to assessment in the context of Basel II - Pillar 2 validation.
Credit economic capital estimation is available on a unique technological platform (“CPM”) and a common methodology for
holding functions and several legal entities of UniCredit Group. The roll out of CPM across CEE legal entities allows to cover
most of the relevant geographies.
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To evaluate the effectiveness of securitizations in transferring credit risk, a new tool (Structured Credit Risk Analyzer) has
been developed. It allows to simulate credit losses in collateral portfolios and allocate the resulting losses to the tranches
which characterize the liability side of the securitization, both for cash and synthetic structure types (where credit risk is
transferred via credit derivatives).
Credit Strategies and Concentration Risk
Group Credit Risk Strategies are an effective instrument for governing credit risk, contributing to the setting of the Group
ambitions within the Budget process in coherence with the Group Risk Appetite, of which they are an integral part.
Being the concrete deployment of the Group Risk Appetite metrics, Credit Risk Strategies constitute also an operational tool.
Starting from the Macroeconomic and credit scenario, the outlook at industry level and the business strategy initiatives, Credit
Risk Strategies define a set of guidelines and operative targets for all the Group countries and business lines. The aim is to
identify their risk profile and a to steer the Group growth coherent with that.
Portfolio risk management pays special attention to credit risk concentration.
Such concentration risk, according to the Basel II definition, consists of a single exposure or of a group of correlated
exposures with the potential to generate losses of such magnitude as to prejudice the Group's ability to carry on its normal
business.
In compliance with the rules set within Basel II Pillar II, UniCredit has to adopt internal policies and control systems to identify,
measure, monitor and manage credit concentration risk towards
•
an individual counterparty or a group of related counterparties (Single Name/ Economic Group);
•
counterparties in the same economic sector (Industry).
Stress test simulations are a comprehensive part of credit risk strategies definition. With the stress test procedure it is
possible to estimate some risk parameters like Probability of Default, Expected Loss, Economic Capital and Risk Weighted
Asset under the assumption of an adverse macroeconomic and financial stressed scenario. Stressed parameters are used
not only for regulatory purposes (Basel II, Pillar I and Pillar II requirements), but also as managerial indicators about the
portfolio vulnerability of a single Legal Entity, business line, industry/regional area, customer group and other relevant cluster,
conditioned by the downturn of the economic cycle.
In compliance with regulatory requirements, stress tests are performed on an on-going basis on updated stressed scenarios
and are communicated to the senior management as well as to the Supervisory Authority. In addition to the regular stress
test, ad hoc stress test simulations are performed on specific request by the Supervisory Authority.
Credit Risk Mitigation Techniques
UniCredit Group uses various credit risk mitigation techniques to reduce potential credit losses in case of the obligor default.
Consistently with the “International Convergence of Capital Measurement and Capital Standards – A Revised Framework”
(Basel II), the Group is firmly committed to satisfy the requirements for recognition of Credit Risk Mitigation techniques for
regulatory capital purposes, according to the different approaches adopted (Standardized, Foundation IRB or Advanced IRB)
both for internal use in operations and for the purposes of calculating the credit risk capital requirement.
With specific reference to Credit Risk Mitigation, general guidelines are in force, issued by the Parent Company, to lay down
Group-wide rules and principles that should guide, govern and standardize the credit risk mitigation management, in line with
Group principles and best practice, as well as in accordance with the relevant regulatory requirements.
Following the General Group Credit Risk Mitigation Guidelines all Legal Entities have adopted internal regulations, specifying
processes, strategies and procedures for collateral management. In particular such internal regulations detail collateral
eligibility, valuation and monitoring rules and ensure the soundness, legal enforceability and timely liquidation of valuable
collateral according to each Country's local legal system.
Collateral management assessments and Credit Risk Mitigation compliance verifications have been performed by the Legal
Entities, specifically as part of Internal Rating System applications, in order to assess the presence of adequate
documentation and procedure concerning the Credit Risk Mitigation instruments used for supervisory capital.
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Credit Risk
According to credit policy, collaterals or guarantees can be accepted only to support loans and they cannot serve as a
substitute for the borrower’s ability to meet obligations. For this reason, in addition to the overall analysis of the credit
worthiness and of the repayment capacity of the borrower, they are subject to specific evaluation and analysis of the support
role for the repayment of the exposure.
Collaterals accepted in support of credit lines granted by the Group’s Legal Entities, primarily include real estate, both
residential and commercial, financial collateral (including cash deposits, debt securities, equities, and units of Undertakings for
Collective Investment in Transferable Securities (UCITS)). Other types of collateral (pledged goods or pledged loans and life
insurance policies) are less common. The Group also makes use of bilateral netting agreements for OTC derivatives (by
means of ISDA and CSA agreements), Repos and securities lending.
The management system of credit risk mitigation techniques is embedded in the credit approval process and in the credit risk
monitoring process, which widely support the evaluation and data quality checks of collaterals / guarantees and their
appropriate linking to the categories defined for LGD estimates purposes. Controls and related responsibilities are duly
formalized and documented in internal rules and job descriptions. Furthermore processes are implemented to control that all
the relevant information regarding the identification and evaluation of the credit protection are correctly registered in the
system.
When accepting a credit risk mitigation technique, UniCredit group emphasizes the importance of processes and controls of
the legal certainty requirements of the protection, as well as the assessment of the suitability of the collateral or guarantee. In
case of personal guarantees, the protection provider (or the protection seller in case of credit default swap) has to be
assessed in order to measure his/her solvency and risk profile.
In case of collaterals, the process of valuation is based on precautionary principles, with reference to the use of “market
values” and to the application of adequate haircuts to ensure that, in case of liquidation, there are no unexpected losses.
Monitoring processes of credit risk mitigation techniques ensure that general and specific requirements established by credit
policies, internal and regulatory rules are met over the time.
Reporting and Monitoring
The fundamental objective of the reporting and monitoring activities performed by the Group Risk Management function is the
analysis of the main drivers and parameters of credit risk (exposure at default (“EAD”), expected loss (“EL”), migration, cost of
risk, etc.) in order to promptly initiate any countermeasures on portfolios, sub-portfolios or individual counterparties.
Group Risk Management function performs credit risk reporting at portfolio level, producing reports at Group level, both
recurring and specific (on demand of Top Management or Regulators or external entities, e.g. rating agencies) with the
objective of analyzing the main risk components and their development over time, and thus to detect any signals of
deterioration at an early stage and, subsequently, to put in place the appropriate corrective actions. Credit portfolio
performance is analyzed with reference to its main risk drivers (such as growth and risk indicators), customer segments,
regions, industrial sectors, and impaired credits performance and relevant coverage.
Portfolio reporting activities at Group level are performed in close collaboration with the Chief Risk Officers at Legal Entities
level and Credit Risk Portfolio Managers who, within their respective perimeters, implement specific reporting activities.
Starting from 2014, the Reporting and Monitoring activities have been assigned to two different Units in the “Group Credit and
Integrated Risks” Department.
The “Group Credit Risk MIS & Reporting” Unit, is responsible for defining the Group framework in terms of reporting on risks
and for producing standard/regular reports for credit risks and Large Files.
Moreover it represents the organizational interface with Planning, Finance & Administration (“PF&A) for second level controls
in terms of regulatory reporting and is in charge of implementing strategies for MIS Platforms merge, as well as for promoting
business intelligence tools usage at Group Level.
The “Risks Assessment & Monitoring” Unit, instead, is responsible for analyzing and monitoring the Credit Portfolio
composition and riskiness in terms of main risk drivers at Group/Legal Entities/ Division level, by providing to the competent
PF&A structures the useful information to highlight delta versus Budget/Forecast, and is in charge of producing regular
analyses in order to provide to Top Management an integrated view on Group Risks, as well as documents for Rating
Agencies, Investors and “ad hoc” requests coming from external organizations.
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Already starting from 2011 and 2012 reporting activities had been additionally refined through the intensive fine-tuning activity
of data collection and consolidation processes. This led to a significant improvement in terms of quality of the information
reported in consolidated reports such as, for example, the ERM - Enterprise Risk Management Report, as well as the “Risk
Assessment” addressed to Top Management. Furthermore, portfolio and business segment reporting units also helped to
monitor credit risk exposure within their areas of responsibility.
All monitoring activities that aim at identifying and reacting in a timely manner to possible deterioration in the asset quality of
the Group’s counterparties, instead, were further enhanced with dedicated functions of the Group Risk Management that deal
with the reporting activities aimed at analyzing the main components of this risk and their temporal evolution, in order to be
able to detect promptly any symptoms of deterioration and, therefore, take appropriate corrective actions.
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Credit Risk
Credit risk: write-downs
Definition of impaired and past-due exposures
According to Bank of Italy regulations, impaired loans and receivables are classified into the following categories:
•
Non-performing loans – formally impaired loans, being exposure to insolvent borrowers, even if the insolvency
has not been recognized in a court of law, or borrowers in a similar situation. Measurement is generally on a loanby-loan basis or, for loans singularly not significant, on a portfolio basis for homogeneous categories of loans;
•
Doubtful loans – exposure to borrowers experiencing temporary difficulties, which the Group believes may be
overcome within a reasonable period of time. Doubtful loans also include loans not classified as non-performing
granted to borrowers other than government entities where the following conditions are met:
o
They have fallen due and remained unpaid for more than 270 days (or for more than 150 or 180 days for
consumer credit exposure with an original term of less than 36 months, or 36 months or over,
respectively);
o
The amount of the above exposure to the same borrower and other defaulted payments that are less
than 270 days overdue, is at least 10% of the total exposure to that borrower. Doubtful loans are valued
analytically when special elements make this advisable or by applying analytically flat percentages on a
historical or stochastic basis in the remaining cases.
•
Restructured loans – exposure to borrowers with whom a rescheduling agreement has been entered into
including renegotiated pricing at interest rates below market, the conversion of part of a loan into shares (“debt to
equity swap”) and/or any reduction of principal; measurement is on a loan-by-loan basis, including discounted cost
due to renegotiation of the interest rate at a rate lower than the original contractual rate. Restructured exposures
can be reclassified under unimpaired loans only after two years have passed from the date of signing of the
restructuring agreement and a resolution has been adopted by the competent corporate bodies declaring that the
debtor’s full solvency has been restored and that there are no outstanding balances on all existing lines of credit.
Loans under renegotiation involving a debt/equity swap are valued, pending swap finalization, on the basis of the
conversion agreements entered into on the balance-sheet date. Please see Section A.3 of the Consolidated Annual
Report for the method used to calculate the fair value of shares arising from these transactions. Any negative
differences between the value of the loans and the fair value of the shares are taken to profit and loss as writedowns. For details on renegotiated exposures (so-called forborn exposures) see also Part E – Section 1 – Credit
Risk – Information on renegotiated exposures of the Consolidated Annual Report.
•
Past-due loans – total exposure to any borrower not included in the other categories, which at the balance-sheet
date has expired facilities or unauthorized overdrafts that are more than 90 days past due and meet the
requirements set out by supervisory regulations (ref. Bank of Italy’s Circular No. 263 of December 27, 2006 “New
regulations for the prudential supervision of banks”) for their classification under the “past due exposures” category
(TSA banks) or under the “defaulted exposures” category (IRB banks).
Total exposure is recognized in this category if, at the balance-sheet date, either:
•
the expired or unauthorized borrowing;
or:
•
the average daily amount of expired or unauthorized borrowings during the last preceding quarter is equal to or
exceeds 5% of total exposure.
Overdue exposures are valued using a statistical approach based on historical data, applying where available the degree of
risk as measured by the risk factor used for Basel 2 reporting (loss given default).
Collective assessment is used for groups of loans for which individually there are no indicators of impairment: to these
portfolios a latent impairment can be attributed, according to the method described below, inter alia on the basis of the risk
factors used under Basel 2.
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Description of methodology applied to determine writedowns
Loans and receivables are non-derivative financial assets with fixed or determinable payments that are not quoted in an
active market. Loans and receivables are recognized on the date of contract signing, which normally coincides with the date
of disbursement to the borrower.
These items include debt instruments with the above characteristics or that are subject to portfolio reclassification in
accordance with the rules of IAS 39 (see Part A.3.1 below - Transfers between portfolios) and the net value of finance leases
of assets under construction or awaiting lease, provided the leases have the characteristics of contracts entailing the transfer
of risk.
After initial recognition at fair value, which usually is the price paid including transaction costs and income which are directly
attributable to the acquisition or issuance of the financial asset (even if not paid), a loan or receivable is measured at
amortized cost using the effective interest method, allowances or reversals of allowances being made where necessary on
remeasuring.
A gain or loss on loans and receivables is recognized in profit or loss:
•
when a loan or receivable is derecognized: in item 100 (a) “Gains (losses) on disposal”;
or:
•
when a loan or receivable is impaired: in item 130 (a) “Impairment losses (a) loans and receivables”.
Interest on loans and receivables is recognized in profit or loss on an accrual basis under item 10 “Interest income and similar
revenue”.
Delay interest is taken to the income statement on collection or receipt.
Loans and receivables are reviewed in order to identify those that, following events occurring after initial recognition, show
objective evidence of possible impairment. These impaired loans are reviewed and analysed periodically at least once a year.
A loan or receivable is deemed impaired when it is considered that it will probably not be possible to recover all the amounts
due according to the contractual terms, or equivalent value.
Allowances for impairment of loans and receivables are based on the present value of expected cash flows of principal and
interest; in determining the present value of future cash flows, the basic requirement is the identification of estimated
collections, the timing of payments and the rate used.
The amount of the loss on impaired exposures classified as non-performing, doubtful or restructured according to the
categories specified below, is the difference between the carrying value and the present value of estimated cash flows
discounted at the original interest rate of the financial asset.
If the original interest rate of a financial asset being discounted cannot be found, or if finding it would be excessively onerous,
the average rate was applied that was recorded for positions with similar characteristics, which had not deteriorated in the
year in which the original deterioration of the asset concerned occurred. For all fixed-rate positions, the rate determined in this
manner was also held constant in future years.
Recovery times are estimated on the basis of any repayment schedules agreed with the borrower or included in a business
plan or in forecasts based on historical recovery experience observed for similar classes of loans, taking into account the type
of loan, the geographical location, the type of security and any other factors considered relevant.
Any subsequent change vis-à-vis initial expectations of the amount or timing of expected cash flows of principal and interest
causes a change in allowances for impairment and is recognized in profit or loss in item 130(a) “Impairment losses (a) loans
and receivables”.
Write-downs of impaired loans are classified as specific in the relevant income statement item even when the calculation is
flat-rate or statistical, as indicated in the previous chapter.
When the reasons for the impairment no longer exist, and this assessment is objectively attributable to an event occurred
after the impairment, a reversal is made in the same profit or loss item, within the amount of the amortized cost that there
would have been if there had been no impairments.
Derecognition of a loan or receivable in its entirety is made when the loan or receivable is deemed to be irrecoverable or is
written off. Write-offs are recognized directly in profit or loss under item 130(a) “Impairment losses (a) loans and receivables”
and reduce the amount of the principal of the loan or receivable. Reversals of all or part of amounts previously written off are
recognized in the same item.
Loans under renegotiation involving a debt/equity swap are valued, pending swap finalization, on the basis of the conversion
agreements entered into on the balance-sheet date.
Any negative differences between the value of the loans and the fair value of the shares are taken to profit and loss as writedowns.
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Credit Risk
Disclosure related to Forborne exposures and new EBA
definition of Non-Performing exposures
In relation to ESMA document no. 2012/853 of December 20, 2012 for disclosure on IFRS financial statements of financial
institutions on renegotiated exposures and subsequent ESMA recommendations on the subject, it should be noted that the
identification of the portfolio is relevant to allow the following:
•
prompt action: with a solid and effective process for monitoring and reporting, the timely identification of possible
credit quality deterioration enables the Group to promptly put in place either the necessary activities aimed at an
eventual renegotiation or the restrictive measures at a stage prior to the potential "default" aimed at reappraising
the level of risk; any activity aimed at a possible renegotiation has as objective the timely identification and
consequently the proper management of exposures with an increased credit risk, when the bank has not yet
launched legal enforcement actions still in presence of a full repayment capacity of the customer;
•
proper evaluation of impaired loans, in order to define the actions and classification within the "default" classes;
•
start of recovery actions depending on the type, the amount of exposure and the customer characteristics;
•
appropriate provisioning in the income statement, consistent with the outlook and recovery time of credit and type
of exposure. This activity is in line with IAS 39 and " Basel II" rules;
•
accurate and regular reporting to monitor over time the risk of the portfolio at the aggregate level.
As for the evaluation and the provisioning of the 'Forborne' exposures, the accounting policies follow the general principle in
line with the provisions of IAS 39, i.e. whether there are objective evidences that it has incurred a loss for impairment of loans
or financial assets held to maturity (booked at amortized cost), the amount of the loss is measured as the difference between
the asset carrying amount and the present value of estimated future cash flows (excluding future credit losses that have not
yet incurred) discounted at the original effective interest rate of the financial asset. The amount of the loss is recognized in
item 130. of the income statement under "Impairment losses" and the carrying amount of the asset is reduced accordingly.
ESMA disposals and provisions of IAS 39 are complemented by the instructions for financial reporting FINREP, issued by the
European Banking Authority (EBA)4, which introduced two new classifications for loans and debt securities in the financial
statements: Forborne exposures and Non-performing exposures.
•
Forborne exposures are defined as exposures containing measures of renegotiation (Forbearance), i.e.
concessions in respect of a debtor who has faced - or is about to face - difficulty in meeting its financial
commitments ("financial difficulties")
•
Non-performing exposures under the new EBA definitions are those that meet one or both of the following criteria:
o
material exposures overdue by more than 90 days;
o
the bank assesses unlikely that the debtor can fulfill entirely to its credit obligations, without proceeding
with the enforcement and realization of collateral, regardless of whether exposures are past due and/or
overdue and regardless of days past due.
These two new classifications introduced by EBA are effective as of the financial reporting FINREP to supervisory authority of
December 2014 (first transmission related to the September 2014 figures).
The project activities aimed at implementing in the Group’s management and accounting systems the classification rules
introduced by EBA are underway. The new processes will allow to improve the compliance of the rules to the above
legislation, monitor the dynamics of these exposures and report to the supervisory authority.
In line with the implementation plan, with reference to the balance sheet at June 30, 2014, the methods of classification of
loans into risk categories remained unchanged compared to the presentation in the financial statements as at December 31,
2013 and reflect the regulations issued by the Bank of Italy. Therefore, the classification by each entity in the different classes
of "default" is done in accordance with the legal provisions and the regulations issued by the local Supervisory Authorities.
Regarding Forborne exposures, the full implementation of the new processes will lead to a precise identification of the
Forborne performing exposures and to a subsequent verification, on the new identified portion of the portfolio, of any
adjustments as may be appropriate in the internal rating systems and credit rating.
Given that the Group is bound to follow the instructions of the Italian Regulatory Authority, with reference to the foreign legal
entities specific arrangements have been adopted with the aim of linking and aligning the classification of the “default”
classes, otherwise not fully coherent.
4
see EBA/ITS/2013/03 of October 21, 2013.
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The disclosure on forbearance practices is an approximation of the outcome of the new EBA definition, based on the
information currently available. Since the implementation of the processes that will lead to the application of the new definition
is still underway, the following proxies and limitations were used in preparing this disclosure:
•
With reference to the proxy adopted for the Forborne non performing category, please note that according to the
Bank of Italy classification, with specific reference to forbearance practices, a position is classified as “restructured
loan” when a restructuring agreement includes a the concession of a moratorium on payments of the loan or the
renegotiation at interest rates below market, the conversion of part of a loan into shares and/or reduction of
principal. Measurement of restructured loans is on a loan-by-loan basis, including in the provisions the discounted
cost due to renegotiation of the interest rate at a lower level than the original contractual rate. Restructured
exposures may be reclassified to “performing loans” when at least two years have elapsed from the closing of the
restructuring agreement and a resolution has been taken by the competent corporate bodies stating that the
borrower is again able to service the debt and no overdue amount is outstanding. In addition, in February 2014 the
Bank of Italy prescribed that forborne exposures also include the homologation of an arrangement with creditors on
a going concern basis and the homologation of a debt restructuring agreement (art. 182-bis of the Bankruptcy Law).
In the below tables the "Restructured Loans" classified according to the Bank of Italy classification have been
reported as Forborne non performing exposures and, with respect to the Italian perimeter, the impaired exposures
relating to the homologation mentioned above are not included in "Restructured Loans";
•
as for the Forborne performing exposures, no consolidated disclosure could be provided, pending the
establishment of harmonized measurement procedures at Group level, see the information, wherever available and
required, disclosed in the financial statements prepared for local purposes.
These criteria were used for both the identification of Forborne non performing exposures at December 31, 2013 and at June
30, 2014 – please note that the homologation of an arrangement with creditors on a going concern basis and the
homologation of agreement for the restructuring of doubtful or non-performing loans were taken into account only with respect
to the June 2014 figures. Here below the resulting actual figures (in Euro million).
(€ million)
FORBORNE EXPOSURE - Loans and receivable with customers
Amounts as at 06.30.2014
Amounts as at 12.31.2013
Gross
exposure
Writedowns Net exposure
6,147
2,290
3,857
Total
of which:
Italy (*)
Germany
Austria
CEE
Poland
Coverage ratio
% Forborne on total customer loans
3,164
1,140
847
400
596
983
453
515
100
239
2,181
687
332
300
357
37.3%
0.81%
Gross
exposure
Writedowns Net exposure
6,153
2,217
3,936
3,202
995
1,009
359
588
920
443
546
95
213
2,282
552
463
264
375
36.0%
0.78%
(*) Data as of 30 June include the homologation of arrangements with creditors on a going concern basis, pursuant to art. 186-bis of the
Bankruptcy Law, and the homologation of debt restructuring agreements, pursuant to art. 182-bis of the Bankruptcy Law, amounting to
394 euro million.
The amount of net loans Forborne at June 30, 2014 related to the impaired exposures (€3,857 million) is €79 million lower
than at the end of 2013 (€3,936 million), corresponding to -2%. The gross values, at the end of June 2014, amounted to
€6,147 million, €6 million lower (-0.1%) than at the end of 2013 (€6,153 million).
With respect to the Italian scope, the overall forborne non-performing net exposures in June 2014 amounted to €2,181 billion,
of which €1,923 billion relating to “restructured loans” (including €136 million relating to the homologation of a debt
restructuring agreement - Art 182 bis of the Bankruptcy Law) and €258 million related to the homologation of an arrangement
with creditors on a going concern basis and of the restructuring of debts classified as “doubtful” or “non-performing”.
With the overall amount of forborne non-performing net exposures broadly in line with the December 2013 figure, please note
the following:
•
in Italy "Restructured Loans" decreased from €2,282 billion to €1,923 million relating to amounts collected and
gains on disposals, offset by the inclusion of forborne non-performing exposures relating to the above-mentioned
homologation.
•
with respect to other regions, in Austria exposures decreased due to the routine monitoring and updating of these
positions that, during the year, met the requirements for the classification as higher risks, offset by the increase in
Germany.
The hedging of impaired forborne exposures in June 2014 (37.3%) was broadly in line with that of the end of 2013 (36.0%).
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Information on Sovereign Exposures
With reference to the Group’s sovereign exposures,5 the book value of sovereign debt securities as at June 30, 2014
amounted to €110,842 million, of which about 94% concentrated in eight countries; Italy, with €55,610 million, represents 50%
of the total. For each of the eight countries, the table below shows the nominal value, the book value and the fair value of the
exposures broken down by portfolio as at June 30, 2014.
(€ '000)
Breakdow n of Sovereign Debt Securities by Country and Portfolio
Country / portfolio
- Italy
financial assets/liabilities held for trading (net exposures 1)
financial assets at fair value through profit or loss
available for sale financial assets
loans and receivables
held to maturity investments
- Germ any
financial assets/liabilities held for trading (net exposures 1)
financial assets at fair value through profit or loss
available for sale financial assets
loans and receivables
held to maturity investments
- Austria
financial assets/liabilities held for trading (net exposures 1)
financial assets at fair value through profit or loss
available for sale financial assets
loans and receivables
Am ounts as at 06.30.2014
Nom inal value
Book value
Fair Value
51,766,695
55,609,864
55,651,082
5,160,956
4,675,466
4,675,466
21,096
22,151
22,151
42,990,210
47,554,368
47,554,368
676,207
450,316
460,221
2,918,226
2,907,563
2,938,877
26,649,319
25,673,955
25,665,657
3,594,495
2,126,766
2,126,766
21,779,798
22,255,799
22,255,799
209,800
213,049
213,049
1,065,226
1,078,341
1,070,042
-
-
-
8,115,288
9,319,250
9,330,789
184,040
166,556
166,556
78,481
92,463
92,463
7,730,948
8,938,369
8,938,369
-
-
-
121,819
121,862
133,401
6,165,739
6,493,222
6,532,734
255,242
193,188
193,188
-
-
-
available for sale financial assets
4,549,558
4,919,655
4,919,655
loans and receivables
1,182,888
1,197,535
1,198,358
178,051
182,844
221,532
2,414,259
2,583,869
2,583,869
174,970
97,663
97,663
54,705
54,799
54,799
2,184,584
2,431,407
2,431,407
loans and receivables
-
-
-
held to maturity investments
-
-
-
1,713,381
1,637,985
1,637,985
held to maturity investments
- Poland
financial assets/liabilities held for trading (net exposures 1)
financial assets at fair value through profit or loss
held to maturity investments
- Czech Republic
financial assets/liabilities held for trading (net exposures 1)
financial assets at fair value through profit or loss
available for sale financial assets
- France
financial assets/liabilities held for trading (net exposures 1)
401,681
249,225
249,225
financial assets at fair value through profit or loss
971,700
1,011,276
1,011,276
available for sale financial assets
340,000
377,484
377,484
loans and receivables
-
-
-
held to maturity investments
-
-
-
1,174,750
1,197,730
1,197,730
112,397
88,278
88,278
-
-
-
1,062,353
1,109,452
1,109,452
loans and receivables
-
-
-
held to maturity investments
-
-
-
1,131,856
1,142,151
1,142,151
- Rom ania
financial assets/liabilities held for trading (net exposures 1)
financial assets at fair value through profit or loss
available for sale financial assets
- Spain
financial assets/liabilities held for trading (net exposures 1)
8,625
-78,755
-78,755
financial assets at fair value through profit or loss
365,117
393,739
393,739
available for sale financial assets
750,000
820,872
820,872
-
-
-
8,114
6,295
6,295
99,131,288
103,658,026
103,686,418
loans and receivables
held to maturity investments
Total on-balance sheet exposures
( 1) including exposures in Credit Derivatives.
The weighted duration of the sovereign bonds shown in the table above, divided by the banking6 and trading book, is the
following:
5
Sovereign exposures are bonds issued by and loans given to central and local governments and governmental bodies. ABSs are not included.
6
The banking book includes assets at fair value through profit or loss, available-for-sale assets, held to maturity assets and loans.
173
I
Weighted duration
(years)
Banking book
Trading book
- Italy
3.27
1.68
- Germany
2.23
4.88
- Austria
5.43
8.35
- Poland
4.53
0.71
- Czech Republic
4.35
1.51
- France
3.58
9.52
- Romania
1.71
2.07
- Spain
1.92
0.75
The remaining 6% of the total of sovereign debt securities, amounting to €7,184 million with reference to the book values as
at June 30, 2014, is divided into 55 countries, including Slovenia (€293 million), Portugal (€33 million), Argentina (€4 million),
the US (€2 million) and Ireland (€1 million). The sovereign exposure to Greece, Cyprus and Ukraine is immaterial.
With respect to these exposures, as at June 30, 2014 there were no indications that impairment may have occurred.
The table below shows the classification of bonds belonging to the banking book and their percentage proportion of the total
of the portfolio under which they are classified.
(€ '000)
Breakdow n of Sovereign Debt Securities by Portfolio
Am ounts as at 06.30.2014
Financial assets at
fair value
Available for sale
financial assets
Loans
Held to m aturity
investm ents
Total
Book value
22,905,780
71,914,492
2,753,048
3,306,350
100,879,671
% Portfolio
72.48%
76.80%
0.50%
77.05%
14.91%
7
In addition to the exposures to sovereign debt securities, loans given to central and local governments and governmental
bodies must be taken into account.
The table below shows the total amount as at June 30, 2014 of loans given to countries towards which the overall exposure
exceeds €140 million, representing more than 95% of the total.
Breakdow n of Sovereign Loans by Country
Country
(€ '000)
Am ounts as at 06.30.2014
Book value
- Germany ( 1)
7,735,627
- Italy
6,345,819
- Austria ( 2)
5,501,013
- Croatia
2,554,129
- Poland
1,521,379
- Indonesia
431,424
- Bosnia-Herzegovina
231,616
- Slovenia
225,372
- Turkey
203,212
- Bulgaria
173,986
- Brazil
148,323
- Hungary
147,324
- Serbia
Total on-balance sheet exposures
140,475
25,359,700
(1) of w hich 854,622 in financial assets held for trading and those at fair value through profit or loss.
(2) of w hich 223,920 in financial assets at fair value through profit or loss.
Lastly, it should be noted that derivatives are traded within the ISDA master agreement and accompanied by Credit Support
Annexes, which provide for the use of cash collaterals or low-risk eligible securities.
For more details on the sensitivity analysis of credit spreads and on the results of stress tests see the Greece Exit, the
Widespread Contagion, the Sovereign Debt Tension and the Emerging Markets Slowdown scenarios in chapters 2.7 and 2.8.
of the Section 2 – Market risk below, and for liquidity management policies see Section 3 – Liquidity risk below.
7
Tax items are not included.
DISCLOSURE BY INSTITUTIONS
174
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Credit Risk
(€ '000)
Credit Risk: on/off balance sheet information to banks
AMOUNTS AS AT
06.30.2014
BALANCE-SHEET EXPOSURES
FINANCIAL ASSETS HELD FOR
TRADING
FINANCIAL ASSETS AT FAIR
VALUE THROUGH PROFIT OR
LOSS
AVAILABLE FOR SALE
FINANCIAL ASSETS
HELD TO MATURITY FINANCIAL
INSTRUMENTS
NON-CURRENT ASSETS AND
DISPOSAL GROUPS
CLASSIFIED AS HELD FOR
SALE
LOANS AND RECEVAIBLES
WITH BANKS
OFF-BALANCE SHEET
EXPOSURES
GROSS
EXPOSURE
AVERAGE
EXPOSURE
GROSS
EXPOSURE
AVERAGE
EXPOSURE
GROSS
EXPOSURE
AVERAGE
EXPOSURE
GROSS
EXPOSURE
AVERAGE
EXPOSURE
GROSS
EXPOSURE
AVERAGE
EXPOSURE
GROSS
EXPOSURE
AVERAGE
EXPOSURE
GROSS
EXPOSURE
AVERAGE
EXPOSURE
a) Non-performing loans
-
-
-
-
865
865
-
-
239,902
272,044
-
-
-
-
b) Doubtful loans
-
-
-
-
-
-
-
-
2,260
15,114
-
-
-
-
c) Restructured exposures
-
-
-
-
-
-
-
-
-
3,878
-
-
-
-
d) Past due exposures
-
-
-
-
-
-
-
-
7,808
6,895
-
-
-
-
e) Other assets
5,345,044
6,094,382
7,937,763
7,411,280
12,220,588
11,999,267
644,084
477,421
72,511,380
66,701,043
140,374
114,823
-
-
Total A
5,345,044
6,094,382
7,937,763
7,411,280
12,221,453
12,000,132
644,084
477,421
72,761,350
66,998,974
140,374
114,823
-
-
a) Impaired
-
-
-
-
-
-
-
-
-
-
-
-
474,173
483,045
b) Others
-
-
-
-
-
-
-
-
-
-
-
-
32,030,042
32,133,823
EXPOSURES/PORTFOLIO
A. Balance sheet exposures
B. Off-balance sheet exposures
Total B
TOTAL A+B as at
06.30.2014
-
-
-
-
-
-
-
-
-
-
-
-
32,504,215
32,616,868
5,345,044
6,094,382
7,937,763
7,411,280
12,221,453
12,000,132
644,084
477,421
72,761,350
66,998,974
140,374
114,823
32,504,215
32,616,868
The average exposure has been calculated on figures disclosed.
175
I
(€ '000)
Credit Risk: on/off balance sheet information to customers
AMOUNTS AS AT
06.30.2014
BALANCE-SHEET EXPOSURES
FINANCIAL ASSETS
HELD FOR TRADING
GROSS
EXPOSURE
AVERAGE
EXPOSURE
FINANCIAL ASSETS AT
FAIR VALUE THROUGH
PROFIT OR LOSS
AVAILABLE FOR SALE
FINANCIAL ASSETS
GROSS
EXPOSURE
GROSS
EXPOSURE
AVERAGE
EXPOSURE
HELD TO MATURITY
FINANCIAL
INSTRUMENTS
AVERAGE
EXPOSURE
GROSS
EXPOSURE
NON-CURRENT ASSETS
AND DISPOSAL
GROUPS CLASSIFIED
AS HELD FOR SALE
LOANS AND
RECEIVABLES WITH
CUSTOMERS
AVERAGE
EXPOSURE
GROSS
EXPOSURE
AVERAGE
EXPOSURE
GROSS
EXPOSURE
AVERAGE
EXPOSURE
OFF-BALANCE SHEET
EXPOSURES
GROSS
EXPOSURE
AVERAGE
EXPOSURE
EXPOSURES/PORTFOLIO
A. Balance sheet exposures
a) Non-performing loans
-
-
-
-
41,955
38,543
574
10,352
50,185,868
48,262,270
971,046
698,171
-
-
b) Doubtful loans
-
-
-
-
45,738
64,066
1,992
1,971
23,895,080
24,009,312
88,477
82,820
-
-
1,553
1,712
3,146
1,049
15
1,157
6,413
6,345
6,822,759
7,426,044
241,686
166,621
-
-
c) Restructured exposures
d) Past due exposures
-
-
-
-
6,533
2,178
-
4
3,498,613
4,020,642
55,738
35,298
-
-
e) Other assets
21,391,264
19,829,274
23,155,089
22,067,588
82,261,584
75,383,374
4,497,154
4,809,221
455,733,026
470,518,203
1,414,984
1,089,263
-
-
Total A
21,392,817
19,830,986
23,158,235
22,068,637
82,355,825
75,489,318
4,506,133
4,827,893
540,135,346
554,236,471
2,771,931
2,072,173
-
-
a) Impaired
-
-
-
-
-
-
-
-
-
-
-
-
2,946,385
3,342,588
b) Others
-
-
-
-
-
-
-
-
-
-
-
-
186,834,822
190,493,587
B. Off-balance sheet exposures
Total B
TOTAL A+B as at
06.30.2014
-
-
-
-
-
-
-
-
-
-
-
-
189,781,207
193,836,175
21,392,817
19,830,986
23,158,235
22,068,637
82,355,825
75,489,318
4,506,133
4,827,893
540,135,346
554,236,471
2,771,931
2,072,173
189,781,207
193,836,175
The average exposure has been calculated on figures disclosed.
DISCLOSURE BY INSTITUTIONS
176
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Credit Risk
Distribution of On-Balance Sheet and Off-Balance Sheet exposures to banks by geographic area
(€ '000)
AMOUNT AS AT
ITALY
EXPOSURES/GEOGRAPHIC AREA
OTHER EUROPEAN COUNTRIES
AMERICA
06.30.2014
ASIA
REST OF THE WORLD
GROSS EXPOSURE
NET EXPOSURE
GROSS EXPOSURE
NET EXPOSURE
GROSS EXPOSURE
NET EXPOSURE
GROSS EXPOSURE
NET EXPOSURE
GROSS EXPOSURE
NET EXPOSURE
a) Non-performing loans
-
-
78,981
16,741
24,021
1,168
131,078
72,930
6,687
6,687
b) Doubtful loans
7
-
929
929
-
-
727
10
597
597
c) Restructured exposures
-
-
-
-
-
-
-
-
-
-
d) Past due exposures
-
-
-
-
-
-
7,808
6,947
-
-
13,919,891
13,918,043
74,880,809
74,870,245
3,420,275
3,419,950
2,208,260
2,207,310
4,369,998
4,367,003
13,919,898
13,918,043
74,960,719
74,887,915
3,444,296
3,421,118
2,347,873
2,287,197
4,377,282
4,374,287
a) Non-performing loans
-
-
126
118
-
-
646
646
-
-
b) Doubtful loans
-
-
-
-
-
-
-
-
-
-
c) Other impaired assets
-
-
473,401
197
-
-
-
-
-
-
1,609,292
1,609,028
23,310,800
23,305,883
878,270
878,263
2,453,837
2,453,613
1,431,731
1,431,708
1,609,292
1,609,028
23,784,327
23,306,198
878,270
878,263
2,454,483
2,454,259
1,431,731
1,431,708
15,529,190
15,527,071
98,745,046
98,194,113
4,322,566
4,299,381
4,802,356
4,741,456
5,809,013
5,808,995
A. On-Balance Sheet exposures
e) Other exposures
Total A
B. Off-Balance Sheet exposures
e) Other exposures
Total B
TOTAL (A+B)
06.30.2014
177
I
Distribution of On-Balance Sheet and Off-Balance Sheet exposures to costumers by geographic area
(€ '000)
AMOUNT AS AT
ITALY
EXPOSURES/GEOGRAPHIC AREA
OTHER EUROPEAN COUNTRIES
AMERICA
06.30.2014
ASIA
REST OF THE WORLD
GROSS EXPOSURE
NET EXPOSURE
GROSS EXPOSURE
NET EXPOSURE
GROSS EXPOSURE
NET EXPOSURE
GROSS EXPOSURE
NET EXPOSURE
GROSS EXPOSURE
NET EXPOSURE
a) Non-performing loans
36,445,232
14,011,782
13,209,676
5,468,669
131,210
70,595
253,568
100,235
1,159,757
306,506
b) Doubtful loans
19,992,249
12,206,053
3,795,040
2,506,048
7,441
5,326
46,478
45,513
190,079
66,570
c) Restructured exposures
2,662,719
1,899,803
4,187,119
2,035,535
33,404
12,123
31,612
14,112
160,718
60,460
d) Past due exposures
2,649,012
2,055,052
721,278
593,006
627
569
40,301
39,456
149,666
103,269
262,390,499
260,780,911
297,400,311
296,231,778
5,144,191
5,118,289
2,951,204
2,934,449
20,566,896
20,446,615
324,139,711
290,953,601
319,313,424
306,835,036
5,316,873
5,206,902
3,323,163
3,133,765
22,227,116
20,983,420
a) Non-performing loans
265,840
217,784
622,805
372,068
1
1
56,013
54,300
34,108
7,725
b) Doubtful loans
817,180
733,591
145,344
107,843
103,319
101,060
165
165
8,566
1,447
c) Other impaired assets
534,081
495,123
286,708
183,770
-
0
-
-
72,255
65,419
62,340,038
62,226,929
101,396,126
101,355,835
6,590,647
6,588,729
1,218,351
1,218,048
14,694,226
14,687,290
63,957,139
63,673,427
102,450,983
102,019,516
6,693,967
6,689,790
1,274,529
1,272,513
14,809,155
14,761,881
388,096,850
354,627,028
421,764,407
408,854,552
12,010,840
11,896,692
4,597,692
4,406,278
37,036,271
35,745,301
A. On-Balance Sheet exposures
e) Other exposures
Total A
B. Off-Balance Sheet
exposures
e) Other exposures
Total B
TOTAL (A+B)
06.30.2014
DISCLOSURE BY INSTITUTIONS
178
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Credit Risk
(€ '000)
Distribution of on-B/S and off-B/S exposures to customers by business sector (first part)
AMOUNTS AS AT
GOVERNMENTS
Exposures/Business sector
06.30.2014
OTHER PUBLIC ENTITIES
GROSS EXPOSURE
TOTAL WRITEDOWNS
a) Non-performing loans
1,418
b) Doubtful loans
2,274
c) Restructured exposures
FINANCIAL COMPANIES
NET EXPOSURE
GROSS EXPOSURE
TOTAL WRITEDOWNS
NET EXPOSURE
GROSS EXPOSURE
TOTAL WRITEDOWNS
NET EXPOSURE
895
523
155,401
54,022
101,379
684,516
564,475
120,041
783
1,491
55,825
17,605
38,220
372,086
158,371
213,715
1,562
1
1,561
6,419
1,610
4,809
254,385
68,827
185,558
53,933
1,157
52,776
54,177
7,628
46,549
447,801
134,776
313,025
87,300,489
7,130
87,293,359
42,223,141
120,124
42,103,017
62,372,032
117,708
62,254,324
87,359,676
9,966
87,349,710
42,494,963
200,989
42,293,974
64,130,820
1,044,157
63,086,663
a) Non-performing loans
-
-
-
18,672
6
18,666
11,936
2,854
9,082
b) Doubtful loans
-
-
-
2
1
1
8,874
57
8,817
c) Other impaired assets
-
-
-
158
0
158
5,518
4,089
1,429
5,767,772
102
5,767,670
12,654,547
1,072
12,653,475
34,800,755
2,371
34,798,384
A. On-Balance Sheet exposures
d) Past due exposures
e) Other exposures
Total A
B. Off-Balance Sheet
exposures
e) Other exposures
Total B
TOTAL (A+B)
179
06.30.2014
5,767,772
102
5,767,670
12,673,379
1,079
12,672,300
34,827,083
9,371
34,817,712
93,127,448
10,068
93,117,380
55,168,342
202,068
54,966,274
98,957,903
1,053,528
97,904,375
I
(€ '000)
Distribution of on-B/S and off-B/S exposures to customers by business sector (second part)
AMOUNTS AS AT
INSURANCE COMPANIES
Exposures/Business sector
06.30.2014
NON-FINANCIAL COMPANIES
OTHER ENTITIES
GROSS EXPOSURE
TOTAL WRITEDOWNS
NET EXPOSURE
GROSS EXPOSURE
TOTAL WRITEDOWNS
NET EXPOSURE
GROSS EXPOSURE
TOTAL WRITEDOWNS
NET EXPOSURE
23,111
9,960
13,151
36,621,214
22,693,843
13,927,371
13,713,783
7,918,461
5,795,322
1,557
90
1,467
19,784,382
7,763,547
12,020,835
3,815,163
1,261,381
2,553,782
-
-
-
6,526,844
2,934,577
3,592,267
286,362
48,524
237,838
71
39
32
1,986,427
389,165
1,597,262
1,018,475
236,767
781,708
1,626,086
5,967
1,620,119
251,664,689
1,909,314
249,755,375
143,266,664
780,816
142,485,848
1,650,825
16,056
1,634,769
316,583,556
35,690,446
280,893,110
162,100,447
10,245,949
151,854,498
28
23
5
890,514
282,864
607,650
57,617
41,142
16,475
0
-
0
1,033,167
109,538
923,629
32,531
20,872
11,659
25
-
25
859,053
136,515
722,538
28,290
8,128
20,162
722,686
361
722,325
106,823,934
145,240
106,678,694
25,469,694
13,411
25,456,283
A. On-Balance Sheet exposures
a) Non-performing loans
b) Doubtful loans
c) Restructured exposures
d) Past due exposures
e) Other exposures
Total A
B. Off-Balance Sheet
exposures
a) Non-performing loans
b) Doubtful loans
c) Other impaired assets
e) Other exposures
Total B
TOTAL (A+B)
06.30.2014
722,739
384
722,355
109,606,668
674,157
108,932,511
25,588,132
83,553
25,504,579
2,373,564
16,440
2,357,124
426,190,224
36,364,603
389,825,621
187,688,579
10,329,502
177,359,077
DISCLOSURE BY INSTITUTIONS
180
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Credit Risk
Time breakdown by contractual residual maturity of financial assets
and liabilities
AMOUNTS AS AT
ITEMS/MATURITIES
Balance sheet assets
A.1 Government
securities
A.2 Other debt
securities
A.3 Units in investment
funds
(€ '000)
06.30.2014
ON
DEMAND
1 TO 7
DAYS
7 TO 15
DAYS
15 DAYS
TO 1
MONTH
1 TO 3
MONTHS
3 TO 6
MONTHS
6 MONTHS
TO 1 YEAR
1 TO 5
YEARS
OVER
5 YEARS
UNSPECIFIED
MATURITY
99,895,526
24,055,737
14,434,344
23,746,489
44,721,815
37,673,780
57,844,410
226,729,028
199,736,230
7,759,699
75,285
204,883
97,186
513,762
1,077,232
3,086,975
8,509,481
46,024,452
22,470,381
582
112,767
2,510,593
965,028
122,810
1,686,321
2,650,183
6,166,060
40,302,721
21,262,072
167,169
984,730
13,011
1,033
22,980
2,598,418
98,722,744
21,327,250
13,372,130
23,109,917
41,958,262
31,936,622
43,168,869
140,400,822
155,980,797
4,993,530
- Banks
30,442,393
10,006,574
2,655,150
4,890,458
11,539,412
2,431,674
1,398,225
2,036,303
2,481,399
1,499,973
- Customers
68,280,351
11,320,676
10,716,980
18,219,459
30,418,850
29,504,948
41,770,644
138,364,519
153,499,398
3,493,557
Balance sheet
liabilities
276,707,769
36,535,580
14,593,015
24,544,755
80,106,735
34,877,946
56,654,332
124,846,976
57,347,387
4,132,419
B.1 Deposits and
current accounts
249,960,044
19,116,219
4,664,246
11,665,660
44,781,576
15,210,770
14,324,032
15,693,671
1,585,232
49,692
- Banks
13,062,353
2,147,424
1,013,671
1,029,564
4,486,962
567,507
1,238,932
2,479,756
481,788
A.4 Loans
236,897,691
16,968,795
3,650,575
10,636,096
40,294,614
14,643,263
13,085,100
13,213,915
1,103,444
49,692
B.2 Debt securities
- Customers
315,986
2,093,218
943,295
5,163,369
6,007,259
8,208,709
15,901,981
87,677,147
41,630,538
1,993,346
B.3 Other liabilities
26,431,739
15,326,143
8,985,474
7,715,726
29,317,900
11,458,467
26,428,319
21,476,158
14,131,617
2,089,381
- Long positions
5,346,279
18,923,627
9,806,623
21,628,773
40,372,603
33,548,701
28,008,568
18,043,647
5,552,317
108,747
- Short positions
4,741,772
18,858,300
9,679,616
21,534,360
39,824,162
33,941,777
28,460,404
19,023,789
7,006,276
106,099
- Long positions
25,037,945
668,586
808,262
1,630,629
6,125,129
3,250,369
4,096,072
14,841,419
12,083,761
253,973
- Short positions
23,334,315
668,354
723,523
1,664,169
6,129,285
3,246,643
4,104,658
14,912,487
12,076,912
253,973
6,171,928
8,619,524
10,000
497,149
359,620
369,912
5,509,560
1,741,886
3,068,377
3,922,893
913,573
2,312
779,532
90,000
Off-balance sheet
"transactions"
C.1 Physically settled
financial derivatives
C.2 Cash settled
financial derivatives
C.3 Deposit to be
received
- Long positions
- Short positions
C.4 Irrevocable
commitments to
disburse funds
- Long positions
31,999,710
5,393,834
2,267,536
1,060,976
12,346,772
7,581,416
6,102,245
26,895,696
3,276,880
1,282,532
- Short positions
63,662,526
544,472
27,644
189,272
9,723,115
1,433,106
3,715,786
16,231,764
1,446,597
1,282,289
1,122,032
4,512
14,515
28,605
123,346
150,608
348,385
604,416
506,823
191,430
4,165
76,873
3,393
9,073
31,485
71,404
61,506
128,400,147
42,241,934
95,009
2,000
1,601,491
2,726,000
5,072,000
29,350,000
325,000
10,000
10,000
1,653,491
2,593,000
4,559,000
31,315,000
478,000
- Long positions
283,000
41,000
747,000
847,000
5,857,100
699,000
- Short positions
64,000
6,000
1,579,000
1,654,000
2,931,100
492,000
C.5 Written guarantees
C.6 Financial
guarantees received
C.7 Physically settled
credit derivatives
- Long positions
- Short positions
C.8 Cash settled credit
derivatives
181
I
(€ '000)
Balance Sheet exposures: changes in overall impairments
C H A N GES I N H 1 2 0 14
N ON
C A U S A LI / C A TEGOR I E
A . Op ening g r o ss wr it e- d o wns
B . Incr eases
N ON
P ER FOR M I N G
D OU B TFU L
R ES TR U C TU R ED
P A S T- D U E
P ER FOR M I N G
D OU B TFU L
R ES TR U C TU R ED
P A S T- D U E
LOA N S
LOA N S
EXP OS U R ES
EXP OS U R ES
TOTA L
LOA N S
LOA N S
EXP OS U R ES
EXP OS U R ES
TOTA L
14 4 ,3 50
3 ,0 53
-
157
14 7,56 0
3 1,9 4 4 ,4 6 0
10 ,0 70 ,4 8 8
3 ,19 0 ,6 16
79 4 ,3 8 1
4 5,9 9 9 ,9 4 5
17,2 12
37
554 ,76 3
8 3 1,3 77
8 ,13 8 ,554
-
70 5
17,9 54
4 ,3 2 8 ,6 4 8
2 ,4 2 3 ,76 6
14,950
31
-
702
15,683
1,980,652
1,387,898
301,377
509,210
B.1 bis Losses on disposal
-
-
-
-
-
42,753
39
34,855
46
77,693
B.2 Transfer from other impaired exposure categories
-
-
-
3
3
1,832,036
814,707
129,162
107,360
2,883,265
B.1 Write-downs
B.3 Other increases
C . R ed uct io ns
2,262
6
-
-
2,268
221,122
89,369
18 ,3 2 1
2 ,3 6 6
-
1
2 0 ,6 8 8
5,0 3 1,4 52
473,207
3 ,2 9 2 ,4 77
6 9 1,8 4 0
214,761
4,179,137
998,459
8 56 ,2 2 6
9 ,8 71,9 9 5
C.1 Write-backs from assessment
5
94
-
1
100
597,608
224,337
52,125
55,573
929,643
C.2 Write-backs from recoveries
11,949
2,269
-
-
14,218
504,991
470,443
182,601
59,160
1,217,195
-
-
-
-
-
39,024
17,907
5,575
-
62,506
5,249
-
-
-
5,249
3,460,917
274,041
136,185
4,219
3,875,362
2,883,265
C.2 bis Gains on disposal
C.3 Write-offs
C.4 Transfer from other impaired exposure categories
C.5 Other reductions
D . F inal g r o ss wr it e- d o wns
-
3
-
-
3
144,931
1,979,748
205,164
553,422
1,118
-
-
-
1,118
283,981
326,001
110,190
183,852
904,024
14 3 ,2 4 1
72 4
-
861
14 4 ,8 2 6
3 ,0 53 ,53 9
76 9 ,53 2
4 4 ,2 6 6 ,50 4
3 1,2 4 1,6 56
9 ,2 0 1,777
Excluding the “Other exposures” category.
The overall amount of net write-downs related to the Banking Group, "Other exposures" include, booked in H1 2014 are:
- Loans to banks €7,521 thousand;
- Loans to customers €1,807,694 thousand.
DISCLOSURE BY INSTITUTIONS
182
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Credit Risk
Credit Risk: unencumbered assets
(€’000)
Disclosures about encumbered assets recognized in the financial statements
ENCUMBERED
TYPE
1. Cash and cash
balances
2. Debt securities
3. Equity instruments
4. Loans
5. Other financial
assets
6. Non-financial assets
Total 06.30.2014
BOOK
VALUE
UNENCUMBERED
FAIR VALUE
BOOK
VALUE
TOTAL
06.30.2014
FAIR VALUE
933,739
70,831,572
3,604,281
131,514,256
X
71,089,293
3,604,281
X
9,384,734
87,058,629
6,705,698
430,174,930
X
88,814,684
6,252,326
X
10,318,473
157,890,201
10,309,979
561,689,186
14,122
X
69,870,415
X
69,884,537
298,030
207,196,000
X
74,693,574
48,445,788
651,640,194
X
95,067,010
48,743,818
858,836,194
Disclosures about own encumbered assets not recognized in the financial statements
TYPE
1. Financial assets
- Securities
- Other
2. Non-financial assets
Total 06.30.2014
(€’000)
ENCUMBERED
UNENCUMBERED
TOTAL
06.30.2014
96,386,734
80,055,576
16,331,158
20,450
96,407,184
92,361,855
91,122,426
1,239,429
10,062,027
102,423,882
188,748,589
171,178,002
17,570,587
10,082,477
198,831,066
The information regarding unencumbered assets refers to the scope of consolidation that includes jointly controlled entities consolidated proportionately.
183
I
Credit Risk: use of ECAIs’ ratings
Credit risk – Standardized approach
List of the ECAI (External Credit Assessment Institution) and ECA (Export Credit Agency) used in the standardized approach
and of the credit portfolios on which the ratings supplied by these entities are applied.
Porfolios
ECA / ECAI
Ratings
characteristics
- Fitch Ratings;
- Moody's Investor Services;
- Standard and Poor's Rating
Services
Solicited e Unsolicited
8
Exposures with central
governments and central banks
Exposures with international
organizations
Exposures with multilateral
development banks
Exposures with corporate and
other entities
Exposures with Collective
Investments Undertakings (CIU)
8
•
•
solicited rating: shall mean a rating assigned for a fee following a request a request from the entity evaluated. Ratings assigned without such a request
shall be treated as equivalent to solicited ratings if the entity had previously obtained a solicited rating from the same ECAII.
unsolicited rating: shall mean a rating assigned without a request from the entity evaluated and without payment of a fee.
DISCLOSURE BY INSTITUTIONS
184
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Credit Risk
(€'000)
Distribution of exposures: standardized method
A mo unt s as at
A sset C lasses
A mo unt s as at
0 6 .3 0 .2 0 14
EX POSU R ES W IT H
C R ED IT R ISK
M IT IGA T ION
0 3 .3 1.2 0 14
EX POSU R ES
W IT HOU T C R ED IT
R ISK M IT IGA T ION
EX POSU R ES W IT H
C R ED IT R ISK
M IT IGA T ION
EX POSU R ES
W IT HOU T C R ED IT
R ISK M IT IGA T ION
463,808,443
544,342,378
459,585,434
539,979,988
132,414,403
127,875,200
132,406,591
127,820,556
Exposures to or secured by regional governments or local authorities
56,529,979
51,776,041
55,896,188
50,352,635
Exposures to or secured by public-sector bodies
10,267,230
12,572,579
8,887,896
11,200,176
Exposures to or secured by multilateral development banks
1,313,653
1,135,740
1,378,504
1,202,454
Exposures to or secured by international organizations
4,989,324
4,989,324
4,621,142
4,621,142
Exposures to or secured by authorities
20,693,201
82,713,455
16,453,414
81,561,719
Exposures to or secured by corporates and other parties
91,469,221
113,569,799
89,529,515
108,597,762
Retail exposures
77,185,179
79,995,971
76,010,332
79,315,105
Exposures secured by real estate collateral
25,053,163
25,170,097
25,297,471
25,404,192
Defaulted exposures
12,840,451
13,179,901
12,646,467
13,153,863
High-risk exposures
1,352,161
1,352,408
1,333,173
1,333,177
Exposures in the form of guaranteed bank bonds (covered bonds)
2,247,259
2,247,259
2,207,965
2,207,965
441,679
753,064
390,686
683,152
1,344,454
1,344,454
1,340,846
1,340,846
Exposures to or secured by central governments or central banks
Short-term exposures to corporates and other parties or authorities
Exposures to Undertakings for Collective Investment (UCI)
Equity exposures
4,717,624
4,717,624
8,672,461
8,672,461
Other exposures
20,949,462
20,949,462
22,512,783
22,512,783
185
I
(€'000)
Standardized approach - risk assets
06.30.2014
Regulatory portfolio
EXPOSURE INCLUDING RISK MITIGATION
0%
Exposures to or secured by central governments or central banks
2%
4%
10%
20%
35%
50%
70%
75%
100%
150%
250%
370%
Other
w eightings
1250%
TOTAL
110,640,730
0
0
0
636,436
0
7,412,030
0
0
11,141,447
0
2,583,760
0
0
0
132,414,403
44,331,941
0
0
0
11,471,751
0
50,638
0
0
581,920
0
0
0
0
93,729
56,529,979
Exposures to or secured by public-sector bodies
4,061,880
0
0
0
2,091,067
0
137,888
0
0
3,976,395
0
0
0
0
0
10,267,230
Exposures to or secured by multilateral development banks
1,313,653
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Exposures to or secured by international organizations
4,989,324
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4,989,324
Exposures to or secured by authorities
481,777
963,487
0
0
8,765,842
0
5,989,642
0
4,015
1,241,470
3,334
3,003,782
0
36
239,816
20,693,201
Exposures to or secured by corporates and other parties
101,328
1,673,187
0
0
831,779
7,958
2,298,497
35,779
268
85,597,069
923,356
0
0
0
0
91,469,221
245
Exposures to or secured by regional governments or local authorities
1,313,653
0
0
0
0
185
0
0
77,067,093
115,051
2,605
0
0
0
0
77,185,179
0
0
0
0
0
11,388,957
5,894,407
0
3,433,360
4,336,336
0
0
0
0
103
25,053,163
35,348
0
0
0
0
90
751
0
0
7,734,313
5,069,949
0
0
0
0
12,840,451
High-risk exposures
0
0
0
0
0
192
0
0
0
116
1,351,832
21
0
0
0
1,352,161
Exposures in the form of guaranteed bank bonds (covered bonds)
0
0
0
1,421,863
768,432
0
56,964
0
0
0
0
0
0
0
0
2,247,259
Short-term exposures to corporates and other parties or authorities
0
0
0
0
29,547
0
28,379
0
0
110,155
273,598
0
0
0
0
441,679
449,154
0
0
0
0
0
0
0
0
533,877
433
0
0
0
360,990
1,344,454
Equity exposures
54,367
0
0
0
0
0
0
0
0
4,617,539
45,718
0
0
0
0
4,717,624
Other exposures
4,499,255
0
0
0
1,285,453
0
79,623
0
0
15,065,546
0
19,583
0
2
0
20,949,462
Retail exposures
Exposures secured by real estate collateral
Defaulted exposures
Exposures to Undertakings for Collective Investment (UCI)
06.30.2014
Regulatory portfolio
EXPOSURE NOT INCLUDING RISK MITIGATION
0%
Exposures to or secured by central governments or central banks
2%
4%
10%
20%
35%
50%
70%
75%
100%
150%
250%
370%
Other
w eightings
1250%
TOTAL
105,302,206
0
0
0
664,271
0
8,180,994
0
0
11,143,969
0
2,583,760
0
0
0
127,875,200
39,504,121
0
0
0
11,535,206
0
50,638
0
0
592,347
0
0
0
0
93,729
51,776,041
Exposures to or secured by public-sector bodies
3,912,494
0
0
0
3,358,135
0
140,821
0
0
5,141,129
20,000
0
0
0
0
12,572,579
Exposures to or secured by multilateral development banks
1,135,740
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Exposures to or secured by international organizations
4,989,324
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4,989,324
166,079
55,094,280
0
0
16,890,936
0
6,066,704
0
4,015
1,244,293
3,514
3,003,782
0
36
239,816
82,713,455
73,542
18,499,446
0
0
1,380,770
0
2,061,521
0
268
90,622,746
931,506
0
0
0
0
113,569,799
245
Exposures to or secured by regional governments or local authorities
Exposures to or secured by authorities
Exposures to or secured by corporates and other parties
1,135,740
0
0
0
0
185
0
0
79,874,948
117,988
2,605
0
0
0
0
79,995,971
0
0
0
0
0
11,250,239
2,804,575
0
4,514,753
6,593,996
6,531
0
0
0
3
25,170,097
30,200
0
0
0
0
90
733
0
0
7,124,476
6,024,402
0
0
0
0
13,179,901
High-risk exposures
0
0
0
0
0
192
0
0
0
116
1,352,079
21
0
0
0
1,352,408
Exposures in the form of guaranteed bank bonds (covered bonds)
0
0
0
1,421,863
768,432
0
56,964
0
0
0
0
0
0
0
0
2,247,259
Short-term exposures to corporates and other parties or authorities
0
0
0
0
29,547
0
0
0
0
118,483
605,034
0
0
0
0
753,064
449,154
0
0
0
0
0
0
0
0
533,877
433
0
0
0
360,990
1,344,454
Equity exposures
54,367
0
0
0
0
0
0
0
0
4,617,539
45,718
0
0
0
0
4,717,624
Other exposures
4,499,246
0
0
0
1,285,453
0
79,623
0
0
15,065,545
0
19,593
0
2
0
20,949,462
Retail exposures
Exposures secured by real estate collateral
Defaulted exposures
Exposures to Undertakings for Collective Investment (UCI)
03.31.2014
Regulatory portfolio
EXPOSURE INCLUDING RISK MITIGATION
0%
Exposures to or secured by central governments or central banks
2%
4%
10%
20%
35%
50%
70%
75%
100%
150%
250%
370%
Other
w eightings
1250%
TOTAL
109,052,662
0
0
0
519,722
0
7,153,880
0
0
13,056,829
0
2,623,498
0
0
0
132,406,591
44,114,173
0
0
0
11,032,913
3,954
150,050
0
0
595,098
0
0
0
0
0
55,896,188
Exposures to or secured by public-sector bodies
2,912,717
0
0
0
1,846,829
616
127,326
0
0
4,000,360
48
0
0
0
0
8,887,896
Exposures to or secured by multilateral development banks
1,378,504
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Exposures to or secured by international organizations
4,621,142
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4,621,142
Exposures to or secured by authorities
292,567
954,177
0
0
8,124,423
0
5,576,004
0
4,865
1,169,252
101,026
0
0
52
231,048
16,453,414
Exposures to or secured by corporates and other parties
116,158
987,922
0
0
1,456,053
229,991
2,923,229
35,274
0
83,729,775
51,113
0
0
0
0
89,529,515
245
Exposures to or secured by regional governments or local authorities
Retail exposures
Exposures secured by real estate collateral
Defaulted exposures
High-risk exposures
1,378,504
0
0
0
0
114,580
4,878
0
75,747,932
142,697
0
0
0
0
0
76,010,332
0
0
0
0
0
11,261,527
6,157,821
0
3,372,909
4,504,895
319
0
0
0
0
25,297,471
35,349
0
0
0
2,300
50,037
7,032
0
0
7,229,134
5,322,615
0
0
0
0
12,646,467
0
0
0
0
0
195
0
0
0
118
1,315,609
17,251
0
0
0
1,333,173
2,207,965
0
0
0
1,392,316
795,049
0
20,600
0
0
0
0
0
0
0
0
2,655
0
0
0
35,532
0
40,650
0
0
158,321
153,528
0
0
0
0
390,686
416,882
0
0
0
0
0
0
0
0
505,879
491
0
0
0
417,594
1,340,846
Equity exposures
121
0
0
0
0
0
0
0
0
5,543,456
46,139
3,082,745
0
0
0
8,672,461
Other exposures
4,923,975
0
0
0
2,593,797
0
85,425
0
0
14,839,126
0
69,667
0
0
793
22,512,783
Exposures in the form of guaranteed bank bonds (covered bonds)
Short-term exposures to corporates and other parties or authorities
Exposures to Undertakings for Collective Investment (UCI)
03.31.2014
Regulatory portfolio
EXPOSURE NOT INCLUDING RISK MITIGATION
0%
Exposures to or secured by central governments or central banks
2%
4%
10%
20%
35%
50%
70%
75%
100%
150%
250%
370%
Other
w eightings
1250%
TOTAL
103,718,070
0
0
0
541,373
0
7,895,304
0
0
13,042,311
0
2,623,498
0
0
0
127,820,556
38,597,736
0
0
0
11,095,233
3,954
53,905
0
0
600,509
1,298
0
0
0
0
50,352,635
Exposures to or secured by public-sector bodies
2,868,450
0
0
0
3,102,260
616
130,447
0
0
5,078,355
20,048
0
0
0
0
11,200,176
Exposures to or secured by multilateral development banks
1,202,454
0
0
0
0
0
0
0
0
0
0
0
0
0
0
Exposures to or secured by international organizations
4,621,142
0
0
0
0
0
0
0
0
0
0
0
0
0
0
4,621,142
198,783
65,016,940
0
0
9,216,486
0
5,621,116
0
4,865
1,171,185
101,244
0
0
52
231,048
81,561,719
92,762
987,922
0
0
15,177,261
220,277
2,642,617
0
0
89,425,810
51,113
0
0
0
0
108,597,762
245
0
Exposures to or secured by regional governments or local authorities
Exposures to or secured by authorities
Exposures to or secured by corporates and other parties
0
0
0
0
114,580
4,878
0
79,048,746
146,656
0
0
0
79,315,105
0
0
0
0
0
11,131,633
2,661,852
0
4,569,323
7,034,363
7,021
0
0
0
0
25,404,192
83,538
0
0
0
2,300
50,037
7,014
0
0
6,742,704
6,268,270
0
0
0
0
13,153,863
High-risk exposures
0
0
0
0
0
195
0
0
0
118
1,315,613
17,251
0
0
0
1,333,177
Exposures in the form of guaranteed bank bonds (covered bonds)
0
0
0
1,392,316
795,049
0
20,600
0
0
0
0
0
0
0
0
2,207,965
Short-term exposures to corporates and other parties or authorities
42
0
0
0
38,150
0
0
0
0
158,321
486,639
0
0
0
0
683,152
416,882
0
0
0
0
0
0
0
0
505,879
491
0
0
0
417,594
1,340,846
Equity exposures
121
0
0
0
0
0
0
0
0
5,543,456
46,139
3,082,745
0
0
0
8,672,461
Other exposures
4,923,975
0
0
0
2,574,035
0
85,425
0
0
14,858,888
0
69,667
0
0
793
22,512,783
Retail exposures
Exposures secured by real estate collateral
Defaulted exposures
Exposures to Undertakings for Collective Investment (UCI)
0
1,202,454
DISCLOSURE BY INSTITUTIONS
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>> DISCLOSURE BY INSTITUTIONS
Credit Risk
Credit Risk: uso del metodo IRB
By its authorization no. 365138 dated March 28, 2008 Bank of Italy authorized UniCredit Group to use the advanced
approach for calculating the capital requirement for credit and operational risks.
With reference to credit risk, the Group has been authorized to use internal PD, LGD and EAD calculations for Group wide
credit portfolios (Sovereign, Banks, Multinationals and Global Project Finance) and for credit portfolios of the relevant
subsidiaries (corporate and retail). With reference to the Italian mid-corporate and small business portfolios, the EAD
foundation values are currently being used.
In the first stage this approach has been adopted by the Parent Company and by some Italian subsidiaries, subsequently
merged in UniCredit S.p.A. (UCI) due to the “One4C” reorganization, by UniCredit Bank AG (UCB AG) and UniCredit Bank
Austria (BA AG). According to the Roll-out plan for progressive extension of the IRB rating system approved by the Group
and shared with the Regulator, starting from 2008 these methods have been extended to UniCredit Credit Management Bank
S.p.A., UniCredit Bank Luxembourg S.A., UniCredit Banka Slovenija dd, UniCredit Bulbank AD, UniCredit Bank Czech
Republic a.s., UniCredit Bank Ireland plc., UniCredit Bank Hungary, UniCredit Tiriac Bank a.s. and UCB SK UniCredit Bank
Slovakia a.s.. Subsequently it is expected that other Group entities will adopt IRB systems following the above mentioned
Roll-out plan.
This qualitative information is structured describing the rating systems authorized by the Regulators by prevailing asset class.
The following table summarizes the rating systems used by the Group with an indication of the related prevailing asset class
and the entities where they are used.
Prevailing asset class
Central governments and
central banks
Groupwide
Institutions subjected to
supervision
Rating system
Sovereign (PD, LGD,EAD)
Corporate
Financial Institutions & Banks (PD, LGD,EAD)
Multinational (PD, LGD,EAD)
Local
Corporate / Retail exposures
UCI, UCB AG, BA, UCB Lux, UCB Slo*,
UCB BG*, UCB CZ*, UCB HU*, UCB SK*,
UCB RO*, UCL GMBH, ZAO UCB*
Global Project Finance (PD, LGD, EAD)
Integrated Corporate Rating RIC (PD, LGD)
Mid Corporate (PD, LGD, EAD)
Foreign Small and Mediumsized Enterprises (PD, LGD,
EAD)
Income Producing Real Estate (IPRE) (PD, LGD, EAD)
Acquisition and Leverage Finance (PD, LGD, EAD)
Global Shipping (PD, LGD, EAD)
Wind Project Finance (PD, LGD, EAD)
Foreign Mid - Corporate (PD, LGD, EAD)
Mid Corporate (PD, LGD, EAD)
IPRE (PD, LGD, EAD)
UCI, UCB AG, BA, UCB CZ*, UCB Lux
UCI, UCCMB
UCB AG, UCB Lux
Income Producing Real Estate (IPRE) (Slotting criteria)
UCB BG; UCB SK
Non Profit (PD, LGD, EAD)
BA
UCB HU*, UCB Slo*, UCB CZ*, UCB BG*,
UCB SK*, UCB RO*
UCL GMBH
UCL GMBH
Mid-Corporate (PD)
Banks / Corporate
Legal entity
UCI, UCB AG , BA, UCB CZ*, UCB SK*,
UCB RO*, UCB Lux
UCI, UCB AG, BA, UCB Lux, UCB Slo*,
UCB IE*, UCB BG*, UCB CZ*, UCB HU(*)
(**), UCB SK*, UCB RO*, UCL GMBH
Mid-Corporate (PD, LGD, EAD)
Specialized lending (Slotting criteria)
Other minor rating systems (Public Sector Entities,
Municipalities, Religious Companies, Leasing) (PD)
Small Business (PD, LGD, EAD)
Commercial Real Estate Finance (PD, LGD, EAD)
Integrated Small Business Rating RISB (PD, LGD)
UCB AG
UCB AG, UCB Lux
UCB AG, UCB Lux
UCB AG
UCB AG
UCB Lux
BA
BA, UCB CZ*
UCB CZ*
UCL GMBH
UCB AG, UCB Lux
UCI, UCCMB
Integrated Private Rating (RIP) Mortgages (PD, LGD, EAD) UCI, UCCMB
Retail exposures
Securitization
Overdraft and credit cards (PD, LGD, EAD)***
Personal Loan (PD, LGD, EAD)***
Small Business (PD, LGD, EAD)
Private Individuals (PD, LGD, EAD)
Private Wealthy Customers (PD, LGD, EAD)
Small Business (PD, LGD, EAD)
Private Individuals (PD, LGD, EAD)
Asset Backed Commercial Paper (PD, LGD, EAD)
UCI, UCCMB
UCI, UCCMB
UCB AG, UCB Lux
UCB AG
UCB Lux
BA
BA
UCB AG
(*) these Banks are currently authorized only to use the IRB Foundation, therefore they use only PD internal estimations for capital calculation.
(**) This country is authorized by the Local Regulator to adopt the Group wide model Financial Institution & Banks only for the Commercial
Bank segment with the exclusion of the Securities Industry segment .
(***) Systems authorized since 2010 which regulatory use is prudentially planned after the completion of the models revision.
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Keywords:
UCI: UniCredit Spa
UCCMB: UniCredit Credit Management Bank
UCB AG: UniCredit Bank AG
BA: UniCredit Bank Austria AG
UCB IE: UniCredit Bank Ireland plc.
UCB Lux: UniCredit Bank Luxembourg S.A.
UCL GMBH: UniCredit Leasing GMBH and subsidiaries
(UniCredit Leasing Finance GMBH, Structured Lease GMBH,
UniCredit Leasing Aviation GMBH)
UCB Slo: UniCredit Banka Slovenija d.d.
UCB BG: UniCredit Bulbank AD
UCB CZ: UniCredit Bank Czech Republic, a.s.
UCB HU: UniCredit Hungary
UCB SK: former UniCredit Bank Slovakia a.s branch of
UniCredit Bank Czech Republic, a.s. since December 2013
UCB RO: UniCredit Tiriac Bank a.s.
ZAO UCB: Zao UniCredit Bank (Russia)
During the first half of 2014, consistently with the IRB Roll-out Plan, the Group has been authorized and hence has
implemented for calculation of regulatory credit risk capital the Group wide IRB system for the Multinational exposures in Zao
UniCredit Bank (Russia) with the Foundation approach, using only PD estimates for capital calculation.
The need for a common and shared vision of the customer riskiness at Group level, has required the introduction of a Group
Master Scale in order to increase communication and effectiveness of decisions among the delivery process and
management reporting.
The Master Scale is aimed to address the following:
•
allow risk and relationship managers to communicate with a common language;
•
ensure consistency of credit decisions, also if they are based on rating classes (RC) and not on PD;
•
facilitate the definition of credit policies / guidelines by avoiding unnecessary ambiguities.
The Group Rating Master Scale, introduced by the Group Governance Rules with the Internal Regulation No. 488 of March
2011, is based on the following assumptions:
•
the investment grade / non-investment grade rating classes are clearly separated;
•
the range of PD is sufficiently large (AAA to Default), the default classes correspond to those defined by the Bank
of Italy;
•
the Group Rating Scale Master is based on Standard & Poor's rating scale: Investment grade classes are closely
aligned with the S&P's PD classes, while the non-investment rating classes are more granular.
The Group Rating Master Scale is used for management reporting purposes only; thus it has no impact on the Internal Rating
Based (IRB) approach, on the Basel II compliance of rating models and on the Roll-out plan. The Risk Weighted Asset,
Expected Loss, and Loan Loss Provision calculations do not change. There is also no impact on the pricing of loans and it is
not necessary to recalibrate existing rating models.
It should also be noted that the correspondence between the PD rating classes provided by the Group Master Scale and
those of external agency (S&P’s) are purely indicative and therefore they may change over time.
DISCLOSURE BY INSTITUTIONS
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>> DISCLOSURE BY INSTITUTIONS
Credit Risk
PD Min
PD Max
S&P proxy
Rating
Equivalent
0,0000%
0,0036%
AAA
0,0036%
0,0065%
AA+
0,0065%
0,0116%
AA
0,0116%
0,0208%
AA-
0,0208%
0,0371%
A+
0,0371%
0,0663%
A
C3
0,0663%
0,1185%
A-
D1
0,1185%
0,2116%
BBB+
0,2116%
0,3779%
BBB
D3
0,3779%
0,5824%
BBB-
E1
0,5824%
0,7744%
BB+
0,7744%
1,0298%
BB
E3
1,0298%
1,3693%
BB-
F1
1,3693%
1,8209%
B+
1,8209%
2,4214%
B+
F3
2,4214%
3,2198%
B+
G1
3,2198%
4,2816%
B
4,2816%
5,6935%
B
5,6935%
7,5710%
B
Rating Class
(disaggregated and aggregated)
A
01
B1
B2
02
B3
C1
C2
D2
E2
F2
G2
03
04
05
06
07
G3
H1
7,5710%
10,0677%
B-
10,0677%
13,3876%
B-
13,3876%
17,8023%
B-
17,8023%
23,6729%
CCC
23,6729%
31,4793%
CC
31,4793%
99,9999%
C
X1
Past overdue
100%
D
X2
Restructuring
100%
D
X3
Doubtful
100%
D
X4
Nonperforming
100%
D
H2
08
H3
I1
I2
09
I3
10
All the internal rating systems adopted by UniCredit Group represent a fundamental component of decision-making and of the
governance of the credit risk process. Specifically, the areas where internal rating systems are most often used, are as
follows:
•
various phases of the credit process:
o
approval/renewal. The assignment of internal ratings is a key moment in the credit assessment of the
counterparty/transaction and is a preliminary phase in providing/renewing lines of credit. The rating,
which is assigned before approval, is made available as a part of the approval process, which is largely
integrated in the assessment and discussed in the credit proposal. Thus, combined with loan exposure,
as a rule the rating is a key factor for defining the appropriate body for the approval;
o
monitoring. The loan monitoring process is aimed at identifying and quickly reacting to the initial
symptoms of a potential deterioration in a customer’s credit quality, and thus making it possible to
intervene before an actual default occurs (i.e., when it is still possible to recover credit exposure). This
activity mainly focuses on monitoring exposure movements leading to the point when it is necessary to
completely disengage from the customer. In addition to determining the positive impact in terms of EAD,
the monitoring process makes it possible to optimize conditions for the potential subsequent recovery
phase through requests for additional security resulting in the reduction of LGD;
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o
•
•
•
•
loan recovery. The evaluation of the strategy to be adopted is aimed at defining the recovery plan, loan
loss provisions, expected net cash flows (after levying on collaterals and guarantees) all the other values
for the calculation of the Net Present Value (“NPV”), on the basis of the related prudential collection
hypothesis considering all the costs and the probability of the strategy to fail. This evaluation results in
the Estimated LGD. LGD is also the basis for pricing to be assigned to non-performing loans transferred
to UniCredit Credit Management Bank;
provision policies. For performing loan customers, the “incurred but not reported losses” (IBNR) methodology has
been adopted. This approach uses the amount of the projected loss by means of the Loss Confirmation Period
(LCP) parameter for the calculation of provisions. For counterparties in the default category, coherence between
provisioning, NPV calculation and historical data of losses for similar types of exposure shall be always ensured;
capital management and allocation. Ratings are also an essential element in the process of quantifying,
managing and allocating capital. Specifically, the output of rating systems is integrated, at the level of the Parent
Company of the overall Group, into the processes aimed at measuring and managing (regulatory and economic)
capital, as well as into the processes aimed at determining “risk adjusted performance" measures and the adjusted
income statement for the purposes of strategic planning;
strategic planning. Customer risk is a key determinant in the area of strategic planning, budgeting and provisions
for quantifying RWA, impairment losses reported in the income statement, and loans reported in the balance sheet;
reporting. Specific reports are produced for Top Management at the consolidated, divisional and regional levels
and for individual entities. These reports show credit risk portfolio performance and provide information on default
exposure, expected losses, PD and average LGDs for various customer segments in accordance with the internal
rating systems implemented. Ratings are also used to determine pricing and MBOs to be assigned to account
managers and to identify customers with negative EVA for which targeted strategies are adopted.
To achieve compliance with the so-called Basel II regulations, UniCredit Group has carried out specific actions aimed at
determining and meeting the requirements to apply Credit Risk Mitigation (CRM) procedures. These actions include the
following:
•
issuance of internal policies reflecting the implementation, interpretation and internalization of CRM regulatory
requirements within the Group. The production of this documentation has pursued different aims in order to
encourage the optimization of collateral management and to establish rules for the acceptability, assessment,
monitoring and management of guarantees and collateral in keeping with general and specific requirements
established by the Regulator;
•
integration of the above mentioned policies in guarantees acquisition and management processes within the Group
with particular focus on legal certainty requirements;
•
implementation of adequate IT tools that support managing the collateral process, starting with the assessment and
acquisition of collateral to the monitoring and enforcement of collateral. The implementation of the IT system made
it possible to manage, gather and archive the data needed to verify whether acceptability regulatory requirements
have been met and to calculate risk indicators.
For more details on the managing of the recognition process of Credit Risk Mitigation techniques, refer to the dedicated
chapter "Techniques for mitigating credit risk".
In addition, the development of advanced rating systems and their introduction in corporate processes have resulted in the
need to establish at both the Parent Company and individual entities a process for validating rating systems and an increase
in the activities that Internal Audit is required to audit respect to such systems.
The purpose of the validation process is to express an opinion concerning the proper functioning, predictive ability and overall
performance of the IRB systems adopted and their consistency with regulatory requirements specifically through:
•
the assessment of the model development process with a particular emphasis on the underlying approach and the
methodological criteria supporting the estimate of risk parameters;
•
the assessment of the accuracy of estimates of all major risk components through system performance and
parameter calibration analyses and benchmarking;
•
the check that the rating system is actually used in various management areas;
•
the analysis of operating processes, monitoring safeguards, documentation and IT facilities related to the rating
systems.
DISCLOSURE BY INSTITUTIONS
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>> DISCLOSURE BY INSTITUTIONS
Credit Risk
The validation process has been substantially revised in 2013 according to the following main leading principles:
•
introduction of validation planning prioritization criteria allowing to focus the efforts on the most value added
activities in terms of risk control;
•
calibration of the analysis depth according to portfolio materiality, potential warning signals in terms of model
performance and importance of changes performed on the systems;
•
definition of new principles to homogenously drive across the Group the recommendations importance assignment
and the overall evaluation on the system according to the validation outcomes;
•
more effective process to monitor the progress of the recommendations raised by the validation function.
In any case, the validation process established within the Group continue to call first of all for a distinction between the initial
and on-going validation.
The purpose of the initial validation is to assess the positioning of the Group’s rating systems in relation to minimum
regulatory requirements and the Group’s guidelines and standards concerning methodology, processes, data quality,
quantitative and qualitative validation procedures, internal governance and technological environment by identifying any gaps
or critical areas in relation to these requirements before the Regulator approval or in case fundamental changes are
introduced.
On the other hand, the purpose of on-going validation is to continuously assess the proper operation of all components of the
rating system and to monitor its compliance with internal and regulatory requirements.
Additionally, the process calls for the specific assignment of responsibilities for validating so-called Group wide systems and
local systems.
For Group wide systems, whose respective methodology is unified at Group level, the responsibility is assigned to the Parent
Company, while for local rating systems this responsibility is of the local Entities. With reference to local rating systems
outside UniCredit SpA, the Parent Company is still responsible for the initial and on-going evaluation of the proper
performance of development and validation activities carried out locally and the proper operation of the rating system also by
providing suggestions generated by internal and external benchmarking that are aimed at following best practices. Based on
the revalidation process, the Parent Company issues Non-Binding Opinions on local rating systems both in the initial and in
the ongoing phase.
The department responsible for validation procedures is independent from the units responsible for developing models and
from the internal audit area that audits the process and outcome of the validation.
This department has established and maintains guidelines for validating rating systems aimed at a convergence towards
standard validation procedures, thereby ensuring that the criteria for assessing results are shared also through the
introduction of standard common thresholds and the comparison between the different systems. The use of thresholds makes
it possible to depict test results using a stop-light system whose colors are associated with various levels of severity of the
phenomena reported.
Special emphasis was placed on establishing a standard approach for validating models by identifying minimum test
requirements and methods for reporting the related results. Tests are divided into qualitative and quantitative analyses:
•
the qualitative section is used to assess the effectiveness of the methodology used to create the model, the
inclusion of all significant factors and the ability to depict the data used during the development phase;
•
the quantitative section assesses the performance, stability and calibration of the overall model as well as its
specific components and individual factors.
A hierarchy of the above analyses has been established that provides details as a function of the specific (initial or on-going)
validation. In fact, need for certain tests is dependent on whether critical areas are identified in the performance of analyses at
the next-highest level.
Additional areas of analysis, related to the organizational requirements stated in the Italian regulation, are internal use,
reporting, IT, data quality and governance.
The data and documents related to the validation procedures done to date are saved in special storage areas ensuring rapid
access to, and security of, the information and the ability to reproduce all analyses performed.
The results of internal validation activities, that involve each component of the rating system (methods, process, IT and data
quality), are summarized in a report, submitted to the attention of the Top Management and of the Regulators. The annual
validation report has the aim to show the level of compliance of the IRB rating systems in the Group showing the main
improvement areas.
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When auditing internal rating systems, Internal Audit’s aim is to check the functionality of the entire system of controls over
them. The activity consists in the verification of:
•
the compliance of IRB systems with regulations;
•
the effective use of rating systems for business purposes;
•
the adequacy and completeness of the rating validation process.
In order to assist Group entities to ensure the quality (functionality and adequacy) of their Internal Control Systems and to
modify their internal auditing methods in line with changes in their business scenarios, the Parent’s Internal Audit (UC IA) has
coordinated the development of a common set of internal auditing methods and manages on an ongoing basis the
maintenance and improvement.
These methods have been developed in order to assess the accuracy of the conclusions of the risk control functions as well
as compliance with the regulatory requirements, particularly in respect of the internal validation process of internal rating and
risk control systems. It should be noted that internal audit functions are not directly involved in the design or selection of the
model.
In accordance with its mission UC IA directly audits UniCredit S.p.A. and, when needed, the Legal Entities of the Group, also
managing the coordination of the activity of subsidiaries internal audit functions.
The audits necessary to assess the functionality of the rating systems are given suitable space in the Group audit planning
process, organized by UC IA, which agrees their inclusion in internal audit plans with the Group entities. UC IA then monitors
performance of these audits by a specific function and if necessary contacts the entity where there are deviations from plan.
Moreover, UC IA draws up an annual summary report which presents an assessment of the Internal Control System’s overall
functionality, describing, inter alia, audit outcomes and highlighting the main criticalities and short comings found, and
recommending corrective measures.
Finally, UC IA regularly reports on its activity and results to the Parent’s Board of Statutory Auditors, the Internal Control &
Risks Committee and the Board of Directors.
On the basis of validation activities and Internal Audit results, annually summed up in the “Basel II – Credit Risk Validation
Function’s and Internal Audit’s Annual Reports”, and with the Board of Statutory Auditors opinion, the Board of Directors
annually confirms (last resolution March 11th, 2014) that the requirements for the use of IRB systems in UniCredit Group are
still fulfilled.
DISCLOSURE BY INSTITUTIONS
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>> DISCLOSURE BY INSTITUTIONS
Credit Risk
Sovereign (Central governments and central banks)
Group wide models
Sovereigns’ Rating model
The approach used for the development of the country rating model is “shadow rating” whereby an attempt is made to
replicate the ranking capabilities of external (ECAI) ratings using macroeconomic and qualitative factors.
Two separate models were designed for emerging and developed countries (EM and DC).
The quantitative module for the latter (DC) uses variables related to the balance of trade, monetary indicators, the importance
of the banking system, per capita GDP, the recorded unemployment and some fiscal indicators. The qualitative module
includes variables related to the development of the financial system, the exchange rate policies, socio-political conditions
and economic conditions.
The quantitative module for emerging countries (EM) uses variables related to the balance of trade, monetary indicators, the
importance of the banking system, per capita GDP, the real GDP growth, both the industry and the exports as a percentage
of gross domestic product (GDP) and some fiscal indicators. The qualitative module includes variables concerning the
stability of the financial system, the exchange rate policies, the flexibility of the economic system, socio-political conditions,
economic conditions and debt service.
Based on the 2012 ongoing internal validation results, that highlighted some areas for improvement, a review of the model
has been completed in 2013, including also the LGD parameter. The Validation Unit assessed the revised models with an
exhaustive and deep investigation of model design, qualitative and quantitative specifications, performance, calibration and
stability tests, highlighting a clear model enhancement and even detecting some room for improvement on specific aspects.
The new models in accordance with the Supervisory Authority, have been implemented for regulatory purpose, starting from
June 2014.
Sovereigns’ LGD model
This model uses a regressive approach with the involvement of experts, starting with a set of macroeconomic variables and
qualitative factors, of which seven were included in the final version. The dependent variable (LGD) was calculated using
external historical LGD evidence and external (ECAI) recovery rate ratings. The model provides LGD only for direct
unsecured exposure to sovereign counterparties.
For the quantitative module, the explanatory variables selected are as follows: the current account balance as a percentage
of GDP, the fiscal gap, the excess budget revenue and the real effective exchange rate. The qualitative module includes
variables concerning the stability of the financial system, socio-political conditions and debt service.
Based on the 2012 ongoing internal validation results, that highlighted some areas for improvement, a review of the model
has been completed in 2013. The Validation results were based on a deep valuation both from a model design and from
quantitative perspectives highlighting several improvements that cover the gaps which were communicated during the
previous assessments.
Besides the methodology, the assessment activity has involved the IT and process features, including more relevant aspects
on the data quality.
The new models, in accordance with the Supervisory Authority, have been implemented for regulatory purpose, starting from
June 2014.
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Banks (banks and other financial companies)
Group wide models
Banks Rating model
The approach used for developing bank ratings, which are defined as “shadow ratings”, attempts to replicate the ranking
capability of external ratings using a combination of quantitative and qualitative factors.
It was decided to construct two different models – one for banks resident in developed countries (DC) and one for banks in
emerging markets (EM) – since it is believed that there are different risk drivers for the two segments.
The final quantitative module for domestic banks resident in developed countries (DC) covers several categories of factors:
profitability, risk profile, size and funding.
The situation is similar for banks in emerging countries with different weightings for factor categories: profitability, risk profile,
size, capitalization and funding.
Specific adjustments to be applied to the PD resulting from both EM and DC are expected to consider the following aspects:
•
the three types of support (if any) provided to banks - by the government, by the economic group to which they
belong, by an Institutional Protection Fund; these factors are discussed separately, in a homogeneous (based on
PD) and non-additive way (only the one with more mitigation effect is actually applied).
•
the risk factor country in general (considered in the calibration phase of the model); in this context, the model
considers the country risk and the more specific transfer risk, i.e. the risk that the debtor is unable to obtain foreign
currency to meet its obligations, even though it has the corresponding local currency.
The rating scale model is based on the default rates implied by external rating.
During a revision in order to properly measure the credit risk of exposures to counterparties Securities Industry (SI)9, a
specific model was developed. The approach used for the Securities Industry is similar to that adopted for commercial banks,
however, it provides that the support of the economic Parent Company, particularly important in the SI segment, is estimated
as a separate module through the development of qualitative answers.
The scope of the rating system Banks was also extended to those subsidiaries that are involved in a corporate treasury
activity or funding vehicles through the specific model of CTFV (see section "Multinational Corporate Rating model" ).
The validation unit evaluated both the Bank rating model, and the specific model for Securities Industry counterparts, in
conducting its activities have been applied (as for the rest of the system) the official validation guidelines for the entire
Group10, which cover both aspects of the model structure and performance analysis, calibration, stability, not only on the final
result but also in terms of individual components and factors. The validation unit has expressed an overall positive evaluation
detecting some points of attention that will be monitored on a yearly basis.
Consequently a methodological revision of the models has been performed, which also involves the LGD parameter: the
internal control function’s assessment on the revised models (PD and LGD) is still ongoing and will be completed in the
second half of 2014.
Banks’ LGD model
The model developed is based on an expert basis. The methodology is currently only applied to senior unsecured performing
loan exposure, which represents the majority of exposures to banks. Then the application of advanced methodologies
(common to several Group wide segments) has been extended to junior exposures. Currently, the LGD model estimate
covers both commercial and investment banks (Securities Industry).
The individual LGD value is calculated starting with an analysis of financial statements by simulating the recovery in case of
default deriving from the liquidation of different categories of the bank’s assets after repaying any creditors with a higher level
of seniority (the current version of the model provides a more refined treatment of the deposits, considering the possible
priorities under the local regulation).
In order to obtain a realistic and conservative valuation of the bank’s assets, “haircuts” have been established for each type of
asset to take into account the likely deterioration that occurs before default, the differences between market and book value
and between market value and sales proceeds (the current version of the model provides more haircuts to be applied to the
mortgage loans value in the financial statement of the counterparty).
In addition, based on the fact that the success of the recovery phase largely depends on the applicable legal/institutional
environment, specific haircuts have been introduced for each country to take into account the legal risk.
9
The SI segment is represented by counterparties which are occupied in activities of broker/dealer, merchant/investment banking, corporate finance, M&A e Wealth
Management and include both “pure” SI companies, for which these activities are absolutely prevailing, and “hybrid” banks, that are equally dedicated to commercial
and investment activities. Before the development of an internal rating system dedicated, those counterparties were mostly unrated, with some exceptions covered by
Banks model.
10
The guidelines for the validation of PD models, has been revised and issued in a new version in April 2012
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Finally, haircuts reflecting the costs of the recovery process have been included based on the assessment of workout experts.
Since the assets of the borrowing bank are stated in local currency, but the final recovery must be estimated in the currency
of the creditor, an additional haircut is applied to assets in local currency that is tied to exchange rate volatility in order to take
depreciation risk into account.
Within the banks segment, the LGD framework has been improved to reflect more accurately the typically lower risk profile of
some specific products (or transactions), in particular with respect to covered bonds and products with country risk mitigation.
In relation with covered bonds, two different values of LGD have been defined to be applied on the basis of the country of the
issuer and to confirmation by the responsible credit analyst that the emission of the specific covered bond issuer is in line with
local market standards.
For products with country risk mitigation, the counterparty LGD is reduced according to the contribution of country risk on the
counterparty total PD, through the application on LGD unsecured of a recovery factor of the specific transaction (Transaction
Specific Recovery factor). Within the banks segment, the reduction of LGD applies to a particular type of product: short-term
commercial loans between banks (Short Term Commercial Financing).
The Validation Unit has checked on an ongoing basis the design and scope for applying the model, the model’s components,
experience-based amendments and overrides. As much as it has been possible, external benchmarks have been examined.
Furthermore, special attention in the analysis was given to the assessment of the haircuts related to the different assets
categories.
In addition to methodology, the assessment activity has covered the IT and process, including the most significant aspects
related to data quality.
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Corporate (non-financial companies, including SMEs, specialized lending and purchased
Receivables)
Group wide Models
Multinational Corporate Rating model
This rating model applies to multinational companies defined as companies with consolidated turnover or operating revenues
greater than €500 million for at least 2 consecutive years (the definition of the segment has recently been clarified to reflect
the decision to remove the leasing and factoring companies from the scope of application MNC).
The approach used for the estimation of the Multinational rating, defined as a shadow rating, attempts to replicate the ability
of ranking of external ratings (from ECAIs) through a combination of quantitative and qualitative factors.
The quantitative module covers several categories of factors such as capital structure, profitability, interest coverage and size.
The result of this module is a quantitative score.
The qualitative model consists of a set of questionnaires that analyze corporate aspects such as management quality, the
industry sector performance, market share, etc. The result of this module is a qualitative score.
The quantitative and qualitative scores are then integrated and the result is converted into a PD (through an estimated
function during calibration phase). Specific PD adjustments have been planned in order to consider the following aspects:
•
the support (if any) by the economic group to which the company belongs (based on an average of PD),
•
the country risk factor in general (considered in the model calibration phase); in this context, the model considers
the country risk and the more specific transfer risk, i.e. the risk that the debtor is not able to obtain foreign currency
to meet its obligations even if in possession of relevant local currency.
Starting from 2012 the Group wide Multinational Corporate (MNC) rating system is adopted also for the Italian Large
Corporate (ILC) portfolio, which includes all companies with an operating revenues/value between €250 and €500 million. A
recalibration of the PD model has been performed during 2012 and implemented starting from June 2013.
The Validation Unit assessed and evaluated the model calibration approach as substantially adequate in light of the inclusion
of last years’ data and of the consistency with the through the cycle approach.
The scope of the rating system also includes those subsidiaries that exercise corporate treasury functions (such as cash
concentration, FX management and funding) or that are specialized funding vehicles (issuing MLT securities, notes, bonds)
whose creditworthiness is driven by the parent/group support in the form of an explicit guarantee for the counterparties or its
issues or via some other support mechanism (e.g. an agreement with the Parent Company): the rating of these counterparties
is calculated by the specific model of Corporate Treasury and Funding Vehicles (CTFV).
Since in most cases, the default of a CTFV customer is caused by the default of the group it belongs to, the approach
adopted, both for the PD and for the unsecured LGD, the distance in notches to the PD and the LGD of the parent company
was estimated on the basis of the contributions and opinions by industry experts.
On the basis of a qualitative questionnaire, the downgrading notch in respect to the parent company’s rating is determined to
calculate the rating of the CTFV; with the same approach the increase of LGD is determined to be added to the parent
company LGD to calculate that of the CTFV.
The Validation Unit has checked on an ongoing basis the Group wide Multinational Corporate (MNC) rating system based on
a complete assessment of quantitative and qualitative analyses also considering all the information retrievable from external
providers to perform an exhaustive benchmarking activity. The validation outcomes show an overall model adequateness
even though some room of improvement have been detected that will be monitored on a yearly basis. Measures for model
improvement will be considered in the model re-development project recently started.
Starting from March 31st 2014, the Group has been authorized to use the Group wide rating system for Multinational
exposures in Zao UniCredit Bank (Russia) with Foundation approach (using only PD internal estimations for capital
calculation).
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Multinational Corporate LGD model
Given the lack of historical time series of internal recovery rates for multinational companies (since this is a portfolio with a
low risk of default), a regressive-statistical model, mainly based on recovery data provided by an external provider has been
developed.
The LGD model only refers to senior unsecured exposures towards performing companies (advanced methodologies
common to several segments of Group wide are applied to juniors exposures).
More in detail, the LGD model consists of four main phases (in which is incorporated the add-on, that takes into account the
negative phases of the economic cycle, downturn):
•
in a first phase, a total of LGD counterparts (Overall LGD), independent from the seniority of creditors, is calculated
on the basis of financial statements’ quantitative factors;
•
in a second phase, on the basis of a qualitative questionnaire, the variation on the increase of the senior unsecured
Bond debts LGD is calculated, determining the Gross senior unsecured Bond LGD;
•
then the LGD is adjusted to take into account the legal risks and costs related to the recovery process (Adjusted
Senior Unsecured Bond LGD);
•
to the final value of the unsecured Bond LGD (applicable to the bond debt) is applied a conversion factor that
allows to obtain a Loan LGD (Final LGD Senior Unsecured Loan) which is lower, because it considers the
probability and effects of the debt restructuring, typical of bank loans and similar products that are the most
representative part of the UniCredit Group portfolio. Similar as with the PD parameter, also the Loss Given Default
of the Multinational Corporate system has been extended to the Italian large Corporate segment (ILC).
The LGD framework properly reflects the lower risk profile typical of some specific products (or transactions), in particular,
products with risk mitigation. Within the scope of the MNC segment, a special class of transactions has been considered,
those in which payment is guaranteed by the sale of assets to a third party resident in a low risk country (Only Delivery Risk).
The validation unit checked on an ongoing basis the model design of the model and the quality, the model performance and
its level of conservatism. It also performed extensive analysis on external benchmarks (in literature and / or in the form of
recovery ratings published by rating agencies) verifying a substantial alignment with these public data.
In addition to the methodology, the validation activity was done on all IT and process aspects, including the most significant
data quality aspects.
Global Project Finance rating model (GPF)
The Group wide rating model Global Project Finance (GPF) Is dedicated to project finance transactions with total volume of
project debt over € 20 million and has an estimation approach based on a combination of 21 qualitative factors assessed
through a questionnaire. The analysis is performed by pooling the risks of the project in 5 areas of interest: the risk
connected to the sponsors of the project, the risk of completion, operational risk, "special" risks (e.g. Risk of an earthquake,
interest rate risk) and the risk associated with cash flows.
The model was revised in 2011 with the aim to decrease the judgmental elements influencing the rating decision and
therefore to increase the statistical predictive power of the whole system, also trying to address and remove the weaknesses
identified by the internal validation and audit functions or by the Supervisors. The revision of PD optimized the existing expert
based PD model in a statistical way, in order to limit the number of possibilities for manual adjustments.
The main changes to the PD model compared to the previous version are:
•
optimization of the statistical weights of single factors (expert based); the use of a statistical approach for estimating
the weights of the model increases the predictive power based on the historical default;
•
a general model standardization, with a limitation of manual adjustments on rating only to the practice of “override”
(only the “weak link” feature, to downgrade a rating in case of negative signals, has been maintained);
•
a new treatment of completion risk which allows to reduce weight factors along with the progress of construction
and when the project begins to produce cash flows;
•
an explicit consideration of country-induced risk (general and transfer) has been implemented as an add-on on the
intrinsic score/PD dependent on the PD of the country;
•
a more detailed description of risk factors in order to enhance the objectivity of the assessment.
The validation unit has checked the model structure, the performance at the aggregate level of risk areas and of single factor.
It has also analyzed the stability, the adjustment mechanisms and override, the calibration of the estimates and performed a
benchmarking analysis, although the availability of external ratings has been limited. All these analyses have focused on the
Group GPF main portfolios within the Entity: UniCredit SpA, UCB AG, UCBA AG.
The outcome of the validation activity performed during 2013 provided an overall positive evaluation from both a quantitative
and a qualitative standpoint of the model. Also the aspects related to processes, data quality and IT procedures for the
revised GPF rating system, have been subject to internal assessment of the validation unit.
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Global Project Finance LGD model (GPF)
The internal model for estimating GPF LGD is applied to the total direct exposures for performing counterparts GPF.
The original version of the model was essentially based on the "distressed assets" method developed by S&P’s, which
examines the distribution tail of the project value, in the region where default has occurred and, thus, defines the LGD
probability distribution as a distribution of “debt minus asset value” in this region. This general framework has been then
adapted to real practices and to the business standard procedures in place in the Group, through the adoption of certain
changes concerning the calculation method of the asset value, the determination of the default region and the introduction of
appropriate “volatility scorecards” calibrated by sector and based on a specific set of questions.
With the revision implemented in 2011 activities aimed at refining the LGD methodology improving the model performance
were carried out. The measures taken, first, concerned the simplification of the methodology "distressed assets" (the
elimination of explicit determination of the value of assets, replaced by direct calculation of the ratio between debt and the
(maximum) value of "distressed assets" (DMDA ), on the basis of a qualitative questionnaire; and with the removal of
"volatility scorecard"). Furthermore a scenario of "extreme event" has been introduced, which is characterized by very high
losses, in addition to the "standard" scenario based on the methodology "distressed assets". The probability of "extreme
event" is determined based on responses to a qualitative questionnaire and used as "weight" of "standard" and "extreme
event" weighted average LGD: that average is the expected LGD.
Also add-ons that take into account the negative phases of the business cycle (downturn add-on) and recovery costs were
explicitly considered. The model structure has been updated allowing parallel calculation of LGD for senior positions and for
those junior.
In this context, the annual validation of the model, performed during 2013, produced an overall positive outcome verifying
internal estimates have a good level of conservatism compared to external benchmarks available.
Group wide EAD model
The main driver of the EAD is the product type and the calculation is tied to three components. Firstly, according to
supervisory requirements, it has been assumed that the current balance sheet exposure will continue to exist up until the
default. To this value the expected value of a possible drawdown of the granted credit line has to be added, and third, the
possibility of an overdraft over the amount of the current credit line is considered as a percentage of the granted credit line.
Furthermore, for the significant products, the probability of a request of refund by a third party, which has been granted a
guarantee in case of default, has to be considered.
During 2012 the model was significantly revised in order to improve the methodology and increase the representativeness, in
order to overcome the weaknesses identified by the control functions.
The results of this work have been subject to validation during the 1st half of 2013, with a positive outcome and
communicated to the Supervisory Authority. The changes made to the model will be applied during 2014, in accordance with
the official approval by the Supervisory Authority.
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Local models, Italian Legal Entities
Italian Corporate Rating model
The Integrated Corporate Rating (RIC) model provides a rating for the counterparties of UniCredit S.p.A. with revenues (or
total assets if revenue information is not available) from €5 to €250 million, according to the new segmentation, effective since
November 2010, decided within the One4C merge project, also in the light of the results of a specific comparison between the
performances of the different available models for the corporate segments in Italy. The model for industrial sector has been
redesigned (RIC3) based on recommendations from the previous validation activities, and it has been adopted since
November 2011.
The structure of the RIC3 rating system consists of three basic modules, two of which are quantitative and one qualitative:
•
the economic-financial module, that considers the financial statements information in the archives of the Central
Financial Statements Archive (“Sistema Centrale Bilanci”) (cash flow and profitability, financial charges, financial
structure and composition of debt, financial stability and liquidity; growth, volatility and operational structure);
•
the behavioral module, that, considering only the external source data obtained by both first sending streams and
return ones of Central Credit Archive (“Centrale Rischi”), allows customers' monitoring either toward the Group and
the entire banking system (cash loans: withdrawal, short-term maturity, long-term maturity, self-liquidating loans;
loan guarantees: commercial, financial; collateral);
•
the qualitative module, that considers the answers to the questions of the qualitative questionnaire filled out during
the application phase. Unlike in previous versions of the model, the qualitative component was developed with a
total statistical approach.
The RIC3 model provides a rating updating process through a system of trigger events aimed at ensuring greater stability in
the assessments, ensuring both the timely update and the intervention of experts, where necessary (operators and rating
desk).
The model is differentiated for Real Estate exposures. The Real Estate modules are designed to take into account the various
types and riskiness of these counterparties with particular attention to the internal control functions and Supervisory Authority
recommendations.
The Real Estate corporate model is used for counterparties having the "05" balance structure (Real Estate Companies)
according to the classification of “Centrale Bilanci” and total assets in excess of €5 million, consistent with the customer
management segmentation adopted by the Bank and with its credit processes. It is mainly based on the development of an
economic / financial ad hoc component and the consequent integration with the qualitative RIC3 or behavioral RISB
(“Centrale Rischi” and internal behavioral).
During 2013, the models were recalibrated incorporating 2012 and 2013 observed default rates.
Moreover in 2013 the Groups Rating was authorized for regulatory purposes, by which the belonging to an economic group
is introduced as a factor in the assessment of the overall rating of a counterparty; this has resulted in significant
improvements of the corporate models in terms of performance and calibration.
The validation activities on Corporate PD models, conducted by the competent Group Internal Validation function aiming to
verify the overall functioning of the rating systems and the compliance with organizational and quantitative requirements
stated by the regulations, have highlighted their substantial adequacy, also in the light of the significant corrective actions
implemented during 2013.
During 2014 the competent Development Model Function has started the revision of the RIC models, to be followed, as
usual, by the internal control activities, the internal approval and the communication to the Supervisor.
Local Italian Corporate LGD models
The models for the calculations of the LGD risk parameter were revised in 2012 and implemented during 2013. The revision
has been undertaken to improve the effectiveness and the adequacy. In particular, in addition to main changes to the model
already in use for "performing" customers, the model was newly developed for the LGD estimation of defaulted loans,
differentiated by their default state.
The representativeness of the LGD Corporate models has been significantly improved through the extension of the
development sample, comprising the 2008-2011 period characterized by the economic recession, the introduction of nonperforming positions open-and-closed before 1997 and the former Capitalia ones, with the consequent enlargement of the
average maturity considered in the development sample.
The estimated rate of loss continues to be based on a "workout LGD" approach by discounting the observed cash flows in
every stage of recovery management. In this context, the methodological approach for the definition of the discount rates has
been changed by historical rates to current rates.
For new "Defaulted Assets" LGD models for non-performing loans, doubtful loans, and past due, a statistical approach has
been adopted that allowed to incorporate in the estimates the information related to the permanence period in a defined state
and to the trends of the previous recovery period.
The main difference between the new "Defaulted Assets" LGD models and the previous single modules for "Non
Performing", "Doubtful loans” and "Past Due" is that, while the latter estimate the loss rate at the time of their entrance to
default (time T0), the dedicated new modules estimate the loss rate referring to the vintage of the relationship, at the time in
which the specific counterparty is located in default (so-called Time Dependency) taking into consideration, therefore, also
available information after the moment of default itself.
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A further step towards greater functionality and representativeness of the models is the recognition of the mitigating effect of
guarantees on the estimates of the loss rate obtained with the implementation of rating systems “Confidi” and “Guarantors”.
The new Guarantors Individuals rating system expresses an overall opinion on the creditworthiness of the Guarantor that
results from the integration of elementary modules that merge the information retrieved from internal and external information
sources. With regard to the “Confidi”, the new rating system is the integration of modules primarily developed on expert base,
given the nature of low default of the reference portfolio, as well as the absence of external ratings such as to enable the
development of quantitative approaches of shadow rating.
The methodology has therefore pursued the goal of reflecting the evaluation, in terms of risk, of the Confidi specialists,
collected during the development of the model. The LGD of Confidi has been developed following the methodological
approach used for banks, although “ad hoc” measures have been introduced in order to manage their specific peculiarities.
During the last quarter of 2013 and the first quarter of 2014 the Development Models Function has put in place calibrations of
the models with the incorporation of danger rate observed in 2013 and the extension of the time series of the development
sample with 2012 data.
At the same time, the discounting methodology has been revised, moving to current rates average of the last 5 years, and
introducing, during calibration, the effect of extraordinary sales transactions occurred in the past to the Bank.
In both cases, the validation activities have provided an assessment of adequacy on the models interventions.
Local Italian Corporate EAD models
In accordance with the regulatory prescriptions and with the progressive rollout Plan of IRB methodologies for credit risk, the
Group developed the estimation of a model of the Exposure at Default (EAD) for the Italian authorized systems "Integrated
Corporate Rating (RIC)" and "Small Business Integrated Rating (RISB)", submitting the request for authorization of their use
to Bank of Italy in December 2012.
RIC and RISB EAD models were developed according to the regulatory requirements. In particular, the default definition
required by the framework for the IRB approaches was adopted, in line with the existing PD and LGD models: 90 days past
due, doubtful loan, restructured and non- performing.
Validation activities of the RIC and RISB EAD models were conducted by the competent function Group Internal Validation in
order to verify the overall performance of the rating systems and compliance with the quantitative and organizational
regulatory requirements and concerned, consistent with the regulatory definitions and the internal standards, the estimation
methodology and its IT infrastructure.
Based on the results of these activities, the validation function has expressed an opinion of the EAD models’ adequacy, not
reporting any significant misalignments with respect to the requirements for the IRB regulatory use, which will be effective
after the authorization reception by the Regulator.
This judgment was confirmed by the control function also in front of the calibration performed during 2013, that made the
models more in line with Group standards.
During the first half of 2014, the Development Models Function proceeded to the usual model calibration; validation activities
will be conducted during the second half of 2014.
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Local models, German Legal Entities
Mid-corporate rating model
The “Mittelstandsrating” model aims to provide ratings for exposure to the UCB AG category of companies headquartered in
Germany with turnover of €5-500 millions. The target has been amended in April 2011 (previously the lower turnover
boundary was €3 million) as a result of the “ONE4C” Group’s initiative, aimed at getting more focus on the requirements of
the customers and to be closer on the regional markets.
The “Mittelstandsrating” model version currently in use was developed with the aim of both simplifying the previous model
(the number of models for the automatic assessment of financial statements has been reduced from 12 to 4) and
implementing the improvements suggested during the previous validation stage.
The model is made up of two components: a quantitative and a qualitative module. The score resulting from the analysis of
financial statements is complemented by additional factors, resulting in the partial hard-facts rating. The qualitative model
instead provides the partial rating for the company’s situation. The final rating is created from a combination of the two partial
ratings.
The quantitative module is based on four statistical sub-modules called “Maschinelle Analyse von Jahresabschlüssen”
(automated financial statement analyses) or MAJA. The area of application of each of these sub-modules is dependent upon
the company’s industry (Production, Trade, Construction, Services).
In general, the financial ratios included in the quantitative module (which were selected using a process including statistical
analyses and discussions with experts) cover the following areas of analysis:
•
asset and debt structure;
•
cost structure, liquidity;
•
profitability.
The assessment of the financial statement is complemented by additional factors regarding current company development,
quality of financial statement and specifics of industry sector.
The qualitative module covers areas of analysis concerning:
•
financial conditions;
•
management qualification;
•
planning and controlling;
•
industry/market/products;
•
special risk;
•
industry sector rating.
In case of worsening conditions of the debtor, warning signals are already included within the qualitative module, provoking
an automatic adjustment of the rating.
Finally, the final rating can be adjusted manually (overridden) if the additional information indicates that the calculated rating
is not appropriate. This practice is subject to specific restrictions and constraints and is closely monitored by the internal
validation unit.
The model is also subject to ordinary calibration activities over time.
The internal validation unit checked the design of the model, the reliability (performance and stability) of its various modules
(the quantitative module with its related sub-modules, and the qualitative module) and its calibration resulting in a favorable
opinion: the model performances are above internal thresholds and the average PD resulted in line with the observed default
rates. The positive assessment of the model was confirmed by the HC revalidation function as well.
This rating model has been adopted also by UniCredit Bank Luxembourg S.A.
It is authorized also in UniCredit Leasing GmBh and subsidiaries.
Foreign SME Rating model
The Foreign SME rating system, applied also in UniCredit Bank Luxembourg SA, is aimed at the assessment of companies or
groups headquartered outside Germany. The rating is assigned to these counterparties based on an external country specific
quantitative component, which is integrated with an internally developed qualitative module leveraging on the correspondent
module defined for German Mid Corporate segment. In its first version the Foreign SME rating model has been applied for the
22 countries for which specific RiskCalc models for the analysis of financial statements had been available at the time of
development, and for further 45 countries for which Moody’s suggested the use of the models as so-called proxy models.
Meanwhile Moody's has developed additional RiskCalc models. Therefore, in December 2011 the application of the model
was extended to all countries worldwide adjusting the calibration to the extended target portfolio. Apart from this, the scope
extension has had no significant impact neither on the model nor on the relevant process. After the use-test phase and
based on the outcomes of regulatory inspection, this extension was approved by the Regulator in June 2013.
Also in this case, the validation and revalidation activities let the Group to certify the maintenance of the compliance of this
rating model to the regulatory requirements, taking into consideration the application perimeters’ modest sizes that were
impeding an internal estimation of the financial modules at the time of its first development in 2009. On the calibration side the
last validation dated in 2013 presented a need for recalibration, planned to be implemented in 2014.
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Commercial Real Estate Finance Rating model (CREF)
The rating model for UCB AG’s Commercial Real Estate Finance (CREF) is used in Germany to assess exposure to:
•
Real estate developers: companies whose financial statements income derives mainly from the construction (or
purchase) and subsequent sale of buildings for residential or commercial purposes (offices, stores);
•
Real estate investors that publish financial statements: companies whose financial statements income derives
mainly from the lease of owned residential and commercial properties;
•
Real estate investors that do not publish financial statements: companies with no financial statements or individual
customers with income originating mainly from the lease of owned properties, anyway exceeding €200,000 per
year;
•
Building societies: Companies with main field of operation - letting residential properties on own behalf and for the
own account on an ongoing basis. The property and facility management is performed by the building society or
company in the group (no external administration) and there is no financial recourse to private individuals.
These clients are evaluated through models built combining three basic modules:
•
a qualitative module that aims to assess the quality and reliability of management, the abilities of the management
team, the quality of organizational management and the bank's experience in managing relationships with the
company;
•
a qualitative module that aims to assess the asset/project to be financed or already financed (by the bank or other
lender), including the quality and implicit risk of the portfolio of the company’s properties/projects, its planning
capabilities (based on past experience) and cash flows planned/projected in future years;
•
a quantitative financial module based on the company’s financial statements supplemented with a qualitative
assessment of the quality, reliability and completeness of the financial statements.
The four models (Real estate developers, RE Investors with or without financial statements, Building societies) all use the
same sub-modules.. The main difference is the weighting used to combine the partial scores into the overall score.
Special property real-estate funds are rated with the RE investor's model. This model extension was approved by the
regulator in June 2013.
The CREF system underwent two further immaterial modifications of the application perimeter to Foreign Reporting Investors
and Developers. The regulatory audit of the extensions took place in November 2012 with a positive assessment by local
regulators. The regulatory use of the extensions will produce effects after formal approval by the regulators.
The annual local validation of the model has been finalized in 2013 and confirmed the suitability of the model for the portfolio
with respect to rank ordering performance and for calibration. The RE investors model without financial statements was
recalibrated in February 2014.
The CREF rating model is applied also in UniCredit Bank Luxembourg SA.
Acquisition and Leveraged Finance transactions rating model (ALF)
The “Acquisition and Leveraged Finance" (ALF) model is used for the assessment of projects to finance/refinance corporate
acquisition transactions, in which additional bank liabilities are added to the normal operating debt of the company acquired in
order to finance the acquisition.
The debt resulting from the acquisition is repaid out of the future cash flow of the company acquired, and, in certain cases
(i.e., acquisitions that involve strategic investors), out of the cash flows of the acquiring company.
Acquisition transactions and their corporate and tax implications (often involving several jurisdictions) demand specific
expertise during the audit phase, and require:
•
appropriate risk-return relationships in addition to a loan structure based on a realistic cash flow simulation model;
•
the adjustment of the acquired company’s financial and debt repayment structure to future cash flows;
•
the combined use of highly differentiated borrowing tools (senior debt, junior debt, mezzanine debt, etc.).
In terms of procedural aspects, the "ALF rating" is essentially a financial rating that calculates the acquired company’s
probability of default based on equity and financial ratios taken from the forecasted (budgeted) financial statements and
income statement. There is no qualitative module since in the preparation of the forecasted financial statements, a large
amount of qualitative information based on experts’ opinions is already implicitly taken into consideration. The forecasted
financial statements are prepared through models that simulate future cash flows (INCAS, international financial model).
In some exceptional cases, manual adjustments (overrides) are also allowed with respect to individual financial ratios and the
final rating, and these adjustments must be approved by the responsible units and must be closely monitored by the internal
validation unit.
The validation unit performed qualitative and quantitative analyses in 2012 which confirmed the model’s reliability.
Basically, the LGD calculation for portfolio ALF in UCB AG follows the same calculation approach as the general LGD model
for Retail / Corporates. Based on the specialties of the portfolio, the treatment of cash flows out of collaterals is different, i.e.
collaterals are not explicitly valued in the risk calculation but the cash flows out of collaterals are included in the LGD
calculation. A validation of the LGD was done in 2013. The analysis did not show the necessity for parameter adjustments..
The ALF rating model is applied in UniCredit Bank Luxembourg SA.
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Credit Risk
Income Producing Real Estate (IPRE) rating model
The IPRE rating model provides an assessment of a particular category of specialized loan related to cash-flow-based real
estate transactions in which the bank has direct access to the cash flows produced in the transaction.
The UCB AG IPRE rating model is a transaction based rating model that assigns a PD to a transaction - and not to the
corporate customer or fund who initiates and structures the transaction. The model is applied to counterparties/transactions
which fulfill a number of strictly defined criteria.
The core of the UCB AG IPRE model is a cash flow simulation (module 1). The main idea behind this approach is that an
IPRE transaction defaults if the cash flow (after costs) that is realized in the transaction from rental income or sale of the
property will not cover the debt service to repay the loan - or if the value of the real estate property falls below the face value
of the loan.
This in turn is assumed to happen if the relevant macroeconomic parameters (such as the rent index and sales price index)
are developing negatively. The simulation approach is chosen to explore a diversity of possible scenarios of the development
of the relevant macroeconomic parameters probability weighted and thus to understand the likeliness of the transaction to
default.
In order to capture additional aspects the result of the simulation can be altered based on qualitative questions (module 2 and
3):
•
specific object characteristics module, to take into account the characteristics of the specific objects held by the
SPV
•
soft facts module, for the qualitative assessment (this component is enriched with specific guidelines for the correct
interpretation of the questions, as well as with detailed explanations of the factors contained in the module).
The results of each simulation are combined to produce the one-year probability of default (PD) then calibrated on long-term
observed default rates, and the other risk parameters (Market Value), that are subsequently adjusted to take into account the
characteristics of the specific objects (position and quality of the building) and the qualitative assessment.
Based on the local validation released in 2013 the rating model resulted as overall compliant, even though minor areas of
improvement which had already been identified in the local validation 2012 need to be implemented. The validation, shows
generally satisfying results with reference to predictive power, stability and calibration, but results have to be interpreted in the
light of a still low number of cases in the validation sample, expected however to increase in next few years.
The LGD calculation for the IPRE portfolio in UCB AG follows the same calculation approach as the general LGD model for
Retail / Corporates. The validation of LGD in 2013 shows stable results and therefore no need for parameter adjustments
except for a few object groups Rates of Liquidation Proceeds, Realisation Period, the liquidation period and the Indirect Cost
Rate.
The IPRE rating model is applied also in UniCredit Bank Luxembourg SA.
Global Shipping rating model for Ship financing (GLOS)
The principal characteristic of “ship financing” is the granting of loans for the acquisition of ships, principally secured by a
mortgage on the financed asset. Ship finance is an asset based credit business which completely depends on the cash flow
generating capabilities of those vessels being financed.
The focus of UCB AG's ship finance is the financing of ships for which a liquid, transparent, and efficient secondary market
exists. This includes e.g. container vessels, bulk carrier, and tanker.
The GLOS model is mainly related to the transaction and the vessel’s income and allows calculating the probability of default
(PD) and the loss given default (LGD) of the borrower.
The PD calculation in the quantitative module is based on a Monte Carlo simulation. The development of the quantitative
factors (e.g. the ship value) is based on the stochastic process, where the parameters are validated and estimated regularly,
based on external data. The cash flows are calculated for each quarter of the financing period.
The financial rating based on quantitative factors is adjusted based on the following qualitative factors (upward or downward
adaptation of PD by a certain number of notches):
•
commercial management (e.g. reputation);
•
technical management (e.g. fleet size);
•
position of UCB AG (e.g. covenants);
•
insurance.
The validation performed by the local validation unit in 2012 showed the necessity for a recalibration based on most recent
default data. The recalibration was performed in March 2013. The time series parameters are updated regularly according to
market evolution.
The calculation of the LGD follows the same approach as the general LGD model for Retail / Corporates (see the related
paragraph). A special focus for the GLOS portfolio lies on the calculation of the vessels market value for which is used the
Monte Carlo Simulation.
In 2013 a local validation of the LGD model including collateral valuation was done. The results has shown the necessity to
adjust the LGD unsecured, the recovery rate for vessel liquidation remained unchange. The recalibrated values are used
since December 2013 in the LGD model.
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Wind Project Finance transactions rating model
UCB AG adopted a specific rating system to evaluate the “Wind Project Finance” transactions, meaning the transactions
aimed at financing onshore wind power plant projects in Germany, with project volume below €20 million.
The PD model is made up of a quantitative model, stemming from future cash flows’ Monte Carlo simulations, whose
outcome was adjusted by means of a qualitative component based on judgmental factors and weights.
Both modules, the quantitative and qualitative, are mandatory for the final evaluation and their combination can downgrade up
to 2 notches. The resulting final PD is converted via master scale to the final rating of the transaction.
Regarding LGD parameter, UCB AG developed a method to evaluate the collateral value of the Wind Energy plants. This
approach is based on Monte Carlo simulations of future cash flows of the Wind Energy plants. The simulations are
consistently used for PD and collateral evaluation. Additionally a LGD on the unsecured exposure is determined. A local
validation was done in 2013. The model parameters are overall very stable, only the liquidation period, the Discount Rate and
the Indirect Cost Rate have been updated.
The validation function assessed the methodology adopted and the overall model design, both considered in line with
portfolio’s characteristics, internal standards and the information completeness.
Local German LGD model
The scope of application of the UCB AG LGD model is all the facilities related to corporate and retail customers, except for
bonds and all specialized lending.
The LGD represents the financial loss suffered by the bank on the individual transaction, and is calculated as a percentage of
the exposure to default. The LGD is calculated for each individual transaction and takes account of the fact that different
types of default are possible:
•
Liquidation: total liquidation and forced recovery of collaterals. The relationship with the customer is terminated and
the customer is removed from the portfolio.
•
Settlement: the customer re-enters the performing portfolio after reporting a major loss (> €100) to the bank.
•
Cure: once the period of difficulty is over, the customer re-enters the performing portfolio without reporting a major
loss to the bank (<100 €).
In the case of a Cure, the LGD is set at 0, while in the other two cases the estimation of the LGD follows a work-out approach,
with separate estimation of the recoveries deriving from collaterals and those deriving from the unsecured part of the
exposure. Personal guarantees and credit derivatives are not taken into account in the models, since the substitution
approach is used for this type of guarantees.
In order to determine the final value of the LGD, the following factors are taken into consideration:
•
minimum value that the LGD can assume according legislative provisions (e.g. 10% for residential mortgages);
•
the Exposure at Default;
•
the sum over all collaterals securing the loan;
•
estimated rate of non-cure cases;
•
liquidation period;
•
discounted expected recovery value of the collaterals, netted by direct costs;
•
discounted expected rate of loss of the unsecured portion of the transaction; netted by the costs directly associated
to the recovery process;
•
percentage of indirect costs;
•
any adjustment factor to take into account a potential worsening of the economic cycle.
With regard to the procedure for estimating the rate of recovery from the collateral, this has been obtained on the basis of a
historical sample and calculated differently for the following types of collaterals:
•
real estate;
•
other collaterals.
•
This value has then been discounted by taking account of the average observed period of the collateral
realisations.
With regard to the procedure for estimating the unsecured part, on the other hand, this has been carried out by rating
procedures (the main categories are Mid Corporate Rating, Small Business Customer Rating, Product scoring, Commercial
Real Estate, Start-up) and customer segments.
During 2013 a new parameterization was made mainly to continue the model improvements started in 2012 by adding further
rating procedures as risk driver to the model for the LGD unsecured estimation (the Start-up rating was added as risk driver
since December 2013).
Moreover, the validation unit has examined the model structure, the specific parameters as well as the effect of the economic
cycle. Finally, the model calibration and its components have also been assessed with positive results carrying out a new
parameterization where necessary. As usual a yearly local validation activity will be performed within 2014, in order to
evaluate whether the model is still fully adequate and if there is the need for carrying out a re-parameterization to include
more recent data.
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Credit Risk
Local German EAD model
The model is applied in UCB AG to all the products belonging to local partner that are IRB-A relevant (with the exclusion of
the transactions belonging to partners with a group wide rating).
The EAD is defined as the exposure at the time of default. The exposure is the total outstanding amount
before loan loss provisions and write-offs. The prediction horizon of the EAD model is one year. This means that, when the
model is applied, the estimates refer to the expected exposure when default occurs within one year time.
It is calculated for each individual transaction as the sum of two components, Ead On Balance and Ead off Balance, where
the estimated part of the EAD is the off balance EAD.
This EAD depends on the following elements:
•
CEQ: Credit Equivalent Factor; this is the credit conversion factor for the credit, and represents the portion of the
commitment/guarantee issued by the bank that will be used;
•
LEQ: Limit Equivalent Factor; this is the percentage of the amount unused 1,2,…,12 months before the default that
is expected to be used at the time of the default;
•
LOF (Limit Overdraft Factor) and BO (Base Overdraft) are the parameters that estimate the expected amount of
use that, at the time of the default, will exceed the allocated maximum limit (overdraft amount); in the application
phase BO is always zero;
•
Endorsement: amount of commitments issued to the bank’s customer;
•
External line: line of credit;
•
Drawing: current use of the line of credit.
The parameters defined above are then differentiated according to the product macro-typologies defined.
For the purposes of evaluating the model, the parameters have been assessed by calculating on the basis of the weighted
averages for each segment.
In 2013 a re-parameterization has been conducted based on an updated time series and the appropriateness of the adopted
segmentation criteria has been confirmed. To be more precise, the final parameters are differentiated on product group level
and with respect to the product group 'Current Accounts' on the respective category of industry segment.
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Local Models, UCL GMBH UniCredit Leasing GMBH and Subsidiaries11
German Mid Market model
With reference to the Middel market Model, the rating description is the same as provided for UCB AG Mid-corporate rating
model.
Specialized Lending (Slotting Criteria)
The UCL specialized Lending-Model "ELSA" is applied to evaluate the creditworthiness of special project - and object
financings.
During 2013 local validation was finalized focusing on the qualitative assessment of all underlying rating system categories.
The Regulatory requirements out of the 2012 AIRBA audit were addressed and validated. No restrictions with respect to the
adequacy or correctness of the rating system could be found.
Local LGD model
The local LGD model is applied to all contracts of customers belonging to Unicredit Leasing GMBH and subsidiaries (except
for Mobility Concept), with the exception of:
•
purchase finance products, for which the UCB AG's LGD model12 is used
•
all exposures to customers rated with Group wide rating models (i.e Banks/Multinationals)
•
object or project finance.
The calculation of LGD is generally carried out on the so-called contract component level and follows the logic that a different
economic loss may occur for:
•
Settlement: a write-off of the customer and his contracts could be realized as result of the workout process
•
Recovery: a lessee can recover through a natural recovery (disappearance of the original default characteristics) or
through a systematic restructuring.
Other parameters are considered in the estimation process:
•
the discount rate is the rate used to discount cash-flows, instalments and residual values to the time of default, The
maturity-related refinancing rate is used;
•
the direct/indirect costs, that are relevant for the calculation of LGD depend on the activities performed within the
Restructuring, Legal and Finance departments. The sum of indirect costs is calculated annually by UCLG and it is
spread over all the defaulted contracts dealt during the financial year, while direct costs are considered directly on
the relevant component.
For “LGD settlement” the LGD estimation differs for:
•
performing exposures, and
•
defaulted claims ("default function");
whereas for “LGD recovery” only one function is used independently from the default occurrence.
In detail, an LGD estimate is allocated at the beginning of the agreement and revised periodically; with reference to LGD
settlement the estimations at commencement date and at default date depend on a class assignment (low LGD class 1 or
high LGD class 2). Each class has its own model based on an own linear regression, whereas the LGD recovery is defined
considering the type of customer and the sector in which the customer operates.
The total LGD of a contract depends on the assignment of contract to credit or leasing business segment and on contract
state. Specifically, a dynamically adjusted LGD calculation was performed and the methodology was developed with respect
to the states a contract can pass through during a customer relationship (commencement date of contract, default date, date
of settlement decision, date of liquidation). Moreover, the total LGD calculation considers a number of additional factors: a
downturn-factor, a factor for possible misclassifications of the model and an additional factor for unexpected losses of
defaulted assets.
During the local validation activities carried out in 2013 a special focus was set on the modelling approach with regards to the
clustering of high and low default components, substituting of the nearest neighbor method with a logit model..
11
12
Unicredit Leasing Finance GMBH, Structured Lease GMBH, UniCredit Leasing Aviation GMBH
Within LGD calculation the rate of Proceeds of UCB AG is used, whereas workout period and indirect costs are those ones defined by UCLG
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Credit Risk
Local EAD model
The Exposure at Default model of UniCredit Leasing Germany (UCLG) applies to all IRBA transactions allocated to asset
class “corporate” and “retail” (excluding those treated with Group wide models).
EAD is calculated on transaction level and it is differentiated by product type. In particular for final lease/credit agreements
UCLG chose not to develop an EAD model considering only the on-balance component. Supervisory values are adopted as
credit conversion factor for provisional agreements, purchased receivables and contingent liabilities. Finally, for purchase
finance, which is a typical bank product that is also managed by UniCredit Bank AG (UCB AG), UCLG has decided to
use the UCB AG estimates for current accounts.
Therefore no model in the sense of a mathematical-statistical methodology has to be validated. Validation activities were
focused on an assessment of representativeness (performed and finalized by UCB AG in 2014 ) for purchased financing and
the assessment of the conservativeness of the estimates. No restriction with respect to the appropriateness could be found.
Local Models, Austrian Legal Entities
Mid Corporate rating model
The “Firmenkundenrating Inland” rating (= Mid Corporate PD rating model) is applied to customers domiciled in Austria or in
any other country outside CEE with annual turnover of more than €1.5 million and less than €500 million. The model consists
of two components: a quantitative module and a qualitative module.
The risk factors for the quantitative module have been selected on the basis of both statistical and expert criteria.
The principal risk factors included in the quantitative module generally cover the following areas of analysis:
•
size;
•
structure of liabilities;
•
dynamic factors (such as ROI);
•
equity ratio.
The qualitative module, on the other hand, covers the areas of analysis relating to:
•
management quality;
•
accounting and reporting;
•
equipment, systems and organization;
•
market and market position;
•
level of orders/utilization of capacity;
•
overdraft behavior.
The “qualitative rating” and the “final financial rating” (= quantitative rating after verification of the possibility of applying an
“age restriction” and carrying out a first “override” on the basis of the information available) are combined to obtain the socalled “Combined Customer Rating”.
The “warning signals” are applied to this rating in order to obtain the “Modified Customer Rating. It is also possible to apply an
override to this rating, thus producing the “Stand alone Customer Rating”. If this rating is older than 15 months, an “age
restriction” is applied, resulting in a downgrade.
Non Profit Joint Building Association rating model
The “Non Profit Joint Building Association” (NPJBA) rating model is applied to non-profit associations created for the
construction of buildings.
This is a rating model consisting of a quantitative component (financial rating) and a qualitative component.
The financial rating is based on three principal types of information:
•
adequacy of the available capital;
•
profitability;
•
available liquidity.
The qualitative rating, on the other hand, is based on 6 basic components:
•
quality of management;
•
accounting and reporting;
•
organization;
•
market position;
•
performance behaviour;
•
specific characteristics of the NPJBA.
The quantitative and qualitative ratings are combined in order to obtain the “Combined Rating”; this rating may be subject to
an overruling on the basis of additional information available to the manager of the transaction, leading finally to the so-called
“Valid customer rating”.
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Income Producing Real Estate (IPRE) and the Real Estate Customer (RECR) rating model
The IPRE model is a transaction rating applied to a particular type of specialized loans linked to “cash flow based” real estate
transactions in which the bank has direct access to the cash flows deriving from the transaction. In this type of transaction,
the essential question is whether the cash flows from the transaction are sufficient to repay the loans to the bank. In addition,
BA also carries out an evaluation of the investor/builder. For this reason, the IPRE model consists of two components:
•
transaction rating;
•
customer rating (Real Estate Customer rating, RECR).
Both of these components are combined in order to obtain the final rating.
The transaction rating distinguishes three different phases in which the financing may take place:
•
construction of the building;
•
sale of the building;
•
renting of the building.
The Real Estate Customer rating (RECR) is a “corporate rating” which differentiates between “real estate investors” and “real
estate constructors”, the latter being further divided into “residential constructors” and “other constructors”. For all of these, a
quantitative module (referring to the balance sheet data) and a qualitative module are used.
After integration of the transaction rating and the counterparty rating, further adjustments are applied to take account of
warning signals, over rulings and “age restrictions” (according to the age of the rating).
The actual version of the IPRE rating model considers updated macroeconomic scenarios underlying the simulation and
introduces a conservatively factor in the calibration as suggested by the local validation.
Local Austrian LGD models
The LGD model developed by UCBA applies to all facilities related to all local customer segments (both corporate and retail).
The LGD represents the financial loss suffered by the bank, and is calculated as a percentage of the exposure at default. The
local LGD model is based on average calculation of the internal data of defaulted borrowers and represents a transactionspecific workout LGD approach.
The methodology accounts for three potential default events as outcome of the workout process for defaulted clients:
•
Cure / Re-aging: return of the client to the performing portfolio without relevant loss for the bank;
•
Settlement / restructuring: re-entering of the client in restructured form to the performing portfolio with a substantial
loss (> € 100) for the bank;
•
Liquidation: complete collateral realization and debt enforcement with termination of credit relationship.
After closure of the workout process all defaults can be associated to one of the three default events and an ex-post LGD is
calculated, based on the realized revenues and costs. In doing this all single cash flows are discounted to the moment of
default.
The general scheme of the LGD model provides separate estimation of the recoveries deriving from collateral and those
deriving from the unsecured part of the exposure. Personal guarantees and credit derivatives are not taken into account in the
models, since the substitution approach is used for this type of guarantees.
In order to determine the final value of the LGD, the following quantities are taken into consideration:
•
EAD;
•
expected recovery rate of the collateral, net of direct costs (especially regarding estimation of specific collateral
haircuts based on realized recoveries and depending on collateral type);
•
expected recovery rate of the unsecured portion of the transaction, net of direct costs;
•
recovery period respectively processing duration;
•
discounting factors;
•
indirect expenses rate (as result of the internal bank processes in the workout units);
•
specific conservatism and general conservatism to cover possible estimation inaccuracies;
•
an adjustment factor applied for calibration purposes;
•
downturn factor.
With regard to the procedure for estimating the recovery rate of collateral, this has been obtained on the basis of a historical
sample and calculated differently for the following main collateral types with possible consideration of additional segmentation
criteria:
•
residential real estate;
•
commercial real estate;
•
other real estate;
•
financial collateral;
•
life assurance policies;
•
receivables;
•
other physical collateral.
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Credit Risk
Concerning securities, an internal model for own volatility estimates has been implemented.
With regard to the procedure for estimating the “unsecured” part, on the other hand, this has been carried out separately for
eight local categories primarily based on customer segments (the three main categories are private individuals, small
business and corporate) in addition to applied group wide models (especially for Sovereigns, Banks and Multinational
corporate. For private individuals and small business a further drill-down into exposure class is in place.
Furthermore for the defaulted portfolio the “best estimate LGD” with a further drill-down by time-buckets for all eight local
customer segments is in use.
Local Austrian EAD model
The EAD model determines the expected exposure on a transaction at the time of default. It is estimated for each individual
transaction by using the following information:
•
effective exposure at the time of the estimation;
•
amount of guarantees/commitments issued by the bank to the counterparty;
•
allocated maximum credit limit.
The estimated parameters are as follows:
•
CEQ (Credit Equivalent Factor): this is the credit conversion factor for the credit, and represents the portion of the
commitment/guarantee issued by the bank that will be used;
•
LEQ (Limit Equivalent Factor): this is the percentage of the amount unused 12 months before default that is
expected to be used at the time of default;
•
LOF (Limit Overdraft Factor): estimates the expected used amount at the time of default that will exceed the
allocated maximum limit (overdraft amount);
•
COF (Correction Overdraft Factor): this parameter is important only if the client’s exposure was already above the
allocated maximum limit 12 months before default and is calculated as the ratio between the overdraft amount at
the time of default and the overdraft amount 12 months earlier.
The parameters have been estimated by calculating averages for each segment. The segmentation is based on the product
categories.
All IRB Corporate models have been validated on a yearly basis, specifically ongoing validations have been performed on the
Non Profit Joint Building Association, IPRE, Real Estate Client Rating, LGD, and EAD models. For Mid Corporate an initial
validation was prepared.
The overall assessment of the model for Non Profit Joint Building Association reported a fully positive outcome. The validation
results for all other models showed some aspects to be improved.
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Local Model, Central and Eastern Europe
With reference to the Group perimeter in the Central and Eastern Europe (CEE) area, the Group was authorized since 2011
to use the F-IRB approach for measuring the capital requirements for credit risk in Czech Republic, Bulgaria, Slovenia and
Hungary, and starting from 2012 also in Romania and Slovakia.
Prevailing asset
class
Central governments
and central banks
Institutions subjected
to supervision
Type
Rating system
Legal entity
Sovereign (PD)
Banks (PD)
Group wide
Multinational (PD)
Global Project Finance (PD) - authorized only
for Czech perimeter
CZ Mid Corporate (PD)
Corporate
SK Mid Corporate (PD)
Local
UCB Czech
Republic and
Slovakia
CZ IPRE (PD)
SK IPRE Slotting Criteria
Institutions subjected
to supervision,
Corporate
Institutions subjected
to supervision
Other minor Czech rating systems - Public
Sector Entities, Municipalities, Religious
Companies, Leasing (PD)
Banks (PD)
Group wide
Multinational (PD)
Corporate
Local
UCB Bulgaria
Mid Corporate (PD)
IPRE Slotting Criteria
Institutions subjected
to supervision
Banks (PD)
Group wide
Multinational (PD)
Corporate
Local
Institutions subjected
to supervision
UCB Slovenia
Mid Corporate (PD)
Banks (PD)(**)
Group wide
Multinational (PD)
UCB Hungary
Corporate
Local
Central governments
and central banks
Institutions subjected
to supervision
Mid Corporate (PD)
Sovereign (PD)
Group wide
Banks (PD)
UCB Romania
Multinational (PD)
Corporate
Local
Mid Corporate (PD)
(**) This country is authorized by Local Regulator to adopt Group wide model Financial Institution & Banks only for Commercial Bank segment
with the exclusion of Securities Industry segment
The above mentioned legal entities are currently authorized only for the IRB-Foundation approach and consequently only for
internal PD usage in Pillar I regulatory reporting.
The local rating models that have been authorized are based on a common framework which was originally developed by
Bank Austria13 and then revised on a single country base in order to consider the specific peculiarities of the local portfolios.
As of today, UniCredit Bank Slovenia is the only case where the customization process has not been finalized yet, even
though a complete model refinement will be evaluated in the Group Yearly Planning process for 2015.
13
For GW models please refer to the specific paragraph
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Credit Risk
The original framework developed by Bank Austria, which remains the main component, consists of:
•
a Mid-corporate rating model based on:
o
the estimation of a financial module and a qualitative component;
o
an integration function on statistic base
o
the definition of a warning signals set and an override system as well.
•
an IPRE rating model, in some cases similar to the one implemented in Bank Austria which integrates a customer
rating and a transaction one (the latter defined through a regression approach for two segments and a Monte Carlo
simulation method for the third one). Moreover, “country adjustments” have been included in the calibration phase
in order to consider the specific nature of each country.
Specific details are provided below about main revisions of the models that have been required in order to both prepare the
foundation approach application and to meet the resulting recommendations.
UniCredit Bank Czech Republic and Slovakia
Since December 2013, UniCredit Bank Czech Republic a.s. is named UniCredit Bank Czech Republic and Slovakia a.s.
following the merger with UniCredit Bank Slovakia a.s. Anyway, different IRB authorized local models have been maintained
respectively for the treatment of Czech and Slovak exposures.
More in detail, regarding the Czech portfolio, during 2009, the Bank went through a partial review of the “Mid-Corporate”
rating model with internal data, refreshing quantitative factors’ weights. Hereinafter, the ongoing local validation activities
performed during 2012 highlighted the need to intervene in order to ensure a higher consistency of the model with the local
reference portfolio and the improvement of the overall model performances.
Based on that, during the first-quarter of 2013, the Bank performed the refinement of the financial and behavioral modules
and the simplification of the qualitative one, along with a revision of the modules weighting function and the update of the
calibration.
Moreover, starting from January 2011, also the Czech real estate portfolio has been authorized to be evaluated with
foundation approach using the same “Income Producing Real Estate”(IPRE) rating model currently authorized in Bank Austria
since 2008. Specific improvements have been implemented, first of all by performing a new recalibration and a review of the
scenarios and then having a statistical revision of the weight of almost all the model components with the consequent
reduction of the discretional / expert based choices. During 2012, the refinement of the regression component of the IPRE
model performed in Bank Austria has been locally extended, first of all through a conservative calibration and then with the
implementation of the new model version.
As far as the Slovak portfolio is concerned, during the first-half of 2011, the Bank went through a refinement of the “MidCorporate” rating model, implying a deep customization of both financial and qualitative modules according to country specific
default experience and a new calibration process was carried out. In particular, the use of internal default experience allowed
for improvements both in terms of representativeness to UniCredit Bank Slovakia target portfolio and calibration.
Moreover, starting from September 2013, UniCredit Bank Slovakia has been authorized to use the “supervisory slotting
criteria approach” for regulatory capital calculation with regards to the “Income Producing Real Estate” exposures. However, a
re-calibration activity has been carried out during the first half of this year, as requested by the local competent Supervisor.
UniCredit Bank Bulgaria
As for Czech Republic and Slovenia, also the Bulgarian “Mid corporate” rating model during 2012 was subject to the
refinement of the financial module and of the qualitative factors weights, along with a revision of the modules weighting
function and a new update of the calibration.
Starting from January 2011, UniCredit Bulbank has been also authorized to the estimation of specialized landing exposures
using the “supervisory slotting criteria”.
The model calculates the score of each specialized lending exposures on the basis of 15 questions related to the following
investigation areas:
•
financial strength;
•
assets characteristics;
•
strength of sponsor/developer;
•
security package.
Each of the questions is answered with only one answer to be chosen between “Strong”, “Good”, “Satisfactory” and “Weak”:
•
a specific score is identified by each question-answer combination;
•
the weighted average of all the 15 scores defines the regulatory slot of the exposure;
•
depending on regulatory slot and exposure maturity, final risk weight and corresponding expected loss are
identified.
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UniCredit Bank Slovenia
The Slovenian “Mid corporate” rating model went through an ordinary re-calibration of the PD estimations in view of the F-IRB
authorization, however a new re-calibration activity has been planned in the second half of 2014 in order to align the model
results with the observed historical default rates.
UniCredit Bank Hungary
During 2012 the Bank performed a new refinement of the model which has been jointly assessed by the local and Parent
validation functions.
Such model revision has been mainly focused on the refinement of the financial module and of the modules weighting
function, along with a new update of its calibration.
UniCredit Bank Romania
Between late 2010 and March 2011, the Bank went through a refinement of the “Mid-Corporate” rating model, implying a
deep customization of both financial and qualitative modules according to country specific default experience and a new
calibration process was carried out. In particular, the mentioned customization enabled to overcome the main weaknesses
that previously characterized the model and resulted in a general rating system improvement. The newly refined model
version allowed to improve model transparency, as a matter of fact all the methodological steps can be replicated and data
samples as well as factor construction procedure are stored.
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Retail exposures (exposures secured by residential property; qualifying revolving retail
exposures; other retail exposures)
Local Model, Italian Legal Entities
Italian Small Business Rating model
The Integrated Small Business Rating (RISB) provides a rating for the counterparties of UniCredit S.p.A. with revenues (or
total assets if revenue information is not available) up to €5 million, according to the segmentation used by the constitution of
UniCredit S.p.A..
The model has been structured in order to optimize the aggregation of different informative sources, both internal (qualitative,
financial, customer data and behavioral) and external (Bank of Italy’s Centrale dei Rischi data flows and other private
providers), differentiating lending between new or existent customers and on a corporate segmentation that reflects the
company size and seniority within the market. The modules, underlying the model, are the following:
•
customer data;
•
external behavioral module (CE.RI./SIA);
•
financial module;
•
credit bureau modules (Experian and Crif)
•
qualitative module;
•
internal behavioral module.
Regarding the counterparties related to Real Estate Small Business segment, its model is derived from the integration of a
financial module defined specifically for this type of counterparties and the set of modules in use as part of the Small
Business Integrated Rating (RISB). This model was introduced starting from June 2012 for regulatory purposes.
Also with reference to the perimeter Small Business, the bank has adopted an “ad hoc” approach to assess the
creditworthiness of Corporate Customers belonging to an economic group. In this respect, the validation function has resulted
in a positive assessment on the actions carried out on the model aimed at a better quantification of the risk associated with
this type of counterparties. During 2013, the Development Function also proceeded to the review of the qualitative module:
this intervention was judged positively by Validation, as it has allowed to settle a recommendation issued in previous
validation assessments, related to the simplification of the methodological framework.
As put in place for the RIC model, in the first half of 2014, after appropriate check by Validation, the adequacy has been
confirmed of the estimates and of the methodology adopted anticipating the calibration aimed to incorporate the default rates
of 2013.
Italian Small Business LGD model
In reference to the LGD model for the small business segment, see the description under "Local Italian Corporate LGD
Models".
Italian Small Business EAD model
Regarding the EAD model for the Small Business segment, see the paragraph on "Local Italian Corporate EAD models”
Private individuals Rating model
Mortgages
The target portfolio of the Integrated Individual Rating (RIP) model consists of all categories of mortgages handled at
UniCredit S.p.A. which are used for the purchase, construction and re-modelling of residential properties by individual
customers and for the purchase of properties for business purposes carried out by individuals included in the Family Firm
sector.
The RIP MI rating model uses different information as risk driver depending on whether the calculation is referred to the loan
approval phase or to the monthly monitoring during the life of the mortgage.
The score used for the evaluation of the mortgage lending phase is based on the information reported below, divided into
similar groups:
•
demographic information, income and Credit Bureau (Experian, and CRIF) figures relating to the loan requestor
(holders);
•
characteristics of the loan required (duration, LTV, etc.);
•
balance sheet of the holders and their nucleus (financial assets and current accounts);
•
information related to the company performance to which the holders are connected (if present);
•
Central Credit Information (if present).
The RIP MI rating model used in post-delivery phase calculates on a monthly basis the mortgage rating of loan massively on
the entire portfolio residential mortgages.
The information modules underlying the model for the behavioral phase are the following:
•
behavioral information of loan (severity, presence of historical accidents, length of the loan, any historical
insolvency trend);
•
balance sheet of the holders and their nucleus (financial assets and current accounts);
•
information related to the company performance to which the holders are connected (if present).
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In the PD estimation the loans classified as default are non-performing, doubtful loan, past due and restructured loans, that
are the loans with at least 7 installments in arrears.
The RIP MI rating model in production was developed in 2011; the changes made to the rating system consist of the
complete redevelopment of the PD prediction model, according to the recommendations suggested by the Regulator and
internal control functions. At the same time of the review of this system, its extension to the mortgage loans portfolios was
made, mainly converged as a result of corporate transactions. These model changes were also submitted to an initial
validation that highlighted a significant improvement in risk assessment.
In the first half of 2014, adopting a consistent methodology across all products in the Individuals segment, the activities of
calibration related to 2013 default rates have been completed, which production is expected by September 2014.
Overdraft and Credit Cards
The Integrated Individual Rating (RIP) for Overdraft and Credit Cards is aimed to estimate credit worthiness of private
individuals with in Current Account facilities (overdraft, guarantee/endorsement loan, credit cards) and it derives from the
integration of several basic score modules that use internal information (balance sheet, behavioral and customer data
information) and external Credit Bureau information. The integration of the basic modules is different for each of the following
five under-segments of private customers:
•
new clients applying for a credit facility;
•
existing clients but operating on an active basis, applying for a credit facility;
•
existing clients with already granted loans;
•
existing clients with overdraft but never granted;
•
UniCredit Group employees.
The integration of the different modules produces an underwriting score, used to estimate the credit worthiness both in
granting and in renewal phase, and a monitoring score, used to evaluate the client who already has a relationship with the
bank.
The information underlying the financial / personal data module – collected during the underwriting process and rarely
updated during the monitoring of the loan – are progressively underweighted in the model. On the contrary, the behavioral
variables, potentially absent in the underwriting phase (new client), are definitely explicative and monthly updated during the
monitoring activities. The behavioral information provided by Crif are updated on a quarterly basis.
The validation function verified the model design during initial validation phase, the usage of the entire available information
sources, the performance of the model in terms of “rank ordering”, calibration and stability of the population over time.
Additionally particular attention has been placed on identified sub-models analysis.
In 2012, the model was revised addressing the findings of the internal and external control units. The main changes relate to:
•
the default definition, in which the past-due loans have been updated with a limit of 90 days and a more effective
definition of past-due "technical" has been studied in line with the operation and recovery strategies;
•
the introduction of an ad-hoc model for credit cards able to recognize the specific risk profiles of this product.
The subsequent validation activities reported as the new model fulfill the minimum requirements for compliance as well as
internal standards and brings an improvement in risk assessment. The changes introduced, starting with an accurate
identification of the technical past due, have overcome the findings of the Supervisor and many of the previous validation
remarks regarding the previous estimates.
During the first half of 2014, adopting a consistent methodology across all products in the Individuals segment, the activities
of calibration related to 2013 default rates have been completed.
Personal Loans
The PD rating system for personal loans is composed by different models according to the purpose of use (underwriting or
monitoring), the underwriting channel and the application portfolio, in order to identify the peculiarities of the different
segments in terms of business management, risk and statistical properties.
The validation function verified during initial validation the model design, the use of information sources and the model
performances in terms of rank ordering and calibration. Moreover, a specific analysis was performed during the first quarter of
2010 in order to verify the possibility to extend the estimates to Capitalia customers.
In 2013, an activity of overall model revision has been started, completed in January 2014, consistently with the planning
aiming of its redevelopment for future use for reporting purposes.
Within the month of July 2014, the calibration activities will be completed of the new model aimed at the inclusion of 2013
default rates.
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Local Italian retail LGD model
The Retail segment LGD models for Italian portfolios have been developed according to the logic and methodology used for
the Corporate segment, to which we refer for more detailed information. The only difference is related to Personal Loans
products for which the estimation approach adopted is based on the WOE (Weight of Evidence) associated with different
attributes values, available during the application phase.
The Danger Rate component is annually recalibrated with the last year default data and in particular:

with reference to mortgages, during the first semester, the recalibrations were conducted on both the old and the
new model, inclusive of the 2013 default. Specifically, the recalibration of Danger Rate on the old model production
was implemented in June 2014, while the one of the new model will be implemented by 2014;

in relation to the overdraft product, in the first semester a recalibration was performed of the Danger Rate
component inclusive of 2013 default, which will be implemented by September 2014.
The on-going validation activities have highlighted, specifically for mortgages, a good performance of the components of the
model “doubtful loans” and “past due”, while it has been highlighted its non-conservativeness for non performing, that will be
overcome with the revision of the model ended in 2013 and already positively evaluated by the validation functions and
Internal Audit, which will be implemented by 2014.
Also for overdrafts and credit cards, the review, which ended in 2013, was evaluated positively by the validation functions and
the activity of preparation for the submission to the Bank of Italy is ongoing.
Local Italian EAD model
Together with the adoption of the Overdraft/Credit Cards and Personal Loans rating system, the exposure at default (EAD)
model has been developed. Moreover the internal model for Mortgages has been enriched with the EAD estimation internal
model and has been authorized by the Italian Regulator in December 2010.
The approach used for EAD estimation consists in all cases of a methodology "within 12 months", that starts from the analysis
of all the exposures performing or past due in a given date (i.e. 31/12/t) that are classified as defaulted over the next 12
months.
With regards to overdraft and credit card, the EAD estimation is differentiated according to product types (overdraft, credit
cards, receivable and endorsement loans). The EAD for overdraft differs if there is an unutilized portion of the credit line
(margin) or not in the instant of observation; in particular, where this margin is present an equivalent credit (CCF) is calculated
while in the absence of it only an indicator of the current usage (K) is calculated. Additionally, overdraft and credit card are
managed jointly given the fact that the credit card payments are charged monthly on the current account and determines on
the credit card, because of this, exposures which, each month, are completely independent from the movement on the
previous months.
As for the endorsement loans, through which the bank accepts or guarantees a customer’s obligation (transferring to itself the
default risk of the customer) the EAD model assesses the endorsement loan value at the time of default which represent a
potential risk for the bank (the actual risk, or the risk that the endorsement loan becomes cash exposures, is evaluated in the
LGD model). Regarding the estimation of EAD on receivables, the development function decided to calculate only the
coefficient K, depending on the current exposure. For self-liquidating products, in fact, the margins are not directly available,
but provided only upon presentation of effects and it is the relationship between uses on default and uses in reference date
that highlights a possible increased risk and the percentage of expected exposure at default.
The revised model, was positively evaluated by validation functions and Internal Audit: and the communication process to
Supervisor is currently under completion.
With regards to personal loans, however, the analysis carried out showed that exposure at the time of default is always less
than 100% of the exposure at the observation date for all the segments defined in all portfolios. For this reason it was decided
not to implement the model developed and conservatively assign to each exposure an EAD equal to 100% for regulatory
purposes The Validation activity does not highlight any specific issue, being substantially aligned with the development
choices. In the future development phases however, the activities will be performed aimed to verify the adequacy of a 100%
EAD application.
Finally, with regards to the EAD model for mortgages, the approach is quite similar to that used for personal loans. In this
case some sub-portfolios with an average EAD above 100% have been identified, particularly if an overdue was present at
the time of observation. In coherence with the current regulation, each relation with an EAD less than 100% of current
exposure, is forced to that value.
The changes made to the rating system consist, regarding the EAD, in the revision of the estimation model, following the
recommendations suggested by the Regulator and internal control functions.
According with the PD rating system, during 2013, the EAD for Mortgage Loans has been recalibrated in order to incorporate
the effects of increased time series of defaulted rates until 2012. During the first half of 2014 a further calibration was
performed aimed at the inclusion of the 2013 default.
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The validation activity of the EAD mortgage model expressed a substantially positive evaluation. The proposed model, in fact,
more than being simple and intuitive, is particularly suitable for a product, such as mortgages, which does not have margins
and on which it is especially relevant to discriminate cluster populations that exceed the regulatory floor of 100% compared
to the rest of the portfolio which remains below threshold. Moreover, the quantitative tests show adequate performance and
estimates aligned to the value observed.
Local Model, German Legal Entities
Small Business rating model
The “UCB AG SBC” rating model covers small and medium-sized German companies and individuals with residence in
Germany whose income is mainly from freelance activities, independent work or income from a small or medium-sized
business in which they are major shareholders or owners. Furthermore, the upper boundary to German Middle Market is €5
million of net income for companies preparing financial statements.
The “UCB AG SBC” rating model is structured into four different sub-models, which are applied on the basis of the credit process
phase and the approved limit amount exposure:
•
Scoring GK scorecard (composed by two scorecards: GK1 for entity with full private liability and GK2 for entity
without full private liability) is applied during the application phase to customers with exposure greater than €50.000
and annually, on review, for partners with an approval limit greater than €500.000.
•
Behaviour Scoring (composed by four different scorecards, based on product segmentation) is used both as an
automatic rating on a monthly basis for existing partners in the Small Business portfolio (for partners with an
approval limit lower than €500.000) and as an input factor of the Scoring GK; the behavioral score is calculated
automatically every month.
•
Small Credit Line scorecard is applied only during the loan booking phase and to clients with a limited approval limit
(lower than €50.000) and without available customer risk rating; It is not used for annual re-rating.
•
Rating for Start Ups went live mid December 2011. It is assigned to partners during application phase, where
business is newly founded, for take-overs, follow-ups or major shareholdings. This rating is used as well annually,
on review, within the first three years for partners with an approval limit greater than €500.000.
The rating might be adjusted upon the occurrence of a predefined event (a set of events are defined that require a
downgrading or upgrading of the counterparty) on the basis of an expert assessment. Overrides are closely monitored by the
internal validation function. The override process is only allowed for customer within the risk relevant business.
During 2011, the small credit line model was redeveloped on a fully statistical basis, using a development sample
representative of the current application scope. In addition, the time horizon used for the recalibration scorecards was
increased in compliance with Basel II regulation. With reference to financial models (Maja models scorecards), the redevelopment is ongoing.
The last local validation activity confirmed that performance results can be generally considered satisfactory; nevertheless,
this activity showed that the PD estimation is still very conservative, though recalibrations for the models Small Credit Line
and Scoring GK were performed in 2013.
The Small Business rating system (Scoring GK and Behaviour Scoring) is applied also in UniCredit Bank Luxembourg.
With reference to the LGD model see as described in paragraph “LGD local model on German portfolios”.
Private Individual rating model
The “UCB AG private individuals” rating model covers all individuals excluding self-employed customers. Individuals with high
property lease income are also excluded. They are considered as part of the “Commercial Real Estate” portfolio and
assessed using the appropriate rating system.
The main rating model for individuals called "Product Scoring" consists of 9 scorecards: 5 application scorecards
(differentiated by product type) and 4 behavior scorecards. Both scores are combined on account level, or one of the two
scores is used depending on the time period since account opening.
All assessments available on a customer (in the event the customer has more than one relationship with the bank) are
combined based on a model developed by expert knowledge in order to obtain an overall probability of default for the
individual customer.
First, this approach calls for determining a “a “transaction PD” for each transaction. All transaction PDs for the same product
type are then combined (using an exposure weighted average) into a “product PD”. Finally, all product PDs contribute to the
determination of a “customer PD” based on exposure, the “information weight” (that summarizes how well and early the
product can be used to identify a future default of the customer) and the “risk factor for the product combination” (that
specifies the impact of different product combinations on the expected default rate).
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In addition to the above described “Product Scoring” there are separate scorecards in place for wealthy customers and
customers within the risk relevant business (exposure above €500,000). These are assessed with the "Rating for private and
wealthy customers".
The last validation activity showed a very good selectivity for the "Product Scoring" model and sufficient results for the "Rating
for private and wealthy customers" model, due to the low number of observations of the relevant populations. However the
validation showed the necessity to revise some scorecards, due to a drop of discrimination power of single score factors. The
tests for calibration generally showed a satisfactory result. No need for re-calibration was stated.
The Private Individual rating system for Wealthy Private is applied also in UniCredit Bank Luxembourg SA.
With reference to the LGD model see as described in paragraph “Local German LGD model”.
Local Models, UCL GMBH UniCredit Leasing GMBH and Subsidiaries14
Small Business Rating model
The UCL GmbH GK rating model (GK) is applied to evaluate Small Business customers’ creditworthiness, including all
business customers with turnover lower than €5 million.
The GK PD model - a rating system at counterparty level - consists of two modules separately calibrated and then
subsequent integrated:
•
the Application Scoring, used during the credit approval process and in addition during the monitoring phase;
•
the Behavioural Scoring, considered significant to the creditworthiness evaluation for the existing clientele
with at least six months of history with the Bank and is automatically updated on daily basis.
Finally the following override reasons can be applied:
•
deterioration of economic situation;
•
deterioration due to economic dependence on a business partner with worse rating and part of the same
engagement compound / interconnection;
•
deterioration due to worse concern rating (concern ceiling).
A positive override is not applicable.
A local validation has been performed in 2014.
Regarding to EAD and LGD models see as described in corporate exposures paragraph for “Local Models, UCL GMBH
UniCredit Leasing GMBH and Subsidiaries”.
14
UniCredit Leasing Finance GMBH, Structured Lease GMBH, UniCredit Leasing Aviation GMBH
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Local Model, Austrian Legal Entities
Small Business rating model
This rating model is applicable to Austrian small business clients including non-profit organizations up to €1.5 million annual
turnover or to clients using cash based accounting.
The general design of the model consists of an “application module” and a “behavior module”.
The application module is applied principally in the following cases:
•
new client;
•
the customer requests a further line of credit for which the total exposure exceeds €50,000 or there is no behavior
score (irrespective of the amount of the exposure);
•
updated balance sheet information is available;
•
“warning signals” have been modified/have arisen.
The application module contains qualitative and quantitative information about the counterparty. Depending on the accounting
regime, the quantitative risk factors cover at least 3 of the following areas of analysis:
•
profitability;
•
debt coverage;
•
debt ratio;
•
earnings.
The qualitative risk factors cover the areas of analysis relating to:
•
industrial sector / line of business;
•
default history;
•
experience of management;
•
protection against risk;
•
cash collection management.
If the customer’s transaction is older than 6 months and the counterparty’s exposure is not above € 1 million, the behavior
module is calculated automatically on a monthly basis.
For counterparties with exposure exceeding €1 million only the application module is used, but extended with the possibility
for underwriters to overrule the calculated rating.
The two modules (application and behavior) are combined using different weights according to the exposure and the age of
the application score in order to obtain a combined PD, which, once mapped to the master scale, determines the “calculated
rating”. The final “valid rating” is obtained by modifying the calculated rating on the basis of any available negative information
or of “warning signals” in general.
In 2014 a separate scorecard for customers with non-FX loans was implemented and both calibrations for customers with FX
loans and customers with non-FX loans were updated.
The Small Business rating model has been subject to an on-going monitoring process, verifying the appropriateness of the
design of the model. Quantitative analyses were carried out to evaluate the discriminatory power of the model and its
components highlighting satisfactory outcomes in terms of discriminatory power, calibration and stability for the final
combined customer rating.
Regarding to the LGD model see as described in paragraph “Local Austrian LGD model”.
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Private Individuals rating model
The Private Individuals rating model is applicable to all individuals other than self-employed professionals and freelancers.
The updated version of BA Private Individuals’ rating comprises four statistically derived models: one generic application
score and three behavioral models, possibly combined with an integrative logic. The whole system was estimated through
logistic regressions on a transactional level.
In particular, a score is assigned to each transaction through one of the 4 scoring models. In case of a new credit request, the
application score for the relevant product is used at the time of origination.
For individuals without a behavior scoring this application score is valid for the following 6 months. At this point in time, the
relevant behavioral score is calculated and kept updated monthly. For individuals which are behavior scored the application
score is only relevant for granting and pricing of the new loan, but after 6 months when the new transaction is behavior
scored, it is not taken into consideration any longer. For customers with more than one transaction, an integrative logic was
developed that combines all the available application and/or behavioral scores into a final standardized transaction score.
In a next step the calibration of the transaction scores to 12 months probability of default has been performed through an
exponential function. The central tendency has been defined leveraging on the 12 months cumulative default rate taken from
vintage analyses.
The last step of the rating process combines all the final standardized transaction scores into a customer specific PD. The
resulting PD is finally mapped to a “Master Scale” consisting of 28 distinct rating notches. In case of negative characteristics
collected from the external Credit Bureau KSV or of automatic warning signals, the customer PD is downgraded.
A specific separate calibration of the FX loans was carried out in 2011, due to the worsening evidence shown by the
validation on this model in this specific segment, both in terms of calibration and performance. These results were mainly
driven by the so called “technical default” arisen in this period of high volatility of exchange rate.
In 2013 a separate scorecard for customers with non-FX loans was implemented and both calibrations for customers with FX
loans and customers with non-FX loans were updated.
Regarding to the LGD/EAD model see as described in paragraph “Local Austrian LGD/EAD model”.
All IRB Retail models have been validated on a yearly basis, specifically ongoing validations have been performed on the
Private Individuals, Small Business, LGD, and EAD models (for LGD and EAD see results in Section Corporate).
The validation results, showed some aspects to be improved for Private Individuals and Small Business models.
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Asset Backed Commercial Paper (Securitization)
Local model, German Legal Entities
Internal Assessment Approach rating model for Asset Backed Commercial Paper
The model, developed by replicating the approach of the rating agencies, assigns a rating to the credit liquidity lines provided
by UCB AG in order to support the issuing of Asset-Backed Commercial Papers by special purpose vehicles.
In line with Basel II requirements, the model is differentiated according to the type of exposure underlying the securitization
operation. In particular, 8 sub-models have been internally developed (of which only the first two models are further used after
the proposal of UCB AG to withdraw the other models from the IRB, because there are no transactions anymore):
•
trade receivables;
•
loans and leases;
•
mortgage warehousing (to cover the residential mortgages segment);
•
single rated securities;
•
commercial mortgages (to cover the commercial mortgages segment);
•
rated securities and corporate loans;
•
credit cards;
•
conduits
As of the end of 2013, UCG has been supporting ABCP transactions in Loans and Leases and Trade Receivables with at
least 102% liquidity facilities, with no additional credit enhancements towards the conduit/ABCP program.
All of the above models consist of a quantitative module which supplies a virtual tranching and a qualitative module whose
results influence the quantitative result through the upward or downward movements of notches.
For the quantitative module, two principal methodologies are used according to the type of underlying exposure and the
residual life of the underlying assets:
•
“Reserve Based” approach: typically used for assets with a short residual life (typically less than 6 months). For this
type of transactions, a “point in time” valuation is carried out in order to determine, in a static manner, the reserves
required to cover the losses;
•
“Cash Flow Based” approach: used for assets with a longer residual life. The evolution of the assets is based on
modelling the expected cash flows to determine the loss at the end of the transaction's life.
The qualitative modules have been developed on the basis of feedback from experts in the sector.
In January 2014 an annual validation performed by UCB AG confirmed that, in general, both methodological background and
processes are suitable.
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IRB Approach - risk assets
(€'000)
F OU N D A T ION IR B A PPR OA C H
A D V A N C ED IR B A PPR OA C H
F OU N D A T ION IR B A PPR OA C H
A mo unt s as at 0 6 .3 0 .2 0 14
Exp o sur e
amo unt
Exp o sur e
Exp o sur e
weig ht ed amo unt amo unt
A D V A N C ED IR B A PPR OA C H
A mo unt s as at 0 3 .3 1.2 0 14
Exp o sur e
weig ht ed amo unt
Exp o sur e amo unt
Exp o sur e
weig ht ed
amo unt
Exp o sur e
amo unt
Exp o sur e
weig ht ed
amo unt
Exposures to or secured by central governments or central banks
2,913,370
331,968
8,670,086
236,847
3,964,396
403,320
11,565,734
232,448
Exposures to or secured by institutions, public and territorial entities and
other entities
Exposures to or secured by corporate:
4,188,974
1,307,775
56,348,171
10,606,657
2,539,018
1,094,170
57,610,777
11,544,642
- Exposures to or secured by corporate - Specialized lendings
2,991,808
2,246,391
22,117,112
8,607,143
2,959,719
2,215,459
21,994,713
9,330,105
- Exposures to or secured by corporate - SME
7,487,687
5,654,082
62,201,177
22,529,520
7,344,580
5,517,742
69,431,747
25,988,957
11,263,534
8,267,411
130,798,089
56,511,806
10,579,821
7,514,318
121,193,458
51,719,621
- Exposures to or secured by corporate - Others
Retail exposures:
- Exposures secured w ith residential real estate property: SME
- Exposures secured w ith residential real estate property: Individual
- Qualified revolving retail exposures
- Other retail exposures: SME
- Other retail exposures: Individual
8,568,913
1,946,677
8,749,734
2,026,463
87,332,777
12,067,408
87,663,549
12,105,415
5,200,271
683,001
5,258,775
709,366
34,954,348
7,598,958
34,879,332
7,959,353
9,459,629
4,100,865
9,846,667
4,279,789
Other assets
Total on-balance-sheet risk assets
Total guarantees given and com m itted lines
Total derivatives contracts and long settlem ent transactions
Total SFT transactions
From contractual cross product netting
Total
221
1,678,869
1,698,883
22,169,773
15,174,835
332,251,486
101,376,157
21,381,135
14,386,149
334,568,063
103,690,852
3,467,034
2,213,110
64,522,031
18,220,554
3,284,698
2,045,967
66,190,514
17,711,751
547,910
337,062
12,416,966
5,638,841
534,537
295,951
12,579,607
4,817,029
2,660,656
82,620
15,501,087
604,786
2,187,164
16,942
13,914,684
671,013
0
0
959,003
727,413
0
0
941,618
704,397
28,845,373
17,807,627
425,650,573
126,567,751
27,387,534
16,745,009
428,194,486
127,595,042
I
(€'000)
IRB Approach - Advanced
06.30.2014
EXPOSURE
CLASS
Rating Class
Nominal
value
Exposures to or
Class 01 - from 0.00% to 0.0036%
secured by
Class 02 - from 0.0037% to 0.0208%
governments and
Class 03 - from 0.0209% to 0.1185%
central banks
Average Risk
Weight %
Weighted
Average PD
(% )
RWA
Weighted
AverageLGD
(% )
Revocable and
Irrevocable
Margins
CCF%
(AVERAGE)
Value
adjustments
1,364,115
1,373,834
0.01%
166
0.00%
0.50%
7,083
50.01%
5,880,130
5,924,175
0.17%
9,970
0.02%
0.90%
103
12.62%
0
1
3,584,881
3,545,353
11.56%
409,911
0.03%
28.60%
45,388
11.91%
52
Class 04 - from 0.1186% to 0.5824%
20,715
20,304
52.03%
10,564
0.45%
35.04%
66
221.21%
2
Class 05 - from 0.5825% to 1.3693%
681,310
665,011
11.44%
76,060
1.23%
4.30%
27,021
7.86%
108
Class 06 - from 1.3694% to 3.2198%
207,269
45,732
110.88%
50,706
1.77%
45.56%
140,970
0.37%
91
Class 07 - from 3.2199% to 7.571%
Class 08 - from 7.5711% to
17.8023%
2,758
39
289.74%
113
5.80%
65.43%
2,719
0.00%
0
6,533
1,082
113.59%
1,229
10.63%
26.25%
5,387
0.00%
6
Class 09 - from 17.8024% to 99.99%
53,136
4,152
243.09%
10,093
20.15%
39.12%
49,022
0.18%
102
56.04%
13,932
3,774
0.08%
3
100.00%
11,814,779
11,583,456
4.91%
568,815
0.14%
Class 01 - from 0.00% to 0.0036%
0
0
0.00%
0
0.00%
Class 02 - from 0.0037% to 0.0208%
0
0
0.00%
0
0.00%
Class 03 - from 0.0209% to 0.1185%
57,022,012
49,148,819
11.23%
5,520,417
Class 04 - from 0.1186% to 0.5824%
13,666,071
8,524,349
46.64%
Class 05 - from 0.5825% to 1.3693%
2,055,229
980,719
79.96%
Class 06 - from 1.3694% to 3.2198%
1,093,244
651,494
Class 07 - from 3.2199% to 7.571%
Class 08 - from 7.5711% to
17.8023%
480,754
362,787
753,851
Class 09 - from 17.8024% to 99.99%
361,753
Class 10 - 100%
Class 10 - 100%
Total
Exposures to or
secured by
supervised
institutions,
regional
governments and
local authorities
and others
Exposure
value
11,039
7.77%
1,628
288,798
4.40%
1,990
0.00%
0
0.00%
0
0.00%
0
0.00%
0
0.06%
41.65%
4,094,005
19.68%
1,968
3,975,467
0.28%
69.50%
4,348,189
8.85%
4,033
784,150
0.87%
52.81%
815,989
9.25%
1,299
80.52%
524,606
2.12%
70.59%
399,191
8.83%
979
153.23%
555,909
4.47%
51.17%
97,216
8.96%
7,676
582,761
47.12%
274,622
10.80%
22.78%
83,178
10.02%
4,558
132,830
207.60%
275,750
20.93%
69.65%
75,931
10.71%
4,904
168,391
151,222
0.89%
1,342
100.00%
61.67%
20,183
8.10%
121,649
75,601,305
60,534,981
19.68%
11,912,263
0.56%
9,933,882
13.60%
147,066
Exposures to or
Class 01 - from 0.00% to 0.0036%
secured by
Class 02 - from 0.0037% to 0.0208%
corporates - SME
0
0
0.00%
0
0.00%
0.00%
0
0.00%
0
0
0
0.00%
0
0.00%
0.00%
0
0.00%
0
Class 03 - from 0.0209% to 0.1185%
4,459,337
3,798,254
6.84%
259,913
0.08%
12.72%
724,609
36.87%
117
Class 04 - from 0.1186% to 0.5824%
13,927,106
10,722,224
24.31%
2,606,978
0.31%
20.83%
3,164,371
27.49%
3,262
Class 05 - from 0.5825% to 1.3693%
14,796,870
10,926,563
45.22%
4,941,276
0.95%
25.40%
3,404,080
19.86%
12,987
Class 06 - from 1.3694% to 3.2198%
15,307,909
11,460,744
58.49%
6,703,655
2.21%
24.79%
3,555,218
14.86%
28,409
Class 07 - from 3.2199% to 7.571%
Class 08 - from 7.5711% to
17.8023%
10,049,171
8,342,806
84.00%
7,007,718
4.55%
31.37%
1,480,102
9.98%
80,524
4,655,697
4,002,387
91.22%
3,651,066
10.63%
22.73%
585,690
22.34%
113,017
Total
Class 09 - from 17.8024% to 99.99%
Class 10 - 100%
2,913,824
36.16%
27.87%
207,793
7.80%
201,374
0.54%
99,172
100.00%
49.61%
819,605
11.69%
9,056,229
69,688,864
40.44%
28,183,602
29.09%
13,941,468
19.60%
9,495,919
0
0
0.00%
0
0.00%
0.00%
0
0.00%
0
Class 02 - from 0.0037% to 0.0208%
0
0
0.00%
0
0.00%
0.00%
0
0.00%
0
Class 03 - from 0.0209% to 0.1185%
1,980,483
1,928,860
15.88%
306,307
0.09%
19.47%
104,788
12.97%
315
Class 04 - from 0.1186% to 0.5824%
7,748,822
6,851,498
27.38%
1,875,992
0.35%
17.04%
1,089,877
14.03%
2,056
Class 05 - from 0.5825% to 1.3693%
5,229,617
4,968,343
35.38%
1,757,863
0.90%
10.09%
335,118
35.69%
1,772
Class 06 - from 1.3694% to 3.2198%
4,704,139
4,586,701
79.79%
3,659,804
2.09%
17.98%
120,280
41.75%
9,149
Class 07 - from 3.2199% to 7.571%
779,858
771,139
66.48%
512,682
4.81%
18.01%
21,231
54.65%
3,460
Class 08 - from 7.5711% to
17.8023%
766,103
749,128
121.40%
909,435
10.18%
24.86%
25,994
32.72%
25,579
Class 10 - 100%
793,353
788,787
122.76%
968,301
20.20%
23.87%
8,791
38.31%
67,212
3,324,674
3,287,828
0.80%
26,209
100.00%
52.25%
109,036
42.92%
1,065,091
1,815,115
22.40%
1,174,634
0
25,327,049
23,932,284
41.85%
10,016,593
15.57%
Class 01 - from 0.00% to 0.0036%
0
0
0.00%
0
0.00%
0.00%
0
0.00%
Class 02 - from 0.0037% to 0.0208%
0
0
0.00%
0
0.00%
0.00%
0
0.00%
Class 03 - from 0.0209% to 0.1185%
76,628,560
36,412,001
17.07%
6,216,562
0.06%
37.78%
41,430,100
25.14%
2,160
Class 04 - from 0.1186% to 0.5824%
77,281,028
44,641,685
38.61%
17,236,274
0.29%
33.26%
30,150,654
21.72%
19,321
Class 05 - from 0.5825% to 1.3693%
27,780,904
17,852,681
62.97%
11,241,748
0.90%
31.17%
8,771,201
22.08%
27,095
Class 06 - from 1.3694% to 3.2198%
21,295,192
14,082,244
84.25%
11,863,863
2.07%
31.97%
6,249,738
16.10%
56,297
Class 07 - from 3.2199% to 7.571%
Class 08 - from 7.5711% to
17.8023%
11,001,018
7,761,648
121.87%
9,459,196
4.59%
37.06%
2,282,533
14.24%
220,571
5,791,235
4,736,414
121.99%
5,777,765
11.46%
25.40%
865,167
26.16%
205,845
Class 09 - from 17.8024% to 99.99%
1,915,762
1,513,573
190.90%
2,889,463
35.73%
33.77%
367,818
11.24%
199,030
16,732,026
15,061,378
0.63%
94,348
100.00%
48.05%
1,690,220
18.71%
7,927,761
238,425,725
142,061,624
45.60%
64,779,219
12.04%
91,807,431
22.67%
8,658,080
Total
Class 10 - 100%
Total
Equity exposures: Class 01 - from 0.00% to 0.0036%
PD/LGDapproach
0
0
0.00%
0
0.00%
0.00%
Class 02 - from 0.0037% to 0.0208%
0
0
0.00%
0
0.00%
0.00%
Class 03 - from 0.0209% to 0.1185%
0
0
0.00%
0
0.00%
0.00%
Class 04 - from 0.1186% to 0.5824%
168,457
168,457
211.55%
356,373
0.42%
88.67%
Class 05 - from 0.5825% to 1.3693%
31,329
31,329
223.75%
70,098
1.04%
87.48%
Class 06 - from 1.3694% to 3.2198%
750
750
338.00%
2,535
2.29%
65.00%
Class 07 - from 3.2199% to 7.571%
1,258
1,258
540.94%
6,805
4.25%
90.00%
Class 08 - from 7.5711% to
17.8023%
4,898
4,898
643.55%
31,521
7.90%
90.00%
515
515
398.64%
2,053
20.00%
65.00%
25,832
25,832
0.00%
0
100.00%
89.23%
233,039
233,039
201.42%
469,385
11.77%
426,436
426,436
1,301,083
426,436
426,436
1,301,083
Class 09 - from 17.8024% to 99.99%
Class 10 - 100%
Total
Equity exposures:
simple risk weight
approach
136.39%
84,823,002
Class 09 - from 17.8024% to 99.99%
Exposures to or
secured by
corporates Others
2,136,394
18,299,492
Class 01 - from 0.00% to 0.0036%
Total
Exposures to or
secured by
corporates Specialized
lendings
2,367,902
19,259,010
0
NA
Total
DISCLOSURE BY INSTITUTIONS
222
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Credit Risk
Notes to the pervious page table:
•
•
•
223
In order to have consistency between internal and external reporting and to maintain a sufficient breakdown between PD categories
to allow a significant differentiation of credit risk, the Group Master Scale – which consists of different cut - offs compared to the
previous rating scale – has been used for the filling of these tables.
Possible migrations of exposures among classes, compared to the previous Pillar III publications, is not due to a
worsening/improving of portfolio riskiness but only to the change in the rating scale itself.
“Exposures to or secured by supervised institutions, regional government and local authorities and others” don’t include the
exposures for non DVP transactions.
“Exposures to or secured by corporates” don’t include the exposures for specialized lendings – slotting criteria.
I
(€'000)
IRB Approach - Advanced - Retail exposures
06.30.2014
EXPOSURE
CLASS
Exposures
secured by
residential
property: SME
Rating Class
Nominal
value
Revocable and
Irrevocable
Margins
CCF%
(AVERAGE)
Value
adjustments
0
0.00%
0
0.00%
0.00%
0
0.00%
0
0
0.00%
0
0.00%
0.00%
0
0.00%
0
Class 03 - from 0.0209% to 0.1185%
288,479
285,652
2.55%
7,287
0.09%
14.89%
6,204
61.30%
22
Class 04 - from 0.1186% to 0.5824%
1,416,711
1,374,724
6.67%
91,699
0.28%
16.15%
64,132
53.36%
278
Class 05 - from 0.5825% to 1.3693%
2,289,584
2,210,045
17.42%
384,948
0.95%
17.05%
109,914
54.57%
1,528
Class 06 - from 1.3694% to 3.2198%
0
1,301,851
1,264,723
27.92%
353,076
2.39%
15.07%
52,440
59.00%
2,012
Class 07 - from 3.2199% to 7.571%
Class 08 - from 7.5711% to
17.8023%
731,132
714,193
49.70%
354,975
5.00%
17.65%
13,614
70.34%
3,769
413,019
404,741
64.48%
260,971
10.31%
16.60%
8,229
61.10%
4,552
Class 09 - from 17.8024% to 99.99%
542,300
533,424
91.67%
488,977
33.95%
20.18%
4,200
35.83%
32,987
1,798,730
1,781,411
0.27%
4,744
100.00%
33.81%
8,781,806
8,568,913
22.72%
1,946,677
24.45%
Class 01 - from 0.00% to 0.0036%
0
0
0.00%
0
0.00%
Class 02 - from 0.0037% to 0.0208%
0
0
0.00%
0
0.00%
Class 03 - from 0.0209% to 0.1185%
10,886,145
10,864,012
2.61%
283,410
0.08%
Class 04 - from 0.1186% to 0.5824%
39,032,700
38,927,428
6.18%
2,407,136
0.26%
Class 05 - from 0.5825% to 1.3693%
12,580,945
12,471,400
16.21%
2,021,442
Class 06 - from 1.3694% to 3.2198%
8,855,342
8,801,661
31.58%
Class 07 - from 3.2199% to 7.571%
Class 08 - from 7.5711% to
17.8023%
3,107,968
3,104,757
2,088,829
Class 09 - from 17.8024% to 99.99%
2,352,052
6,473
23.19%
520,028
265,206
55.26%
565,176
0.00%
0
0.00%
0
0.00%
0
0.00%
602
12.40%
53,653
53.04%
13,251
12.08%
250,033
38.75%
62,646
0.88%
13.23%
179,205
36.54%
66,390
2,779,153
2.16%
14.78%
85,735
36.91%
74,988
45.87%
1,424,143
4.99%
13.27%
11,788
49.01%
30,421
2,078,883
66.67%
1,385,917
13.69%
12.47%
17,761
39.18%
39,056
2,353,827
74.62%
1,756,392
39.11%
12.80%
1,645
42.49%
163,236
23.14%
8,740,136
8,730,809
0.11%
9,815
100.00%
87,644,117
87,332,777
13.82%
12,067,408
12.02%
Class 01 - from 0.00% to 0.0036%
0
0
0.00%
0
0.00%
Class 02 - from 0.0037% to 0.0208%
0
0
0.00%
0
0.00%
Class 03 - from 0.0209% to 0.1185%
3,804,461
2,076,169
2.34%
48,499
Class 04 - from 0.1186% to 0.5824%
2,667,958
1,436,186
7.95%
Class 05 - from 0.5825% to 1.3693%
840,614
577,083
Class 06 - from 1.3694% to 3.2198%
451,869
371,589
Class 07 - from 3.2199% to 7.571%
Class 08 - from 7.5711% to
17.8023%
134,501
105,082
Total
10,564
18.03%
3,053,408
610,384
38.96%
3,503,998
0.00%
0
0.00%
0
0.00%
0
0.00%
0
0.05%
63.45%
3,725,776
53.61%
2
114,121
0.28%
55.47%
2,407,664
48.84%
167
19.77%
114,089
0.91%
52.95%
557,805
52.76%
593
37.07%
137,765
2.27%
50.27%
194,081
58.64%
1,451
119,906
64.30%
77,102
4.90%
51.09%
41,668
64.97%
1,187
94,732
102.42%
97,028
10.50%
51.47%
30,611
66.19%
2,054
26,036
25,850
145.12%
37,513
20.00%
49.47%
3,228
94.24%
4,266
499,819
498,756
11.41%
56,884
100.00%
97.33%
2,853
62.78%
453,603
8,530,340
5,200,271
13.13%
683,001
10.35%
6,963,686
52.18%
463,323
Class 01 - from 0.00% to 0.0036%
0
0
0.00%
0
0.00%
0.00%
0
0.00%
0
Class 02 - from 0.0037% to 0.0208%
0
0
0.00%
0
0.00%
0.00%
0
0.00%
0
Class 03 - from 0.0209% to 0.1185%
2,252,260
669,074
5.86%
39,215
0.09%
32.99%
1,579,848
0.96%
88
Class 04 - from 0.1186% to 0.5824%
10,793,344
4,552,523
14.51%
660,614
0.27%
35.70%
6,384,234
2.85%
1,966
Class 05 - from 0.5825% to 1.3693%
12,735,605
7,236,767
28.91%
2,091,906
0.94%
36.29%
5,677,546
4.18%
11,876
Class 06 - from 1.3694% to 3.2198%
6,115,258
3,709,625
42.62%
1,581,070
2.39%
38.69%
2,506,271
5.21%
16,573
Class 07 - from 3.2199% to 7.571%
Class 08 - from 7.5711% to
17.8023%
4,707,105
3,065,743
49.45%
1,516,159
4.80%
40.93%
1,679,335
2.91%
33,673
1,720,329
1,337,711
60.61%
810,752
10.59%
50.79%
395,371
5.25%
27,587
Class 09 - from 17.8024% to 99.99%
1,500,452
1,210,971
73.61%
891,336
35.30%
37.07%
292,751
1.74%
123,635
13,572,025
13,171,934
0.06%
7,906
100.00%
69.67%
53,396,378
34,954,348
21.74%
7,598,958
40.22%
Class 01 - from 0.00% to 0.0036%
0
0
0.00%
0
0.00%
Class 02 - from 0.0037% to 0.0208%
0
0
0.00%
0
Class 03 - from 0.0209% to 0.1185%
1,125,500
949,718
11.02%
Class 04 - from 0.1186% to 0.5824%
2,853,615
2,437,075
Class 05 - from 0.5825% to 1.3693%
2,493,967
2,220,212
Class 06 - from 1.3694% to 3.2198%
Class 09 - from 17.8024% to 99.99%
Class 10 - 100%
Total
Class 10 - 100%
Total
Other retail
exposures:
Individual
Weighted
AverageLGD
(% )
0
Class 10 - 100%
Other retail
exposures: SME
Weighted
Average PD
(% )
RWA
Class 02 - from 0.0037% to 0.0208%
Total
Qualifying
revolving retail
exposures
Average Risk
Weight %
Class 01 - from 0.00% to 0.0036%
Class 10 - 100%
Exposures
secured by
residential
property:
Individual
Exposure
value
401,237
1.64%
8,683,523
18,916,593
3.42%
8,898,921
0.00%
0
0.00%
0
0.00%
0.00%
0
0.00%
0
104,616
0.07%
54.35%
206,329
25.53%
35
28.74%
700,403
0.33%
50.38%
555,057
32.18%
998
48.23%
1,070,806
0.93%
46.76%
402,468
36.42%
2,987
2,069,677
1,938,486
64.01%
1,240,812
2.30%
47.54%
215,055
45.06%
5,570
Class 07 - from 3.2199% to 7.571%
Class 08 - from 7.5711% to
17.8023%
606,944
573,431
81.31%
466,234
4.86%
52.57%
55,217
43.57%
2,790
465,460
444,693
80.23%
356,782
11.76%
44.31%
30,796
40.74%
4,761
Class 09 - from 17.8024% to 99.99%
106,789
104,664
140.19%
146,724
22.54%
61.46%
3,833
58.49%
29,557
50.66%
7,071
58.15%
561,476
1,475,826
35.08%
608,174
Class 10 - 100%
Total
796,922
791,350
1.83%
14,488
100.00%
10,518,874
9,459,629
43.35%
4,100,865
10.24%
DISCLOSURE BY INSTITUTIONS
224
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Credit Risk
Credit Risk: mitigation techniques (CRM)
UniCredit Group, consistent with the “Revised Framework of International Convergence of Capital Measures and Rules”
(Basel II), is firmly committed to satisfy the requirements for recognition of Credit Risk Mitigation (hereafter “CRM”) techniques
for regulatory capital purposes, according to the different approaches adopted (Standardized, F-IRB or A-IRB).
In this regard, specific projects have been completed and actions have been carried out for implementing the Group’s internal
regulations and for bringing processes and IT systems into compliance. Considering the Group’s presence in different
countries, implementation measures have been made in accordance with local regulations and the requirements of the
oversight authorities in the countries to which the individual entities belong.
The Group has acknowledged the regulatory requirement with specific internal Guidelines issued by the Holding Company, in
compliance with the Basel Committee document “International Convergence of Capital Measurement and Capital Standards”,
“Directive 2006/48/EC and 2006/49/CE of the European Parliament and of the Council”, and “Nuove disposizioni di vigilanza
prudenziale per le banche” (Bank of Italy circular letter No. 263) and following updates. Such Guidelines pursue several
objectives:
•
to encourage collateral and guarantees optimal management;
•
to maximize the mitigating effect of collateral and guarantees on defaulted loans;
•
to attain positive effect on Group capital requirements, ensuring that local CRM practices meet minimum “Basel II”
requirements;
•
to define general rules for eligibility, valuation, monitoring and management of collateral (funded protection) and
guarantees (unfunded protection) and to detail special rules and requirements for specific collateral/guarantees.
Collateral/guarantee is accepted only to support loans and they cannot serve as a substitute for the borrower’s ability to meet
obligations. For this reason they have to be evaluated in the credit application along with the assessment of the
creditworthiness and the repayment capacity of the borrower.
In the credit risk mitigation technique assessment, UniCredit group emphasizes the importance of the “legal certainty”
requirement for all collaterals and guarantees, as well as their suitability. Legal Entities put in place all necessary actions in
order to:
•
fulfill the respect of any contractual and legal requirements, and take all steps necessary to ensure the
enforceability of the collateral/guarantee arrangements under the applicable law;
•
conduct sufficient legal review confirming the enforceability of the collateral/guarantee arrangements on all parties
and in all relevant jurisdictions.
Legal Entities conduct such review as necessary to ensure enforceability for the whole life of the underlying collateralized
credit exposure. On the other hand, suitability has always to be granted. Any collateral/guarantee can be considered
adequate if it is consistent with the underlying credit exposure and, for guarantees, when there are no relevant risks towards
the protection provider.
In general, operative instructions and related processes are particularly severe, aiming at granting the formal perfection of
each collateral/guarantee acquired.
Collateral management assessments and Credit Risk Mitigation compliance verifications are performed by the Legal Entities,
specifically as part of the wider process of internal validation on rating systems and of IRB methods roll-out activities.
Policies and processes for, and an indication of the extent to which the Group makes use of, on- and
off-balance sheet netting
In general, netting agreements on balance sheet of reciprocal credit exposures between the Bank and its counterparty are
considered eligible if they are legally effective and enforceable in all relevant jurisdictions, including in the event of insolvency
or bankruptcy of counterparty, and if they meet the following operational conditions:
•
provide for the netting of gains and losses on transactions cleared under the master agreement so that a single net
amount is owed by one party to the other;
•
fulfill the minimum requirements for recognition of financial collateral (valuation requirements and monitoring).
In general Group Entities can use netting agreements only if they are able at any time to determine the position netting value
(assets and liabilities with the same counterparty that are subject to the netting), monitoring and controlling debts, credit and
netting value.
225
I
The Group makes use of netting instruments mainly with OTC derivatives, repos and securities lending transactions where
the counterparties are – generally – Financial Institutions. The primary objective of the bank is to cover with netting
agreements as many as possible transactions in order to reduce utilization of credit lines and to release the amount of
required regulatory capital. In this regard, a special policy (“Collateral Management for OTC derivatives and Repo and
securities lending business") has been issued aiming at defining an efficient and comprehensive framework for collateral
management in order to safeguard the bank from avoidable risk-taking.
The effectiveness of a collateral agreement of each individual counterparty relationship depends on the selection of
appropriate assets qualifying as eligible collateral. Certain collateral types may present inherent risks related to the price
volatility, the liquidity and the settlement of the asset. In addition, the collateral assets must be assessed in the context of the
collateral providing counterparty (double default risk). The mentioned policy details the eligibility criteria for both OTC
derivatives and Repo/securities Lending Transactions, and defines the requirements in terms of documentations, requiring on
a general base market standard agreements such as ISDA Master Agreement, Global Master Repurchase Agreement or
European Master Agreement.
Policies and processes for collateral evaluation and management
UniCredit group has implemented a clear and robust system for managing the credit risk mitigation techniques, governing the
entire process for evaluation, monitoring and management of collaterals.
The assessment of the collateral value is based on the current market price or the estimated amount which the underlying
asset could reasonably be liquidated for (i.e. pledged financial instrument or mortgaged real estate fair value).
In detail, for financial instruments, valuation methods are different depending on their type:
•
securities listed on a recognized stock exchange, are evaluated according to the market price (the price of the most
recent trading session);
•
securities not listed on a recognized stock exchange, have to be based on pricing models based on market data;
•
undertakings for Collective Investments and mutual funds are based on the price for the units that are publicly
quoted daily.
Market price of pledged securities is adjusted by applying haircuts for market price and foreign exchange volatility according
to regulatory requirements.
In case of currency mismatch between the credit facility and the collateral, an additional haircut is applied.
Possible mismatches between the maturity of the exposure and that of the collateral are also considered in the adjusted
collateral value.
The current models in place within the Group are based both on pre-defined prudential haircuts and internally estimated
haircuts. The methodological approach provides that the hedging value has to be estimated for each financial instrument on
the basis of its market value (so-called mark-to-market) adjusted with an haircut that has to consider the intrinsic riskiness
according to the different factors (price risk, time of ownership and liquidity risk).
The main Entities of the Group are also provided with tools for the automatic evaluation of the mark to market of the pledged
securities, granting the constant monitoring of the financial collateral values.
For the valuation of real estate collateral, specific processes and procedures ensure that the property is evaluated by an
independent expert at or less than the market value. For the Legal Entities operating in Austria, Germany and Italy, systems
for the periodic monitoring and revaluation of the real estate serving as collateral, based on statistical methods, adopting
internal databases or provided by external info-providers, are in place.
The other types of collateral (such as a pledge of movable assets) are subject to specific prudential haircuts are applied,
through evaluation. Monitoring activities strictly depend on the collateral characteristics. In general pledges on goods are
treated with caution.
DISCLOSURE BY INSTITUTIONS
226
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Credit Risk
Description of the main types of collateral taken by the Group Entities
The collateral accepted in support of credit lines granted by the Group’s Legal Entities, primarily includes real estate, both
residential and commercial (around 75% of the stock) and financial instruments collateral, including debt securities, equities,
and units of Undertakings for Collective Investment in Transferable Securities (UCITS) (around 15%). The remaining part
includes pledges on other assets (e.g. pledged goods) and other collaterals (e.g. movable properties).
However, in order to be considered eligible for risk mitigation, the general requirements according to Supervisory Regulations
must be met, along with the specific requirements for the approach adopted for purposes of calculating regulatory capital for
the individual counterparty/exposure (Standardized, F-IRB, A-IRB), in accordance with the legal framework of the country in
question.
The Parent Company provides specific guidelines for the eligibility of all kind of collaterals and each Legal Entity defines the
list of eligible collaterals, according to uniform Group methods and procedures and in compliance with all domestic legal and
supervisory requirements and local peculiarities.
Main types of guarantors and credit derivative counterparties and their creditworthiness
Personal guarantees can be accepted as elements complementary and accessory to the granting of loans, for which the risk
mitigation element is the additional security for repayment. Their use is widespread within the Group, though their
characteristics differ among the different local markets.
Within the Italian market, personal guarantees provided by one or more individuals are very common, even if they are not
considered eligible for credit risk mitigation purpose. Less frequently, the risk of insolvency is covered by personal guarantees
provided by other legal entities (usually the holding company or other companies belonging to the same economic group as
the borrower), or by financial institutions and insurance companies.
At consolidated level, personal guarantees are provided by banks (around 20% of the stock), government, central banks and
other public entities (around 20%) and other subjects (60%). The last category includes the personal guarantees provided by
physical persons, whose eligibility for CRM depends on the approach used by the different Legal Entities.
Credit derivative protection providers are nearly only banks and institutional counterparties.
The list of eligible protection providers depends on the specific approach adopted by each single Legal Entity. Specifically,
under the Standardized approach, eligible protection providers pertain to a restricted list of counterparts, such as Central
Government and Central Banks, public sector entities and regional and local authorities, multilateral development banks,
supervised institutions and corporate entities that have a credit assessment by an eligible ECAI associated with credit quality
step 2 or above. Legal Entities adopting IRB-A may recognize guarantees provided that the relevant minimum requirements
are satisfied and, particularly, provided that the Legal Entity can evaluate the protection provider risk profile at the time that
the guarantee is established and over its entire duration.
Before a personal guarantee is acquired, the protection provider (or the protection seller in case of credit default swap) has to
be assessed in order to measure his/her solvency and risk profile. The hedging effect of guarantees/credit derivatives for the
purpose of credit protection depends basically on the protector’s creditworthiness, and, during the underwriting phase, it has
to be evaluated the economic capabilities of the protection provider.
Information about market or credit risk concentrations under the credit risk mitigation instruments used
There is concentration risk when the major part of Group-wide collateral financial assets (at portfolio level) are concentrated in
a small number of collateral types, protection instruments, or specific providers of collaterals or sectors or when there is lack
of proportion in the volume of collaterals taken.
Such concentration is monitored and controlled by the following processes/mechanisms:

In case of personal guarantees/credit derivatives, a contingent liability (indirect risk) is charged to the protection
provider. In the evaluation of the credit application, a secondary commitment is added to the guarantor and it is
reflected in the guarantor’s total credit exposure as deemed competent and approved in accordance with the bank’s
system of authority;

In case the protection provider, directly or indirectly, is a Central Bank or a Sovereign country, a specific credit limit
has to be instructed and, if the guarantor is a foreign subject, a country limit must be obtained, if necessary.
227
I
(€'000)
Credit risk mitigation techniques - standardized approach
Am ounts as at 06.30.2014
FINANCIAL
COLLATERALS
Exposures to or secured by central governments or central banks
Am ounts as at 03.31.2014
GUARANTEES AND
CREDIT
DERIVATIVES
OTHER
GUARANTEES
FINANCIAL
COLLATERALS
GUARANTEES AND
CREDIT
DERIVATIVES
OTHER
GUARANTEES
6,802,271
35,000
27,839
6,896,370
42,000
Exposures to or secured by regional governments or local authorities
55,869
0
44,679
55,958
0
41,107
Exposures to or secured by public-sector bodies
19,101
0
2,492,221
29,379
0
2,495,991
Exposures to or secured by multilateral development banks
0
0
0
0
0
0
Exposures to or secured by international organizations
0
0
0
0
0
0
Exposures to or secured by authorities
62,339,218
10,200
411,617
65,671,108
10,200
210,684
Exposures to or secured by corporates and other parties
20,548,000
73,991
1,934,029
16,582,700
76,830
2,990,957
2,680,351
54,431
472,998
3,263,613
57,191
478,326
26,753
0
90,181
23,810
0
82,910
183,841
9,008
151,746
185,851
6,379
364,019
247
0
0
5,118
0
0
0
0
0
0
0
0
328,136
0
11,629
329,216
0
3,900
Exposures to Undertakings for Collective Investment (UCI)
0
0
0
0
0
0
Equity exposures
0
0
0
0
0
0
Other exposures
0
0
0
0
0
0
92,983,787
182,630
5,636,939
93,043,123
192,600
6,689,550
Retail exposures
Exposures secured by real estate collateral
Defaulted exposures
High-risk exposures
Exposures in the form of guaranteed bank bonds (covered bonds)
Short-term exposures to corporates and other parties or authorities
TOTAL
21,656
(€'000)
Risk mitigation techniques - IRB Approach
AMOUNTS AS AT 06.30.2014
AMOUNTS AS AT 03.31.2014
FINANCIAL
OTHER
GUARANTEES FINANCIAL
OTHER
GUARANTEES
COLLATERALS GUARANTEES AND CREDIT COLLATERALS GUARANTEES AND CREDIT
DERIVATIVES
DERIVATIVES
IRB APPROACH - FOUNDATION
Exposures to or secured by central governments or central banks
Exposures to or secured by institutions, public and territorial entities and other entities
Exposures to or secured by corporate - SME
Exposures to or secured by corporate - Specialized lendings
Exposures to or secured by corporate - Others
IRB APPROACH - ADVANCED
Exposures to or secured by central governments or central banks
Exposures to or secured by institutions, public and territorial entities and other entities
Exposures to or secured by corporate - SME
Exposures to or secured by corporate - Specialized lendings
Exposures to or secured by corporate - Others
Exposures secured with residential real estate property: SME
Exposures secured with residential real estate property: Individual
Qualified revolving retail exposures
Other retail exposures: SME
Other retail exposures: Individual
TOTAL
823,651
8,899,305
221,778
21,110
52,752
17,954
1,541,665
831,120
405,516
155,434
6,291
742,911
1,425,400
1,381,644
213,424
19,535
55,110
16,720
1,635,093
763,264
177,523
165,298
13,925
689,209
601,870
22,751,792
1,582,694
70,705
3,651,168
52,179
198,786
700,529
663,251
40,291,570
534
76,152
28,426,514
8,047,661
24,943,778
8,334,178
81,948,946
1,665,121
1,077,516
156,911,139
1,541,669
2,207,448
6,618,351
652,884
13,920,755
16,270
17,316
240
12,395,975
116,159
38,797,219
2,234,847
23,359,080
1,481,883
65,761
3,891,468
45,815
195,734
313,681
677,549
35,360,931
565
89,496
30,604,830
8,202,721
22,909,034
4,627,856
82,195,555
1,665,336
1,089,286
153,799,756
1,530,158
3,578,273
8,733,511
741,327
12,880,348
15,585
18,882
291
13,466,575
117,144
42,128,049
DISCLOSURE BY INSTITUTIONS
228
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Credit Risk
Counterparty Risk exposure
Counterparty Credit Risk is defined as the risk that the counterparty to a transaction may default before the settlement of the
transaction cash flows.
Counterparty Credit Risk (CCR) is a particular case of general Credit Risk (e.g. loans). Unlike a firm’s exposure to Credit Risk
through a loan, where the exposure to Credit Risk is unilateral and only the lending bank faces the risk of loss, CCR creates a
bilateral risk of loss: the market value of the transaction can be positive or negative to either counterparty of the transaction.
The market value is uncertain and can vary over time with the movement of underlying market factors.
Counterparty Credit Risk exposure is estimated considering the effect of a period of stress (Stressed Expected Positive
Exposure) and the collateral management practices.
The financial products falling into the scope of CCR are:
•
over the counter derivative instruments (contracts not traded on an exchange);
•
security financing transaction (repurchase transactions, securities or commodities lending or borrowing transactions
based on securities or commodities and margin lending transactions based on securities or commodities);
•
long settlement transactions, where the counterparty to the transaction has a contractual obligation to deliver a
security, a commodity, or a foreign currency amount against cash, other financial instruments, or commodities, or
vice versa, at a settlement or delivery date that is later than the earliest of the market standard for the particular
transaction;
•
exchange traded derivatives.
CCR GOVERNANCE PRINCIPLES
In order to design a framework of methodology, policies and processes for the management of Counterparty Credit Risk that
is conceptually sound, implemented with integrity and consistent with Supervisory Authorities instructions, the following
general principles have been developed:
Cornerstones of the CCR management
•
•
•
•
Counterparty Credit Risk is a particular type of credit risk and as such the processes and policies governing CCR
activities have to follow the same logic as the ones of credit activities, to ensure a comprehensive view on
counterparty exposure.
CCR management must take into account the risk limits and comply with the Global Rules issued by Group Risk
Management and must fit into Legal Entities limit systems and processes.
The oversight of CCR will be assured on a daily basis by dedicated risk functions in the Legal Entities15 and the
Holding Company, together with the senior management, relevant Committees and Board of Directors.
CCR management should take into account market risks to capture the impacts of market movements on CCR.
Role of the Holding Company and of the Legal Entities
•
•
•
•
•
•
The definition of guidelines, design of the framework, policy setting for the management of Counterparty Credit Risk
will be the responsibility of the Holding Company specific functions as reported in the Holding Company
Organizational Rulebook.
The Holding Company will be responsible to monitor exposures at Group level to ensure appropriate oversight on
concentration risk and largest exposures.
The Holding Company will participate into the definition of remedial actions on CCR anomalies for relevant
names16.
Holding Company risk methodology function is responsible to develop Counterparty Credit Risk models for
UniCredit Group.
A rigorous and comprehensive stress testing will be implemented that will consider both Group relevant and Legal
Entity specific scenarios based on the output of the CCR measurement, outlined in specific Global Rules issued by
Holding Company.
A robust process to ensure the capture and analysis of both Specific Wrong Way and General Wrong Way Risks is
set up and outlined in specific Global Rules issued by Holding Company.
15 The CCR risk management entities of UC SpA, UCB AG and UC BA AG take over sub-group coordination functions for their respective sub-groups consolidated
Legal Entities.
16 Single names are considered relevant depending on their credit rating, exposure size or other CCR relevant metrics as defined in Group Rules
229
I
RISK MANAGEMENT AND MONITORING
UniCredit Group Counterparty Credit Risk Management framework is centered on the daily control of risk exposure, defined
by using an approach based on the calculation of the distribution of future values of relevant exchange traded, OTC
derivatives and SFT transactions at single counterparty-level.
Holding Company risk methodology function has articulated into three steps the estimation of counterparty-level credit
exposure distribution, these are:
•
scenario generation. Future market scenarios are simulated for a fixed set of simulation dates, using evolution
models of the risk factors.
•
instrument valuation. For each simulation date and for each realization of the underlying Market Risk factors,
instrument valuation is performed.
•
aggregation. For each simulation date and for each realization of the underlying market risk factors, instrument
values are added to obtain counterparty portfolio value.
For managerial purposes the counterparty-level exposure of transactions within the Internal Model Method (IMM) is measured
using the Potential Future Exposure17 (PFE). For transactions not included in the scope of the CCR IMM, exposures are
estimated using credit conversion factors (i.e. CCFs). The calibration of CCFs results in a prudential estimate of PFE.
The internal models that generate daily pre-settlement exposure also generate exposure measures that are used in the
Regulatory Capital calculation, for which UniCredit received Regulatory authorization on April 2014. The same internal
models also generate stressed simulations which will be submitted into ICAAP process and provide Risk Management with
counterparty, country and industry analysis and highlight potential general wrong way risks in the portfolio.
CCR limits definition and approval are part of the Holding Company and Legal Entity credit underwriting/operation processes
and where there are also described the delegated powers, escalation and credit committees’ competencies. Legal Entity CCR
control functions will contribute to the limit setting and review process providing a technical and experienced indication.
The risk appetite to a counterparty or to a set of counterparties referring to the same final parent is defined through a plafond,
for customers’ segments for which it does exist otherwise directly through the limit, which is the consolidated maximum risk
exposure that the Legal Entity and/or the Group can provide to this counterparty.
Plafond and limit setting is performed by the competent functions in accordance with approved Group-wide Global Rules
and/or credit strategies or consistent local rules.
A portion of this plafond/limit can be allocated to the pre-settlement risk limit which will be compared to the maximum
Potential Future Exposure (max PFE) towards a counterparty over a given time period.
RISK MITIGATION
UniCredit mitigates Counterparty Credit risk from derivatives and other transactions exposed to CCR through the use of
netting, collateralisation and Central Counterparties.
Netting allows for the aggregation of positive and negative Mark-to-Market derivative transactions with the same counterparty
to be offset, hence reducing exposure if either counterparty were to default. A Group wide policy requires that all netting
arrangements are documented in legally binding master agreements. The enforcement and enforceability of these netting
agreements is monitored by UniCredit’s Legal Department on an on-going basis. Netting is not applicable across UniCredit
Legal Entities as it is not permitted by law and would additionally not be covered by the underlying bilateral master
agreements.
Collateral agreements (if legally enforceable in the jurisdiction) might be required, depending on the creditworthiness of the
counterparty and the nature of the transaction. As a rule, FX derivatives, interest rate derivatives, equity derivatives, credit
derivatives, commodity derivatives, EU-emissions-allowance transactions, weather derivatives and other OTC derivative
transactions can be collateralized by a collateral agreement.
17
The Potential Future Exposure is defined as the possible exposure to a given confidence level at a specific time
DISCLOSURE BY INSTITUTIONS
230
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Credit Risk
A Group Policy "Collateral Management and Control" was approved by Senior Risk Committees during 2013. It defines the
roles and responsibilities of the involved parties both on Parent Company and Legal Entity level. In addition the policy defines
pre-approved collateral types, collateral types requiring approval and non-eligible collaterals. The eligibility criteria for the
acceptable collaterals, which ensures collateral agreed to be taken, exhibit characteristics such as price transparency,
liquidity, enforceability, independence and eligibility for regulatory purposes and set parameters for correlation and
concentration risks. Differentiation between the eligibility for OTC derivative and Reverse Repo/Securities Lending
Transactions is required as collateral for OTC derivative transactions needs to be of higher credit quality, given the potential
longer nature of transaction and inability to change eligibility criteria under a signed CSA agreement, while collateral provided
for Reverse Repo/Securities Lending Transaction can be wider in variety, given the normal shorter tenor of transactions. Noncash collateral accepted to mitigate OTC derivative exposure is subject to a "haircut" in value, which is largely based on
liquidity and price volatility of the underlying security and reflects the fact that collateral may fall in value between the date the
collateral was called and the date of liquidation or enforcement.
An independent collateral management function manages the daily operational collateral process, which includes pledging
and receiving collateral and investigating disputed margin calls and non-receipts.
The collateral management process is closely aligned with both the short term and long term funding strategy of the Bank
(both on a legal entity level and on a group wide basis). A separate Group Policy defines the re-hypothecation of collateral to
ensure prudence and minimize liquidity disruptions. Intraday collateral requirements above a specific threshold are
additionally reported to the short term funding desk with immediate effect.
Where available, UniCredit uses Central Counterparties (CCP’s) to mitigate the Counterparty Credit Risk of eligible OTC
derivatives. By acting as an intermediary to an OTC derivative transaction a CCP replaces the bilateral counterparty of a
trade, leaving UniCredit to manage the market risk of the trade.
WRONG WAY RISK MANAGEMENT
Both Holding company and Legal Entities CCR control functions assess and manage the Wrong Way Risk, arising when the
risk factors driving the exposure to a counterparty are positively correlated with the credit worthiness of that same
counterparty. Wrong way Risk is then distinguished in Specific Wrong Way Risk (SWWR) and General Wrong Way Risk
(GWWR).
SWWR arises when the exposure on a transaction is positively correlated with the counterparty’s creditworthiness for a
reason that is specific to the counterparty. Most commonly this kind of correlation is seen where there is similar material
legal/economic ownership between collateral/reference entity and counterparty.
In detail, Specific Wrong Way transactions are likely to generate higher exposures than standard industry PFE (Potential
Future Exposure) methodologies would indicate, as the latter applies to plain vanilla derivatives and assumes limited
correlation. The Specific Wrong Way Global Policy aims to complement our exposure calculation methodologies by providing
a unified group wide framework for the appetite, definition, risk monitoring and management of Specific Wrong Way Risk
exposures.
General Wrong Way Risk arises when the credit quality of the counterparty is correlated with a risk factor which also affects
the value of the transaction with the Group. The Global policy relating to the General Wrong Way Risk aims at defining the
framework for analyzing, monitoring and managing the potential impact of GWWR risk by product, region and industry and it
also seeks to add additional levels of control to General Wrong Way Risk transactions.
Holding Company Global Rules provide indication on principles and steps to follow on control and management of such risks.
DOWNGRADING IMPACTS
Monthly reporting is conducted to measure the impact in terms of additionally required collateral that the bank may be
required to provide given a downgrade of its own credit rating. All relevant rating agencies are considered.
The testing is carried out on a legal entity level, but consolidated reporting is available to analyze the impact on group wide
basis. Specific attention is dedicated to exposures towards Special purpose Vehicles.
231
I
(€'000)
Counterparty risk - collaterals
EA D A M OU N T S A S A T
EA D A M OU N T S A S A T
0 6 .3 0 .2 0 14
0 3 .3 1.2 0 14
C OU N T ER PA R T Y R ISK - C OLLA T ER A LS
Standardized approach
- derivatives contracts and long settlement transactions
- SFT transactions
310,819
400,309
87,976,191
88,198,021
(€'000)
Counterparty risk
EAD AMOUNT
WEIGHTED AMOUNT
EAD AMOUNT
WEIGHTED AMOUNT
06.30.2014
06.30.2014
03.31.2014
03.31.2014
Standardized approach
- derivatives contracts and long settlement transactions
13,016,689
2,207,782
12,103,265
2,194,022
- SFT transactions
5,570,069
1,131,889
7,313,774
1,751,403
- contractual cross product netting
1,122,076
87,589
715,336
78,575
- derivatives contracts and long settlement transactions
12,964,876
5,975,903
13,114,144
5,112,980
- SFT transactions
18,161,743
687,406
16,101,848
687,955
959,003
727,413
941,618
704,397
IRB approach
- contractual cross product netting
(€ '000)
Regulatory trading portfolio: end of period notional amounts
AMOUNTS AS AT
DERIVATIVE INSTRUMENT TYPES/UNDERLYINGS
1. Debt securities and interest rate indexes
a) Options
b) Swap
c) Forward
d) Futures
06.30.2014
AMOUNTS AS AT
12.31.2013
OVER THE COUNTER
CLEARING HOUSE
OVER THE COUNTER
CLEARING HOUSE
1,987,065,805
104,924,786
2,113,766,156
73,125,780
295,852,050
29,774,000
323,471,637
25,668,000
1,582,648,381
4,312
1,651,840,689
220,631
50,891,060
1,900,856
53,248,036
1,979,372
45,257,777
-
73,245,618
26,710
57,674,314
-
85,179,084
-
143,386,736
35,112,803
108,813,605
31,150,057
118,414,486
29,384,716
94,537,276
24,068,811
10,415,000
450,000
11,559,000
398,000
c) Forward
265,001
-
387,000
-
d) Futures
-
5,276,733
65
6,683,242
e) Others
2. Equity instruments and stock indexes
a) Options
b) Swap
e) Others
3. Gold and currencies
a) Options
14,292,249
1,354
2,330,264
4
542,206,425
164,836
559,289,111
75,251
28,283,626
-
27,219,562
-
b) Swap
225,094,401
-
218,399,350
-
c) Forward
287,894,142
-
313,151,840
-
d) Futures
-
164,836
-
75,251
e) Others
4. Commodities
5. Other underlyings
Total
934,256
-
518,359
-
3,488,814
982,000
3,204,261
756,000
1,280,387
-
1,463,710
-
2,677,428,167
141,184,425
2,786,536,843
105,107,088
The above table shows the notional amounts of derivative instruments classified in the regulatory trading book in the separate financial statements of the companies
included in the Banking Group.
DISCLOSURE BY INSTITUTIONS
232
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Credit Risk
Banking portfolio: end of period notional amounts - Hedging derivatives
AMOUNTS AS AT
DERIVATIVE INSTRUMENT TYPES/UNDERLYINGS
06.30.2014
(€ '000)
AMOUNTS AS AT
12.31.2013
OVER THE COUNTER
CLEARING HOUSE
OVER THE COUNTER
CLEARING HOUSE
24,940,892
6,149,000
26,807,799
8,078,000
2,160,000
-
1,994,000
-
22,751,892
-
23,550,799
-
c) Forward
29,000
-
1,263,000
-
d) Futures
-
6,149,000
-
8,078,000
1. Debt securities and interest rate indexes
a) Options
b) Swap
e) Others
-
-
-
-
35,069,000
-
5,394,248
-
6,000
-
248
-
b) Swap
-
-
-
-
c) Forward
-
-
-
-
d) Futures
-
-
-
-
35,063,000
-
5,394,000
-
6,104,508
-
7,814,228
-
652,000
-
489,000
-
b) Swap
2,804,147
-
3,111,711
-
c) Forward
2,648,361
-
4,213,517
-
d) Futures
-
-
-
-
e) Others
-
-
-
-
4. Commodities
-
-
-
-
5. Other underlyings
-
-
-
-
66,114,400
6,149,000
40,016,275
8,078,000
2. Equity instruments and stock indexes
a) Options
e) Others
3. Gold and currency
a) Options
Total
The above table, which refers to the Banking Group, shows the notional amounts of hedging financial derivatives classified in the banking book.
Banking book: end of period notional amounts- Other derivatives
AMOUNTS AS AT
DERIVATIVE INSTRUMENT TYPES/UNDERLYINGS
(€ '000)
06.30.2014
AMOUNTS AS AT
12.31.2013
OVER THE COUNTER
CLEARING HOUSE
OVER THE COUNTER
CLEARING HOUSE
34,945,316
-
42,126,504
12,000
6,094,386
-
6,093,987
-
28,835,131
-
36,032,517
-
c) Forward
5,799
-
-
-
d) Futures
10,000
-
-
12,000
1. Debt securities and interest rate indexes
a) Options
b) Swap
e) Others
-
-
-
-
1,927,141
-
2,044,161
-
1,927,141
-
2,044,161
-
b) Swap
-
-
-
-
c) Forward
-
-
-
-
d) Futures
-
-
-
-
2. Equity instruments and stock indexes
a) Options
e) Others
-
-
-
-
788,145
-
1,805,247
-
-
-
60,006
-
18,283
-
336,433
-
c) Forward
769,862
-
1,408,808
-
d) Futures
-
-
-
-
e) Others
-
-
-
-
16,217
-
45,993
-
-
-
-
-
37,676,819
-
46,021,905
12,000
3. Gold and currency
a) Options
b) Swap
4. Commodities
5. Other underlyings
Total
The above table, which refers to the Banking Group, shows the notional amounts of financial derivatives recorded in the financial statements under “financial
assets/liabilities held for trading” included in the regulatory banking book.
233
I
Financial derivatives: gross positive fair value - breakdown by product
(€ '000)
POSITIVE FAIR VALUE
AMOUNTS AS AT
TRANSACTION TYPES/UNDERLYINGS
06.30.2014
AMOUNTS AS AT
12.31.2013
OVER THE COUNTER
CLEARING HOUSE
OVER THE COUNTER
CLEARING HOUSE
72,246,187
1,523,654
69,421,525
1,411,513
5,536,072
1,494,786
5,571,625
1,386,151
60,256,609
-
54,909,113
-
3,220,044
-
3,648,385
-
123,000
-
212,000
-
2,744,325
275
4,761,734
944
f) Futures
-
28,377
493
24,418
g) Others
366,137
216
318,175
-
1,001,181
-
877,452
-
19,000
-
16,000
-
582,294
-
466,443
-
9,597
-
30,229
-
-
-
-
-
10,290
-
22,780
-
f) Futures
-
-
-
-
g) Others
380,000
-
342,000
-
1,982,239
56
1,456,826
164
A. Regulatory trading portfolio
a) Options
b) Interest rate swaps
c) Cross currency swap
d) Equity swaps
e) Forward
B. Banking portfolio - Hedging derivatives
a) Options
b) Interest rate swaps
c) Cross currency swap
d) Equity swaps
e) Forward
C. Banking portfolio - other derivatives
a) Options
b) Interest rate swaps
c) Cross currency swap
d) Equity swaps
e) Forward
f) Futures
g) Others
Total
37,851
-
42,791
-
1,929,210
-
1,385,106
-
4,517
-
3,537
-
-
-
-
-
10,642
-
25,392
-
19
-
-
79
-
56
-
85
75,229,607
1,523,710
71,755,803
1,411,677
The above table shows a breakdown of gross positive fair values by product type and the classification in the banking or trading book in the separate financial
statements of the companies included in the Banking Group.
DISCLOSURE BY INSTITUTIONS
234
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Credit Risk
Financial derivates: gross negative fair value - breakdown by product
(€ '000)
NEGATIVE FAIR VALUE
AMOUNTS AS AT
PORTFOLIOS/DERIVATIVE INSTRUMENT TYPES
A. Regulatory trading portfolio
a) Options
b) Interest rate swaps
c) Cross currency swap
d) Equity swaps
e) Forward
f) Futures
g) Others
B. Banking portfolio - Hedging derivatives
a) Options
06.30.2014
AMOUNTS AS AT
12.31.2013
OVER THE COUNTER
CLEARING HOUSE
OVER THE COUNTER
CLEARING HOUSE
68,075,165
1,411,092
66,182,149
1,287,293
7,085,374
1,376,534
7,002,812
1,236,029
54,621,805
-
50,519,764
-
3,833,239
-
4,041,470
-
139,000
1,000
219,000
1,000
2,333,722
477
4,336,995
581
-
33,081
493
49,683
62,025
-
61,615
-
1,436,849
-
1,423,656
-
37,108
-
50,176
-
1,240,689
-
1,149,912
-
149,156
-
154,805
-
-
-
-
-
9,896
-
68,763
-
f) Futures
-
-
-
-
g) Others
-
-
-
-
1,257,386
2
1,172,523
83
b) Interest rate swaps
c) Cross currency swap
d) Equity swaps
e) Forward
C. Banking portfolio - Other derivatives
a) Options
b) Interest rate swaps
c) Cross currency swap
d) Equity swaps
e) Forward
f) Futures
g) Others
Total
99,693
-
127,279
-
1,133,889
-
1,026,998
-
21,717
-
9,660
-
-
-
-
-
2,068
-
8,586
-
19
-
-
79
-
2
-
4
70,769,400
1,411,094
68,778,328
1,287,376
The above table shows a breakdown of gross negative fair values by product type and the classification in the banking or trading book in the separate financial
statements of the companies included in the Banking Group.
235
I
OTC Financial derivatives: regulatory trading portfolio - notional amounts, positive and
negative gross fair value by counterparty - contracts not included in netting
agreement
AMOUNTS AS AT
CONTRACTS NOT INCLUDED IN NETTING
AGREEMENT
(€ '000)
06.30.2014
GOVERNMENTS
AND CENTRAL
BANKS
OTHER PUBLICSECTOR
ENTITIES
BANKS
FINANCIAL
COMPANIES
INSURANCE
COMPANIES
NON-FINANCIAL
COMPANIES
OTHER ENTITIES
1) Debt securities and interest rate
indexes
- notional amount
539,228
24,758,011
58,796,383
87,392,945
12,130,458
34,592,322
2,713,543
- positive fair value
241
1,592,453
1,112,180
3,131,760
54,370
2,020,801
94,503
- negative fair value
85
826,498
1,822,513
3,201,209
24,922
51,119
1,965
246
283,426
398,119
373,436
13,409
281,658
3,718
- notional amount
-
140,000
104,543,972
447,328
97,960
1,095,198
1,124,291
- positive fair value
-
19,000
339,550
38
1,000
4,151
4,807
- negative fair value
-
-
35,910
29,098
1,252
12,461
17,097
- future exposure
-
8,000
7,286,000
31,001
4,414
12,143
12,007
- future exposure
2) Equity instruments and stock
indexes
3) Gold and currencies
- notional amount
2,460,472
822,404
18,437,453
6,101,301
149,515
15,263,818
2,344,685
- positive fair value
56,847
4,080
249,508
111,848
2,029
385,208
32,663
- negative fair value
11,865
158,101
373,074
280,020
4,028
194,761
11,515
- future exposure
17,998
50,259
379,717
112,586
1,669
290,087
7,532
- notional amount
-
11,000
565,213
782,359
3,000
411,444
79,770
- positive fair value
-
-
8,278
1,000
-
14,644
30
- negative fair value
-
-
18,140
4,000
-
12,851
1,374
- future exposure
-
1,000
45,067
50,000
-
31,098
684
4) Other instruments
The above table refers to the Banking Group only and does not include derivative contracts listed on markets whose functioning protects participants against
counterparty risk.
DISCLOSURE BY INSTITUTIONS
236
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Credit Risk
OTC Financial Derivatives: Regualatory trading portfolio - notional amounts, positive and
negative gross fair value by counterparty - contracts included in netting agreement
AMOUNTS AS AT
(€’000)
06.30.2014
GOVERNMENTS
AND CENTRAL
BANKS
OTHER PUBLICSECTOR
ENTITIES
BANKS
FINANCIAL
COMPANIES
INSURANCE
COMPANIES
NON-FINANCIAL
COMPANIES
OTHER ENTITIES
- notional amount
40,412
16,612,129
727,898,151
978,092,229
5,048,982
38,163,013
288,000
- positive fair value
14,744
823,669
33,159,560
21,457,736
68,110
1,157,425
26,000
- negative fair value
-
536,664
31,975,235
20,533,043
447,158
506,193
-
- notional amount
-
21,000
25,831,000
9,602,000
392,987
91,000
-
- positive fair value
-
-
716,000
157,000
2,000
1,000
-
- negative fair value
-
3,000
1,109,000
332,000
9,519
31,000
-
- notional amount
1,445,562
2,064,000
403,523,590
46,854,916
1,750,051
40,915,661
73,000
- positive fair value
107,526
1,000
3,990,752
495,816
8,416
727,084
15,000
- negative fair value
1,001
12,000
4,225,070
572,408
8,866
602,210
-
- notional amount
-
-
895,000
267,749
-
1,753,666
-
- positive fair value
-
-
27,000
7,445
-
41,915
-
- negative fair value
-
-
25,000
10,864
-
41,354
-
CONTRACTS INCLUDED IN NETTING
AGREEMENT
1) Debt securities and interest rate
indexes
2) Equity instruments and stock indexes
3) Gold and currencies
4) Other instruments
The above table refers to the Banking Group only and does not include derivative contracts listed on markets whose functioning protects participants against
counterparty risk.
237
I
OTC Financial derivatives: banking portfolio - notional amounts, positive s
and negative gross fair value by counterparty - contracts not included in netting
agreement
AMOUNTS AS AT
(€ '000)
06.30.2014
GOVERNMENTS
AND CENTRAL
BANKS
OTHER PUBLICSECTOR
ENTITIES
BANKS
FINANCIAL
COMPANIES
INSURANCE
COMPANIES
NON-FINANCIAL
COMPANIES
OTHER ENTITIES
- notional amount
5,000,000
4,000
19,212,153
13,222,040
438,000
314,127
578,087
- positive fair value
1,731,811
-
286,874
129,091
6,000
51,510
4,718
-
-
877,041
424,849
-
65,155
11,485
60,000
-
57,672
73,726
7,000
18,060
912
- notional amount
-
-
35,275,395
65,128
-
65,087
1,587,489
- positive fair value
-
-
378,397
5
-
-
-
- negative fair value
-
-
7,697
-
-
5
76,956
- future exposure
-
-
2,492,294
5,205
-
4
813
- notional amount
-
-
3,977,080
1,686
-
36,631
-
- positive fair value
-
-
28,824
3
-
6,594
-
- negative fair value
-
-
128,714
-
-
36,903
-
- future exposure
-
-
129,608
17
-
26,238
-
- notional amount
-
-
8,217
-
-
-
8,000
- positive fair value
-
-
62
-
-
220
-
- negative fair value
-
-
-
-
-
-
62
- future exposure
-
-
36
-
-
-
36
CONTRACTS NOT INCLUDED IN NETTING
AGREEMENT
1) Debt securities and interest rate
indexes
- negative fair value
- future exposure
2) Equity instruments and stock
indexes
3) Gold and currencies
4) Other instruments
The above table refers to the Banking Group only and does not include derivative contracts listed on markets whose functioning protects participants against
counterparty risk.
OTC Financial derivatives: banking portfolio - notional amounts, positive
and negative gross fair value by counterparty - contracts included in netting
agreements
AMOUNTS AS AT
(€ '000)
06.30.2014
GOVERNMENTS
AND CENTRAL
BANKS
OTHER PUBLICSECTOR
ENTITIES
BANKS
FINANCIAL
COMPANIES
INSURANCE
COMPANIES
NON-FINANCIAL
COMPANIES
OTHER ENTITIES
- notional amount
-
74,000
18,200,543
2,516,219
-
327,038
-
- positive fair value
-
5,000
313,708
23,668
-
6,253
-
- negative fair value
-
1,000
615,342
354,936
-
68,382
-
- notional amount
-
-
42
-
-
3,000
-
- positive fair value
-
-
-
-
-
2,000
-
- negative fair value
-
-
-
-
-
-
-
- notional amount
-
-
2,238,256
180,000
-
459,000
-
- positive fair value
-
-
1,682
-
-
7,000
-
- negative fair value
-
-
18,705
5,000
-
2,000
-
- notional amount
-
-
-
-
-
-
-
- positive fair value
-
-
-
-
-
-
-
- negative fair value
-
-
-
-
-
-
-
CONTRACTS INCLUDED IN NETTING
AGREEMENT
1) Debt securities and interest rate
indexes
2) Equity instruments and stock indexes
3) Gold and currencies
4) Other instruments
The above table refers to the Banking Group only and does not include derivative contracts listed on markets whose functioning protects participants against
counterparty risk.
DISCLOSURE BY INSTITUTIONS
238
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Credit Risk
(€ '000)
Credit derivatives: end of period notional amounts
REGULATORY TRADING PORTFOLIO
BANKING PORTFOLIO
WITH A SINGLE
COUNTERPARTY
WITH MORE THAN ONE
COUNTERPARTY
(BASKET)
WITH A SINGLE
COUNTERPARTY
WITH MORE THAN ONE
COUNTERPARTY
(BASKET)
a) Credit default products
20,831,000
21,881,000
480,100
-
b) Credit spread products
-
-
-
-
c) Total rate of return swap
-
-
-
-
1,874,000
2,471,000
5,000
-
TRANSACTION
CATEGORIES
1. Protection buyer's contracts
d) Other
Amounts as at
06.30.2014
22,705,000
24,352,000
485,100
-
Amounts as at
12.31.2013
28,560,000
26,150,400
426,100
-
a) Credit default products
22,514,000
22,939,000
100,000
-
b) Credit spread products
13,491
-
-
-
-
-
-
-
524,000
1,174,000
-
-
23,051,491
27,556,269
24,113,000
27,111,000
100,000
100,000
-
2. Protection seller's contracts
c) Total rate of return swap
d) Other
Amounts as at
Amounts as at
06.30.2014
12.31.2013
The above table shows the notional amounts of credit derivatives in accordance with the classification in the regulatory trading or banking book in the separate financial
statements of the companies included in the Banking Group.
(€ '000)
Credit derivatives: gross positive fair value - breakdown by product
POSITIVE FAIR VALUE
PORTFOLIOS/DERIVATIVE INSTRUMENT TYPES
A. Regulatory trading portfolio
a) Credit default products
b) Credit spread products
c) Total rate of return swap
d) Others
B. Banking portfolio
a) Credit default products
b) Credit spread products
c) Total rate of return swap
d) Others
Total
AMOUNTS AS AT
AMOUNTS AS AT
06.30.2014
1,139,473
982,000
2,473
155,000
1,139,473
12.31.2013
1,054,221
987,147
2,074
3,000
62,000
1,199
1,199
1,055,420
The above table shows a breakdown of gross positive fair values by product type and the classification in the banking or trading book in the separate financial
statements of the companies included in the Banking Group.
239
I
(€ '000)
Credit derivatives: gross negative fair value - breakdown by product
NEGATIVE FAIR VALUE
PORTFOLIOS/DERIVATIVE INSTRUMENT TYPES
A. Regulatory trading portfolio
a) Credit default products
b) Credit spread products
c) Total rate of return swap
d) Others
B. Banking portfolio
a) Credit default products
b) Credit spread products
c) Total rate of return swap
d) Others
Total
AMOUNTS AS AT
AMOUNTS AS AT
06.30.2014
1,077,919
941,000
919
136,000
9,410
9,384
26
1,087,329
12.31.2013
1,069,107
1,033,000
1,107
35,000
10,879
10,824
55
1,079,986
The above table shows a breakdown of gross negative fair values by product type and the classification in the banking or trading book in the separate financial
statements of the companies included in the Banking Group.
DISCLOSURE BY INSTITUTIONS
240
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Credit Risk
OTC Credit derivatives: gross FV (positive and negative) by counterpart
- contracts not in netting agreement
AMOUNTS AS AT
CONTRACTS NOT INCLUDED IN NETTING
AGREEMENT
Regulatory trading portfolio
1) Protection purchase
- notional amount
- positive fair value
- negative fair value
- future exposure
2) Protection sale
- notional amount
- positive fair value
- negative fair value
- future exposure
Banking portfolio
1) Protection purchase
- notional amount
- positive fair value
- negative fair value
2) Protection sale
- notional amount
- positive fair value
- negative fair value
GOVERNMENTS
AND CENTRAL
BANKS
OTHER PUBLICSECTOR
ENTITIES
-
06.30.2014
BANKS
FINANCIAL
COMPANIES
INSURANCE
COMPANIES
NON-FINANCIAL
COMPANIES
OTHER ENTITIES
-
4,345,000
115,000
81,000
346,000
-
-
-
-
-
-
1,711,491
42,473
55,919
147,000
-
-
-
-
-
-
-
-
-
-
5,000
26
-
-
-
-
-
-
-
The above table refers to the Banking Group only and does not include derivative contracts listed on markets whose functioning protects participants against
counterparty risk.
OTC Credit derivatives: gross FV (positive and negative) by counterpart contracts in netting agreement
AMOUNTS AS AT
(€ '000)
06.30.2014
GOVERNMENTS
AND CENTRAL
BANKS
OTHER PUBLICSECTOR
ENTITIES
BANKS
FINANCIAL
COMPANIES
INSURANCE
COMPANIES
NON-FINANCIAL
COMPANIES
OTHER ENTITIES
- notional amount
- positive fair value
- negative fair value
2) Protection sale
-
-
29,899,000
81,000
638,000
12,813,000
51,000
157,000
-
-
-
- notional amount
- positive fair value
- negative fair value
Banking portfolio
1) Protection purchase
-
-
27,603,000
575,000
93,000
17,850,000
275,000
53,000
-
-
-
- notional amount
- positive fair value
- negative fair value
2) Protection sale
-
-
392,100
5,384
88,000
3,000
-
-
-
- notional amount
- positive fair value
- negative fair value
-
-
75,000
1,000
25,000
-
-
-
-
CONTRACTS INCLUDED IN NETTING
AGREEMENT
Regulatory trading portfolio
1) Protection purchase
-
The above table refers to the Banking Group only and does not include derivative contracts listed on markets whose functioning protects participants against
counterparty risk.
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I
OTC Financial and credit derivatives: net fair value and future exposure by counterparty
AMOUNTS AS AT
1) Netting agreements related to
Financial Derivatives
- positive fair value
- negative fair value
- future exposure
- net counterparty risk
2) Netting agreements related to Credit
Derivatives
- positive fair value
- negative fair value
- future exposure
- net counterparty risk
3) Cross Product netting agreements
- positive fair value
- negative fair value
- future exposure
- net counterparty risk
(€ '000)
06.30.2014
GOVERNMENTS
AND CENTRAL
BANKS
OTHER PUBLICSECTOR
ENTITIES
BANKS
FINANCIAL
COMPANIES
INSURANCE
COMPANIES
NON-FINANCIAL
COMPANIES
OTHER
ENTITIES
122,269
1,506
123,775
69,704
37,698
14,112
83,816
2,876,114
2,318,277
2,261,831
5,044,362
415,526
754,111
1,827,126
2,224,883
17,580
42,597
6,609
24,174
757,620
292,889
185,291
983,135
-
-
-
-
-
-
-
-
488
3,988
283,439
98,439
449,888
8,397,477
8,330,377
762,854
6,645,858
1,859,655
1,479,834
181,033
2,633,027
52,707
445,411
1,343
97,429
1,065,910
635,435
123,225
1,772,154
56,195
323
75
63,445
DISCLOSURE BY INSTITUTIONS
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Market Risks
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DISCLOSURE BY INSTITUTIONS
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Market Risks
Market Risks
Market risk derives from the effect that changes in market variables (interest rates, securities prices, exchange rates, etc.)
can cause to the economic value of the Group’s portfolio, including the assets held both in the trading book, as well as those
posted in the banking book, both on the operations characteristically involved in commercial banking and in the choice of
strategic investments. Market risk management within the UniCredit Group accordingly includes all activities related to cash
transactions and capital structure management, both for the Parent company, as well as for the individual companies making
up the Group.
The current organizational model guarantees the ability to steer, to coordinate and to control the activities of some
aggregated risks (so-called Portfolio Risks), through dedicated responsibility centers (Portfolio Risk Managers), completely
focused and specialized on such risks, under a Group and interdivisional perspective.
According to this organization, the structure at first level of reporting to “Group Risk Management”, dedicated to market risk
governance is the “Group Financial Risk” department.
Risk Management Strategies and Processes
The Parent Company’s Board of Directors lays down strategic guidelines for taking on market risks by calculating capital
allocation for the Parent company and its subsidiaries, depending on risk appetite and value creation objectives in proportion
to risks assumed.
In addition to the Group Risk Committee, with reference to the management of Market Risks, the responsible Committees
are:
•
Group Market Risk Committee;
•
Group Assets & Liabilities Committee.
The “Group Market Risk Committee” is responsible for monitoring market risks at Group level, for evaluating the impact of
transactions – approved by the competent bodies – significantly affecting the overall Market Risk portfolio profile, for
submitting to the “Group Risk Committee” – for approval or information – market risk strategies, policies, methodologies and
limits as well as regular reporting on the market risk portfolio.
The Committee is also responsible for ensuring consistency in market risk policies, methodologies and practices across
Divisions, Business Units and Legal Entities. It controls and monitors the Group market risk portfolio.
The “Group Assets and Liabilities Committee” is responsible for monitoring liquidity risk, Banking Book interest rate and FX
risks, submitting to the “Group Risk Committee”, for either approval or information, the strategies for assets and liabilities
management – including duration profile at Group level – the overall overview of the Group ALM positioning, as well as
strategies, policies, methodologies and limits for liquidity, Banking Book interest rate and FX risks.
The Committee is responsible for ensuring consistency in liquidity, Banking book interest rate and FX risk policies,
methodologies and practices across Regional Liquidity Centers, Divisions, Business Units and Legal Entities, with the
objective to optimize the utilization of financial resources such as liquidity and capital and to reconcile the demand for them
with business strategies across the Group. Moreover, it monitors the evolution of assets and liabilities of the whole Group and
the execution of the funding plan. It analyses the impact of interest rate movements, liquidity constraints and foreign
exchange exposures.
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Trading Book
The Trading Book includes the positions in financial instruments and commodities held either with trading intent or in order to
hedge other elements of the Trading Book itself. To be eligible for Trading Book capital treatment, in accordance with the
current policy “Eligibility Criteria for the Regulatory Trading Book assignment”, financial instruments must either be free of any
restrictive covenants on their tradability or able to be hedged completely. In addition, positions should be frequently and
accurately valued, and the portfolio should be actively managed.
The risk that the value of a financial instrument (an asset or a liability, cash or derivative) changes over time is determined by
the following five standard market risk factors:
•
Credit risk: the risk that the value of the instrument decreases due to credit spreads changes;
•
Equity risk: the risk that the value of the instrument decreases due to stock or index prices changes;
•
Interest rate risk: the risk that the value of the instrument decreases due to interest rates changes;
•
Currency risk: the risk that the value of the instrument decreases due to foreign exchange rates changes;
•
Commodity risk: the risk that the value of the instrument decreases due to commodity prices (e.g. gold, crude oil)
changes.
UniCredit group manages and monitors market risk through two sets of measures:
•
Global Market Risk measures:
o
Value at Risk (VaR), which represents the potential loss in value of a portfolio over a defined period for a
given confidence interval;
o
Stressed VaR (SVaR), which represents the potential VaR of a portfolio subject to a continuous 12-month
period of significant financial stress;
o
Incremental Risk Charge (IRC), which represents the amount of regulatory capital aimed at addressing
the credit shortcomings (rating migration and default risks) that can affect a portfolio in a defined time
period for a given confidence interval;
o
Loss Warning Level (LWL), which is defined as the 60 days rolling period accumulated economic P&L of
a risk taker;
o
Combined Stress Test Warning Level (STWL), which represents the potential loss in value of a portfolio
calculated on the basis of a distressed scenario.
•
Granular Market Risk measures:
o
Sensitivities, which represent the change in the market value of a financial instrument due to moves of
the relevant market risk factors.
On the basis of these measures, two sets of limits are defined:
•
Global Market Risk limits (Loss Warning Levels, Combined Stress Test Warning Level, VaR, SVaR, IRC): which
are meant to establish a boundary to the economic capital absorption and to the economic loss accepted for
activities under trading activities regime; these limits have to be consistent with the assigned budget of revenues
and the defined risk taking capacity;
•
Granular Market Risk limits (Sensitivity limits, Stress scenario limits, Nominal limits): which exist independently of,
but act in concert with Global Market Risk limits and operate in a consolidated fashion across the Legal Entities (if
applicable); in order to control more effectively and more specifically different risk types, desks and products, these
limits are generally granular sensitivity or stress-related limits. The levels set for Granular Market Risk measures
aim at limiting the concentration in individual risk factors and the excessive exposure in risk factors which are not
sufficiently covered under VaR.
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Market Risks
Banking Book
The main components of market risk in the banking book are credit spread risk, pure interest rate risk and FX risk.
Credit spread risk originates mainly from government bond portfolios held for liquidity purposes. The market risk of the bond
portfolio is restricted based on notional, sensitivity measures and Value at Risk. The main credit spread exposure is related to
Italian sovereign risk in the Italian perimeter.
The second risk type, interest rate risk, is managed with the objective to stabilize Net Interest Income. The exposure is
measured in terms of economic value sensitivity and the net interest income sensitivity. On a daily basis the treasury
functions manages the interest rate risk from commercial transactions within operational limits set by the relevant risk
committees. The exposure is measured and monitored on a daily basis by the risk management functions. The Asset &
Liability Committee is responsible for the interest rate strategy for the strategic position. This includes the decision of investing
the net position of non interest earning assets and non-interest bearing liabilities. A strategy is applied to minimize the risk on
the net interest income for the bank. This implies that investments are made following a replicating profile for free equity,
where the choice for the exact maturity profile is decided by the Asset and Liability Committee. Also for the investments of
sight items the strategy is to stabilize net interest income by investing at longer maturities. This holds for all regional centres.
The Asset and Liability management committees decide on the maturity profile that is deemed most appropriate to protect the
bank’s net interest income. The maturity profile for sight items, as well as the investment strategies, vary per regional centres,
as they takes into account local specificities.
The interest rate management strategy takes into account the main impact from prepayments. This aspect is mainly relevant
for the Italian and German mortgage portfolio. Based on historical prepayment data as well as trend analysis the prepayment
behavior is estimated. The estimated impact is hedged. For the Italian mortgages the expected prepayment pattern forms the
basis for hedging the prepayment impact. The convexity risk due to the uncertainty in the prepayments is evaluated through
scenario analysis. The prepayment risk in the German mortgage portfolio is smaller due to the fees in case of early
prepayment. However the estimated prepayment exposure is fully hedged by swaptions. The prepayment risk in the Austrian
and Polish loan portfolio is deemed residual; therefore no prepayment hedging strategy is applied.
The overall interest risk exposure on Banking Book perimeter is periodically reported, at least on a monthly basis, to the
Group ALCO. The committee’s involvement in interest rate risk management includes:
•
limit setting and monitoring;
•
hedge strategies;
•
guidelines and policies;
•
setting and monitoring on the funds transfer pricing decisions;
•
definition of risk methodologies and measurement.
It should be noted that the Group ALCO sets the guidelines and Risk Framework for the Regional Centres. Their ALCOs fill in
the process for their perimeter, while the Group ALCO monitors the overall position.
Risk Management proposes the limits that require approval from the Group Risk Committee.
A third risk type is FX risk. The sources of this exposure refer mainly to capital investment in foreign currency. The current
strategy is not to hedge the capital. The general policy is to hedge the foreign currency exposure related to dividends and
P&L taking into account hedging cost and market circumstances. The exposure is most relevant for Pekao and the CEE
subsidiaries. The FX exposure is hedged using forwards and options that are classified as trading book. This general rule is
valid for the Parent Company and Sub-holdings. The hedge strategy is reviewed by the relevant risk committees on a periodic
basis.
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Structure and Organization
During the second quarter of 2013, in order to create a single reference point for the management of UniCredit Group
financial risks and to ensure a more efficient steering, coordination and control through a single organizational structure, the
“Group Financial Risk” department has been created, with direct report to “Group Risk Management” department.
The “Group Financial Risk” is responsible for the government and control of Group financial risks (liquidity, interest rate,
market, counterparty and trading credit18 risks) through the evaluation of strategies and the proposal to relevant Bodies of
risk limits and Global/Local rules. The department is also responsible for the managerial coordination of the corresponding
functions of Regional Centers (RCs), according to “GMGR19” and “GMGR Evolution”, and for providing decisions and Non
Binding Opinions (NBO), when specifically required, for all financial risks of the Group.
In addition, the “Group Financial Risk” department is responsible for the definition, set up and maintenance of Group
methodologies and architectures for the measurement and control of financial risks and practices for Market Data Reference
and Fair Value of financial instruments. The department ensures the compliance of the Financial Risk Management
framework with regulatory requirements.
In order to effectively manage Group financial risks, the new organizational structure includes the following units:
•
“Group Market & Trading Credit Risk Management” department, responsible for the governance and control of
Group’s market, trading credit and collateral risks, in charge of the following activities:
o
define Group market and trading credit risk management framework to be implemented by RCs;
o
ensure that counterparty and issuer risk strategies are integrated in the Group credit risk strategy and
into the daily credit risk management processes of the RCs;
o
verify the sound implementation of market, counterparty and issuer risk framework and processes in the
RCs;
o
steer the market and traded credit risk management of the RCs and ensuring a consistent Group-wide
approach;
o
monitor the coherence of business strategy with the market risk strategy.
The department includes:
o
“Market Risk Management” unit, responsible for market risk management at consolidated level and in
charge of these activities:

coordinate the market risk identification process of the RCs and ensure the consistency with
regulatory standards;

propose the Group market risk strategy and translate the strategy into the set up and allocation
of global and granular limits at Group and RCs level;

assess market risk for new products and formulate NBOs on the issuance of such products for
RCs;

control risks not included in internal models in cooperation with “Group Risk Methodologies &
Architecture” unit;

verify the compliance of front office activity with Group market risk strategy through the
analysis of P&L explanation and attributions and the daily supervision of the limits monitoring
activity performed by RCs’ market risk control functions, with the activation, in case of limit
breach, of the escalation process and the definition of correct mitigation actions to be taken.
o
“Portfolio Market Risk Management” unit, responsible for stress testing, monitoring and reporting of
market risk profiles and limits, with the following activities:

coordinate the Group market risk stress test program to be implemented by RCs and ensure
that it includes all material market risks of the Group;

perform stress testing for market risk at Group level, evaluating Group capacity to absorb
market risk losses and opportunities to reduce risk;

produce market risk reports in order to provide an updated view of market risks at Group level,
both in normal and stressed scenarios, in compliance with the requirements set by the “Group
Financial Risk Standard & Practice” unit;

provide the relevant functions with the adequate information on Group market risk and ensure
they are consistently integrated in Group capital planning and in all regulatory disclosures
(ICAAP, Basel II Pillar III disclosures, notes to Financial Statements).
18 I.e. Pre-settlement, Settlement, Money Market and Issuer Risk
19 Group Managerial Golden Rules
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Market Risks
•
•
249
“Group Price Control” team, responsible for Group-wide Market Data Reference and Fair Value framework for
marking books and records. In particular, the team is responsible for the following activities:
o
define, set up and update Market Data Reference framework for the end-of-day market data assignment
and Fair Value framework for the valuation of financial instruments for marking purposes, the latter in
cooperation with “Group Risk Methodologies & Architecture” unit;
o
define the Group-wide Independent Price Verification (IPV) and Fair Value Adjustments (FVA) activities
(for example: cooperation with competence centers and PF&A department, reporting);
o
verify the correct implementation and output quality of the above mentioned frameworks in the RCs and
the congruity of the valuation criteria;
o
define, set up and update market conformity checks;
o
perform second level controls, for its area of competence, on money market rates contribution and FTP
and end of day market data validation, market conformity checks, IPV and FVA processes for the RC
Italy;
o
support UniCredit S.p.A, for the Country Chairman Italy perimeter, in the activities related to the
enforcement of the MiFID application;
o
define and monitor risk limits and autonomy levels on portfolio models and building blocks used for
management of segregated accounts and verify their allocation with respect to the investment strategies;
o
deliver the results of the monitoring activity to the Group Investment Committee and to the Board of
Directors/CEO;
o
assess portfolio models and building blocks’ performance data calculated by “Global Investment Strategy
(GIS)” department;
o
provide, or approve if proposed by “Global Investment Strategy” (GIS) or “Investment Products Italy”
department, the asset classification for financial instruments in the “Common Instrument Classification”
(CIC) Management System.
“Group Risk Methodologies & Architecture” unit, responsible for the methodologies and architecture at Group level
for market, counterparty, interest rate and liquidity risks, through the following activities:
o
define, set up and update the financial risk measurement, management and stress testing methodologies
(e.g. VaR, SVaR, IRC, CCR, EPE, CBC);
o
analyze and review of the models developed by “Planning, Finance & Administration” department, used
for management and control of the balance sheet and liquidity risk;
o
develop prototypes for new financial risk management models and financial risk management and
reporting applications;
o
define, set up and update the methodologies for Independent Price Verification (IPV) and Fair Value
Adjustments (FVA), in cooperation with “Group Price Control” team;
o
manage the regulatory approval and review process for financial risks management models, addressing
“Group Internal Validation” department and “Internal Audit” department recommendations related to such
models;
o
coordinate the Group-wide models’ and architectures rollout and maintenance within the various RCs,
verifying their correct implementation and output quality;
o
develop risk metrics for those risks not correctly captured by internal models in cooperation with the
“Market Risk Management” unit;
o
support the competent functions in the measurement and analysis of counterparty, liquidity, interest rate
and market risk economic capital for regulatory ICAAP process, strategic planning and budgeting
process;
o
support, in cooperation with the “CIB Division” and “PF&A” department, the competent functions in order
to identify and exploit capital optimization opportunities;
o
analyze Front Office developed models used for marking P&L, review their adequacy on an on-going
basis and assess, in cooperation with “Group Price Control” team, the related model risk to quantify Fair
Value Adjustments;
o
define, set up and update the Group-wide financial risks management and Front Office reference market
data (i.e. EOD, IPV, FVA, conformity checks) architectures;
o
source, validate and supply market parameters for financial risks management models;
o
support the “Group Market & Trading Credit Risk Management” department by configuring Group-wide
stress test scenarios into the Group-wide risk measurement systems;
o
maintain and monitor the performance of the Group-wide financial risks models, including back testing
results carried out by the RCs and at a consolidated level, in cooperation with “Market Risk Validation”
unit.
I
•
•
•
“Financial Risk Italy” unit, responsible for the independent control of liquidity, interest rate, market, counterparty,
trading credit and collateral risks at RC Italy level as well as for carrying out the stress tests required. In particular,
the unit is responsible for the following activities:
o
propose, in cooperation with the Group function, the setting and allocation for the RC Italy of market,
interest rate and liquidity risk limits, monitoring breaches and evaluating also countermeasures/mitigation
actions to be taken;
o
verify the consistency of Front Office activity with the market risk strategy;
o
perform exposure validation, credit lines monitoring, overnight and intra-day overdraft management for
RC Italy trading credit and collateral risks, on FIBS counterparties;
o
produce relevant reporting at RC Italy level;
o
perform stress test program defined at Group level on RC Italy level for market, liquidity, trading credit
and collateral risks and relevant internal models maintenance and back-testing for the RC Italy;
o
monitor collateral management relating to derivative products and securities financing transactions with
FIBS counterparties at RC Italy level;
o
assess financial risks pertaining to new products in RC Italy and provide an opinion on the issuance of
such products;
o
limit monitoring in terms of mark up and hedging cost for corporate treasury sales business;
o
perform largest 50 exposure plausibility checks on exposure data for RC Italy according to the required
data model, for weekly and monthly official reporting to the Bank of Italy, for trading credit and collateral
risks;
o
perform second level controls, for its area of competence, on money market rates contribution and FTP,
as indicated by internal processes and regulation in force.
“Group Financial Risk Standard & Practice” unit, responsible for Global Policies and for the financial risk reporting
coherence and coordination across the Group. In detail, the unit is in charge of the following activities:
o
issue Global Policies in cooperation with the “Group Financial Risk” department;
o
monitor the approval and the implementation of Global Policies on financial risks at local level with the
cooperation of Legal Entities competent functions; these functions guarantee the implementation of local
Policies in accordance to Global Policies;
o
verify the approval and the implementation at local level of the Global Operational Instructions (GOI)
leveraging on Legal entities’ competent functions;
o
set the reporting standards for the “Group Financial Risk” department, managing documentation to
Group Committees identifying roles and responsibilities;
o
track and coordinate activities related to “Group Financial Risk” department Audit findings;
o
act as interface with Regulators/Management/relevant Bodies for the “Group Financial Risk” department,
in coordination with Group and department's structures.
“Group Liquidity and Interest Rate Risk Management” unit, responsible for the independent control of interest rate
risks at Group level. Responsibilities include these activities:
o
propose to the competent Bodies the limits for managing balance sheet interest rate risks at Group level
and review the limits proposal at Regional Centre level;
o
perform controls, analysis and limits monitoring for balance sheet relevant risk factors at both Group and
Regional Centre level;
o
verify the correct implementation of balance sheet risks management processes in the Regional Centers;
o
define and coordinate scenario analysis for interest rate risk at both Group and Regional Centre level;
o
produce relevant reporting at Group level to competent Bodies and to Regulators when required, in
accordance to the standards and requirements set by the “Financial Risk Standard & Practice” unit.
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Market Risks
Risk measurement and reporting systems
Trading Book
During first half 2014, UniCredit Group continued to improve and consolidate market risk models in order to properly
measure, represent and control the Group risk profile. In the last three years, in compliance with Basel Committee regulations
and guidelines, state-of-the-art models for market risk measurement, such as Stressed VaR and Incremental Risk Charge,
have been developed for both capital charge calculation and managerial purposes.
The monitoring of the risk profiles was made even more effective with the introduction of individual granular risk limits, in
addition to VaR limits, in relation to primary investment banking operations.
Within the organizational context described above, the policy implemented by the UniCredit Group within the scope of market
risk management is aimed at the gradual adoption and use of common principles, rules and processes in terms of appetite for
risk, ceiling calculations, model development, pricing and risk model scrutiny.
The Group Financial Risk department is specifically required to ensure that principles, rules and processes are in line with
industry best practice and consistent with standards and uses in the various countries in which they are applied.
The main tool used by the UniCredit Group to measure market risk on trading positions is Value at Risk (VaR), calculated
using the historical simulation method. Further details on risk valuation models are included in the following chapter.
Market risk reporting standards are set by the Group Risk Committee under the proposal of the Market Risk function. Group
Financial Risk defines market risk reporting standards, both in terms of contents and recurrence, and provides timely
information to Top Management and regulators regarding the market risk profile on a consolidated level.
In addition to VaR and Basel II risk measures, stress tests represent an important risk management tool that provides
UniCredit with an indication of how much capital might be needed to absorb losses in case of large financial shocks. Stress
testing forms an integral part of the Internal Capital Adequacy Assessment Process (ICAAP), which requires UniCredit to
undertake rigorous, forward-looking stress testing that identifies possible events or changes in market conditions that could
adversely impact the bank.
Banking Book
The primary responsibility of the monitoring and control of the risk management for market risk in the Banking Book lies in the
Bank’s competent Bodies. For instance, the Parent Company is in charge of monitoring market risks for the Banking Book at
the consolidated level. As such, it defines structure, data and frequency of the necessary Group reporting.
The Banking Book interest rate risk measures cover both the value and net interest income risk aspects.
More precisely, the different, and complementary, perspectives involve:
•
Economic value perspective: variation in interest rates can affect the economic value of assets and liabilities. The
economic value of the bank can be viewed as the present value of the bank’s expected net cash flows, defined as
the expected cash flows on assets minus the expected cash flows on liabilities; a relevant risk measure from this
perspective is the economic value sensitivity per time bucket for a 1 bp rate shock. This measure is reported to the
relevant committees to assess the economic value impact of various changes in the yield curve. In addition the
economic value sensitivity for a 200 bps parallel shock is included. A monitoring variable from this perspective is
the value at risk resulting from interest rate risk exposure.
•
Income perspective: the focus of the analysis is the impact of changes of interest rates on accrual or reported Net
Interest Income that is the difference between revenues generated by interest sensitive assets and the cost related
to interest sensitive liabilities. An example of a measure of risks used is Net Interest Income sensitivity for a 100bp
parallel shock in rates. It provides an indication of the impact on the net interest income over the next 12 months if
such shock should occur. For these rate scenarios the 0% floor is taken into account for the downward shock in the
current low rate environment. Additional scenarios that are evaluated include steepening and flattening scenarios.
Next to the set of limits and warning levels for interest rate risk, restrictions and exposure measures are in place for other
market risk types such foreign exchange risk, equity risk, value risk due to credit spread fluctuations. Besides through
economic value sensitivity measures and other granular indicators, these risk types are captured in a value at risk measure
that includes all market risk factors. These value at risk measures are based on a historical simulation.
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Hedging policies and risk mitigation
Trading Book
On a quarterly basis a set of risk indicators is provided to the Group Risk Committee through the Enterprise Risk
Management Report and, on a monthly basis, to the Group Market Risk Committee through the Market Risk Overview report;
these include VaR, Stressed-VaR and IRC usages, Sensitivities and Stress Test results.
At the same time limit breaches are reported both to the Group Market Risk Committee and to the Group Risk Committee, the
escalation process being ruled by the Global Policy "Market Risk Limits" which defines the nature of the various
thresholds/limits applied, as well as the relevant bodies to involve to establish the most appropriate course of action to restore
exposure within the approved limits.
If required, focus is provided from time to time on the activity of a specific business line/desk in order to ensure the highest
level of comprehension and discussion of the risks in certain areas which are deemed to deserve particular attention.
Banking Book
The ALCO evaluates the main market risk drivers on a monthly basis. This committee decides on the strategy which aims to
stabilize the net interest income. Group Risk Management reports to the committee on the Banking Book risk measures both
from a value and income perspective. It proposes and monitors limits and warning levels that have been approved by the
relevant competent bodies.
Breaches of limits and warning levels are reported, upon occurrence, to the relevant bodies. Consequently the escalation
process is activated in line with the procedures set in the Policy, to establish the most appropriate course of action to restore
exposure within the approved limits.
Execution of structural hedges to mitigate the interest rate risk exposure on client business is responsibility of the treasury
functions. Strategic transactions in the banking book can be executed by the Asset and Liability Management department.
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Market Risks
Market Risks: exposure and use of internal
models
Internal Model for Price, Interest Rate and Exchange Rate
Risk of the Regulatory Trading Book
The policy implemented by the UniCredit Group within the scope of market risk management is aimed at the gradual adoption
and use of common principles, rules and processes in terms of appetite for risk, ceiling calculations, model development,
pricing and risk model scrutiny.
Group Financial Risk department is required to ensure that principles, rules and processes are in line with industry best
practice and consistent with standards and uses in the various countries in which they are applied.
The Directive 2010/76/EU (CRD III) introduced several improvements to the capital regime for trading book positions fully
incorporating the proposal from the Basel Committee. CRD III enhances the current value-at-risk (VaR) based framework with
other risk measures: an incremental risk capital charge (IRC) and a stressed value-at-risk (sVaR).
Incremental risk capital charge captures default risk as well as migration risk for unsecuritized credit products. Additional
capital charge for securitizations and credit products not covered by IRC is evaluated through the standardized approach. The
additional stressed VaR requirement is expected to help reduce the pro-cyclicality of the minimum capital requirements for
market risk.
UniCredit group calculates both VaR and sVaR for market risk on trading positions using the historical simulation method.
The historical simulation method revaluates daily positions on the basis of trends in market prices over an appropriate
observation period. The empirical distribution of profits/losses deriving therefrom is analyzed to determine the effect of
extreme market movements on the portfolios. For a given portfolio, probability and time horizon, VaR is defined as a threshold
value such that the probability that the mark-to-market loss on the portfolio over the given time horizon not exceeding this
value (assuming normal markets and no trading in the portfolio) has the given confidence level. The parameters used to
calculate the VaR are as follows: 99% confidence level; 1 day time horizon; daily update of time series; observation period of
500 days. Use of a 1-day time-horizon makes it possible to make an immediate comparison with profits/losses realized.
Analogously stressed VaR is calculated with 99% confidence level and 1 day time horizon on a weekly basis, but over a
stressed observation period of 250 days. The chosen historical period identifies the 1-year observation period which produces
the highest resulting measure for the current portfolio. Over the first half 2014 UCBA and UCB AG used the period from 15th
September 2008 to 31st August 2009 (Lehman crisis), while UCI SPA applied the stressed window from 11th July 2011 to 22nd
June 2012 (sovereign debt crisis).
Starting from June 2014, the SVAR window at Group level has been set to 11th July 2011 to 22nd June 2012 (sovereign debt
crisis).
For regulatory capital calculation the 1-day VaR and sVaR are properly scaled to a 10-days’ time horizon while the 1-day
measures are actively used for market risk management.
UniCredit group calculates IRC over a one-year capital horizon at 99.9% confidence level using a multivariate version of a
Merton-type model in which both migration and default events are accounted for. Default is indeed seen as a particular
migration to an absorbing state. Migration events are simulated on the capital horizon, taking into account the liquidity horizon
of individual positions. Also for first half 2014 a conservative liquidity horizon of one year has been applied to all positions.
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Group Internal Validation performed its analyses in order to evaluate the conceptual soundness of the IRC model, to
supplement the available analyses on that topic and to ensure the compliance of the resulting risk management environment
with all the relevant regulatory requirements and internal standards.
As already remarked by the regulation, traditional back testing procedures, regarding the 99.9% one-year soundness
standard for IRC, are simply not applicable. Consequently, while validation of the IRC model relied heavily on indirect
methods (including stress tests, sensitivity analysis and scenario analysis) in order to assess the qualitative and quantitative
reasonableness of the model, special focus has indeed been given to the specific situation of the UniCredit portfolios.
Group Internal Validation kept the scope of their analysis as wide as possible in order to comprise the many diverse issues
that are acting concurrently in such a model (general model design, regulatory compliance, numerical implementation,
outcomes explanation).
In particular, among the topics Group Internal Validation addressed, we should mention model parameterization (such as
credit migration matrices and their regularization to liquidity horizon shorter than one year, dependence structure, sensitivities
analysis with regard to the most relevant model parameters, stability analysis with regard to potentially hard-to-estimate
model inputs), model design, model replication, portfolio structure, processes and model outputs.
Bank of Italy authorized UniCredit group to the use of internal models for the calculation of capital requirements for market
risk. As of today UCI Ireland and Bank Pekao are the main companies of the Group that are still using the standardized
approach for calculating capital requirements related to trading positions. As part of the progressive extension of the internal
models approach to all Group companies, however, the VaR is already used for the management of market risk in these latter
companies. Starting from second quarter of 2014, the contribution to the market risk capital requirement of the subsidiaries
registered outside the European Union, will be quantified according to the approach approved by the competent national
authorities.
The standardized measurement method is also applied to the calculation of capital covering the risk of holding banking book
exposure in foreign currencies for the subsidiaries that do not perform trading activities.
In order to validate the coherence of VaR internal models used in calculating capital requirements on market risks,
backtesting is performed by comparing the internal model risk estimates with the hypothetical portfolio profit and loss, in order
to check if the 99% of the trading outcomes is covered by the 99th percentile of the risk measures. The test is based on the
last twelve months data (i.e. 250 daily observations). In case that the number of exceptions in the previous year exceeds what
forecasted by the confidence level assumed, a careful revision of model parameters and assumptions is initiated. In addition
to backtesting, Group Internal Validation performed the periodic validation of the VaR framework to assess the compliance
with regulatory requirements.
Trading portfolios are subject to Stress tests according to a wide range of scenarios for managerial reporting, which are
described in a dedicated paragraph below. According to national regulations, some relevant scenarios are also a matter of
regulatory reporting on a quarterly basis. Moreover, substitute risk measures, i.e. sensitivities, defined stress scenarios or the
indication of nominal amounts, are considered and included in the regulatory reporting for the estimation of risks that are not
covered by the VaR simulation of the internal model.
As for internal scenario analysis, policies and procedures (i.e. "stress testing"), stress tests results for IMOD perimeter are
calculated in the Group engine UGRM, thus ensuring a common methodological approach. For non-IMOD portfolio, these
procedures have been entrusted to the individual legal entities. Overall, however, a set of scenarios common to the Group as
a whole, is applied to all positions in order to check on a monthly basis the potential impact that their occurrence could have
on the global trading portfolio. Stress Test’s results and effects are discussed on monthly basis, during a Market Risk Stress
Test Open Forum, where the Market Risk function’ s representatives of the different Group’s companies and Business’
representatives take part.
DISCLOSURE BY INSTITUTIONS
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Market Risks
Procedures and methodologies for Valuation of Trading Book positions
UniCredit Group ensures that the value applied to each trading book position appropriately reflects the current fair (market)
value, i.e. the amount for which an asset could be exchanged, or a liability settled, between knowledgeable, willing parties in
an arm’s length transaction. The fair value of each financial instrument is based on, or derived from, observable market prices
or inputs directly calculated from market data. The availability of observable prices or inputs differs by product and market,
and might change over time.
In case observable prices or parameters are readily and regularly available (i.e. satisfying adequate liquidity requirements),
they are directly employed in the determination of fair value (mark-to-market) without any subjective component (e.g. liquid
securities or equities, exchange traded derivatives). This includes instruments whose fair value is derived from valuation
models which are accepted market practice and represent industry standard and whose inputs are directly observable (e.g.
plain vanilla swap and a number of option contracts).
In non-active markets or for certain instruments, for which observable prices or inputs are not available, fair value is
calculated leveraging on valuation techniques appropriate for the specific instrument (mark-to-model). This approach involves
estimation and expert judgment and, therefore, might require valuation adjustments which take into account bid-ask spreads,
liquidity and counterparty risk, besides the employed pricing model. In addition, each pricing model used for fair value
calculation needs to be validated by a dedicated function independent from business units.
According to Group Market Risk Governance Guidelines, that define rules and principles for the management and the control
of those activity that are entailed with Market Risk, in order to ensure the adequate separation between functions in charge of
development activities and functions in charge of validation, all pricing models developed by Legal Entities front – office
functions, are centrally and independently tested and validated by Group Internal Validation in coordination with the Parent
Company Market Risk functions. Model validation is also carried out centrally for any novel system or analysis framework
whose utilization has a potential impact on the bank’s economic results.
In addition to daily marking to market or marking to model, Independent Price Verification (IPV) shall be performed. This is the
process by which market prices or model inputs derived from market data are regularly verified for accuracy and
appropriateness. While daily marking to market and marking to model may be performed by dealers, verification of market
prices and model inputs is performed by Market Risk function which is independent from the Trading, at least monthly or more
frequently, depending on the nature of the market/trading activity. Where independent pricing sources are not available or
pricing sources are too subjective, appropriate prudent measures such as fair valuation adjustments (FVA) are set.
Information on pricing models used for fair value calculation
Hereby we provide IFRS13 disclosure requirements about accounting portfolios measured at fair value on a recurring basis.
Fixed Income Securities
Fixed Income Securities are priced in a two tier process depending on the liquidity in the respective market. Liquid
instruments negotiated in active markets are marked to market and consequently positions of these instruments are disclosed
in reference to fair value hierarchy under Level 1. Instruments not traded in active markets are marked to model based on
interest rate and implied credit spread curves derived from Level 1 instruments. The models maximize the use of observable
input and minimize the use of unobservable inputs. With this respect, depending on the credit spread curve applied, bonds
are disclosed as Level 2 or Level 3 respectively; Level 3 is applied in case comparable credit spread curves are not available
(and unobservable credit spreads are used), or in the case of complex bonds. Under fair value accounting, fair value
adjustments for liquidity and model risk may compensate for the lack of market observables for the Level 2 and Level 3
positions.
In the global bond Independent Price Verification (IPV) process market prices of Level 1 bonds and pricing models for illiquid
bonds are regularly verified for accuracy.
Structured Financial Products
The Group determines the fair value of structured financial products using the appropriate derivative valuation methodology
given the nature of the embedded structure. Such instruments are classified as Level 2 or Level 3 depending on the
observability of significant inputs to the model.
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Asset Backed Securities
Unicredit Group evaluation of Asset Backed Securities is based on the extension and implementation across all the Group’s
Legal Entities of the new Independent Price Verification (IPV) process suited to the changed market conditions for Structured
Credit Bonds.
The main assumption of the IPV process is that the quality of a price is assessed by the availability of several quotes of
independent market players for identical assets.
The process relies in the first instance on consensus data provider as reliable collector of market quotes.
As a second step, “fallback” prices are assessed by benchmarking each security to a pool of similar securities with available
market quotes. As a second step “fallback” prices are assessed by matrix pricing, i.e. by benchmarking each security to a
pool of similar securities with available market quotes. An alternative approach relies on getting to the evaluation by means of
a mathematical pricing model, applicable whenever the information about market participants assumptions concerning the
model inputs are reasonably available without undue cost and effort.
The IPV represents the theoretical foundation of the Fair Valuation approach which, when necessary, is supplemented by
FVA that is regarded as a reserve against Model Risk and is calculated assuming that one-notch price downgrade might be
taken as a measure of uncertainty.
Derivatives
Fair value of derivatives not traded in an active market is determined using suitable model valuation techniques. In such
cases, where active markets exist for model inputs fair value is determined on the basis of the relevant market prices for such
component parts.
Valuation techniques that are based on inputs that are observable are referred to as Level 2 valuations. Valuation techniques
that use significant unobservable inputs are referred to as Level 3 valuations.
Equity Instruments
Equity instruments are assigned to Level 1 when a quoted price is available on an active market (stock exchange) and to
Level 3 when quotations are unavailable or when instruments have been suspended indefinitely from negotiations. Equity
instruments are classified as Level 2 only in the case of not significantly active market.
For equity instruments measured at cost due to unavailability of a fair value, an impairment is estimated, if the original cost
exceeds the recoverable amount significantly or over a prolonged period of time.
Investment Funds
The Group holds investments in certain investment funds that publish net asset value (NAV) per share, including mutual
funds, private equity funds, hedge funds (including funds of funds) and real estate funds. The Group’s investments include coinvestments in funds that are managed by the Group Asset Management and investments in funds that are managed by third
parties.
Open-end funds are usually assigned to Level 1 when regular NAVs are available calculated from active market prices.
Funds can be also disclosed as Level 2 or Level 3 depending on NAV availability, portfolio transparency and possible issues
related to position write off.
Real Estate funds and other closed funds are classified to Level 1 when quoted listed prices are available on an active
market; when this condition is not met, such funds are classified as Level 3 and they are evaluated through an appropriate
credit adjustment of the NAV based on the specific features of each fund.
For funds measured at cost due to unavailability of a fair value, an impairment is recognized, if the original cost exceeds the
recoverable amount significantly or over a prolonged period of time.
DISCLOSURE BY INSTITUTIONS
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Market Risks
Fair Value Adjustments (FVA)
The base fair value assessments have to be adjusted for factors not included in the base net present value that a market
participant would consider in order to calculate the derivative instrument’s fair value. FVA aim to reduce the risk of using
incorrect valuation and align the fair value to the actual exit price of a certain position, while also incorporating future costs.
Such adjustments, within the UniCredit Group, include:
•
Credit and debit valuation adjustment (CVA/DVA)
•
Model Risk
•
Close-out risk
•
Other adjustments
Credit and debit valuation adjustment (CVA/DVA)
Credit valuation adjustments (CVAs) and debit valuation adjustments (DVAs) are incorporated into derivative valuations to
reflect the impact on fair value of counterparty credit risk and UniCredit own credit quality respectively.
UniCredit CVA/DVA methodology is based on the following input:
•
EAD derived by simulation techniques. Simulated exposures also take into account Specific Wrong Way Risk that
arises for transactions where there is a correlation between counterparty credit risk and the underlying derivative
risk factors;
•
PD derived by actual historic default rates or implied by current market default rates, obtained from credit default
swaps;
•
LGD based on the estimated level of expected recovery should a counterparty default and obtained from a bank’s
own historical experience or implied by current market default rates, obtained from credit default swaps.
Model Risk
Financial models are used for the valuation of the financial instruments if the direct market quotes are not readily available. In
general the model risk is represented by the possibility that a financial instrument’s evaluation is actually sensitive to the
choice of model. It is possible to value the same financial instrument by using alternative models which could provide different
results in term of pricing. The model risk adjustments refer to the risk that the actual fair value of the instrument differs from
the value produced by the model.
Close-out risk
It measures the implicit costs of closing an (aggregated) trading position. The position could be closed by a sale (or purchase
in the case of a short position), or by entering into a new transaction (or several transactions) that offsets (hedges) the open
position. The close-out costs are typically derived from the bid/ask spreads observed on the market. It accounts for the fact
that a position is valued at mid but can only be closed at bid or ask. This adjustment is not needed when the position is
marked at bid or ask and already represents an exit price. Moreover a close-out adjustment of the NAV is also applied when
there are some penalties related to position write off in an investment fund.
Other adjustments
Other fair value adjustments, which are not included into the previous categories, could be taken into consideration to align
the evaluation to the current exit price also taking into account market liquidity/input to valuation , e.g adjustment of equity
prices whose quotation on the market are not representative of the effective exit price.
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Risk measures
Link between market risk metrics and Balance Sheet items
The table below shows the linkages between items in the Balance Sheet of the Group’s consolidated position that are subject
to market risk and the most relevant metrics used for monitoring purpose.
HFT Assets and Liabilities are mainly monitored through VaR and other Basel 2.5 risk metrics. In addition Granular Market
Limits for most relevant sensitivities/exposures are defined and regularly monitored. Other Assets and Liabilities, though
managed with different risk metrics (sensitivities to Interest Rates, Credit spread, FX, Equity etc., further to parameters which
are typical of the Banking Book such as NII and Economic Value analysis), are anyway managed and monitored through
VaR.
Market Risk Relevant ASSETS
06.30.2014
(€ m ilion)
Book Value
VaR perim eter
(1)
Other risk m easures (2)
Sensitivity
-84,079,336
Financial assets at fair value through profit or loss
-31,603,223
-31,603,223 FX EQ CS IR
Available-for-sale financial assets
-93,633,440
-93,633,440 FX CS IR
Held-to-maturity investments
Loans and receivables w ith banks
Loans and receivables w ith customers
Hedging derivatives
Investments in associates and joint ventures
Total Asset Market Risk Relevant
Market Risk Relevant LIABILITIES
06.30.2014
-84,069,868
(3)
Financial assets held for trading
-4,291,286
-9,468 FX EQ CS IR
-4,291,286 FX CS IR
-70,012,916
-70,012,916 FX EQ CS IR
-477,093,243
-477,093,243 FX CS IR
-11,020,663
-11,020,663 FX EQ CS IR
-6,245,504
-6,245,504 EQ
-777,979,611
-84,069,868
-693,909,743
(€ m ilion)
Book Value
VaR perim eter
(1)
Other risk m easures (2)
Sensitivity
Deposits from banks
109,862,506
109,862,506 FX EQ CS IR
Deposits from customers
401,489,640
401,489,640 FX EQ CS IR
Debt securities in issue
159,514,872
Financial liabilities held for trading
63,637,079
Financial liabilities at fair value through profit or loss
Hedging derivatives
Total Liabilities Market Risk Relevant
(1)
Main risk metric is VaR
(2)
Main risk metrics are sensitivity to different risk factors
(3)
HFT classified as Banking Book (MtM)
159,514,872 FX EQ CS IR
63,652,209
649,217
-15,130 FX EQ CS IR
649,217 FX EQ CS IR
9,533,950
744,687,264
(3)
9,533,950 FX EQ CS IR
63,652,209
681,035,055
Sensitivity Legend
FX sensitivity to foreign exchange rates changes.
EQ sensitivity to Stock or Index Prices changes.
IR sensitivity to Interest Rate changes.
CS sensitivity to credit spreads changes.
The first column identifies the Balance sheet items, Asset and Liabilities, relevant in terms of Market Risk for which VaR is the
main Risk metric.
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Market Risks
VaR data
Shown below are the VaR data on the overall market risk for the trading book.
In aggregating the various risk profiles of the different risk taking units of the Group, the diversification arising from positions
taken by different group companies has conservatively been disregarded when calculating the overall risk.
Risk on trading book
Daily VaR on Trading Book
UniCredit Spa
*Bank Pekao SA
UCBA AG Group
UCB AG Group
UniCredit Group Total (1)
(€ million)
06.26.2014
5.6
0.4
4.6
6.7
17.3
AVERAGE LAST
60 DAYS
10.4
0.4
5.3
6.4
22.6
AVERAGE
9.9
0.5
5.7
7.1
23.2
2014
MAX
14.0
0.8
7.9
13.3
29.5
MIN
5.3
0.3
2.3
4.9
16.9
2013
AVERAGE
6.5
0.4
2.2
14.9
24.0
(1) Total Var is computed as simply the sum of the different components, w ithout taking into account differentiation effect among the various Entitles.
* For managerial purpose only
The UCBA AG VaR’s increase occurred in the first half of 2014, is mainly due to the new calculation methodology, reflecting
the new criteria defined in CRR’s article 325. UCB AG’s VaR in first half 2014 is aligned to second half 2013, during which
VaR decrease has been mainly driven by de-risking activities mainly with respect to Credit Indexes, reduced exposure to
Italian Sovereign and in addition, shifting of time-window used for VaR calculation. UCI Ireland VaR figure is not disclosed
as, for most of 2014, there are no trading book active positions. In addition, Fineco Bank VaR figure is no longer disclosed
since it is negligible and does not contribute significantly to the overall Group risk on the trading book.
In order to highlight the main contributions to VaR, the tables below show the VaR which would be obtained by considering
separately the major risk factors categories.
(€ milion)
Interest Rates VaR on Trading Book
UniCredit Spa
UCBA AG Group
UCB AG Group
UniCredit Group Total
06.26.2014
2.1
3.0
7.0
6.7
AVERAGE
1.9
2.5
7.2
6.6
2014
MAX
2.5
3.0
8.1
7.4
AVERAGE
11.4
0.8
7.8
17.8
2014
MAX
14.3
1.6
10.0
21.9
AVERAGE
0.2
2.3
2.4
2014
MAX
0.4
3.0
3.0
AVERAGE
3.8
2.5
1.4
6.1
2014
MAX
6.0
3.5
2.0
7.4
MIN
1.2
2.1
6.1
5.2
(€ milion)
Credit Spread VaR on Trading Book
UniCredit Spa
UCBA AG Group
UCB AG Group
UniCredit Group Total
06.26.2014
4.5
0.3
8.9
11.0
MIN
4.5
0.3
5.1
11.0
06.26.2014
0.1
1.9
1.9
MIN
0.1
1.9
1.8
06.26.2014
5.4
0.9
0.7
6.1
MIN
2.0
0.9
0.7
5.2
Tables show how Credit Spread Risk is the main contributor to OverAll VaR.
For the first half 2014 a decreasing trend has been recorded for Credit Spread risk factor, driven by UCB AG.
259
2013
AVERAGE
0.4
3.4
3.8
(€ milion)
FX VaR on Trading Book
UniCredit Spa
UCBA AG Group
UCB AG Group
UniCredit Group Total
2013
AVERAGE
6.7
1.5
14.9
21.5
(€ milion)
Equity VaR on Trading Book
UniCredit Spa
UCBA AG Group
UCB AG Group
UniCredit Group Total
2013
AVERAGE
1.6
1.1
6.3
6.8
2013
AVERAGE
3.0
1.9
0.8
4.6
I
SVaR data
Shown below are the SVaR data on the overall market risk for the trading book within the Internal Model perimeter.
In aggregating the various risk profiles of the different risk taking units of the Group, the diversification arising from positions
taken by different group companies has conservatively been disregarded when calculating the overall risk.
Risk on trading book
(€ million)
SVaR on Trading Book
UCI SpA
UCBA AG Group
UCB AG Group
UniCredit Group Total (1)
06.26.2014
17.7
19.0
20.9
57.7
AVERAGE LAST
12 WEEKS
23.5
19.8
16.6
59.9
AVERAGE
22.0
23.8
20.9
66.7
2014
MAX
29.8
38.7
34.1
92.4
MIN
12.7
15.8
11.3
51.6
2013
AVERAGE
13.7
11.0
23.5
46.9
(1) Total SVaR is computed as simply the sum of the different components, w ithout taking into account diversification effect among the various Entities.
UCBA AG’s SVaR increased in the first six months of 2014 driven by both CEE perimeter, in detail by Russia, since within its
trading book revaluation of AFS, IRS, CCS and FX swaps has occurred in January 2014, and by the new SVaR calculation
methodology, reflecting the new criteria defined in CRR’s article 325. SVAR’s increase for UCI SPA is mainly caused by
participation to the auction and the consequent increase in exposure to Italian government.
IRC data
Shown below are the IRC data on the overall market risk for the trading book within the Internal Model perimeter.
In aggregating the various risk profiles of the different risk taking units of the Group, the diversification arising from positions
taken by different group companies has conservatively been disregarded when calculating the overall risk.
Risk on trading book
(€ million)
IRC on Trading Book
UCI SpA
UCBA AG Group
UCB AG Group
UniCredit Group Total (1)
06.26.2014
161.1
28.5
266.0
455.6
AVERAGE LAST
12 WEEKS
230.2
38.6
218.1
486.8
AVERAGE
231.7
49.9
225.0
506.6
2014
MAX
298.8
72.1
290.4
604.0
MIN
128.5
28.5
175.3
439.6
2013
AVERAGE
159.7
47.8
251.4
415.9
(1) Total IRCis computed as simply the sum of the different components, w ithout taking into account diversification the various Entities.
The increase for UCI SPA’s IRC is due to increased exposure to Italian sovereign.
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Market Risks
VaR backtesting
In the first half 2014, UniCredit Group’s market risk has remained basically stable notwithstanding a general context of market
uncertainty.
The following graphs analyze the back-testing results referred to the market risk on the trading book, in which VaR results for
the last twelve months are compared to the hypothetical profit and loss results for each main risk taker unit:
UCB AG Group
In UCB AG one negative overdraft has been recorded in first half 2014 (5th March 2014): it is a technical overdraft, driven by a
corrupted P&L booked for CCS positions in the banking book portfolio DOGG, included in GS1 Trading Book perimeter.
UCBA AG Group
In UCBA AG three negative overdrafts have been recorded in second half 2013: economic and hypothetical back testing
overshootings on June 13th , economic and hypothetical back testing overshootings on June 24th and hypothetical back
testing overshootings on July 8th . All of them have been determined by strategic FX hedges for budgeted CEE profits,
following a simultaneous appreciation of main CEE currencies against EUR. Starting from January 2014 a new methodology
has been used for VAR calculation, according to criteria defined in CRR’s article 325.
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UCI SPA
In UCI SPA no negative overdrafts were recorded in first half 2014.
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Market Risks
Interest Rate Risk – Regulatory trading book
General information
Interest rate risk arises from financial positions taken by Group specialist centers holding assigned market risk limits within
certain levels of discretion. Apart from use of internal models in calculating capital requirements on market risks, risk positions
in the Group are monitored and subject to limits assigned to the portfolios on the base of managerial responsibilities and not
purely on regulatory criteria.
Risk Management Processes and Measurement Methods
For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to
analyze exposure, please refer also to introduction on internal models.
In addition to the monitoring of Granular Market Limits, Group Market Risk functions conduct sensitivity analysis at least on
monthly basis, in order to determine the effect on the income statement of changes in the value of individual risk factors or
several risk factors of the same type, on CIB division's entire portfolio (trading book and banking book ), since it includes the
most significant portion of regulatory trading book and might be subject to the largest changes over time. Results are reported
to top management on a monthly basis. In addition to the sensitivity of financial instruments to changes in the underlying risk
factor, it also calculated sensitivity to the volatility of interest rates assuming a positive shift of 50% or negative change of 30%
in volatility curves or matrixes.
Interest-Rate Sensitivity
Sensitivity to changes in interest rates is determined using both parallel shifts of interest-rate curves, and changes in the
curve itself.
The curves are analyzed using parallel shifts of ±1bp/±10bps and ±100bps.
For each 1bp shift, sensitivity is calculated for a series of time-buckets.
Sensitivity for changes in the steepness of the rate curve is analyzed by clockwise turning (Turn CW), i.e. an increase in
short-term rates and a simultaneous fall in long-term rates, and by counter-clockwise turning (Turn CCW), whereby short-term
rates fall and long-term rates rise.
Currently, clockwise and counter-clockwise turning use the following increases/decreases:
•
+50bps/-50bps for the one-day bucket;
•
0bps for the one-year bucket;
•
-50bps/+50bps for the 30-year plus bucket;
•
for buckets between the above ones, the change to be set is found by linear interpolation.
The tables below show CIB trading book sensitivities.
€ millions
Interest Rates
Total
of which: EUR
USD
GBP
CHF
JPY
Interest Rates
+1BP
less than
3 months
0.1
0.1
0.1
0.1
0.0
0.0
-
+1BP
3 months
to 1 year
0.5
0.4
0.3
0.1
0.1
0.1
-30%
12.074
€ million
+50%
-2.530
Main contributor is EUR Curve.
263
+1BP
+1BP
+1BP
1 year
2 years
5 years
to 2 years to 5 years to 10 years
0.1 0.8
1.2
0.2 0.8
1.2
0.1
0.1
0.1
0.1
0.0 0.0
0.0
0.1 0.0
0.2
0.0 0.0
+1BP
over
10 years
0.7
0.7
0.0
0.0
0.0
0.0
+1 BP
-100 BPS
-
Total
0.7
0.6
0.2
0.2
0.1
0.3 -
116.1
80.7
20.0
20.7
3.4
6.4 -
-10 BPS
12.5
9.1
2.6
2.1
0.3
2.6
+10 BPS
-
6.5
6.0
1.8
2.1
0.5
2.6
+100 BPS
-
4.1
1.4
16.7 20.9 4.2
25.5
CW
27.2
26.1
3.0
1.2
0.7
0.5
CCW
-
-
16.9
20.5
4.8
1.2
0.4
1.3
I
Price Risk – Regulatory trading book
General information
As described above, price risk relating to equities, commodities, investment funds and related derivative products included in
the trading book, originates from positions taken by Group specialist centers holding assigned market risk limits within certain
levels of discretion.
Price risk deriving from own trading of these instruments is managed using both directional and relative value strategies via
direct sale and purchase of securities, regulated derivatives and OTCs and recourse to security lending. Volatility trading
strategies are implemented using options and complex derivatives.
Risk Management Processes and Measurement Methods
For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to
analyze exposure, please refer to introduction on internal models. The sensitivity analysis covers the CIB division’s entire
portfolio (both trading and banking book), since it includes the most significant portion of regulatory trading book and might be
subject to the largest changes over time.
Price Risk Sensitivity
Share-price sensitivity is expressed in two ways:
•
as a “Delta cash-equivalent”, i.e. the euro equivalent of the quantity of the underlying that would expose the bank to
the same risk arising from its actual portfolio;
•
as the economic result of a rise or fall in spot prices of 1%,10% and 20%.
The Delta cash-equivalent and the Delta 1% (i.e. the economic impact of a 1% rise in spot prices) are calculated both for
each geographical region (assuming that all stock markets in the region are perfectly correlated) and on the total (assuming
therefore that all stock markets are perfectly correlated). The sensitivity arising from changes of 10% and 20% is calculated
solely on the total.
The Group also calculates sensitivity to the volatility of equities assuming a positive shift of 30% or negative change of 30% in
volatility curves or matrixes.
In addition, sensitivity to commodity price changes is calculated according to the above criteria. Given its secondary
importance as compared to other risk exposures, this is calculated as a single class.
The tables below show CIB trading book sensitivities.
€ million
Delta Cashequivalent
Equities
All markets
Europe
US
Japan
United Kingdom
Switzerland
CEE
Others
Commodities
All markets
Equities
-
-
-
-30%
7.234
-20%
31.0 2.7
63.1
0.8
15.1
10.6
15.1
16.9
69.0 -
2.2 -
2.9 -
-10%
11.4
-1%
+1%
0.2 -
-
0.5
0.0 -
+10%
+20%
0.3 0.0
0.6
0.0
0.2
0.1
0.2
0.2
5.8 -
22.6
0.0 -
0.8 -
3.5
€ million
+30%
-9.635
DISCLOSURE BY INSTITUTIONS
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Market Risks
Price Risk – Banking Book
General Aspects, Price Risk Management Processes And Measurement Methods
Banking book price risk primarily originates from equity interests held by the Parent Company and its subsidiaries as stable
investments, as well as units in mutual investment funds not included in the trading book as they are also held as stable
investments. The assessment of the whole banking book also takes account of this type of risk.
Information about the shareholding in the Bank of Italy
UniCredit S.p.A. holds 22.114% of the Share Capital of the Bank of Italy, classified in Balance Sheet item 40 – Available-forsale financial assets.
Accounting treatment adopted in the financial statements as at December 31, 2013
Following the issuance of D.L. no. 133 of November 30, 2013 (hereinafter “D.L. 133” – converted with amendments into Law
no. 5 of January 29, 2014) and the subsequent resolutions passed by the Extraordinary Shareholders’ Meeting on December
23, 2013, the Bank of Italy increased its capital by €7.5 billion (using pre-existing reserves), replacing the existing shares (that
were cancelled) with new shares with a nominal value of €25,000 each.
The D.L. 133 introduced a series of changes to the Statute that led to significant discontinuity in the regulations governing the
shares, in turn resulting in a dramatic change in the contents and features of the shares and their related rights and in the
characteristics of the expected future cash flows.
In the light of the exceptional and unique nature of the legal framework governing the shareholding in the Bank of Italy, of D.L.
133, of the changes to the Statute passed by the Extraordinary Meeting of the Bank of Italy, and of the lack of clear
instructions within IFRS about how to treat this transaction, the accounting treatment adopted in the 2013 financial statements
(derecognition of the old shares and initial recognition of the new shares at their fair value, with the gain recorded in the
Income Statement) was the result of an interpretation process. This accounting treatment was therefore analyzed by the
competent national and international bodies, in particular by the IFRS Interpretation Committee, which on July 16, 2014
provisionally decided that the issue raised is not of general interest because of its unique nature and the fact that it did not
result in differences in the accounting treatments applied in the financial statements of the companies involved (prepared on
the basis of the same interpretation process), and will therefore not be the subject of a technical resolution. The decision of
the IFRS Interpretation Committee is currently subject to public consultation.
With respect to the above-mentioned analyses, currently being performed, it should be noted that on March 10, 2014 Consob
issued a recommendation highlighting the need – with reference to the interpretation issues arisen at international level and
pending the ongoing investigation on the application of the regulations and their consistency with IAS/IFRS – to provide
detailed information in the financial statements regarding the accounting approach adopted. Detailed information is therefore
included in these accounts pursuant to Consob recommendation.
In the preparation of UniCredit S.p.A.’s Separate and Consolidated Financial Statements as at December 31, 2013, the
Directors decided that the most appropriate accounting treatment was to recognize the revaluation of Bank of Italy shares in
the Income Statement. According to this interpretation, also confirmed by influential experts, the capital increase is an actual
exchange of shares, as the transaction fulfills the conditions of IAS 39 (paragraph 17) for the derecognition. In more detail:
•
expiry of the rights incorporated in the original shares and their replacement with different rights embedded in the
new shares; or
•
discontinuity from the perspective of the shareholders’ expected cash inflows (and therefore the risk related to
these cash flows) before and after the reform.
265
I
In accordance with this interpretation, in UniCredit S.p.A.’s separate and consolidated Financial Statements as at December
31, 2013:
•
the existing shares were derecognized and the new shares were initially recognized at their nominal value, which is
considered to represent their fair value for the reasons set out in the following paragraphs;
•
in light of the characteristics of the instrument and the parameters used in the valuation, the shares were
categorized as Level 3 in the fair value hierarchy as required by IFRS 13;
•
the difference between the fair value of the initial recognition of the new shares (€1,659 million) and the book value
of the cancelled shares (€285 million) was recognized in the Income statement (item 100 - Gains and losses on
disposal of available-for-sale financial assets). This resulted in a positive effect on the net result of the year of
€1,190 million (net of €184 million taxes). Taxes were determined using the 12% tax rate as required by the
Stability law of December 27, 2013; the transaction had no impact on the Regulatory Capital as at December 31,
2013.
A different interpretation from the approach adopted would have resulted in the recognition, in 2013, of the above-mentioned
gain in Shareholders’ Equity and not in the Income Statement.
Accounting treatment as at June 30, 2014 and determination of fair value
Legislative Decree no. 66 of April 24, 2014, then converted into Law no. 89/2014, introduced an increase in the tax rate to be
applied to the higher value of the new Bank of Italy shares (from 12% to 26%), resulting in an additional cost of €215 million
recorded in the Income Statement - Tax Expenses in the first half of 2014.
The new shares are designated at fair value, determined using a fundamental Level 3 valuation process that confirmed a
book value in line with the values of December 31, 2013, without resulting in valuation impacts in the first half of 2014. The
valuation took into consideration the amount by which the capital was increased, which in turns takes account of the result of
the valuation carried out in November 2013 by the group of high-level experts on behalf of the Bank of Italy, and the results of
an assessment based on the model.
Please note that the new Statute of the Bank of Italy set a limit of 3% possess for each shareholding in the Bank of Italy to
facilitate the circulation of its shares, specifying that no voting rights or dividends shall be assigned to shares exceeding this
limit, after an adjusting period (during which the excess shares shall be sold) not exceeding 36 months, during which the
excess shares will not be assigned voting rights but will still have rights to dividends. Although the reform has laid the
foundations to get out of the aforementioned standstill, at the current state there is no obligation for the Bank of Italy to buy
back or to intermediate the disposal of the exceeding shares, nor the terms and conditions for any buybacks have been
decided.
For the purposes of the financial statements as at June 30, 2014, as it was the case for the 2013 financial statements, the
Directors decided that the conditions to reliably determine a fair value of the shares were met. Specifically, the fair value of
the shares (corresponding to a valuation of 100% of the shares worth €7.5 billion) was confirmed by an internal valuation,
based on a long-term Dividend Discount Model and adjusted by a liquidity discount that reflects a limited circulation of the
shares. This valuation, as it is the case for any valuations of a non-listed financial instrument based on the use of models and
non-observable variables, includes a certain level of uncertainty and professional judgment.
It is clear that any transactions involving the shares in the coming months will qualify as a factor of uncertainty with respect to
the determination of their fair value and its forward-looking sustainability.
With reference to the Regulatory Capital and Capital ratios treatment:
•
a weighting factor of 100% has been applied at the carrying amount of the investments, measured as at June 30,
2014 to derive RWA (in accordance with Article 133 "Exhibitions equity" of CRR);
•
the revaluation recognized in the 2013 Income Statement is not covered by any filter.
DISCLOSURE BY INSTITUTIONS
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Market Risks
Exchange Rate Risk - Regulatory trading book
General Information, Risk Management Processes and Measurement Methods
As described above, risk relating to exchange rates and related derivative products included in the trading book, originates
from positions taken by Group specialist centers holding assigned market risk limits within certain levels of discretion.
Risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct
sale and purchase of securities, regulated derivatives and OTC. Volatility trading strategies are implemented using options.
For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to
analyze exposure, please refer to introduction on internal models. The sensitivity analysis covers the CIB division’s entire
portfolio (both trading and banking book), since it includes the most significant portion of regulatory trading book and might be
subject to the largest changes over time.
Exchange-Rate Sensitivity
Exchange-Rate Sensitivity assesses the economic impact of the appreciation or depreciation by 1%, 5% and 10% of each
currency against all the others. Exposure to the various currencies is expressed as the “Delta cash equivalent” in euros: this
is the euro equivalent of the currency amount which would expose the bank to the same exchange-rate risk arising in its
actual portfolio.
The Group also calculates sensitivity to the volatility of exchange rates assuming a positive shift of 50% or negative change of
30% in volatility curves or matrixes.
The tables below show CIB trading book sensitivities.
€ million
Exchange rates
EUR
USD
GBP
CHF
JPY
Exchange Rates
Delta CashEquivalent
73.7
24.1
17.0
5.4
-30%
7.454
-10%
-
32.8
3.2 5.4 6.8 4.5
-5%
10.6
0.4 2.2 3.1 1.4
€ million
+50%
-13.315
Main contributors are EUR/USD, EUR/JPY and EUR/GBP.
267
-1%
1.1 0.5
0.3
0.1
0.0
+1%
1.0 0.7
0.2
0.2 0.1
+5%
7.7 8.6
0.7
0.2 0.2
+10%
14.0
22.8
0.1
0.4
0.1
I
Exchange Rate Risk - Banking Book
General Aspects, Exchange Rate Risk Management Processes and Measurement Methods
Exchange rate risk originates both from banks in the Group operating in currency areas other than the Eurozone and from
positions taken by specialist centers holding the Group's market risk within the limits assigned.
In the latter case, exchange risk originates from currency trading activities performed through the negotiation of the various
market instruments and it is constantly monitored and measured by using internal models developed by group companies.
These models are, in addition, used to calculate capital requirements on market risks due to the exposure to such risk.
Hedging Exchange Rate Risk
The Group adopts hedge strategies for profits and dividends arising from its subsidiaries not belonging to the euro zone. The
hedging strategies takes into account market circumstances.
The management policy regarding currency risk related to the early repayment option on AT1 capital instruments
denominated in a foreign currency already recognized as items of shareholders' equity (anyway subject to prior authorization
by the regulator) provides for the maintenance of a long position in foreign currency.
DISCLOSURE BY INSTITUTIONS
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AS AT JUNE 30, 2014
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Market Risks
Credit Spread Risk - Regulatory trading book
General Information
As described above, risk relating to credit spreads and related credit derivative products included in trading book originates
from positions taken by Group specialist centers holding assigned market risk limits within certain levels of discretion.
Risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct
sale and purchase of securities, regulated derivatives and OTC.
Risk Management Processes and Measurement Methods
For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to
analyze exposure, please refer to introduction on internal models. The sensitivity analysis covers the CIB division’s entire
portfolio (both trading and banking book), since it includes the most significant portion of regulatory trading book and might be
subject to the largest changes over time.
Credit Spread Sensitivity
Credit spread sensitivity is calculated by assuming a worsening of creditworthiness seen in a parallel shift of +1bp/+100bps in
the credit spread curves.
These sensitivities are calculated both inclusively, assuming a parallel shift of all the credit spread curves, and in respect of
specific rating classes and economic sectors.
The table below shows CIB trading book sensitivities.
Total
Rating
AAA
AA
A
BBB
BB
B
CCC and NR
Sector
Non Dev. Sovereigns & Related
ABS and MBS
Jumbo and Pfandbriefe
Financial Services
All Corporates
-Automotive
-Consumer Goods
-Pharmaceutical
-Industries
-Telecommunications
-Utilities and Energy Sources
-All other Corporates
Total Developed Sovereigns
269
-
-
-
-
€ millions
+1BP
+1BP
+1BP
+1BP
+1 BP
less than
6 months
2 years
over
+100BPS
Total
6 months
to 2 years to 7 years 7 years
0.1 0.2 0.9 0.2 1.3 108.0
0.0
0.0
0.0
0.1
0.0
0.0
-
-
0.0
0.0
0.0
0.1
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
-
-
-
-
0.1
0.0
0.0
0.0
0.0
0.0
-
-
0.3
0.1
0.2
0.2
0.1
0.1
-
-
0.0
0.0
0.1
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
-
0.2
0.0
0.1
0.2
0.3
0.0
0.1
0.0
0.1
0.1
0.1
0.0
-
-
-
0.2
0.0
0.0
0.0
0.0
0.0
-
-
0.6
0.1
0.3
0.2
0.1
0.0
-
-
31.6
-
41.5
13.0
8.5
5.5
-
0.1
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
-
0.4
0.0
0.3
0.4
0.3
0.0
0.1
0.0
0.1
0.0
0.1
0.1
-
19.2
2.7
38.4
28.2
25.5
3.0
8.7
0.5
5.4
6.5
-
1.4
-
0.5 n.a.
I
Stress testing
Stress tests complement the sensitivity analysis and VaR results in order to assess the potential risks in a different way. A
stress test performs the evaluation of a portfolio under both simple scenarios (assuming change to single risk factors) and
complex scenarios (assuming simultaneous changes in a number of risk factors).
What follows contains the description of complex scenarios, which combine changes in interest rate, price, exchange-rate and
credit spread risk factors. For the description of simple scenarios, please refer to the previous paragraphs. As far as complex
scenarios are concerned, different scenarios have been applied to the whole Group Trading Book on a monthly basis and
reported to top management.
Greece Exit
This scenario, first introduced in June 2012 and updated in December 2013, assumes that Greece exits from the EMU
without however bringing the Eurozone to a collapse. While recent developments have greatly reduced the near-term
probability of such an event, Greece remains in a difficult situation and exit from EMU in the medium term remains a nonnegligible possibility.
The exit of Greece from the EMU would negatively affect GDP growth in the Eurozone through several channels, mainly
related to financial markets. Rising volatility and the generalized increase in risk premia would make it harder for businesses
to plan investment decisions. Credit for the real economy would be more expensive as a consequence of the severe
intensification of funding difficulties in the banking system (including via renewed deposit outflows and tensions in the interbank market). This would strengthen the negative feedback loop between sovereign risk, banks and the real economy.
•
On the fixed income side, a flight-to-quality demand would be observed, with the focus on German and US bonds,
for which we expect a significant richening vs swap (40/30 bp).
•
As for peripheral countries, spreads would come under pressure. The Italian swap spread would widen 300bp,
reaching the 500bp area, while Spain would widen 250bp.
•
Equity markets would plunge and, at the same time, a steady increase in volatility is expected.
•
With respect to FX rates, EUR is expected to sharply depreciate across the board as a Greek exit would clearly
undermine confidence in the common currency. The most serious losses are expected to be against the USD (with
an approximate 30% depreciation), as the USD will likely continue to be perceived as the reference safe-haven
currency in the case of escalating turmoil in the eurozone. However, EUR would also probably lose ground to a
significant extent vs. JPY and CHF. On the other hand, EUR fall against sterling should be less significant (-20%),
since the UK economy would also be heavily affected by developments in the EMU.
Widespread Contagion
In this scenario, updated in December 2013, we assume that debt crisis escalates again, with high pressures hitting Spain
and Italy. The recent step-up in government commitment towards building a credible firewall against contagion and the ECB's
introduction of the OMT (Outright Monetary Transactions) should provide some cushion against spread widening. However,
market volatility and the ensuing financial market disruption would still lead to a severe tightening in financial conditions eurowide. Due to the important trade links between eurozone countries, the financial shock would be amplified and cause a
deeper recession. Such an escalation in tensions would lead Spain to tap EFSF/ESM. Tensions in Italy would call for a more
radical and systemic response from European authorities. This should avert a sovereign default or an EMU break-up in the
following two years.
The shock originated in financial markets would have a severe impact on GDP growth in EU periphery. As for as Financial
markets are concerned:
•
on the Fixed Income side, we would initially observe a flight-to-quality-style demand, with focus on German and US
bonds. Credit Spreads would fall by around 20/30 bp for these issuers. All other government bonds would come
under pressure due to credit risk repricing, Italian and Spanish bonds would widen around 200 bps vs Bund.
Spread widening is expected also for corporate bonds; the shift in credit risk preference would lead to strong
pressure on high-yield bonds;
•
Equity markets would experience a moderate downturn, coupled with an increase in volatility;
•
Contagion spreading across the eurozone should weight on EUR-USD even though Fed would keep rates on hold.
GBP-USD would be less affected then EUR-USD, while EUR-GBP would suffer as well as sterling may be
perceived as an EMU hedge. In CEE, as response to lower growth and deteriorating fundamentals, we would
expect policy-makers to favor some local currency devaluation to promote growth.
DISCLOSURE BY INSTITUTIONS
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Market Risks
Sovereign Debt Tension Scenario
In this scenario, introduced in June 2010 and updated in December 2011, we envisage the occurrence of an escalation of the
sovereign debt crisis, with no systemic contagion. This is motivated by the fact that, while the setup of the European Financial
Stabilization Fund and the liquidity injection by the ECB seem to have ruled out the possibility of an outright default, market
tensions still persist. Such tensions may create a challenging environment at a time in which many European countries are
consolidating their public finances. In such a scenario, the EMU sovereign debt crisis would have spillover effects on the US
economy as well and the flight-to-quality would lead to a further bond rally on both sides of the Atlantic. In terms of financial
market variables, this scenario assumes:
•
credit spreads: higher risk aversion would imply a tightening of core issuers versus swap. Periphery would be under
pressure: Italy spreads would widen further while Spanish bonds would be less under pressure; all credit spreads,
in the corporate bond universe, would come under pressure;
•
world stock markets to plunge (fall); this would combine with an increase in equity volatilities;
•
USD and EUR interest rate curve are expected to flatten. In this scenario, an increase in interest rate volatilities is
also assumed;
•
USD is expected to appreciate, mostly against EUR; depreciation of CEE currencies against EUR.
Emerging Markets Slowdown
This scenario, introduced in June 2011, covers the period 2011, 2012 and 2013. It assumes a shock coming from the real
economy, namely a sharp slowdown in the growth rate of emerging economies starting in 2011 and intensifying during 2012.
This would negatively affect EMU GDP growth and, to a lesser extent, the US, where the weight of the manufacturing sector
and trade openness is lower. As a result of weaker economic activity and lower oil prices, inflation would slow down. The
combination of weaker GDP growth and lower inflation would lead to a considerable slowdown in the normalization of
monetary policy rates.
In terms of macro-economic variables, this scenario assumes:
•
credit spreads: as for European sovereign spreads the deterioration is not severe compared to the Sovereign
Tensions scenario because the shock would affect credit-risk premium only indirectly. The shock would reflect more
on oil companies which are not included in the “iTraxx main”. The widening of the iTraxx Financial Senior and Sub
is also important;
•
the shock has no impact on the Japanese yield curve. The impact on the US, EU and UK curves is that of a fall in
yields which will bull flatten as the time bucket increases. This reflects the worsening growth outlook and the
resulting more positive inflation outlook. The Euribor curve is the most reactive of the three as the risk aversion
gives further support to Bunds;
•
the performance of stock markets will lower and equity volatilities will increase;
•
the EUR is expected to depreciate against the US Dollar, Japanese Yen and Swiss Franc (because of the demand
for safe-havens) and to appreciate versus the other European currencies and Turkish Lira.
Stress Test on trading book
(€ million)
Scenario
06.26.2014
UniCredit Spa
Bank Pekao SA
UCBA AG Group
UCB AG Group
UniCredit Group Total
2014
Sovereign
Tensions
1
-11
7
-550
-552
Emerging Market
Slowdown
35
-13
11
-675
-643
Grexit
-4
1
122
-399
-280
Widespread
Contagion
10
1
51
-250
-187
Conditional losses decrease in Trading Book is driven by UCBA AG and UniCredit SpA legal entities. The decrease is mainly
in Greece Exit and Widespread Contagion scenarios. UCBA AG conditional profits stem from the CEE and are mainly driven
by FX exposures; in UniCredit Spa the reversal of the conditional losses evidenced in December in profits is due to short PLN
positions in ALM finance generating a profit in scenario envisaging the depreciation of the currency. Overall effect is partially
offset by UCB AG increased losses mainly in ICT Business Line.
271
I
Market Risks: equity exposures not included in
the trading book
Exposure Differentiation by Objective
Equity instruments included in the Group’s banking book have several objectives:
Institutional;
•
strategic, usually entities subject to significant influence and support in the performance and development of
banking business (e.g. interests in financial or insurance companies);
•
financial investment including in equity instruments, units in investment funds (UCITS) and private equity;
•
others e.g. investments resulting from loan restructurings.
Description of accounting techniques and valuation
methodologies applied
Investments
Investments are recognized using the equity method or at cost.
For the “equity method” investment, the carrying amount includes any goodwill (less any impairment loss). The investor’s
share of the profit and loss of the investee after the date of acquisition is recognized in item 240 “Profit (Loss) of associates”
in profit or loss.
Unrealized profits on transactions with “equity method” investments are eliminated to the extent of the Group’s interest.
Unrealized losses are likewise eliminated, unless the transactions show evidence of impairment of the assets exchanged.
DISCLOSURE BY INSTITUTIONS
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Market Risks
Available-for-Sale Financial Assets (AfS)
On initial recognition, on settlement date, an AfS financial asset is measured at fair value plus transaction costs and income
directly attributable to the instrument.
In subsequent periods, available-for-sale financial assets are measured at fair value. Gains or losses arising out of changes in
fair value are recognized in equity item 140. “Revaluation reserves”, except for impairment losses, which are recognized
under item 130.b) “Impairment losses on available-for-sale financial assets” until the financial asset is sold, at which time
cumulative gains and losses are recognized in profit or loss in item 100. b) “Gains (losses) on disposal or repurchase of AfS
financial assets”.
The fair value changes recorded in item 140. “Revaluation reserves” are also reported in the Statement of Comprehensive
Income.
Equity instruments (shares) not listed in an active market and whose fair value cannot be reliably determined are valued at
cost.
As mentioned above, if there is objective evidence of an impairment loss on an available-for-sale financial asset, the
cumulative loss that had been recognized directly in equity item 140 “Revaluation reserves”, is removed from equity and
recognized in profit or loss under item 130 b) “Impairment losses (b) Available for sale financial assets”.
Lasting loss of value of equity instruments is assessed on the basis of indicators such as fair value below cost and adverse
changes in the environment in which the company operates, as well as the issuer’s debt service difficulties.
If the fall in fair value below cost is more than 50% or lasts for more than 18 months, the loss of value is considered lasting.
If however the fall in the fair value of the instrument is over 20% but less than or equal to 50% or continues for no less than 9
but no longer than 18 months, the Group analyses further income and market indicators.
If the results of the analysis are such as to prejudice the recovery of the amount originally invested, a lasting loss of value is
recognized.
The amount taken to profit and loss is the difference between the carrying amount (acquisition cost less any impairment loss
already recognized in profit or loss) and current fair value.
Impairment losses recognized in profit or loss for an investment in an equity instrument classified as available for sale are not
reversed through profit or loss.
Financial Instruments at Fair Value through Profit or Loss (FIaFV)
Equity instruments included in the FIaFV portfolio, as well as HfT financial assets, are designated at fair value, with gains and
losses, whether realized or not, recognized in the Income Statement. Specifically, with respect to the FIaFV portfolio, such
gains and losses are recorded under item 110. “Gains and losses on financial assets/liabilities at fair value through profit or
loss”.
Investments in equity instruments for which no quoted prices in active markets are available and whose fair value cannot be
reliably determined cannot be included in this portfolio.
273
I
(€'000)
A mo unt s as at 0 6 .3 0 .2 0 14
Exp o sur e t yp e/ values
On- b alance sheet
exp o sur e
Level 1
A. Investments
Level 2 / 3
M ar ket
value
F air V alue
Level 1
Level 2 / 3
X
Level 1
Gains/ lo sses o n
d isp o sal and
Gains
U near ned g ains/ lo sses
( b o o ked in b alance
Lo sses
Gains
1,863,500
1,994,001
1,491,253
1,491,253
142,176
(82,446)
X
B. Available-for sale financial assets
664,552
3,240,543
664,552
2,824,290
664,552
188,587
(78,484)
54,836
C. Financial assets at fair value through profit or loss
106,000
400,932
106,000
400,932
106,000
6,818
(1,198)
Lo sses
X
(25,861)
X
X
(€'000)
A mo unt s as at 12 .3 1.2 0 13
Exp o sur e t yp e/ values
On- b alance sheet
exp o sur e
Level 1
A. Investments
Level 2 / 3
M ar ket
value
F air V alue
Level 1
Level 2 / 3
X
Level 1
Gains/ lo sses o n
d isp o sal and
imp air ment
Gains
U near ned g ains/ lo sses
( b o o ked in b alance
sheet )
Lo sses
Gains
2,046,690
2,416,736
1,591,196
1,591,196
339,408
(129,596)
X
B. Available-for sale financial assets
563,512
3,634,821
563,512
3,013,341
563,512
1,741,721
(158,892)
118,153
C. Financial assets at fair value through profit or loss
89,933
443,392
89,933
443,392
89,933
55,195
(25,345)
Lo sses
X
(53,586)
X
X
Available-for-sale financial assets include €416 and €621 million related to assets measured at cost, as at 06.30.2014 and as at 12.31.2013 respectively.
Level 1 corresponds to the market value.
(€ '000)
Banking Portfolio: On Balance sheet exposures for equity instruments - Weighted
amounts
WEIGHTED AMOUNTS
06.30.2014
IRB Approach
12.31.2013
1,301,083
3,232,729
- Private equity instruments sufficiently diversified
264,231
240,321
- Equity instruments quoted on regulated markets
95,717
521,296
941,135
2,471,112
- Other equity instruments
Standard Approach
3,265,787
3,347,847
- Private equity instruments sufficiently diversified
833,227
747,223
- Equity instruments quoted on regulated markets
457,109
503,489
1,975,451
2,097,135
- Other equity instruments
DISCLOSURE BY INSTITUTIONS
274
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Market Risks
Market Risks: exposures to interest rate
risk on positions not included in the
trading book
General aspects, interest rate risk management processes
and measurement methods
Interest rate risk consists of potential impacts arising from changes in interest rates that are reflected in:
• interest income sources, and thus, the bank’s earnings (cash flow risk);
• the net present value of assets and liabilities, due to their impact on the present value of future cash flows (fair
value risk).
Interest rate risk is relevant for all positions related to business operations and strategic investment decisions (banking book).
The main sources of interest rate risk can be classified as follows:
• repricing risk: risk resulting from differences in interest reset date of assets and liabilities. Mismatches in interest
reset dates lead to yield curve risk. This refers to the risk resulting from exposure of the bank's positions to changes
in the slope and shape of the yield curve. A related risk is basis risk. This risk resulting from the imperfect
correlation in lending and borrowing interest rate changes for different instruments, may also show similar repricing
characteristics;
• optional risk: risk resulting from implicit or explicit options in the Group’s banking book positions. Embedded options
in the bank’s mortgage portfolio are a relevant example.
The interest rate risk position estimates include assumptions for assets and liabilities that do not have a well-defined maturity.
The approach for each of the relevant items varies per regional center20 as described below:
• sight and savings accounts: maturity assumptions are in place for the stickiness of transactions with an unspecified
contractual maturity. For the stickiness assumption several considerations are taken into account: amongst the
most important ones, the volatility of sight item volume, as well as the observed and perceived correlation between
market and client rates. Both statistical as well as qualitative evidence is taken into account in order to evaluate
which hedge maturity profile would best eliminate the potential interest rate risk arising from the sight items. The
maturity mapping aims to minimize the margin volatility. The approaches vary per regional center to take into
account local peculiarities:
o
for Italy the statistical analysis plays the most dominant role. Based on a statistical model, maturities for
accounts not explicitly linked to an index are mapped up to 10 years. Improvements in the model are
implemented to take into account the customer segmentation according to the Basel III framework as well
as additional clustering based on amount deposited, in order to better identify such client categories that
are more sensible to changes in market rates. An adjustment is implicitly made for concentration risk for
each client segment adopting a liquidity consistency check based on historical volatility of not indexed
accounts. The modeled sight items exposure is largely hedged, taking into account a qualitative view on
the volumes developments;
o
for Poland the sight item maturity assumption is less relevant as the volume is smaller and a substantial
share of the accounts is explicitly linked to an index. The approach for maturity projections in Poland is
similar to that of Italy, albeit that the maximum maturity is chosen to be shorter;
o
the maturity projections in Austria and Germany deviate from the pure statistical model application.
Elements taken into account on top of the statistical analysis include substitution effects with term
deposits, projected elasticity of the sight items rate and liquidity competition. The maximum maturity is
also for these regions 10 years, while the approach generally leads to more conservative projections, i.e.
average projected maturity is shorter than would be projected by the statistical model. The exposure of
the projected maturity profile for these regions is hedged through a replicating portfolio decided by the
competent Risk Committee.
20
In general the concept of Regional Centre can be congruent to the subholding one. The Regional Centre are legal entities in charge of steering, coordinating,
measuring, and controlling interest rate risks of the Legal Entities falling within their perimeter of responsibility.
A particularly important role is played by the Parent Company, as a “Supervisory and Overarching Regional Centre” with its role of steering, coordinating, and
controlling all the aspects regarding interest rate risk in the Banking Book for the whole Group. The Parent Company, moreover acts as the Regional Centre Italy.
275
I
•
•
•
Residential real estate mortgages: the model estimates the future volumes of redemptions on an ongoing basis, in
order to limit the risk that the bank is not appropriately hedged for the interest rate risk resulting from the
outstanding fixed interest rate mortgages. The assumptions on early loan repayments are based on historical data
as well as a qualitative assessment. The relevance and the approach to capture this event varies per region.
o
from an interest rate risk perspective prepayments are mainly relevant for the Italian fixed rate mortgage
portfolio. The maturity profile thus takes into account contractual features and expected prepayments;
o
for Germany the prepayment risk is effectively assumed to be represented by a swaption portfolio that is
fully hedged;
o
for the regions Poland and Austria the prepayment assumptions have no significant impact on the
estimates. For example for Poland the mortgages are generally of floating rate nature. This causes the
prepayment behavior to be less relevant for pure interest rate risk;
non-performing loans: for regional center Italy the assumed profile is based on the expected recovery profile, while
for other regional centers no sensitivity is assigned to this loan category;
equity: this balance sheet item is not modeled, therefore no replicating maturity profile is assigned to it.
Limits and threshold are defined in terms of VaR (utilizing the methodology described for trading book, based on sensitivities
to interest rate fluctuations calculated taking into account information from the behavioral models) or Sensitivity for each
Group Bank or Company. The set of metrics is defined depending on the level of sophistication of the Company’s business.
Each of the Group’s banks or companies assumes responsibility for managing exposure to interest rate risk within its
specified limits. At consolidated level, the Group Asset Liability Management Unit and the functions of Group Risk
Management are in charge of interest rate risk measurement.
Interest rate risk measurement includes:
•
net Interest Income analysis: this involves among other a static gap analysis (i.e., assuming that positions remain
constant during the period), an impact simulation on interest income for the current period is performed, by taking
into account elasticity assumptions for sight items. In addition a simulation analysis includes the analysis of the
impact on income from different shocks for the interest rates. Reference shocks for a rate rise and a rate fall
scenario are an instantaneous and parallel shock of respectively +/- 100 bps. In addition a flattening and a
steepening scenario are also analyzed in order to evaluate the impact on the Net Interest Income of non-parallel
movement of the rate curve too;
•
Economic Value analysis: this includes the calculation of duration measures, value sensitivities of the balance
sheet for different points on the curve, as well as the impact on the Economic Value from larger shocks, e.g. a
200bp parallel shift.
The interest rate risk is monitored on a daily basis in terms of Economic value sensitivity for an instantaneous and parallel
shock of +1 basis point value of the interest rate term structure. On a monthly basis the Economic Value sensitivity for interest
rate term structure shock of +200 basis point value and Net Interest Income Sensitivity are measured. The function
responsible for interest rate risk management verifies on a daily basis the limit usage of the interest rate risk of relevant
positions.
The Treasury hedges interest rate risk exposure from commercial transactions. The Treasury interest rate risk exposure is
monitored through a set of limits and threshold levels. The same holds for the overall interest rate exposure of the balance
sheet, taking into account also the strategic investment positions of the bank, e.g. transactions not directly related to hedging
the commercial business.
DISCLOSURE BY INSTITUTIONS
276
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Market Risks
The sensitivity of net interest income (calculated on the basis of the above assumptions and assuming a 100bp rise in interest
rates) is 275 € million at the end of June 2014 (or -123 € million in case of a 100bps drop in interest rates). This value
highlights the effect of rate changes on the banking book, without considering any future changes in the asset and liabilities
composition.
The following table reflects the effect of an unexpected negative or positive interest rate shock, broken down by the main
currencies.
As of the end of June 2014, the sensitivity of the economic value of the balance sheet to an instantaneous and parallel rate
change of +200 bps is -1,296 € million.
(€ million)
Banking Book Interest Rate Risk
Currency
+200 bps
-200 bps
Euro
-790
419
United States Dollars
-30
29
Poland Zlotych
-59
86
United Kingdom Pounds
-56
36
Switzerland Francs
53
-7
Japan Yen
44
-7
Turkey New Lira
-128
140
Russian Ruble
-105
115
Others
-225
197
TOT
-1.296
1.009
The above measures take into account modeled maturity assumptions for balance sheet items that have (in terms either of
liquidity or interest rate) an expected profile different from the contractual one, or for those with no specific time bucketing,
such as sight items and mortgages.
In case of a rate change of 200bps, the reduction in the economic value, calculated according to managerial methodology, is
within the threshold limits admitted by the Supervisory regulations in force (20% of the regulatory capital).
Banking Book Interest Rate Risk
Value [€ths]
Euro
United States Dollars
Poland Zlotych
United Kingdom Pounds
Switzerland Francs
Japan Yen
Turkey New Lira
Russian Ruble
Others
TOT
+1bp
less than
1 months
+1bp
1 month
to 6 months
+1bp
6 months
to 1 year
+1bp
1 year
to 3 years
+1bp
3 years
to 5 years
+1bp
5 years
to 10 years
+1bp
10 years
to 20 years
+1bp
over
20 years
TOT
240
42
-52
9
-31
-15
26
2
45
267
-4
-225
-108
129
197
54
-50
-39
-48
-93
-142
-262
61
-287
-64
182
-31
-28
-129
-701
-1.579
373
114
-49
108
-5
-278
-183
-451
-1.950
-1.975
85
15
-72
4
-1
70
-43
-340
-2.258
613
171
-278
-6
4
4
-411
-222
-190
-315
-887
-200
-138
-2
-21
2
0
-34
-3
-1.283
-118
-356
4
1
0
0
0
1
-2
-470
-3.852
-372
-381
-278
196
222
-674
-545
-1.118
-6.803
The table above lists the economic value sensitivity to changes in interest rates. The estimate is based on parallel shifts of +1
basis point of interest-rate curves. This sensitivity is calculated for a series of time-buckets and currencies.
The main exposure remains to the euro curves, followed by the exposure in USD: the two currencies together explain over
50% of the total exposure. The highest contribution (negative in sign) is concentrated in the bucket 3Y – 5Y. This can be
explained by the Group strategy for hedging equity.
277
I
DISCLOSURE BY INSTITUTIONS
278
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Securitization exposures
Securitization exposures
The Group acts as originator and sponsor of securitizations as well as investor, as defined by Basel 2 and transposed by
Bank of Italy’s Circular 263 “New Supervisory Instructions for Banks” of December 27, 2006, as amended.
The Group as originator
The Group’s origination consists of the sale of on-balance sheet receivables portfolios to vehicles set up as securitization
companies under Law 130/99 or similar non-Italian legislation.
The buyer finances the purchase of the receivables portfolios by issuing bonds of varying seniority and transfers its issue
proceeds to the Group.
The yield and maturity of the bonds issued by the buyer therefore mainly depend on the cash flow expected from the assets
being sold.
As a further form of security to bondholders, these transactions may include special types of credit enhancement, e.g.
subordinated loans, financial guarantees, standby letters of credit or over-collateralization.
The Group’s objectives when carrying out these transactions are usually the following:
•
to originate securities that can be used to secure repos with Bank of Italy and the ECB (counterbalancing capacity);
•
to reduce funding costs given the opportunity to issue higher-rated bonds with lower interest rates than ordinary
senior bonds;
•
to free up economic and regulatory capital by carrying out transactions that reduce capital requirements under
current rules by reducing credit risk.
The Group carries out both traditional securitizations, whereby the receivables portfolio is sold to the SPV, and synthetic
securitizations, which use credit default swaps to purchase protection over all or part of the underlying risk of the portfolio.
Use of this type of transaction is limited. The amount of loans securitized21, net of transactions in which the Group has
purchased all liabilities issued by the vehicles (so-called self-securitizations), accounts for 1.95% of the Group’s total loan
portfolio as at June 30, 2014. Self-securitizations account for 2.36% of the loan portfolio.
A Covered Bond (OBG – Obb!igazioni Bancarie Garantite) Program was launched in 2008 under the provisions of Italian Law 130/99.
The underlying residential mortgage loans were transferred to an SPE set up for this purpose and included in the banking group.
It should also be noted that, in order to create counterbalancing capacity, in 2012 UniCredit S.p.A. initiated a new Covered
Bonds (OBG or Obbligazioni Bancarie Garantite) program ("New OBG Program"), without specific ratings and having
residential mortgage loans and commercial mortgage loans as underlyings. The contractual and supervisory structure and the
counterparties of this program are modeled on the pre-existing program, with the exception of references to Ratings Agencies
and the use of a new Special Purpose Vehicle, UniCredit OBG S.r.l.
At June 30, 2014 the series of covered bonds issued under the two programs totaled 31 and were worth €29,796 million, of
which €14,790 million was repurchased by UniCredit S.p.A. It should be noted that, following the repurchase, €2,499 million
was pledged as collateral for repos and, as a consequence, recognized in item 30. “Securities in issue” of liabilities.
At June 30, 2014 similar covered bonds under German Austrian (Pfandbrief) and Russian law amounted to €31,378,558
thousand, of which € 21,740,382 thousand were backed by mortgage loans and €9,638,176 thousand by loans to the public
sector.
21 We refer to loans sold, also synthetically, but not derecognized from the balance sheet.
279
I
Accounting Policies - Derecognition
According to IAS 39, derecognition is the removal of a previously recognized financial asset from an entity’s balance sheet.
An entity shall derecognise a financial asset when the contractual rights to the cash flows from the financial asset expire or it
transfers the contractual rights to receive the cash flows of the financial asset to a non-Group counterparty.
Rights to cash flow are considered to be transferred even if contractual rights to receive the asset’s cash flow are retained but
there is an obligation to pay this cash flow to one or more entities and all the following conditions are fulfilled (pass-through
agreement):
•
there is no obligation on the Group to pay amounts not received from the original asset;
•
sale or pledge of the original asset is not allowed, unless it secures the obligation to pay cash flow;
•
the Group is obliged to transfer forthwith all cash flows received and may not invest them, except for liquidity
invested for the short period between the date of receipt and that of payment, provided that the interest accrued in
that period is paid on.
Recognition is also subject to verification of effective transfer of all the risks and rewards of ownership of the financial asset. If
the entity transfers substantially all the risks and rewards of ownership of the financial asset, the entity shall derecognise the
asset (or group of assets) and recognize separately as assets or liabilities any rights and obligations created or retained in the
transfer.
Conversely, if the entity substantially retains all the risks and rewards of ownership of the asset (or group of assets), the entity
shall continue to recognize the transferred asset(s). In this case it is necessary to recognize a liability corresponding to the
amount received under the transfer and subsequently recognize all income accruing on the asset or expense accruing on the
liability.
The main transactions that do not allow, under the above rules, total derecognition of a financial asset are securitizations,
repurchase transactions (buy-ins) and security lending.
Under traditional securitizations the Group keeps the first loss in the form of junior bonds or similar exposure and in some
cases provides further credit enhancement as described above. This enables the Group to benefit from the portion of the sold
receivables’ yield in excess of the yield due to the senior and mezzanine tranches.
Retention by the Group of the first loss risk and the corresponding yield means that most of the risk and return on the portfolio
is retained. Consequently these transactions are recognized in the accounts as financings and no profits arising out of the
transfer of the assets are recognized and the sold receivables are not derecognized.
Synthetic securitizations also entail retention of the receivables subject to credit default protection on the balance sheet. The
swap is recognized in the accounts, as well as any other purchased interest.
In this context, credit derivatives, under which the issuer must make agreed payments to indemnify the insured for an actual
loss suffered as a result of a debtor’s failure to pay a debt instrument at maturity, are classified as purchased financial
guarantees.
As a consequence, the credit risk mitigation effects, associated with the purchase of protection, are taken into account when
assessing the underlying receivables. Any premiums paid for the purchase of protection are classified as other assets and
amortized in the income statement over the life of the contract.
Any interests acquired are financial assets classified in one of the portfolios provided for by the applicable international
accounting standard, depending on the nature of the contract and the purpose for which they are acquired. These assets are
therefore evaluated according to the portfolio in which they are classified, on the basis of the performance of the underlying
portfolio and taking account of their tranching.
Credit enhancement, in addition to the most subordinated tranches of each securitization, can also consist in subordinated
loans or deferred purchase prices (DPP).
The value of these instruments, in the case of traditional securitizations, is shown as a reduction in the value of liabilities
associated with assets sold but not derecognized, while in the case of synthetic securitizations, credit enhancements are
recognized as financial assets and valued according to their portfolio.
DISCLOSURE BY INSTITUTIONS
280
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Securitization exposures
Until December 31, 2013, exceptions to this rule were those transactions for which the Group – while retaining most of the
risk and return of the underlying portfolio – had derecognized as being prior to January 1, 2002. On first adoption of IFRS we
exercised the option afforded by IFRS 1 of not re-recognizing assets sold before January 1, 2004, regardless of the extent of
the risk and return that had been retained.
Since January 1, 2014, however, the transactions in respect of which the above-mentioned option was previously exercised,
i.e. the “Trevi Finance”, “Trevi Finance 2”, “Trevi Finance 3” and “Entasi” securitizations, have been consolidated following the
introduction of IFRS 10 “Consolidated Financial Statements”.
The exposures to these transactions as at June 30, 2014 were therefore included in item “Assets sold but not derecognized”
of the quantitative information provided on the following pages, and comparative figures were restated accordingly to increase
comparability.
The tables below show both the traditional and synthetic securitizations and, separately, the self-securitizations originated by
Group companies as at June 30, 2014.
SELLER OF THE SECURITIZED ASSETS: UniCredit S.p.A.
NAME:
Type of securitisation:
Seller of the securitized assets:
Sponsor:
Issuer:
Target transaction :
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio :
DANUBIO
True Sale
UniCredit S.p.A.
Credito Fondiario S.p.A.
Danubio S.r.l.
Deleveraging of sold portfolio by the Seller
Consumer and Personal Loans
Non performing
04/11/2014
932,941,760 €
Issue guarantees by the Bank:
-
Issued guarantees by third parties:
-
Bank Lines of Credit:
-
Third Parties Lines of Credit:
Other Credit Enhancements:
-
ORIGINATOR: UniCredit S.p.A.
NAME:
Type of securitisation:
Originator:
Issuer:
Target transaction :
Type of asset:
CONSUMER TWO
True Sale
UniCredit S.p.A.
Consumer TWO S.r.l.
Funding / Counterbalancing capacity
Personal Loans
Quality of Asset:
Performing
Closing date:
11/25/2013
Nominal Value of reference portfolio :
1,234,022,049 €
Issue guarantees by the Bank:
-
Issued guarantees by third parties:
-
Bank Lines of Credit:
-
Third Parties Lines of Credit:
Other Credit Enhancements:
281
UniCredit S.p.A. has granted the SPV, w ith respect to this
transaction, tw o subordinated loans amounting to €24.68
million and € 5 million.
I
ORIGINATOR: UniCredit S.p.A.
NAME:
LARGE CORPORATE ONE
True Sale
Type of securitisation:
UniCredit S.p.A.
Originator:
Issuer:
Target transaction :
Type of asset:
Large Corporate ONE S.r.l.
Funding / Counterbalancing capacity
Large Corporate Loans
Quality of Asset:
Performing
Closing date:
08/13/2013
278,606,012 €
Nominal Value of reference portfolio :
Issue guarantees by the Bank:
Senior Notes Guarantee € 304,000,000
-
Issued guarantees by third parties:
Bank Lines of Credit:
Interest Shortfall Facility € 15,000,000
Third Parties Lines of Credit:
-
Other Credit Enhancements:
-
ORIGINATOR: UniCredit S.p.A.
NAME
U-Propeller 2013-1
Type of securitisation:
Tranche Covered
Originator:
Issuer:
Target transaction :
Type of asset:
UniCredit S.p.A.
U-Propeller 2013 S.A.
Capital Relief and risk transfer for concentration risks
loans to rew nable energy project financers
Quality of Asset:
Performing
Closing date:
12/27/2013
916,000,000 €
Nominal Value of reference portfolio :
Issue guarantees by the Bank:
Issued guarantees bythird parties:
cash collateral Mariner Investment Group LLC
Bank Lines of Credit:
-
Third Parties Lines of Credit:
-
Other Credit Enhancements:
-
ORIGINATOR: UniCredit S.p.A.
NAME:
FEDERASCOMFIDI
Type of securitisation:
Tranche Covered
Originator:
UniCredit S.p.A.
Issuer:
Target transaction :
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio :
Issue guarantees by the Bank:
Issued guarantees by third parties:
UniCredit S.p.A.
Capital Relief and risk transfer for concentration risks
Highly diversified and granular pool of UniCredit's loans to
corporates.
Performing
03/25/2013
64,235,679 €
Financial guarantee to hedge the junior tranche in the form of
a lien on fixed deposit account; financial guarantee to hedge
the mezzanine tranche in the form of a personal guarantee.
Bank Lines of Credit:
-
Third Parties Lines of Credit:
-
Other Credit Enhancements:
-
DISCLOSURE BY INSTITUTIONS
282
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Securitization exposures
ORIGINATOR: UniCredit S.p.A.
NAME
FEDERCONFIDI
Type of securitisation:
Tranche Covered
Originator:
UniCredit S.p.A.
Target transaction:
Capital Relief and credit risk transfer
Type of asset:
Loans to Small and Medium Enterprises, mostly unsecured
Quality of Asset:
performing
Closing date:
03/25/2013
62,470,203 €
Nominal Value of disposal portfolio:
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
cash collateral Federconfidi and IGI - personal collateral EIF
Bank Lines of Credit:
-
Third Parties Lines of Credit:
Other Credit Enhancements:
-
ORIGINATOR: UniCredit S.p.A. (ex UniCredit Fam ily Financing Bank S.p.A.)
Cordusio RMBS UCFin - Serie 2006 (ex Cordusio RMBS 3 NAME
UBCasa 1)
Type of securitisation:
Traditional
Originator:
UniCredit Banca per la Casa S.p.A.
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio:
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Funding / Counterbalancing capacity
Private Mortgage Loans
performing
11/16/2006
2,495,969,425 €
UniCredit S.p.A. has granted SPV a subordinated loan of 14.976 million
euro, at the end of accounting period that amount is fully reimboursed.
ORIGINATOR: UniCredit S.p.A. (ex UniCredit Fam ily Financing Bank S.p.A., ex Unicredit Banca S.p.A.)
NAME
Type of securitisation:
Originator:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio:
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Cordusio RMBS Securitisation - Serie 2007
Traditional
UniCredit Banca S.p.A.
Funding / Counterbalancing capacity
Private Mortgage Loans
performing
05/22/2007
3,908,102,838 €
UniCredit S.p.A. has granted SPV a subordinated loan of 6.253 million
euro. At the end of accounting period that amount is fully reimboursed.
Cordusio RMBS Securitisation - Serie 2006
(ex Cordusio RMBS 2)
Traditional
UniCredit Banca S.p.A.
Funding / Counterbalancing capacity
Cordusio RMBS
Traditional
Unicredit Banca S.p.A.
Funding / Counterbalancing capacity
Private Mortgage Loans
performing
07/06/2006
2,544,388,351 €
UniCredit S.p.A. has granted SPV a subordinated loan of 6.361
million euro. At the end of accounting period that amount is fully
reimboursed.
Private Mortgage Loans
performing
05/05/2005
2,990,089,151 €
UniCredit S.p.A. has granted SPV a subordinated loan of 6.127
million euro. At the end of accounting period tha amount is fully
reimboursed.
ORIGINATOR: UniCredit S.p.A. (ex UniCredit Fam ily Financing Bank S.p.A., ex Banca di Rom a S.p.A.)
NAME
Type of securitisation:
Originator:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio:
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
283
CAPITAL MORTGAGE 2007 - 1
Traditional
Banca di Roma S.p.A.
Funding / Counterbalancing capacity
Private Mortgage Loans
performing
05/14/2007
2,183,087,875 €
UniCredit S.p.A. has granted SPV a subordinated loan of 37.19 million
euro (as Equity).
I
ORIGINATOR: UniCredit S.p.A. (ex UniCredit Fam ily Financing Bank S.p.A., ex FinecoBank S.p.A.)
NAME
Type of securitisation:
Originator:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio:
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
F-E Mortgages 2005
Traditional
FinecoBank S.p.A.
Funding / Counterbalancing capacity
Private Mortgage Loans
in bonis
04/06/2005
1,028,683,779 €
-
F-E Mortgages Series 1-2003
Heliconus
Traditional
Traditional
Fin-eco Banca ICQ S.p.A.
Fin-eco Banca ICQ S.p.A.
Funding / Counterbalancing capacity
Funding / Counterbalancing capacity
Private Mortgage Loans
Private Mortgage Loans
in bonis
in bonis
11/27/2003
11/08/2002
748,630,649 €
408,790,215 €
UniCredit S.p.A. for € 20 million (jointly w ith The Royal Bank of UniCredit S.p.A. for € 10.220 million. At the end of accounting
Scotland Milan Branch). At the end of accounting period the period the amount of line of credit is totally redeemed.
amopunt of line of credit is totally redeemed.
Third Parties Lines of Credit:
Other Credit Enhancements:
UniCredit S.p.A. has granted SPV a subordinated loan of 15.431 million
euro (as Equity).
At the end of accounting period the amount of capital tranche
reimboursed is 8.763 million.
-
-
ORIGINATOR: UniCredit S.p.A. (ex Capitalia S.p.A., ex Banca di Rom a S.p.A.)
NAME
Type of securitisation:
Originator:
TREVI FINANCE
TREVI FINANCE 2
Traditional
Banca di Roma S.p.A
Traditional
Banca di Roma SpA 89%,
Mediocredito di Roma SpA 11%
Funding
Funding
ordinary loans – mortgage loans
ordinary loans – mortgage loans
Target transaction :
Type of asset:
Quality of asset:
non performing
Closing date:
Nominal Value of disposal portfolio :
Guarantees issued by the Bank:
Guarantees issued by Third Parties :
special purpose loan
non performing
07/21/1999
2,689,000,000 €
special purpose loan
04/20/2000
94,000,000 €
2,425,000,000 €
98,000,000 €
Redemption of mezzanine securities C1 and C2 in issue
-
Redemption of mezzanine securities in issue
-
Bank Lines of Credit :
-
-
Third Parties Lines of Credit :
-
-
Other Credit Enhancements :
-
-
ORIGINATOR: UniCredit S.p.A. (ex Capitalia S.p.A., ex Banca di Rom a S.p.A.)
NAME
Type of securitisation:
Originator:
TREVI FINANCE 3
ENTASI
Traditional
Banca di Roma SpA 92.2%,
Mediocredito Centrale SpA 5.2%
Leasing Roma SpA 2.6%
Traditional
Banca di Roma S.p.A
Funding
Funding
ordinary loans – mortgage loans
Collateralised bond obligation
Target transaction :
Type of asset:
Quality of asset:
non performing
Closing date:
Nominal Value of disposal portfolio :
Guarantees issued by the Bank:
special purpose loan
05/25/2001
2,745,000,000 €
Trevi Finance 3 classes C1 and C2 securities
06/28/2001
102,000,000 €
Redemption of mezzanine securities in issue
320,000,000 €
Commitment of UniCredit S.p.A. (formerly Capitalia S.p.A.)
in case of events entitling to early redemption of securities
in issue or to the repurchase of Trevi Finance 3 notes at a
price sufficient to redeem Entasi securities. The same
commitment applies if Trevi Finance 3 exercises the early
redemption option of C1 securities.
Guarantees issued by Third Parties :
-
-
Bank Lines of Credit :
-
-
Third Parties Lines of Credit :
-
-
Other Credit Enhancements :
-
-
As shown in the table, the assets underlying the Entasi securitization are the class C1 and class C2 securities of Trevi
Finance 3 securitization. The assets underlying this transaction, as well as those underlying Trevi Finance and Trevi Finance
2, consist of impaired assets derecognized from the financial statements of the originators because, on first adoption of IFRS,
we exercised the option afforded by IFRS 1 of not re-recognizing assets sold before January 1, 2004, regardless of the extent
of the risk and return that had been retained.
Since January 1, 2014, however, the said transactions, in respect of which the above-mentioned option was previously
exercised, have been consolidated following the introduction of IFRS 10 “Consolidated Financial Statements”.
DISCLOSURE BY INSTITUTIONS
284
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Securitization exposures
ORIGINATOR: UniCredit S.p.A. (ex Capitalia S.p.A., ex Banca di Rom a S.p.A.)
NAME
Type of securitisation:
Originator:
Target transaction :
Type of asset:
Quality of asset:
Closing date:
Nominal Value of disposal portfolio :
CAESAR FINANCE
Traditional
Banca di Roma S.p.A.
Funding
Collateralised bond obligation
performing
5/11/1999
360,329,000 €
Guarantees issued by the Bank:
-
Guarantees issued by Third Parties :
-
Bank Lines of Credit :
-
Third Parties Lines of Credit :
-
Other Credit Enhancements :
-
ORIGINATOR: Trevi Finance S.p.A., Trevi Finance n.2 S.p.A., Trevi Finance n.3 S.r.L.
NAME
Type of securitisation:
Originator:
Issuer:
Target transaction :
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio :
AURORA 1
Traditional
Trevi Finance S.p.A., Trevi
Finance n.2 S.p.A., Trevi Finance
n.3 S.r.L.
Aurora SPV S.r.L.
Funding
ordinary loans – mortgage loans
Non performing
03/25/2013
716,531,408 €
Guarantees issued by the Bank:
-
Guarantees issued by Third Parties :
-
Bank Lines of Credit :
-
Third Parties Lines of Credit :
Other Credit Enhancements :
-
ORIGINATOR: UniCredit Credit Managem ent Bank S.p.A.
NAME
Type of securitisation:
Originator:
Issuer:
Target transaction :
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio :
AURORA 2
Traditional
UniCredit Credit Management Bank S.p.A.
Aurora SPV S.r.L.
Funding
ordinary loans – mortgage loans
Non performing
12/19/2013
699,393,888 €
Guarantees issued by the Bank:
-
Guarantees issued by Third Parties :
-
Bank Lines of Credit :
-
Third Parties Lines of Credit :
Other Credit Enhancements :
-
285
-
I
ORIGINATOR: UniCredit Leasing S.p.A (form erly LOCAT S.p.A.)
NAME
Type of securitisation:
Originator:
Issuer:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Traditional
Traditional
Locat SV - Serie 2005 (ex Locat Securitisation Vehicle
3)
Traditional
UniCredit Leasing S.p.A. (ex Locat S.p.A.)
Locat SV S.r.l.
Locat SV - Serie 2011
Locat SV - Serie 2006
Locat S.p.A.
Locat SV S.r.l.
Locat S.p.A.
Locat SV S.r.l. (ex Locat Securitisation Vehicle 3 S.r.l.)
Funding / Counterbalancing capacity
Leasing loans bearing car, capital goods and real estate.
Capital Relief / Funding
Leasing loans bearing car, capital goods and real estate.
Capital Relief / Funding
Leasing loans bearing car, capital goods and real estate.
in bonis
performing
performing
02/11/2011
11/14/2006
10/14/2005
5,150,822,514 €
€ 1,972,909,866
€ 2,000,000,136
Guarantees issued by the Bank:
-
-
-
Guarantees issued by Third Parties:
-
-
-
Bank Lines of Credit:
-
-
-
UniCredit S.p.A. has granted SPV a subordinated loan of 257
million euro.
-
-
Nominal Value of disposal portfolio:
Third Parties Lines of Credit:
Other Credit Enhancements:
ORIGINATOR: Fineco Leasing S.p.A.
NAME
F-E Gold
Type of securitisation:
Traditional
Originator:
Issuer:
Target transaction:
Type of asset:
Fineco Leasing S.p.A.
F-E Gold S.r.l.
Funding
Loans relating to leases of property (65.9%), motor vehicles
(26.7%) and business assets (7.4%)
Quality of Asset:
performing
Closing date:
05/31/2006
Nominal Value of disposal portfolio:
1,019,029,516 €
Guarantees issued by the Bank:
-
Guarantees issued by Third Parties:
-
Bank Lines of Credit:
-
Third Parties Lines of Credit:
Other Credit Enhancements:
Fineco Leasing S.p.A. granted the SPV a subordinated loan
of € 31.6 million (as Equity). At the end of accounting period
the amount of capital tranche is equal to 15.3 million euro.
ORIGINATOR: UniCredit Bank AG
NAME
Geldilux-TS-2013
Type of securitisation:
Originator:
UniCredit Bank AG
Issuer:
Target transaction :
Type of asset:
Traditional
Geldilux-TS-2013 S.A. (Luxembourg)
Funding
EURO Loans
Quality of Asset:
Performing
Closing date:
07/30/2013
Nominal Value of disposal portfolio :
852,400,000 €
Guarantees issued by the Bank:
-
Guarantees issued by Third Parties :
-
Bank Lines of Credit :
-
Third Parties Lines of Credit :
Other Credit Enhancements :
-
DISCLOSURE BY INSTITUTIONS
286
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Securitization exposures
ORIGINATOR: UniCredit Bank AG
NAME
Geldilux-TS-2011
Type of securitisation:
Originator:
Traditional
UniCredit Bank AG
Target transaction :
Capital Relief / Funding
Type of asset:
EURO Loans
Quality of Asset:
Performing
Closing date:
12/20/2011
431,500,000 €
Nominal Value of disposal portfolio :
Guarantees issued by the Bank:
-
Guarantees issued by Third Parties :
-
Bank Lines of Credit :
-
Third Parties Lines of Credit :
Other Credit Enhancements :
-
ORIGINATOR: UniCredit Bank AG
NAME
Geldilux-TS-2010
Type of securitisation:
Originator:
UniCredit Bank AG
Target transaction :
Type of asset:
Traditional
Capital Relief / Funding
EURO Loans
Quality of Asset:
Performing
Closing date:
09/30/2010
Nominal Value of disposal portfolio :
606,900,000 €
Guarantees issued by the Bank:
-
Guarantees issued by Third Parties :
-
Bank Lines of Credit :
-
Third Parties Lines of Credit :
Other Credit Enhancements :
-
ORIGINATOR: UniCredit Bank AG - UniCredit Bank Austria AG
NAME
Type of securitisation:
Originator:
Target transaction :
Type of asset:
EuroConnect Issuer SME 2007
Synthetic
Bayerische Hypo- und Vereinsbank AG (66,09%) - Bank
Creditanstalt
AG (33,91%)
Capital ReliefAustria
/ Funding
and risk transfer
for concentration
risks
Corporate
SME loans
Quality of Asset:
Performing
Closing date:
28/12/2007
Nominal Value of disposal portfolio :
3,089,092,361 €
Guarantees issued by the Bank:
-
Guarantees issued by Third Parties :
-
Bank Lines of Credit :
-
Third Parties Lines of Credit :
Other Credit Enhancements :
287
Synthetic Excess Spread + Reserve Ledger
I
ORIGINATOR: UniCredit Bulbank AD
NAME
Type of securitisation:
Originator:
Target transaction :
Type of asset:
EIF JEREMIE
Synthetic - First loss Portfolio Guarantees
UniCredit Bulbank AD
Capital Relief and risk transfer
Highly diversified and granular pool of UnCredit Bulabank's SME loans.
Quality of Asset:
Performing
Closing date:
08/15/2011
Nominal Value of reference portfolio :
Issue guarantees by the Bank:
Issued guarantees bythird parties:
12,112,217 €
First loss cash collateral EIF
Bank Lines of Credit:
-
Third Parties Lines of Credit:
-
Other Credit Enhancements:
-
ORIGINATOR: Redstone Mortgages Plc
NAME:
Type of securitisation:
Originator:
Issuer:
Target transaction :
Type of asset:
NEWSTONE MORTGAGE SECURITIES No.1
True Sale
Redstone Mortgages Plc
New stone Mortgage Secuirities No. 1 Plc
Funding / Counterbalancing capacity
Private Mortgage Loans
Quality of Asset:
Performing
Closing date:
05/13/2014
Nominal Value of reference portfolio :
Issued guarantees by the Bank:
Issued guarantees by third parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
302,601,881 €
UCB AG issues a guarantee w hereby it w ould repurchase
the senior note at expected maturity date
-
(*)
Redstone Mortgages Plc provides a liquidity reserve of €
5.203 million.
DISCLOSURE BY INSTITUTIONS
288
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Securitization exposures
Self-securitizations
ORIGINATOR: UniCredit S.p.A.
NAME
IMPRESA ONE
Type of securitisation:
Traditional
Originator:
Target transaction:
UniCredit S.p.A.
Funding / Counterbalancing capacity
Type of asset:
CLO SME
Quality of Asset:
Performing
10/21/2011
Closing date:
9,290,300,919 €
Nominal Value of disposal portfolio:
Guarantees issued by the Bank:
-
Guarantees issued by Third Parties:
-
Bank Lines of Credit:
-
Third Parties Lines of Credit:
Other Credit Enhancements:
UniCredit S.p.A. - London Branch has granted the SPV, w ith
respect to this transaction, tw o subordinated loans amounting
to €232.3 million and €190 million.
ORIGINATOR: UniCredit S.p.A.
NAME
Type of securitisation:
Originator:
Issuer:
CONSUMER ONE
Traditional
UniCredit S.p.A.
Consumer ONE S.r.l.
Servicer:
UniCredit S.p.A.
Arranger:
UniCredit Bank AG, London Branch
Target transaction:
Funding / Counterbalancing capacity
Type of asset:
Consumer Loans
Quality of Asset:
Performing
Closing date:
07/29/2011
Nominal Value of disposal portfolio:
4,193,357,976 €
Guarantees issued by the Bank:
-
Guarantees issued by Third Parties:
-
Bank Lines of Credit:
-
Third Parties Lines of Credit:
Other Credit Enhancements:
UniCredit S.p.A. - London Branch has granted the SPV tw o
subordinated loans amounting to € 420 million (at the end of
accounting period the principal amount repaid w as 123,53
million) and € 5 million (at the end of accounting period the
principal amount repaid w as € 2 million). UniCredit S.p.A. London Branch , in May 2012, ha granted a new subordinated
loan amounting € 102.16 million (at the end of accounting
period the principal amount repaid w as € 2 million).
ORIGINATOR : UniCredit S.p.A. (ex UniCredit Fam ily Financing Bank S.p.A., ex Bipop Carire Società per Azioni)
NAME
Type of securitisation:
Originator:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio:
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
289
BIPCA Cordusio rm bs
Traditional
Bipop Carire, Società per Azioni
Funding / Counterbalancing capacity
Private Mortgage Loans
performing
12/17/2007
951,664,009 €
UniCredit S.p.A. has granted SPV a subordinated loan of 9.514 million
euro. At the end of accounting period the amount of capital tranche is
equal to 8.014 million euro.
I
ORIGINATOR: UniCredit Leasing S.p.A (ex Locat S.p.A.)
NAME:
Type of securitisation:
Originator:
Target transaction :
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio :
Locat SV - Serie 2011
Traditional
UniCredit Leasing S.p.A. (ex Locat S.p.A.)
Funding / Counterbalancing capacity
Leasing loans bearing car, capital goods and real estate.
in bonis
02/11/2011
5,150,822,514 €
Issue guarantees by the Bank:
-
Issued guarantees bythird parties:
-
Bank Lines of Credit:
-
Third Parties Lines of Credit:
Other Credit Enhancements:
UniCredit S.p.A. has granted SPV a subordinated loan of
252 million euro.
ORIGINATOR: UniCredit Bank AG
NAME
Type of securitisation:
Originator:
Target transaction :
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio :
Rosenkavalier 2008
Traditional
Bayerische Hypo-und Vereinsbank AG
Liquidity
large Corporate and SME corporate loans and mortgage loans
Performing
12/12/2008
6.008.959.588 € of w hich already securitised in synthetic
transaction:
BUILDING COMFORT 2008 129,843,607.15 €
EUROCONNECT SME 2007 111,190,311.74 €
EUROCONNECT SME 2008 135,739,214.28 €
Guarantees issued by the Bank:
-
Guarantees issued by Third Parties :
-
Bank Lines of Credit :
-
Third Parties Lines of Credit :
Other Credit Enhancements :
-
DISCLOSURE BY INSTITUTIONS
290
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Securitization exposures
The Group as sponsor
As well as an originator, the Group is also a sponsor of asset-backed commercial paper conduits (i.e., SPVs issuing
commercial paper) set up as multi-seller customer conduits to give clients access to the securitization market.
These SPVs are not part of the banking group, but have been consolidated since December 2007.
Customer conduits require the formation and management of a bankruptcy-remote company (i.e., one that would be immune
from any financial difficulties of the originator) which directly or indirectly buys receivables portfolios created by companies
outside the Group.
The receivables underlying these transactions are not bought directly by the conduit set up by the Group, but by a purchase
company which in turn is wholly funded by the conduit by means of commercial papers or Medium Term Notes (MTN).
The main purpose of these transactions is to give corporate clients access to the securitization market and thus to lower
funding costs than would be borne with direct funding.
The conduits’ purchase of assets is financed by short-term commercial paper and medium-term notes (MTN).
Payment of interest and redemption of the securities issued by the conduit therefore depends on cash flow from the
receivables purchased (credit risk) and the ability of the conduit to roll over its market funding on maturity (liquidity risk).
Starting from the second half of 2007, investor demand for the securities issued by these conduits declined significantly. As a
consequence, the Group directly purchased part of the outstanding commercial paper.
This trend reached its peak in December 2008 with a balance sheet exposure of €5,268 million and at June 30, 2014 it was
€376.2 million.
Due to the activity performed, the Group bears most of the risk and receives most of the return on conduit business and also
has control of the conduits.
Consequently, in accordance with IAS 27 (and SIC 12) until December 31, 2013 and with IFRS 10 “Consolidated Financial
Statements”, in force since January 1, 2014, we have consolidated the above-listed SPVs.
The ABCP conduits are consolidated as some of the second-level vehicles that satisfy IFRS consolidation standards.
According to the line-by-line consolidation method, the following items are recognized in the Consolidated Accounts:
•
assets held by consolidated vehicles in place of the loans provided to them or the liabilities subscribed by Group
companies, now eliminated on consolidation;
•
loans to purchase companies for non-consolidated subordinated vehicles.
With respect to non-consolidated purchase companies, the Consolidated Accounts, while not including the assets recorded in
their books, do show the maximum amount of the risk borne by the Group which, with respect to purchase companies wholly
financed by the consolidated conduits, corresponds to the value of the assets of these purchase companies.
Conduit Program
As at June 2014 the Conduit Program comprises the Customer Conduit Arabella Finance Ltd.
The Conduit Program was restructured at the end of 2011 to be compliant with the new requirements of Capital Requirement
Directive (CRD III). Thus the new structure has been in place since year end 2011.
According to such new structure, Arabella would have continued to issue ABCP to finance the purchase of clients assets by
the Purchase Companies of subordinated level and make inter-company loans to each of the purchase companies on a
continuous basis. UCB AG grants individual full support facilities directly to each purchase company amounting to at least
102% of the underlying asset purchase commitment, covering both liquidity and credit risk.
Under a regulatory perspective, Risk Weighted Assets quantification for Arabella is realized through the application of the
Internal Assessment Approach (IAA), as provided by the regulation in force for exposures related to ABCP Conduit Programs
(Circular 263/2006 Title II, Chapter 2).
Arabella Finance Ltd
Arabella is a multi-seller customer conduit with two separate Legal Entities: Arabella Finance Ltd Dublin in Europe and
Arabella Finance LLC Delaware in the US.
Only client-related business is allowed in Arabella.
The underlying portfolio of Arabella is constituted mainly by Trade receivables (51.1%) Car Leases (44.5%) and a small
portion of Equipment Lease (4.1%) which are purchased by the Purchase Companies of subordinated level to which the
specific full support liquidity lines are addressed. The majority of Assets are concentrated in Germany (63.6%), Belgium
(15.8%), U.S.A. (10.5%) and Italy (6.0%). As of June 2014 the total portfolio amounts to EUR 1,212.6 million. As of June 2014
the amount of outstanding ECPs and USCPs are EUR 1,213.5 million and 376.2 million have been purchased by UniCredit
Bank AG, while the remaining issued CPs are externally placed.
The Full Support Liquidity Facilities amounts to 1,493.6 million as of June 2014 for the overall program.
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I
The Group as investor
The Group is also an investor in structured credit instruments issued by vehicles which are not consolidated, as the Group
has neither power to govern nor is exposed to the variability of returns on the operations carried out by SPVs.
These exposures are mainly held on the books of the Corporate and Investment Banking Division (CIB) and UniCredit Bank
Ireland.
This business was particularly affected by the difficult situation on the financial markets, which began in 2007 and determined
a transformation of the structured credit product market into an illiquid market.
In consequence, these securities were reclassified from trading to banking portfolio for the most part in the second half of
2008 and, for the remaining, in the first half 2009.
Since then, this type of asset portfolio has been managed with a view to gradually reduce its amount (i.e. de-risking/deleveraging strategy) in order to lower the associated capital requirement, while seeking to ensure the contribution to net
interest income over time (especially in a market environment characterized by low interest rates) in a context of overall
sustainability of the associated risk profile.
Since early 2012, based on the expertise gained in the management of this portfolio, it was decided to keep the amount
stable in notional terms, while replacing, as far as possible given volatile markets, the positions reaching maturity with new
ones of adequate quality and profitability. These positions are subject to continuous monitoring by Risk Management which,
on the one hand, constantly monitors their evolution and composition while on the other, for the purposes of internal
monitoring and overall disclosure, it regularly evaluates their market value.
DISCLOSURE BY INSTITUTIONS
292
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>> DISCLOSURE BY INSTITUTIONS
Securitization exposures
The Methods of Calculation of the Risk Weighted Exposures Used by the Bank for Securitizations
Bank of Italy Circular 263 specifies that “for prudential purposes securitizations transactions are meant as transactions
involving one or more assets subject to tranching of the credit risk profile into two or more tranches with differing levels of
subordination to the risk of losses on the securitized assets”.
Securitizations affect banks’ balance sheets, whether they are sellers of assets or risks, or acquire the securities issued by
the vehicle or of the credit risk.
The originator may - subject to certain conditions listed in the regulations - exclude securitized assets from capital
requirements and, if it is a bank using IRB methods, the expected losses as well.
There are various ways of calculating the weighted value of positions due for securitization; they depend on the approach
(standard or IRB) that the bank would have followed to determine the capital requirement corresponding to the credit risk of
the securitized assets.
If the bank uses the standard approach to calculate capital requirements for the credit risk of securitized assets included in
securitization positions, the weighted risk amount is calculated using a method which normally attributes a weight to
securitization positions which depends on the rating given by an ECAI (External Credit Assessment Institution). The following
risk weights applies according to Bank of Italy Circular 263/2006 for securitization and re-securitization positions according to
the standard approach:
Table 1
Securitisation and Re-securitisation positions
Credit Ratings
1
2
Securitisations
20%
50%
Re-securitisations
40%
100%
3
100%
225%
4(*)
350%
650%
Equal or below 5
1250%
1250%
(*) only for credit ratings different from short term
If the bank uses the basic or advanced IRB approach to calculate capital requirements for credit risk, the weighted risk
amount of securitization positions is calculated using one of the following methods:
•
rating based approach, RBA: weights are based on external ratings (or inferred ratings), the number of securitized
assets and the seniority of the position.
•
calculation of the capital requirement for an individual tranche of securitization where there is no external or inferred
rating: by using a set regulatory formula (SFA).
The following risk weights applies according to Bank of Italy Circular 263/2006 for securitization and re-securitization positions
according to the IRB approach:
Table 2
Credit Ratings
Long-term Credit
Ratings
1
2
3
4
5
6
7
8
9
10
11
Below 11 or unrated
Securitisations
Short-term
Credit Ratings
1
2
3
Re-securitisations
A
B
C
D
E
7%
8%
10%
12%
20%
35%
60%
100%
250%
425%
650%
1250%
12%
15%
18%
20%
35%
50%
75%
20%
25%
20%
25%
35%
40%
60%
100%
150%
200%
300%
500%
750%
30%
40%
50%
65%
100%
150
225%
350%
500%
650%
850%
35%
The Internal Assessment Approach (IAA) is used for securitizations where the vehicle issues asset-backed commercial paper
(ABCP).
If the capital requirement for securitized assets are calculated partly using the standard approach and partly under the IRB
approach, the weighted risk amount for the securitization positions is calculated using the approach used for the majority
portion in the securitized portfolio.
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I
As far as the regulatory treatment of the securitization transactions originated by the Group (excluding self-securitization) is
concerned, the Group performs on a quarterly basis the calculation of the risk weighted amount of the exposure towards
securitizations transactions according to the aforementioned methods and it compares it to the risk weighted value of the
securitized assets as if they had never been subject to securitization (cap). The lower between the two amounts represents
the actual absorption of each securitization transaction. If necessary, at Holding Company level an adjustment of the
regulatory requirements is performed with respect to the ones reported by the Group Entities that retain exposures towards
the same securitization transactions at individual basis. It is worth underlying that, as of June 30, 2014, 4 transactions keep
on having benefit in terms of regulatory capital: EIF Jeremie originated by UniCredit Bulbank AD, FederConfidi and
Federascomfidi, tranched cover transactions originated by UniCredit S.p.A. and U-Propeller 2013, synthetic transaction
originated by UniCredit S.p.A.
EIF Jeremie is evaluated according to the Standard approach, while FederConfidi, Federascomfidi and U-Propeller 2013
applying the Supervisory Formula Approach.
In addition, please note that on December 31, 2010 the new calculation method for the determination of the significant credit
risk transfer based on the RWA of mezzanine notes was adopted in compliance with the new guidelines contained in Circular
263/2006, 6th Amendment, Title II, Chapter 2, Part Second, Section II, paragraph 4. According to this, all the transactions
outstanding at that date have been subjected to new test: those who did not meet the new requirement were not
considered eligible to provide regulatory capital benefits.
In order to support the evidences arising from the comparison of regulatory requirements related to securitization
transactions, Group Risk Management structured a process of analysis, monitoring and control of the abovementioned
transactions in order to verify the compliance with the qualitative and quantitative requirements set by the Regulator (Title II,
Chapter 2, Part 2 – Securitization – of Circular 263/2006 e related amendments ). In particular, the transactions are analyzed
by a dedicated Group structure in order to verify that:
•
There is no interests misalignment between the Group and the final investor, through the commitment of the seller
(or developer) to retain a share of risk in the transaction;
•
The overall structure of the securitization does not neutralize the effect of maintaining this level of risk;
•
The commitment to retain a share of risk is applied to all transactions subject to the rules on securitization;
•
Internal risk measures support the regulatory evidences.
The securitization transactions originated by the Group have been included within the Group portfolios in order to calculate
the internal risk measures (for credit risk, market risk, interest rate and liquidity).
As regards the securitization transactions for which the Group acts as investor, the Group calculates the regulatory
absorption according to the rating based approach.
Starting from December 2011, as regards the net positions allocated in the regulatory trading portfolio, calculated in
accordance with the provisions on preventive compensation, the specific risk capital requirement is equal to 8% of riskweighted exposures. For these purposes, the weighted exposures are determined applying the prudential rules of applied to
the banking portfolio (standardized method or rating based methods).
As regards the above-mentioned portfolio, the Group operates a continuous monitoring of both the fair value and the
economic value.
To this end, in March 2008, in relation to credit structured products portfolios purchased by the Group and as far as third
parties operations are concerned, a uniform IPV process was approved under the coordination of Risk Management function
applying to all legal entities within the UniCredit group on a monthly basis. The IPV process aims at classifying securities into
9 classes according to progressive levels of reliability of the observed market prices. Starting from instruments with multiple
brokers’ quotations and counterparties, the process then defines less immediate liquidity classes including estimates derived
from proxy assets until getting to assumptions of mark-to-model in case prices are particularly opaque.
These valuation models are inherently complex and the underlying assumptions, estimates and valuations often take into
account uncertain and unpredictable data such as, for example, the expected cash flows, the solvency of the borrower, the
appreciation or depreciation of assets, and may need to be updated to reflect changes in market conditions or trends.
This type of activity is the one that has suffered most from the crisis that started in 2007 that caused, among others,
transformation of the market for credit structured products in an illiquid market. Against this backdrop, the Group has
proceeded in 2008 to centralize these products in a specific portfolio (Global ABS portfolio) managed in order to maintain the
positions also taking into account the good fundamentals of the underlying portfolio. This portfolio is subject to monitoring
and reporting both for credit risk and market risk. The described strategy has been reflected in the accounts through the
reclassification of most of these positions in the category "loans to customers", applied during the second half of 2008 and, to
a lesser extent, in the first half of 2009.
As of June 30, 2014 ABS reclassified instruments have a book value and fair value of Euro 2.4 billion.
DISCLOSURE BY INSTITUTIONS
294
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Securitization exposures
Indication of the methods that the Group applies to securitization activity for the management of risks
Management of liquidity risk
As regards the management of impacts on Group liquidity generated by transactions that are relevant for these
purposes (hence the traditional securitization and self-securitizations for which the Group acts as originator), it has to
be noted that the Group:
•
Monitors and includes the impacts of these positions on the basis of mapping rules defined by internal regulations:
•
Verifies the eligibility of senior positions granted by the European Central Bank and includes the same
in Counterbalancing Capacity according to the price provided by Banque de France and their haircuts;
•
Monitors and estimates the effects on the Group liquidity deriving from possible rating downgrade of the notes
themselves, or of the Group (originator).
In particular, following the rating downgrades of originated securitization notes and OBG 1 Program, Group rating and
Republic of Italy rating occurred in 2012, the Group, in its role of swap counterparty and Account bank against originated
securitizations calculates and monitors the related liquidity impacts. In addition the Group posts on a daily basis a collateral
amount against its swap counterparty role for originated securitization and OBG 1 Program, due to contractual requirements,
following notes rating downgrades. As of June 2014 the amount of collateral posted by the Group in its role of swap
counterparty was €828 million.
Management of interest rate risk
As far as regards the management of interest rate risk of securitization transactions originated by the Group, implied by the
structure of interest rate swaps, the Group retains the interest rate profile of the securitized
portfolio. The Group holds, calculates and monitors this risk as if the portfolio had not been securitized.
Concerning the management of interest rate risk of the positions for which the Group is investor or sponsor, they are usually
included in the reference portfolio and managed according to standard Group procedures.
Management of credit risk
As far as credit risk assessment is concerned, apart from the qualitative and quantitative analysis defined by the regulation in
force for Pillar I requirements, (Circular 263/2006, Title II), the Group includes securitization exposures in the calculation of
Credit Risk Economic Capital, according to a specific ad hoc methodology. In addition, an internal model for credit risk
transfer assessment has been developed and internally validated.
295
I
List of the ECAI (External Credit Assessment Institution) and
ECA (Export Credit Agency) used in the standardized,
advanced approach and of the credit portfolios on which the
ratings supplied by these entities are applied.
Securitizations
Porfolios
Position on securitizations
with short term rating
Position on securitizations
different from those with
short term rating
ECA/ECAI
- Fitch Ratings
- Moody's Investor Services
- Standard and Poor's Rating
Services
- DBRS
DISCLOSURE BY INSTITUTIONS
296
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Securitization exposures
The following tables give a breakdown of the Group’s non-derecognized securitized loans by region and asset quality, and by
traditional and synthetic securitizations. Traditional securitizations are disclosed net of self-securitizations in which the Group
has purchased all liabilities issued by the vehicles.
Securitized assets broken down by geographical area
Am ounts as at 06.30.2014
Italy
Germ any
Other European
Countries (NON
EU)
Other EU
Countries
Austria
Am erica
Rest of the
w orld
Asia
Total
Assets sold but not derecognized
- Residential mortgage loans
-
-
297,542
-
-
-
-
780,956
8,180
-
-
-
-
-
-
789,136
1,158,334
-
-
-
-
-
-
-
1,158,334
-
-
-
875,013
-
-
-
-
875,013
- Corporate loans
245,521
-
-
-
-
-
-
-
245,521
- Others
389,853
-
-
-
-
-
-
-
389,853
8,044,839
8,180
-
1,172,555
-
-
-
-
9,225,574
- Leasing
- Consumer loans
5,470,175
- SME loans
Total
5,767,717
Securitized assets broken down by geographical area
Am ounts as at 06.30.2014
Italy
Germ any
Other
European
Countries
(NON EU)
Other EU
Countries
Austria
Am erica
Rest of the
w orld
Asia
Total
Synthetic transactions
- Residential mortgage loans
-
- Commercial mortgage loans
-
- SME loans
-
-
-
-
-
-
-
-
-
-
-
-
864,739
383,985
181,611
35,339
-
-
-
-
1,465,674
- Corporate loans
-
-
-
-
-
-
-
-
-
- Others
-
-
-
-
-
-
-
-
-
864,739
383,985
181,611
35,339
-
-
-
-
1,465,674
Total
Securitized assets broken down by asset quality
Am ounts as at 06.30.2014
Other assets
(perform ing)
Im paired assets
Total
Assets sold but not derecognized
- Residential mortgage loans
5,359,578
408,139
576,288
212,848
789,136
1,152,721
5,613
1,158,334
- SME loans
875,013
-
875,013
- Corporate loans
245,521
-
245,521
- Others
293,989
95,864
389,853
8,503,110
722,464
9,225,574
- Leasing
- Consumer loans
Total
5,767,717
Securitized assets broken down by asset quality
Am ounts as at 06.30.2014
Other assets
(perform ing)
Im paired assets
Total
Synthetic transactions
- Residential mortgage loans
-
-
-
- Commercial mortgage loans
-
-
-
- SME loans
19,644
1,446,030
1,465,674
- Corporate loans
-
-
-
- Others
-
-
-
19,644
1,446,030
1,465,674
Total
297
I
As noted, the traditional securitization tables give the amount of the assets sold but not derecognized due to retention by the
Group of most of the related risk and rewards.
In first half 2014 these assets were written down by €36,738 thousand.
Please note that the introduction, on January 1, 2014, of IFRS 10 “Consolidated Financial Statements” has resulted in the
consolidation of the “Trevi Finance”, “Trevi Finance 2”, “Trevi Finance 3” and “Entasi” securitizations, in respect of which the
option not to recognize again transactions conducted before January 1, 2002 was previously exercised.
Indeed, when IAS/IFRS were adopted for the first time, the option provided for in IFRS 1 not to recognize again assets sold
before January 1, 2004 was exercised, regardless of the level of risks and returns retained.
The exposures to these transactions as at June 30, 2014 were therefore included in item “Assets sold but not derecognized”
of the tables below, and comparative figures were restated accordingly to increase comparability.
Besides the mentioned exposures, the Group has originated other traditional securitizations of performing loans, in which it
has purchased all liabilities issued by the vehicles (self-securitizations) whose underlying assets totaled €12,915,988
thousand.
Traditional securitizations originated by the Group have as underlyings mainly residential mortgages and consumer loans
originated in Italy and loans to Small Medium Entities originated in Italy, Germany, Austria and Other EU countries.
Synthetic securitization structures have mainly loans to Small Medium Entities originated in Italy, Germany, Austria and Other
EU countries as underlyings.
It should be noted that the decrease in balance sheet exposures relating to transactions not derecognized to €3,246 million in
June 2014 from €3,809 million in December 2013 was due to chiusura delle operazioni Geldilux TS 2010 e Geldilux TS 2011,
parzialmente compensata dalla realizzazione di due nuove operazioni, denominate Danubio e Newstone Mortgage Securities
No.1 , and to the changes in the remaining portfolio holdings.
Moreover, the decrease in balance sheet exposures relating to synthetic transactions from €2,218 million in December 2013
to €1,265 million in June 2014 was due to the completion of the Euroconnect SME 2008 transaction, and to the changes in
the remaining transactions.
Performing loans account for over 92% of the underlying portfolio of traditional securitizations, and over 98% of synthetic
securitizations.
The Group is not an originator of securitizations having US prime, subprime or Alt-A residential mortgages as underlyings.
The following tables give, broken down by banking book and trading book respectively, the amounts of in-house and others
securitizations divided according to the Group’s role and the type of exposure.
DISCLOSURE BY INSTITUTIONS
298
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Securitization exposures
(€tho usands)
Exposure in Asset Backed Securities broken down by seniority - banking book
Am ounts as at
12.31.2013
am ounts as at 06.30.2014
Type of exposure
Senior
Mezzanine
Junior
Total
Total
20,999
-
43,942
64,941
45,069
-
-
43,197
43,197
43,743
-
-
43,197
43,197
43,743
Investm ents in ow n ABS transactions (Originator)
Assets sold totally derecognized
- CLO/CBO
- CLO / CBO Others
- Others
1,008
-
745
1,753
1,325
Guarantees given
-
-
-
-
-
Credit facilities
-
-
-
-
-
1,126,290
450,320
1,645,931
3,222,541
3,771,109
962,899
130,910
568,721
1,662,530
1,719,610
962,899
130,910
568,721
1,662,530
1,719,610
Assets sold but not derecognized
- RMBS
- Prime
- CLO/CBO
- CLO / CBO Other
- Consumer loans
126,098
87,162
44,603
257,863
666,203
126,098
87,162
44,603
257,863
666,203
-
-
526,995
526,995
528,911
- Leasing
37,293
111,059
255,160
403,512
460,629
Guarantees given
560,997
-
-
560,997
304,000
Credit facilities
15,000
-
-
15,000
15,000
1,072,203
192,103
674
1,264,981
2,218,014
-
-
-
-
-
- Prime
-
-
-
-
-
- CLO/CBO
Synthetic transactions
- RMBS
1,072,203
192,103
674
1,264,980
2,218,014
- CLO SME
336,254
192,103
674
529,031
1,455,947
- CLO / CBO Other
735,949
-
-
735,949
762,066
Guarantees given
-
-
-
-
-
Credit facilities
-
-
-
-
-
Balance sheet exposure
-
-
-
-
-
- ABCP
-
-
-
-
-
Guarantees given
-
-
-
-
-
1,490,242
-
-
1,490,242
1,329,110
Balance sheet exposure
3,933,693
1,187,412
58,145
5,179,250
5,205,429
- RMBS
2,463,628
477,066
-
2,940,694
2,820,000
2,382,394
314,246
-
2,696,640
2,574,706
Consolidated conduits (Sponsor)
Credit facilities
Investm ents in third party securitization (Investor)
- Prime
- Subprime
827
400
-
1,227
1,244
80,407
162,420
-
242,827
244,050
- CMBS
582,803
143,307
-
726,110
827,369
- CDO
66,257
5
1
66,263
71,923
- CDO di ABS / CDO di CDO
14,366
3
1
14,370
15,999
- CDO Balance Sheet
17,460
-
-
17,460
17,275
- CDO Market Value
-
-
-
-
-
32,890
-
-
32,890
36,514
- CDO Synthetic Arbitrage
-
-
-
-
-
- CRE CDO
-
-
-
-
-
1,541
2
-
1,543
2,135
750,486
- Nonconforming
- CDO Preferred Stock
- CDO Others
- CLO/CBO
194,209
486,444
-
680,653
- CLO SME
8,991
23,551
-
32,542
40,901
- CLO arbitrage/balance sheet
46,781
99,033
-
145,814
180,649
- CLO / CBO Others
138,437
363,860
-
502,297
528,936
- Consumer loans
424,731
2,239
-
426,970
330,911
- Credit Cards
63,666
-
-
63,666
-
- Student loans
21,518
78,171
-
99,689
110,322
- Leasing
81,306
180
-
81,486
101,056
- Others
11,117
-
1,288
12,405
18,289
- Loans
24,458
-
56,856
81,314
175,073
-
-
-
-
36,256
Guarantees given
Credit facilities
30,636
15,596
46,232
40,938
(*) Figures as at December 31, 2013 w ere restated follow ing the introduction of IFRS 10 and the subsequent consolidation of the segregated funds of the Trevi Finance,
Trevi Finance 2, Trevi Finance 3 and Entasi securitizations, previously totally derecognized from the financial statements.
299
I
(€tho usands)
Exposure in Asset Backed Securities broken down by seniority - trading book
Am ounts as at
12.31.2013
am ounts as at 06.30.2014
Type of exposure
Senior
Mezzanine
Junior
Total
Total
Assets sold but not derecognized
15,458
8,190
-
23,648
37,883
- RMBS
15,458
503
-
15,961
22,612
15,458
503
-
15,961
22,612
Investm ents in ow n ABS transactions (Originator)
- Prime
- CLO/CBO
-
-
-
-
5,023
-
-
-
-
5,023
- Leasing
-
7,687
-
7,687
10,249
Synthetic transactions
-
-
-
-
-
- RMBS
-
-
-
-
-
-
-
-
-
-
- CLO / CBO Other
- Prime
- CLO/CBO
-
-
-
-
-
- CLO SME
-
-
-
-
-
- CLO / CBO Other
-
-
-
-
-
Balance sheet exposure
376,184
-
-
376,184
492,717
- ABCP
376,184
-
-
376,184
492,717
Balance sheet exposure
165,959
25,556
-
191,515
222,107
- RMBS
40,085
1,311
-
41,396
63,099
40,085
1,311
-
41,396
63,099
- Subprime
-
-
-
-
-
- Nonconforming
-
-
-
-
-
60,550
14,757
-
75,307
78,445
Consolidated conduits (Sponsor)
Investm ents in third party securitization (Investor)
- Prime
- CMBS
- CDO
-
-
-
-
1
- CDO di ABS / CDO di CDO
-
-
-
-
-
- CDO Balance Sheet
-
-
-
-
-
- CDO Market Value
-
-
-
-
-
- CDO Preferred Stock
-
-
-
-
-
- CDO Synthetic Arbitrage
-
-
-
-
1
- CRE CDO
-
-
-
-
-
- CDO Others
-
-
-
-
-
11,393
7,959
-
19,352
42,967
17,949
- CLO/CBO
- CLO SME
11,393
7,959
-
19,352
- CLO arbitrage/balance sheet
-
-
-
-
-
- CLO / CBO Others
-
-
-
-
25,018
- Consumer loans
53,931
-
-
53,931
25,058
- Credit Cards
-
-
-
-
-
- Student loans
-
-
-
-
-
- Leasing
-
1,529
-
1,529
12,436
- Others
-
-
-
-
101
- Loans
-
-
-
-
-
Guarantees given
-
-
-
-
-
Credit facilities
-
-
-
-
-
Positions classified in the banking book include the positions reclassified in H2 2008 and H1 2009 for accounting and
regulatory purposes following the amendment to IAS 39 transposed by the European Commission into regulation 1004/2008.
The Group has reclassified almost all its structured credit products from “HfT financial assets” and “AfS available for sale
assets” to “Loans and receivables with customers”, which has made it possible to align their class with the manner in which
they are managed.
As at June 30, 2014 reclassified ABS had a carrying value of €2,432,821 thousand against a fair value at the same date of
€2,435,631 thousand.
Finally, it should be noted that the exposures classified in the banking book include a non-significant portion of resecuritization exposures, i.e. transactions in which at least one of the underlying assets is in turn a securitization position.
DISCLOSURE BY INSTITUTIONS
300
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Securitization exposures
The table below shows the breakdown by type of these re-securitizations, divided according to the Group’s role and the level
of subordination.
(€tho usands)
Exposures in re-securitization - banking book
Exposure type
Investm ents in ow n ABS transactions
(Originator)
Assets sold totally derecognized
am ounts as at 06.30.2014
Mezzanine
Junior
Senior
am ounts as at
12.31.2013
Total
117,453
-
-
117,453
109,638
117,453
-
-
117,453
109,638
88,589
167,259
-
255,848
269,752
- RMBS
14,544
-
-
14,544
18,317
- CMBS
2,610
-
-
2,610
2,634
- CDO
15,907
2
-
15,909
18,134
- CLO/CBO
55,528
167,257
-
222,785
-
-
-
-
230,647
20
- CLO/CBO
Investm ents in third party securitization
(Investor)
- ABS others
301
I
(€'000)
SECURITISATIONS - STANDARDIZED APPROACH
ON-BALANCE-SHEET RISK ASSETS
WEIGHTING FACTORS
"IN HOUSE"
SECURITISATIONS
ORIGINATOR
Weighting 20%
Weighting 50%
Weighting 100%
Weighting 350%
Weighting 1250 % - with rating
Weighting 1250 % - no rating
Look-through - second loss in
ABCP
Look-through - other
Internal Assesment Approach
(IAA)
Total as at 06.30.2014
Total as at 03.31.2014
THIRD PARTIES
SECURITISATIONS
SPONSOR
PRE-PAYMENT
CLAUSES
OFF-BALANCE-SHEET RISK ASSETS
THIRD PARTIES
SECURITISATIONS
INVESTOR
"IN HOUSE"
SECURITISATIONS
ORIGINATOR
THIRD PARTIES
SECURITISATIONS
SPONSOR
THIRD PARTIES
SECURITISATIONS
INVESTOR
"IN HOUSE"
SECURITISATIONS
ORIGINATOR
0
0
33,746
0
0
0
0
0
0
58,527
0
0
0
0
0
0
63,553
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
18,739
0
39,141
0
0
5,850
0
0
18,739
20,605
0
0
0
0
194,967
682,314
0
0
0
0
0
0
0
5,850
8,064
0
0
0
In the table, the exposures refer to “exposure value subject to risk weights”
DISCLOSURE BY INSTITUTIONS
302
AS AT JUNE 30, 2014
>> DISCLOSURE BY INSTITUTIONS
Securitization exposures
(€'000)
SECURITISATIONS - IRB APPROIACH
ON-BALANCE-SHEET RISK ASSETS
WEIGHTING FACTORS
Weighting 7 - 10%
Weighting 12 - 18%
Weighting 20 - 35%
Weighting 40 - 75%
Weighting 100%
Weighting 250%
Weighting 425%
Weighting 650%
Weighting 1250% - with rating
Weighting 1250% - no rating
Supervisory formula method
Look - through
Internal Assesment Approach
(IAA)
Total as at 06.30.2014
Total as at 03.31.2014
"IN HOUSE"
SECURITISATIONS
ORIGINATOR
THIRD PARTIES
SECURITISATIONS
SPONSOR
THIRD PARTIES
SECURITISATIONS
INVESTOR
"IN HOUSE"
SECURITISATIONS
ORIGINATOR
THIRD PARTIES
SECURITISATIONS
SPONSOR
THIRD PARTIES
SECURITISATIONS
INVESTOR
"IN HOUSE"
SECURITISATIONS
ORIGINATOR
0
0
2,206,574
0
0
0
0
8,783
938,394
0
0
15,596
60,340
5,195
631,153
0
10,983
24,786
0
0
296,293
0
0
0
0
0
222,963
0
0
0
20,850
0
153,136
0
0
0
0
0
78,743
0
0
0
0
0
0
0
0
0
0
0
11,981
0
0
0
0
0
0
0
0
0
800,266
0
0
0
0
0
0
0
0
0
0
0
0
0
4,591
0
0
1,490,242
0
881,456
18,569
4,539,237
0
1,501,225
40,382
0
1,085,134
18,921
4,655,034
0
1,557,195
42,161
0
In the table, the exposures refer to “exposure value subject to risk weights”
303
PRE-PAYMENT
CLAUSES
OFF-BALANCE-SHEET RISK ASSETS
I
(€'000)
RE-SECURITISATIONS - IRB APPROACH
ON-BALANCE-SHEET RISK ASSETS
WEIGHTING FACTORS
"IN HOUSE"
SECURITISATIONS
ORIGINATOR
Weighting 20 - 35%
Weighting 40 - 75%
Weighting 100%
Weighting 150%
Weighting 200%
Weighting 225%
Weighting 300%
Weighting 350%
Weighting 500%
Weigting 650%
Weighting 750%
Weighting 850%
Weighting 1250% - with rating
Weighting 1250% - no rating
Supervisory Formula Method
Look-through
Internal Assesment Approach
(IAA)
Total al 06.30.2014
Total al 03.31.2014
THIRD PARTIES
SECURITISATIONS
SPONSOR
OFF-BALANCE-SHEET RISK ASSETS
THIRD PARTIES
SECURITISATIONS
INVESTOR
"IN HOUSE"
SECURITISATIONS
ORIGINATOR
THIRD PARTIES
SECURITISATIONS
SPONSOR
THIRD PARTIES
SECURITISATIONS
INVESTOR
0
0
43,806
0
0
0
0
0
149,379
0
0
0
0
0
7,336
0
0
0
0
0
17,233
0
0
0
0
0
9,383
0
0
0
0
0
27,725
0
0
0
0
0
0
0
0
0
0
0
9,953
0
0
0
0
0
3,671
0
0
0
0
0
2,657
0
0
0
0
0
0
0
0
0
0
0
3,292
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
0
274,435
0
0
0
0
0
301,954
0
0
0
In the table, the exposures refer to “exposure value subject to risk weights”
Securitized assets, totaling €282,339 thousand, have been deducted from regulatory capital.
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Operational Risk
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Operational Risk
Operational Risk
Operational risk is the risk of loss due to errors, infringements, interruptions, damages caused by internal processes or
personnel or systems or caused by external events. This definition includes legal and compliance risks, but excludes strategic
and reputational risk.
For example, losses arising from the following can be defined as operational: internal or external fraud, employment practices
and workplace safety, client claims, products distribution, fines and penalties due to regulation breaches, damage to the
company’s physical assets, business disruption and system failures, process management.
Group operational risk framework
UniCredit group sets the operational risk management framework as a combination of policies and procedures for controlling,
measuring and mitigating the operational risk of the Group and controlled Entities.
The operational risk policies, applying to all Group Entities, are common principles defining the roles of the company bodies,
the operational risk management function as well as the relationship with other functions involved in operational risk
monitoring and management.
The Parent Company coordinates the Group Entities according to the internal regulation and the Group operational risk
control rulebook. Specific risk committees (Risk Committee, ALCO, Operational Risk Committee) are set up in the Entities to
monitor risk exposure, mitigating actions and measurement and control methods.
The methodology for data classification and completeness verification, scenario analysis, risk indicators, reporting and capital
at risk measurement is set by the Parent Company Group Operational & Reputational Risks department and applies to all
Group Entities. A pivot element of the risk control framework is the operational risk management application, allowing the
collection of the data required for operational risk control and capital measurement.
The results from the various elements of the operational risk framework are as much as possible translated into actions that
mitigate operational risk. In this way and through the years, the framework has evolved from a control system to a practice
aimed at managing and mitigating the risk.
The compliance of the Group Operational risk control and measurement system with external regulations and Group
standards is assessed through an internal validation process under the responsibility of the Group Internal Validation
department of the Parent Company and independent from the Group Operational & Reputational Risks department.
Since March 2008 UniCredit Group uses the AMA model (Advanced Measurement Approach) for calculating operational risk
capital. The use of this method has being rolled out to the main Entities of the Group.
Organizational structure
Top Management is responsible for approving all aspects relating to the Group operational risk framework and verifying the
adequacy of the measurement and control system and is regularly updated on changes to the risk profile and operational risk
exposure, with support from the appropriate risk committees.
The “Group Operational & Reputational Risks Committee” is responsible for monitoring operational and reputational risks at
Group level, evaluating incidents significantly affecting the overall operational and reputational risk profile, submitting to the
“Group Risk Committee”, for either approval or information, operational and reputational risk strategies, policies, guidelines,
methodologies and warning levels as well as regular reporting on operational and reputational risk portfolio.
The Committee is responsible for ensuring consistency in operational and reputational risk policies, methodologies and
practices across Business Functions and Legal Entities. It controls and monitors the Group operational and reputational risk
portfolio and risk mitigation actions.
The Committee, chaired by the Parent Company's head of Group Risk Management, is made up of permanent and guest
members.
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The “Group Operational & Reputational Risks Committee” meets with consulting and suggestion functions for submission to
the “Group Risk Committee” functions/ decision making Bodies/Legal Entities for the following topics with reference to
operational risk:
•
Group risk appetite including capitalization targets and capital allocation criteria for Group operational risks
•
structure and definition of warning levels for Group operational risk for achieving risk allocation targets across
Business Functions, Legal Entities and portfolios
•
initial approval and fundamental modifications of risk control and measurement systems for operational risk,
including possible action plans, processes, IT and data quality requirements, supported by validation reports
•
overall strategies for operational risk optimization, “Governance Guidelines” and general “Policies” for the
management of Group operational risk
•
action plans to address possible critical findings related to risk control and measurement systems resulting from
“Group Internal Validation” and “Internal Audit” activities, with regard to the internal control system and risk
measurement
•
status update of relevant Basel II project activities and processes on operational risk topics
•
ICAAP topics on operational risks
•
yearly Regulatory Internal Validation Report on operational risk
•
advice on matter of operational risk, upon request of the Holding Company
and for the following topics with reference to reputational risk:
•
support, for specific reputational risk events, the crisis management capabilities and stakeholder communication,
coherently with the Reputational Risk Management framework
•
advice on matter of reputational risk, upon request of the Holding Company functions/Bodies and Legal Entities
•
issue opinions, upon request of competent Committees, in case of doubt on the application of the reputational risk
Global Rules, in order to evaluate the transaction overall
•
issue opinions to evaluate the reputational risk related to non credit transactions identified by the Head of “CIB
Division”.
The “Group Operational & Reputational Risks Committee” meets with approval function for the following topics:
•
operational and reputational risk policies;
•
corrective actions for balancing Group operational risk positions, including planned mitigation actions, within the
warning levels defined by the competent Bodies ;
•
Group insurance strategies, including renewals, limits and deductibles;
•
approval and following fundamental modifications of the methodologies for the measurement and control of
operational risk, supported by the related internal validations.
The “Group Operational & Reputational Risks Committee” provides the “Group Risk Committee” with the following
information:
•
regular risk reports on operational losses, insurance recoveries, risk indicators trend, as well as, on back – testing
and stress - testing results, including the ones addressed to the Regulatory Authorities (before the presentation to
them)
•
results of scenario analyses
•
results of the critical risk indicators analyses
•
relevant internal and external operational events occurred, significantly affecting the Group's portfolio
•
operational and reputational risk policies
•
corrective actions for balancing Group operational risk positions, including mitigation actions
•
Group insurance strategies, including renewals, limits and deductibles
•
methodologies for the measurement and control of operational risk
•
regular reports on reputational risks included the one addressed to Regulatory Authorities (before the presentation
to them).
The “Group Operational & Reputational Risks Committee” receives from the relevant competent Committees regular report on
all transactions for which inherent reputational risks have been evaluated, based on current reputational risk “Group Rules”.
The Group Operational & Reputational Risks department is part of the Group Risk Management department and supervises
and manages the overall profile of the operational and reputational risks in the Group by defining the strategies,
methodologies and warning levels. It coordinates and steers the operational risk management functions in the Group Entities,
also by issuing Policies that are approved and implemented by the Entities’ competent governing bodies.
The department has three organizational units:
•
The “Operational and Reputational Risk Oversight” unit is responsible for defining the principles and rules for
identification, assessment and control of operational risk and reputational risk (including operational risks bordering
on credit risk and market risk), and monitoring their correct application by the Legal Entities.
•
The “Operational and Reputational Risk Strategies” unit is responsible for defining operational risk strategies,
defining and controlling warning levels, as well as proposing mitigation actions and monitoring their effectiveness.
•
The “Operational and Reputational Risk Analytics” unit is responsible for defining risk capital measurement
approaches, calculating operational risk capital and the corresponding economic capital, as well as conducting
quantitative analysis of the Group's exposure to operational risk and reputational risk, and providing suitable
reporting to the functions concerned.
The Operational Risk Management functions of the controlled Entities provide specific operational risk training to staff, also
with the use of intranet training programs, and are responsible for the correct implementation of the Group framework
elements.
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Operational Risk
Validation process
In compliance with regulations, an internal validation process for the operational risk control and measurement system has
been set up at the Parent Company and in the relevant Group Entities in order to verify the conformity with regulations and
Group standards. This process is responsibility of the Operational and Pillar II Risks Validation team, within the Group Internal
Validation department.
Group methodologies for measuring and allocating the capital at risk and the IT system are validated at Parent Company
level by the abovementioned team, while the implementation of the operational risk control and management system within
the relevant Entities is analyzed by the local Operational Risk Management functions with a self-assessment, following the
technical instructions and policies issued by the Group Internal Validation department.
The results of the local assessments are annually verified by the Group Internal Validation department which also performs
additional analysis on data and documentation. Such evidences are the basis for the release of specific Non-Binding Opinions
to the relevant subsidiaries. The local validation report, together with the opinion of the Group Internal Validation department
and the Internal Audit report, are submitted to the Entities’ competent governing bodies.
All the validation outcomes on the operational risk control and measurement system, both at Parent Company and controlled
entities level, are annually consolidated within the Group Validation report which, along with the annual Internal Audit report,
is presented to the UniCredit Board of Directors.
Periodical reporting on validation activities is submitted also to the Group Operational & Reputational Risks Committee.
Reporting
A reporting system has been developed by the Parent Company to inform Top Management and relevant control bodies on
the Group operational risk exposure and the risk mitigation actions.
In particular, quarterly updates are provided on capital-at-risk estimates, monthly updates are provided on operational losses,
the main initiatives undertaken to mitigate operational risk in the various business areas, operational losses suffered in the
credit linked processes (“cross-credit” losses).
Operational risk management and mitigation
Operational risk management exploits a number of tools like process reengineering to reduce the risk exposure and
insurance policies management, by defining proper deductibles and policies’ limits. Regularly tested business continuity plans
assure sound operational risk management in case of interruption of main business services.
The Parent Company Board of Directors, within its steering powers, approves the operational risk strategies aiming to identify
the priority areas for operational risk mitigation. In the Legal Entities, the Risk Committee (or other bodies, in accordance with
local regulations) reviews risks tracked by the Operational Risk functions with the support of functions involved in daily
operational risk control, and monitors the risk mitigation initiatives, in coherence with and implementation of the operational
risk strategies.
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Operational Risk: use of Advanced Measurement
Approaches
Description of the risk measurement methodology (AMA)
UniCredit group developed an internal model for measuring the capital requirements. The system for measuring operational
risk is based on internal loss data, external loss data (consortium and public data), scenario loss data and risk indicators.
Capital requirement is calculated at Group level, considering the Basel 1st level event types as risk classes. For each risk
class, severity and frequency of loss data are separately estimated to obtain the annual loss distribution.
The severity distribution is estimated on internal, external and scenario data, while the frequency distribution is determined
using only the internal data. The severity distribution is selected among a portfolio of parametric distribution (truncated
lognormal, truncated Weibull, truncated loglogistic, generalized Pareto, shifted lognormal) applying a decision tree on internal
data to identify the set of distribution/threshold best describing the tail severity data for each risk class.
Frequency of loss data is modeled by a Poisson distribution. For each risk class, the annual loss distribution is obtained from
severity and frequency through Monte Carlo simulation, considering also insurance coverage. An adjustment for key
operational risk indicators is applied to the annual loss distribution estimated for each risk class.
Annual loss distributions of risk classes are aggregated considering correlation among event types. Correlation is estimated
through a Student-t copula function and the overall annual loss distribution is obtained though Monte Carlo simulation.
Group AMA capital requirement is calculated at a confidence level of 99.9% on the overall loss distribution for regulatory
purposes and at a confidence level coherent with the Group target rating for economic capital purposes. Deduction for
expected loss is calculated as the minimum between median of overall loss distribution and available specific provisions.
Through an allocation mechanism, the individual legal entities’ capital requirements are identified, reflecting the entities’ risk
exposure.
The allocation mechanism is based on two steps:
1. The Group capital requirement is allocated to sub consolidating entities (model hubs) proportionally to their relative
TSA, Operational losses and stand-alone capital at risk figure.
2. The Hub capital at risk is then allocated to individual legal entities on the basis of their TSA, historical loss profile
and scenarios.
The AMA approach approved by the Supervisory Authority in 2008 has been upgraded and deeply revised (starting from H1
2014 reporting) leading to a second generation model newly approved by competent authorities in 2014. The entities not yet
authorized to use the advanced methods contribute to the consolidated capital requirement on the basis of the standard
(TSA) or basic (BIA) model.
The weight of the different methods, expressed in terms of contribution to the total relevant indicator of the Group (three-year
average of gross income), is as follows: AMA 83,1%, TSA 9,1%, BIA 7,9%.
The AMA perimeter embeds Group main legal entities in Italy, Germany , Austria, and Poland as well as UBIS , Pioneer, UC
Ireland and UC Luxemburg. AMA is also applied to main CEE legal entities including Slovenia, Czech Republic, Slovakia,
Romania, Croatia, Bulgaria and Hungary.
Main TSA and BIA legal entities are Uc Russia, Yapi Kredi and Ukraine.
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Operational Risk
Sources of operational risk
Detailed below is the percentage composition, by type of event, of operational risk sources as defined by the New Basel
Capital Accord and acknowledged by the New Regulations for the Prudential Supervision of Banks issued by the Bank of Italy
in December 2006 (Circular No. 263/2006 as amended).
The major categories are as follows:
•
internal fraud: losses owing to unauthorized activity, fraud, embezzlement or violation of laws, regulations or
business directives that involve at least one internal member of the bank;
•
external fraud: losses owing to fraud, embezzlement or violation of laws by subjects external to the bank;
•
employment practices and workplace safety: losses arising from actions in breach of employment, health and
workplace safety laws or agreements, from personal injury compensation payments or from cases of discrimination
or failure to apply equal treatment;
•
clients, products and professional practices: losses arising from non-fulfillment of professional obligations towards
clients or from the nature or characteristics of the products or services provided;
•
damage from external events: losses arising from external events, including natural disasters, acts of terrorism and
vandalism;
•
business disruption and system failures: losses owing to business disruption and system failures or interruptions;
•
process management, execution and delivery: losses owing to operational or process management shortfalls, as
well as losses arising from transactions with commercial counterparties, sellers and suppliers.
Operational losses 1H2014 divided by risk category
Process execution
26%
External fraud 24%
Internal fraud 7%
Clients 38%
Employment practices
3%
IT Systems 1%
Material damage 1%
In the 1H 2014, the main source of operational risk was "Clients, products and professional practices”, a category which
includes losses arising from the non-fulfillment of professional obligations towards clients or from the nature or characteristics
of the products or services provided, as well as any sanctions for violating regulations. The second largest contribution to
losses came from errors in process management, execution and delivery due to operational or process management
shortfalls. There were also, in decreasing order, losses stemming from external fraud, internal fraud and employment
practices. The residual risk categories were IT systems related problems and damage to physical assets from external
events.
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Operational risk management and mitigation
Operational risk management exploits a number of tools, like process reengineering, to reduce the risk exposure and
insurance policies management, by defining proper deductibles and policies’ limits. Regularly tested business continuity plans
assure sound operational risk management in case of interruption of main business services.
UniCredit Spa Board of Directors, within its steering powers, approves the operational risk strategies aiming to identify the
priority areas for operational risk mitigation. In the legal entities, the Risk Committee (or other bodies, in accordance with local
regulations) reviews risks tracked by the Operational Risk functions with the support of functions involved in daily operational
risk control, and monitors the risk mitigation initiative, in coherence and implementation of the operational risk strategies.
The Group has promoted the mitigation of potential losses by identifying several topics aiming at analyzing the issue of
operational risk reduction.
The main ones are the following:
Strategies
Within the “Risk Appetite Framework”, UniCredit Spa Board of Directors has approved strategies specific for operational risk.
Strategies apply to products, services, business lines, processes, according to the following criteria:
•
current portfolio: top risks, as resulting from the operational risk framework (loss data analysis, scenario and risk
indicators analyses) or considering relevant changes in external environment (e.g. forthcoming regulations,
changes in court attitude, events occurred to peers);
•
forward looking portfolio: emerging risks, as resulting from budget analyses, due to business model and internal
control system relevant changes.
Strategies do not apply to the risks already mitigated (e.g. anatocism), however having an inertial effect in terms of
operational loss flows.
The operational risk strategies are implemented by the Legal Entities through the detection and prioritization of the mitigation
actions performed by the Permanent Workgroups (e.g. processes and IT system review; enhancement of internal control
system; training programs; risk transfer policies through insurance). The operational risk strategies include the identification of
“warning levels” for the main Group Legal Entities, set in terms of operational losses.
Permanent WorkGroup
The “Operational Risk Mitigation Strategies Global Policy” and the “Global Operational Instructions Permanent Workgroup”
govern the Permanent WorkGroup (PWG), a working group established in most of the Group Legal Entities and composed
mainly of Operational Risk and Organization functions, with the aim of reducing operational losses by the identification and
the implementation of new mitigation actions.
The WorkGroup takes advantage also of the cooperation of all the other involved functions as guest members (like
Compliance, IT, Business, Accounting…). The meetings, called at least quarterly, aim at prioritizing the risks, implementing
strategies through the mitigation actions and monitoring their implementation.
Mitigation Action Monitoring
The major mitigation actions planned and/or implemented by the Group Legal Entities, are reported on a regular basis to
UniCredit Spa since 2011, also at the purpose to verify their coherence with the operational risk strategies. Following every
relevant loss, in the scope of MAO activity (Mitigation Action Outlook) each Legal Entity is required to plan a related mitigation
action. The mitigation actions linked to the strategies of the Legal Entities are collected and monitored by the Holding
Company.
Warning Levels Monitoring
The Warning Levels are defined based on main Legal Entities’ operational losses forecast. The exceeding of such levels
allows a close monitoring by the parent company to ensure that the legal entities put in place a series of changes or reactions
(a specific process is defined in two dedicated Group Rule issued in 2012).
Changes and reactions can lead to the adoption of new Mitigation Actions, improvement of existing ones or Warning Levels
review. The definition of Warning Levels is based on historical loss data analysis at Group level, and on the evaluation of
potential correlations (at Legal Entity level) between loss amounts and dimension variables (e.g.: Group perimeter) over the
years. The calculation of trend and seasonability index is also used for loss forecast purposes. Furthermore these analyses
will be used to evaluate the impact of mitigation actions implemented in the past and as a base for future strategies and
mitigation activities. A disciplined approach in monitoring Warning Levels and implementing remedial actions will ensure
consistency with best practice standards, increasing accountability and alignment between business and risk control
functions.
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Operational Risk
The use of insurance for risk mitigation
The Operational Risk Management function is involved in the decision process for insurance coverage with analyses
regarding the exposure to operational risks, effectiveness of deductibles and of policy limits. It regularly informs management
on insurance related matters. The role of the Operational Risk Management function in insurance management is defined in a
dedicated Group policy, approved by the Group Risk Committee and by the “Group Operational & Reputational Risks
Committee”.
The latter Committee has an approval function for insurance hedging strategies after joint proposals from the Global
Insurance Management function and the Group Operational and Reputational Risks department.
The risks commonly insured in the Group are damages to physical assets, fraud and liability.
On the basis of a risk classification, our Group has insurance policies according to the following forms:
•
internal fraud: BBB policy, according to Employee Dishonesty insuring clause;
•
external fraud: BBB policy, according to the following insuring clauses: On Premises and In Transit (including loss
of property resulting directly from theft & robbery), Forgery or Alteration, Electronic and Computer Crime;
•
employer’s liability (E.L.): protection for the Bank against claims for damages suffered by employees;
•
third Party Liability policy (TPL): protection for the bank against claims for damages suffered by third parties;
•
external occurrences: Property ALL RISKS policy as well as EDP ALL RISKS policy are provided in respect of
buildings and other assets extended to natural events, catastrophic losses, vandalism and terrorism. Machinery
breakdown coverage under EDP ALL RISKS policy is provided, too.
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Liquidity Risk
Liquidity Risk
Liquidity risk is defined as the risk that the Group may find itself unable to fulfill its expected or unexpected payment obligations (by
cash or delivery), current and future, without jeopardizing its day-to day operations or its financial condition.
The key principles
The Liquidity Centres
The Group aims to maintain liquidity at the level enabling to conduct safe operations, to fund its operations at the best rate
conditions under normal operating circumstances, and to remain always in a position to meet payment obligations.
To this end, the Group complies accurately with the legal and regulatory provisions imposed by the national Central Banks and by
the national authorities of each country where it operates.
In addition to local legal and regulatory requirements the Group, through the Parent Company and under the responsibility of its
Group Risk Management, defines policies and metrics to be applied at the Group-wide level, to ensure that liquidity position of any
Entity meets the requirements of the Group.
For these reasons, the Group is organized on a managerial perspective, according to the concept of the Liquidity Centres.
The Liquidity Centres are Legal Entities that act in their responsibility as liquidity hub. They are in charge:
•
of the liquidity management and concentration process of liquidity flows of the Legal Entities falling within their perimeter
of responsibility;
•
of the funding optimization carried out on the relevant local markets and are responsible to coordinate the access to
short term and medium long term markets of the legal entities belonging to their perimeter;
•
finally, of the implementation of the Group’s liquidity rules at local level in line with Group’s Governance Guideline and
Policy and with local regulations.
A particularly important role is played by the Parent Company, as a “supervisory and overarching liquidity centre” with its role of
steering, coordinating, and controlling all the aspects regarding liquidity for the whole Group. The Parent Company, moreover, acts
as the Liquidity Centre Italy. The other Liquidity Centres are Germany, Austria & CEE and Poland.
The principle of “self-sufficiency”
This organization model allows self-sufficiency of the group by accessing the local and global markets for liquidity in a controlled
and coordinated way. According to Group Policies, structural liquidity surpluses should be up-streamed to the Holding Company,
unless legal requirements prevent it. The liquidity available at country level could be subject to restrictions due to legal, regulatory
and political constraints. The so called “Large Exposure Regime”, applied throughout Europe, along with specific national laws like
the “German Stock Corporation Act”, are examples of legal constraints to the free circulation of funds within a cross-border
banking Group22.
As a general rule, the Large Exposure Regime, which came into force on 31 Dec 2010, limits interbank exposures to a maximum
of 25% of own funds: this rule is also applicable to intra-group exposures.
However, there are significant differences in the way in which this EU regulation has been implemented in the various countries. In
some CEE countries the limit of 25% of free funds is valid, with some countries showing even stricter rules (e.g. Serbia); in Austria,
according to the National law, the "25% of own funds limit" is not applied to exposures towards the parent company, if located in
the European Economic Area; finally, in Germany the national Regulator has set up a process to apply for a waiver, exempting
intra-group exposures from the large exposure limitation.
In the absence of official limits valid at National level, Austrian and German Regulators reserve the right to judge the exposure
level on a case-by-case basis. In the current economic environment, in some of the territories in which the Group operates,
Banking Regulatory Authorities are adopting measures aimed at reducing the exposure of their National banking system towards
foreign jurisdictions with potential negative impacts on the ability of the Group to finance its activities.
For these reasons, the Group Liquidity Policy provides for a further principle in order to enhance a sound liquidity risk
management; that is, each Legal Entity (in particular those located in a country different from the one of its Liquidity Centre of
reference), has to increase its liquidity self-sufficiency in an on-going basis and under stressed conditions, fostering each Legal
Entity to exploit its strengths, in terms of products and markets, in order to optimize the cost of funds of the Group.
This type of organization allows the Group that the Legal Entities are self-sufficient by accessing the local and global markets for
liquidity in a controlled and coordinated way, whilst optimizing: i) the liquidity surpluses and deficits within the Group’s legal
entities ii) the overall costs of funding across the Group.
22
Also the Bank of Italy Rules, Circolare 263, foresees that the liquidity reserves are placed in each Legal Entity in order to minimize the transfers of cash reserves (Titolo V,
capitolo 2, Sezione III. 7 before last paragraph).
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Roles and responsibilities
At Group level, three main functions are identified in the management of the liquidity: the Group Risk Management competence
line, the “Finance” function (within Planning, Finance & Administration competence line), and the “Treasury” function (within the
“Markets” Business Unit), each with different roles and responsibilities. In particular, the operational responsibilities reside in the
Finance and the Treasury functions, while the Risk Management function has responsibilities of independent controls and
independent reporting compared to the operational functions (in line with the current requirements of Bank of Italy).
More specifically, Group Treasury acts as main coordinator in the management of infra-group flows, stemming from liquidity
deficits or surplus of the various Group’s Legal Entities, and applies the appropriate transfer prices to such funds movements. By
doing so, Group Treasury ensures a disciplined and efficient access to the markets.
Optimisation of liquidity risks is pursued through the setting of specific limits on the standard banking activity of transforming short,
medium and long-term maturities. This is implemented in accordance with legal and regulatory framework in each country and
internal rules and policies of the Group companies through management models in place within the individual Liquidity Centres.
Such models are subject to analyses carried out by the local Risk Management or equivalent structure with the same
responsibilities in coordination with the Group’s Risk Management to ensure that they comply with the metrics and the objectives
of the Group’s liquidity framework.
Moreover, the regional rules must conform to national law and regulatory requirements.
Risk measurement and reporting systems
Techniques for risk measurement
Liquidity risk, for its particular nature, is addressed by means of gap analyses, liquidity stress testing, and complementary
measures (mainly through a set of indicators: e.g. loan to deposit gap, leverage ratio). In particular, gap analyses are performed
within two distinct time horizons:
•
liquidity imbalance mismatch approach on a daily basis, which controls for the short term liquidity risk arising from the
overnight up to a 3 months maturity;
•
gap ratios on a monthly basis, which control the medium to long term risk (structural liquidity) from the 1Y maturity
onwards.
The Group’s liquidity framework
The Group’s liquidity framework is based upon the Liquidity Risk Mismatch Model which is characterized by the following
fundamental principles:
•
Short-term liquidity risk management (operational liquidity), which considers the events that will impact upon the Group’s
liquidity position from 1 day up to one year. The primary objective is to maintain the Group’s capacity to fulfill its ordinary
and extraordinary payment obligations while minimizing the relevant costs.
•
Structural liquidity risk management (structural risk), which considers the events that will impact upon the Group’s
liquidity position over one year. The primary objective is to maintain an adequate ratio between medium/long term
liabilities and medium to long-term assets, with a view to avoiding pressures on short-term funding sources (both current
and future), while in the meantime optimizing the cost of funding.
•
Stress tests: Liquidity risk is a low probability, high impact event. Therefore stress testing is an excellent tool to reveal
potential vulnerabilities in the Balance Sheet. The Bank uses several scenarios ranging from general market crisis to
idiosyncratic crisis, and combinations hereof.
Moreover, the liquidity framework is also integrated by complementary measures, included in the Group’s Risk Appetite
framework. One of these is the Core Banking Book Funding Gap ( an improved loan-to-depo gap), which is calculated on a
quarterly basis and which measures to what extent the commercial loan portfolio is financed through commercial liabilities.
In this context, the Parent Company takes into account all of the assets, liabilities, off-balance sheet positions and present and
future events which generate certain or potential cash flows for the Group, thereby protecting the Group Banks/Companies from
risks related to the transformation of maturity.
Short term liquidity management
Short-term liquidity management aims at ensuring that the Group remains in a position to fulfill its cash payment obligations,
whether expected or unexpected, focused on the exposure for the first 12 months.
The standard measures taken for such purposes are the following:
•
management of the access to payment systems (operational liquidity management);
•
management of cash payments to be made and monitoring of the level of liquidity reserves and the extent of their
utilization (analysis and active management of the maturity ladder).
These principles are applicable at Group level and have to be used across the Liquidity Centres.
The Group adopts also the indicator "Cash Horizon" as a synthetic indicator of the short term liquidity risk levels; this indicator is
monitored through the Operative Maturity Ladder, which measures the cash-in and outflows affecting the monetary base. The
Cash Horizon identifies the number of days after which the relevant Entity is no longer able to meet its liquidity obligations as
expressed in the operative Maturity Ladder, after having exhausted the available Counterbalancing Capacity. The objective of the
Group during the reporting period has been to guarantee a cash horizon of at least 3 months.
The Cash Horizon is one of the liquidity metrics included in the Group’s Risk Appetite framework. At the same time, a sensitivity
analysis is performed aimed to verify the impact of 1 and 2 billion Euro inflows or outflows on the Cash Horizon.
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Liquidity Risk
Structural liquidity management
The Group’s structural liquidity management aims to limit refinancing exposures with respect to maturities exceeding one year and
thus reducing refinancing needs in the shorter term. The structural Liquidity Ratio over 1 year is one of the liquidity metrics
included in the Group’s Risk Appetite framework. The maintenance of an adequate ratio between medium to long-term liabilities
and assets aims to avoid pressures on short-term sources, whether present or future.
The standard measures taken for such purposes are the following:
•
the spreading of the maturity of funding operations in order to reduce the usage of less stable funding sources, while in
the meantime optimizing the cost of funding (integrated management of strategic liquidity and tactical liquidity);
•
the financing of growth through strategic funding activities, setting the most appropriate maturities (Yearly Funding
Plan);
•
the balancing of medium- to long-term wholesale funding requirements with the need to minimize costs, by diversifying
sources, national markets, currencies of issuance and instruments used (realization of the Yearly Funding Plan).
Liquidity Stress Test
Stress testing is a risk management technique used to evaluate the potential effects on an institution’s financial condition of a
specific event and/or movement in a set of financial variables. As a forward looking tool, liquidity stress testing diagnostics the
institution’s liquidity risk. In particular the results of the Stress tests are used to:
•
assess the adequacy of liquidity limits both in quantitative and qualitative terms;
•
plan and carry out alternative sourcing transactions for purposes of off-setting liquidity outflows;
•
structure/modify the liquidity profile of the Group’s assets;
•
provide support to the development of the liquidity contingency plan.
In order to execute Stress tests that are consistent across the Liquidity Centres, the Group has a centralised approach to stress
testing, requiring each local Liquidity Centre to run the same scenario set under the coordination of the Group Risk Management.
At the Liquidity Centre level the use of statistical/quantitative behavioural models are accepted, provided they are validated by the
local Risk Management or equivalent structure with same responsibilities. The Group runs liquidity scenarios and sensitivity
analyses on a regular basis, the latter by assessing the impact on an institution's financial condition of a move in one particular risk
factor, the source of the shock not being identified, whereas scenario tests tend to consider the impact of simultaneous moves in a
number of risk factors, based on a hypothetical, well defined and consistent stress scenario.
Liquidity scenarios
At macro level the Group identifies three basic different classes of potential liquidity crisis:
•
market (systemic, global or sector) related crisis: Market Downturn Scenario. This scenario consists of a sudden turmoil
in a monetary and capital market, which may be caused by closure (or limited access) to market/settlement system,
critical political events, country crisis, credit crunch, etc.;
•
specific to the Group, or part of it: name crisis, and downgrade scenarios; the assumption could be operational risk,
event related to the worsen perception of the Group reputation risk and a downgrade in UniCredit S.p.A. rating;
•
a combination of market and specific crisis: combined scenario. The survival period of the combined liquidity stress test
scenario is one of the liquidity metrics included in the Group’s Risk Appetite framework.
The results of the stress test may highlight the needs of setting up specific limits concerning, for instance, unsecured funding, the
ratio between cash-in/cash-out flows and counterbalancing capacity, the ratio between eligible and non-eligible securities, among
others.
Monitoring and reporting
The short term liquidity limits and the Cash Horizon are monitored and reported on a daily basis. The structural liquidity ratios and
its exposure against limits are monitored and reported on a monthly basis. The survival period and the result of the liquidity Stress
test are reported and monitored on a weekly basis.
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Risk mitigation
Mitigation factors
It is generally accepted that liquidity risk cannot be mitigated by capital. As such liquidity risk does not add to the economic capital
usage, nevertheless it is considered as an important risk category also for the risk appetite determination of the Group.
The main liquidity mitigation factors for UniCredit group are:
•
an accurate short term and medium to long term liquidity planning monitored monthly;
•
an effective Contingency Liquidity Policy (CLP) with feasible and up-to-date Contingency Action Plan (CAP) to be
executed in case of market crisis;
•
a liquidity buffer to face unexpected outflows;
•
robust and regular up to date stress testing performed on a high frequency.
Funding Plan
The Funding Plan plays a fundamental role in the overall liquidity management influencing both the short term and the structural
position. The Funding Plan, defined at each level (i.e. Group, Liquidity Center and Legal Entity level), is developed consistently
with a sustainable uses and sources analysis both on short term and structural position. One of the objectives of accessing the
medium and long term channels is to avoid also the pressure on the short term liquidity position. The Funding Plan is updated at
least on a yearly basis and is approved by the Board of Directors. Moreover, it is aligned with the Budgeting process and the Risk
Appetite framework.
The Parent Company is the responsible for accessing the market for Group Bank Capital Instruments.
The Parent Company, through the Planning Finance and Administration (PFA) function, coordinates the market access of the
Liquidity Centres and Legal Entities, while the Liquidity Centres coordinate the access of the Legal Entities falling within their
perimeter.
Each Legal Entity or Liquidity Centre, under the responsibility of PFA, can access the markets for medium and long term funding,
in order to increase its self-sufficiency, exploit market opportunities and functional specialization, safeguarding the optimization of
cost of funds of the Group.
PFA is responsible for the elaboration of the Funding Plan. Risk Management is responsible for providing an independent
assessment of the Funding Plan.
The Group is also adopting Basel 3 regulatory ratios, such as Liquidity Coverage Ratio (LCR), as integral part of the overall
liquidity management analysis. The necessity to meet the Liquidity Coverage Ratio requirement is effectively within the Group
Funding Plan as well as within the Group Risk Appetite framework. At this purpose, an additional metric, aimed to measure the
funding needs originated from the commercial activity of the Bank, is used: the Core Banking Book Funding Gap.
Group Contingency Liquidity Policy
A liquidity crisis is a high impact, low probability event. Therefore, a crisis-mode operating model, that can be activated effectively
in case of crisis according to an approved procedure, has been defined. In order to be able to proceed timely, a set of mitigating
actions have been be pre-defined. Depending on the situation some of these actions can then be approved for execution.
The ability to act in time is essential to minimize the potentially disruptive consequences of a liquidity crisis. The analytics of the
Stress tests will form a valuable tool to identify the expected consequences and to define up front the most suitable actions in a
certain crisis scenario. In combination with Early Warning Indicators (EWI) the organization may even be able to reduce the
liquidity effects in the initial stages of a crisis.
Liquidity crises usually develop quickly and the relevant signals may be either difficult to interpret or may even be lacking; it is,
therefore, important to identify clearly players, powers, responsibilities, communication and reporting criteria, in order to increase
significantly the probability of overcoming the state of emergency successfully. A liquidity crisis could be classified as systemic
(e.g. overall capital and money market disruption) or specific (e.g. specific within the sphere of the bank), or a combination of both.
The Group Contingency Liquidity Policy (CLP) has the objective of ensuring effective interventions starting from the very outset
(initial hours) of the liquidity crisis, through the clear identification of individuals, powers, responsibilities, communication, and
reporting criteria, with a view of increasing significantly the probability of successfully overcoming the state of emergency. This is
achieved through:
•
activation of extraordinary liquidity governance and operating model;
•
consistent internal and external communication;
•
a set of available standby mitigating liquidity actions;
•
a set of early warning indicators that may point towards a developing crisis.
A fundamental part of the Contingency Liquidity Policy is the Contingency Funding Plan. Such a plan consists of a set of potential
but concrete management actions. Such actions should be described in terms of a menu of actions together with sizes,
instruments, and timing of execution aimed at improving the bank’s liquidity position mainly during times of crisis. The Contingency
Funding Plan has to be developed on the basis of the annual Funding Plan. Group Risk Committee (GRC) gives the final approval
and decides whether the Board of Directors has to be informed.
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Liquidity Risk
Early Warning Indicators
A system of Liquidity Early Warning Indicators is necessary in order to continuously monitor situations of stress, which may,
among others, be originated by market, sector or name specific events. That is, they could be based either on macroeconomic or
microeconomic variables, internal or external, depending on the prevailing macroeconomic context, and by taking into account the
monetary policy of the Central Banks. The system of Liquidity Early Warning Indicators should support the management decisions
in case of deteriorating of Liquidity position or stressed situations. The Bank uses the evolution of the earlier mentioned liquidity
metrics as a warning indicator.
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Liquidity Risk: Liquidity Framework and Wholesale
Funding
EDTF Recommendation 18 - Liquidity Buffer
The liquidity reserve is a cushion represented by an ample amount of cash, or other highly liquid assets, in relation to debt and
expected stress results. This buffer should permit that a short-term liquidity crunch or other unexpected event will not lead to
potentially disastrous consequences.
By maintaining cash reserves in money market instruments, unexpected demands on cash don't require the immediate sale of
other less liquid securities, which in most cases would not be in the business's or individual's best interest to sell in order to raise
cash. As reported in the table below, UniCredit Group had Euro 138.1 bn of aggregate liquidity resources as of June 30, 2014 that
represented approximately the 17% of the total balance sheet.
The significant liquidity resources showed Euro 97.7 bn (71% of the total liquidity resources) of unencumbered senior bonds
eligible at Central Bank, of which Euro 79.6 bn is in the form of bonds issued or guaranteed by sovereigns, quasi-sovereigns or
multinational institutions. A large portion of the afore mentioned sovereign portfolio consists mainly of bonds issued by the Federal
Republic of Germany or the Republic of Italy. These bonds are highly liquid and we therefore believe that even in a stressed
scenario we would be able to rapidly obtain cash for these securities either via repurchase agreements or outright sales.
In addition within this liquidity buffer, the Group holds a portfolio of highly liquid non-sovereign bonds issued by credit worthy
financial institutions, both in senior and covered format, as well as by corporates and public sector entities. This category
cumulatively represents close to Euro 22.7 bn and is eligible for financing with the European Central Bank.
The final major category in our liquidity buffer are our retained covered bonds. These represent Euro 10.5 bn of liquidity equivalent
counterbalancing capacity as they are eligible for the European Central Bank refinancing operations.
Our cash which stands at Euro 17.5 bn is restricted to being held at Central Banks where the Group has an operating presence
and thus minimizes any credit risk.
Liquidity Value (Market Value and applicable Central Bank Haircut)
INSTRUMENT TYPE
(€ '000)
AMOUNT
% ON TOTAL
Cash and Balances w ith Central Banks *
17,538,973
Unencum bered Senior bonds eligible at Central Bank
97,679,784
70.75%
79,596,072
57.65%
o/w issued or guaranteed by municipalities or other public sector entities
1,662,582
1.20%
o/w issued by financial institutions excluding covered bonds
11,975,588
8.67%
o/w issued by non financial institutions
4,445,542
3.22%
o/w issued or guaranteed by Sovereign, Central Banks or Multilateral Development Banks
Covered Bonds eligible at Central Bank
12.70%
15,103,272
10.94%
o/w issued by other banks or financial institutions
4,589,587
3.32%
o/w issued by their own bank or related unit (retained Covered Bond)
10,513,685
7.61%
ABS eligible at Central Bank
4,688,396
3.40%
o/w issued by other banks or financial institutions
1,926,507
1.40%
o/w issued by their own bank or related unit (self securitizations)
2,761,890
2.00%
3,057,343
2.21%
Other asset eligible at Central Bank
TOTAL
138,067,768
(*) Item 10 of Assets plus Item 60 - Loans to Central Banks
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Liquidity Risk
EDTF Recommendation 21. Wholesale Funding
The UniCredit Group pursues a diversified funding strategy to ensure that we have multiple sources of liquidity across both the
retail and institutional markets as well as having access to pools of liquidity in various geographies including Europe, Asia and
Australia.
Our most stable wholesale funding sources are deposits from customers 23, retail bonds and equity. In first half of 2014, deposits
from customers and retail bonds, represented close to 42% of the liability structure providing stability and continuity for our funding
operations. For retail bonds specifically, these only represent 4.5% of our customers total financial assets and therefore there is
scope to increase these if required.
In terms of subordinated debt, UniCredit utilizes both the wholesale and retail markets to accomplish its funding needs. In first half
2014, 20% of subordinated debt was raised on the retail markets and 80% was raised on the wholesale market. In addition for
wholesale subordinated debt issuance in first half 2014, and in line with our diversification strategy, deals were issued respectively
in EUR and USD.
In terms of senior wholesale funding (excluding retail bonds) the Group utilizes a number of different instruments to access the
market including Floating Rate Senior Notes, Fixed Rate Senior Notes. The Group has the advantage to be able to issue out of a
number of different issuing entities including Unicredit SpA, Unicredit Bank AG, and Unicredit Bank Austria AG, all of whom enjoy
a large degree of name recognition with institutional investors and have an established issuance track record.
Using the very same variety of issuing entities and branches, UniCredit taps regularly the short term paper market through a
number of Programs (among them ECP, USCP, French CD, London CD); more than 1.00% (Eur 5.1 bln) of the Group’s liabilities
are short term paper instruments, 87% of which has a tenor of 6 months or beyond.
In terms of secured funding (repurchase agreements) the Group has full access to the major trading platforms available in Europe
(MTS Italy, GC Pooling Germany) and connected to the main Central Clearing Counterparties ( LCH, Cassa Compensazione e
Garanzia ) to take advantage of risk netting and the largest liquidity markets. The Group also signed bilateral agreements with the
majority of counterparties to be able to exploit all channels and keep an adequate market share.
Wholesale Liabilities Structure - Breakdown by maturity
INSTRUMENT TYPE
OUTSTANDING
% ON TOTAL
(€ '000)
1m
3m
6m
1y
2y
Over
Short Term
Depos from Banks
Depos from Customers
71,033,335
14.89%
35,289,869
1,666,749
992,560
9,962,589
2,700,029
20,421,540
157,036,480
32.91%
69,493,394
15,668,413
10,664,055
14,304,589
6,075,969
40,830,060
5,111,042
1.07%
148,546
399,853
93,822
3,889,113
98,716
480,992
98,154,396
20.57%
52,964,005
20,464,216
8,122,133
10,176,939
4,329,474
2,097,628
CD/CP
Repo
Medium Long Term
Subordinated
17,417,688
3.65%
67,078
17,805
46,966
152,496
1,233,161
15,900,182
Senior Unsecured
80,735,413
16.92%
4,784,257
4,443,704
3,704,115
5,056,989
20,761,890
41,984,457
42,923,296
9.00%
2,111,603
2,640,002
306,585
2,019,792
12,161,284
23,684,029
40,155,016
8.42%
1,868,642
158,803
116,183
5,638,015
6,768,800
25,604,573
ABS
5,384,653
1.13%
-
-
-
-
166,008
5,218,645
Other
2,125,521
0.45%
14,700
53,800
-
96,559
103,743
1,856,719
164,563,413
42,855,539
49,124,794
41,004,629
138,494,613
o/w Retail bonds
Covered Bonds
TOTAL
477,153,543
23,692,867
Wholesale Liabilities Structure - Breakdown by currency
INSTRUMENT TYPE
OUTSTANDING
% ON TOTAL
(€ '000)
EUR
USD
GBP
CHF
JPY
Other
Short Term
Depos from Banks
Depos from Customers
71,033,434
14.89%
59,917,850
6,617,902
513,243
118,101
43,469
3,822,869
157,036,381
32.91%
117,296,964
14,486,981
544,726
382,241
54,063
24,271,406
CD/CP
Repo
5,111,042
1.07%
4,315,852
209,372
-
3,291
-
582,528
98,154,396
20.57%
92,029,126
3,543,002
30,000
-
-
2,552,268
Medium Long Term
Subordinated
17,417,687
3.65%
14,955,213
1,727,068
436,218
Senior Unsecured
80,735,365
16.92%
77,584,424
393,229
13,651
42,923,215
9.00%
42,771,846
15,556
-
-
-
135,813
40,155,005
8.42%
39,080,798
-
-
-
-
1,074,207
ABS
5,384,653
1.13%
5,384,653
-
-
-
-
-
Other
2,125,500
0.45%
2,125,500
-
-
-
-
-
o/w Retail bonds
Covered Bonds
TOTAL
23
477,153,462
Excluding Retail and SME customers
321
397,735,166
25,250,485
1,101,619
312,078
815,711
124,964
174,224
43,340
2,388,643
140,873
34,691,921
I
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Glossary/Abbreviations
Glossary/Abbreviations
ABCP Asset-Backed Commercial Paper
ABS Asset-Backed Securities
ALM Asset & Liability Management; integrated management of assets and liabilities, designed to allocate resources in such a
manner as to optimize the risk/return ratio.
ALT-A (residential mortgages) Mortgages whose borrowers, while not subject to the significant repayment problems of those
described as Subprime (q.v.), have a risk profile with high loan-to-value and installment-to-income ratios or incomplete
documentation of the debtor's income.
AMA Advanced Measurement Approach; applying this methodology the operational risk requirement is obtained with
calculation models based on operational loss data and other evaluation elements collected and processed by the bank.
Admittance threshold and specific suitability requirements have been provided for the use of the standardized and advanced
approaches. For the AMA approach the requirements concern, beside the management system, also the measurement
system.
Audit Process of controlling a company's activities and accounting, carried out either by an internal body (internal audit) or by
an external firm of auditors (external audit).
Back-testing is a statistical technique which entails the comparison of model estimates of risk parameters with the ex-post
empirical evidences.
Banking book Used in relation to financial instruments, particularly securities, this term identifies the portion of such
portfolios intended for "proprietary" activities.
Basel 2 New international capital agreement redefining the guidelines for determining the minimum capital requirements for
banks.
The new prudential regulations, which came into force in Italy in 2008, are based on three pillars.
Pillar 1: while the objective of a level of capitalization equivalent to 8% of the risk-weighted exposures remains unchanged, a
new set of rules has been defined for measuring the typical risks associated with banking and financial activities (credit risk,
counterparty risk, market risk and operational risk) which provides for alternative calculation methods characterized by
different levels of complexity, with the ability to use internally developed models subject to prior authorization by the
Regulatory Authority;
Pillar 2: this requires the banks to have processes and tools for determining the adequate level of total internal capital
(Internal Capital Adequacy Assessment Process - ICAAP) for covering all types of risk, including risks other than those
covered by the overall capital requirement (Pillar 1), within the framework of an evaluation of current and future exposure that
takes account of strategies and of changes in the reference context. It is the Regulatory Authority's task to examine the
ICAAP process, formulate an overall judgment and, where necessary, apply the appropriate corrective measures;
Pillar 3: this introduces obligations to publish information concerning capital adequacy, exposure to risks, and the general
characteristics of the systems used for identifying, measuring and managing those risks.
Basel 3 In the light of the crisis that in recent years has hit the financial markets, the Basel Committee on Banking
Supervision has approved the substantial enhancement of the minimum capital requirements and the changes to the rules on
the liquidity of banks (Basel 3) by providing for the gradual introduction of the new prudential requirements as of January 1,
2014. These rules have been implemented at the European level through the CRD IV “Package”.
Best practice Behavior commensurate with the most significant experience and/or the best level of knowledge achieved in
relation to a given technical or professional field.
Budget Statement forecasting the future costs and revenues of a business.
323
CDO Collateralized Debt Obligations; bonds issued by a vehicle with loans, bonds, ABS - Asset Backed Securities (q.v.) or
other CDOs as underlyings. CDOs make it possible to derecognize assets in the bank’s balance sheet and also to arbitrage
the differences in yield between the securitized assets and the bonds issued by the vehicle.
CDOs may be funded if the vehicle legally acquires title to the assets or unfunded if the vehicle acquires the underlying risk
by means of a CDS - Credit Default Swap (q.v.) or similar security.
These bonds may be further subdivided as follows:
•
CDOs of ABSs, which in turn have tranches of ABSs as underlyings
•
Commercial Real Estate CDOs (CRE CDOs), with commercial property loans as underlyings
•
•
•
•
Balance Sheet CDOs which enable the Originator (q.v.), usually a bank, to transfer its credit risk to outside investors, and,
where possible under local law and supervisory regulations, to derecognize the assets from its balance sheet
Market Value CDOs whereby payments of interest and principal are made not only out of cash flow from the underlying
assets, but also by trading the instruments. The performance of the notes issued by the vehicle thus depends not only on
the credit risk, but also on the market value of the underlyings
Preferred Stock CDOs with hybrid debt/equity instruments or Preference shares issued by financial institutions
Synthetic Arbitrage CDOs which arbitrage the differences in yield between the securitized assets acquired
synthetically by means of derivatives and the bonds issued by the vehicle.
CDS Credit Default Swap; a derivative in which a seller of protection engages, for a fee, to pay the buyer of protection a fixed
amount should a certain event indicating a deterioration of the creditworthiness of a reference entity occur.
CEO Chief Executive Officer
CFO Chief Financial Officer
CIU Collective investment undertakings
Corporate Customer segment consisting of medium to large businesses.
Cost of risk The ratio between loan loss provisions and loans and receivables with customers. It is one of the indicators of
the bank assets’ level of risk: the lower the ratio, the less risky the bank assets.
Counterparty Credit Risk Is the risk that the counterparty to a transaction involving financial instruments might default prior
to completing all agreed cash-flows exchanges.
Covenant A loan agreement clause whereby the lender is entitled to restructure or call in the loan on occurrence of the
events specified in the clause, which ties changes in the borrower’s profits and financial situation to events of default or
restructuring (modifying e.g. the repayment schedule or the interest rate charged).
Covered bond A bond which, as well as being guaranteed by the issuing bank, may also be covered by a portfolio of
mortgages or other high-quality loans transferred, to this end, to a suitable SPV – Special Purpose Vehicle.
CRD (Capital Requirement Directive); EU directives No. 2006/48 and 2006/49, incorporated into the Bank of Italy circular
263/2006 of December 27, 2006 as amended.
The CRD IV “Package” has replaced the two aforementioned Directives and consists of the EU Directive 2013/36 on the
taking up of the business of credit institutions and prudential supervision and the EU Regulation 575/2013 on prudential
requirements, incorporated into the Bank of Italy circular 285 of December 17, 2013 as amended.
Credit risk The risk that an unexpected change in the creditworthiness of a counterparty, the value of the guarantees
provided by it or the margins used by it in the event of insolvency might produce an unexpected change in the value of the
bank's credit position.
Credit Quality Step Is a step, based on external ratings, which is used to assign risk weights under credit risk Standardized
Approach
Credit Valuation Adjustment Is the adjustment to the valuation of a portfolio of transactions reflecting the market value of
the counterparties' credit risk.
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Glossary/Abbreviations
CRM Credit Risk Mitigation is a set of techniques, contracts accessories to the loan or other instruments (e.g. securities,
guarantees), which allows a reduction of the credit risk capital requirements
CRO Chief Risk Officer
Default A party's declared inability to honor its debts and/or the payment of the associated interest.
Duration This is generally calculated as the weighted average of the maturities for payment of the interest and capital
associated with a bond, and represents an indicator of the interest rate risk to which a security or a bond portfolio is subject.
EAD Exposure at Default is the amount of the counterparty exposure used for the calculation of the capital requirement; EAD
takes into consideration both the on-balance-sheet exposure and the expected usage of the off-balance-sheet exposure
EBA European Banking Authority. The European Banking Authority is an independent EU Authority which works to ensure
effective and consistent prudential regulation and supervision across the European banking sector. Its overall objectives are
to maintain financial stability in the EU and to safeguard the integrity, efficiency and orderly functioning of the banking sector.
ECA Export Credit Agency
ECAI External credit assessment institution
ECB European Central Bank. The ECB is the central bank for Europe's single currency, the euro. The ECB's main task is to
preserve the purchasing power of the single currency thus ensuring the maintenance of price stability in the euro area.
Economic capital Capital level that is required to cover the bank’s losses that may occur with at a time horizon of one year
and a certain probability or confidence level. Economic Capital is a measure of the variability of the Expected Loss of the
portfolio and depends on both the risks to which the bank is exposed and the degree of diversification of the portfolio itself.
EL Expected Losses are the losses recorded on average over a one year period on each exposure (or pool of exposures)
EVA Economic Value Added; it expresses the ability to create value in monetary terms. EVA is equal to the difference
between the Net Operating Profit After Tax NOPAT – Net Operating Profit After Tax and the cost of the invested capital.
Fair value The sum for which, in a freely competitive market, an item can be exchanged or a liability extinguished between
aware and independent parties.
Forwards Forward contracts on interest rates, exchange rates or share indices, generally traded on "OTC - Over-theCounter" markets, in which the conditions are fixed when the contract is agreed but execution will take place at a
predetermined future date, by means of the collection or payment of differentials calculated with reference to various
parameters according to the subject of the contract.
Funding Provision, in various forms, of the funds necessary to finance business activities or particular financial transactions.
Futures Standardized contracts whereby the parties undertake to exchange money, transferable securities or goods at a
present price at a future date. These contracts are traded on regulated markets, where their execution is guaranteed.
Hedge Fund Speculative mutual investment fund adopting hedging techniques which generally are not used by ordinary
mutual funds, in order to deliver a constant performance, which is only hardly linked to reference markets. Hedge Funds are
distinguished by a limited number of partners and require a high minimum level of investment.
IAA Internal Assessment Approach
IAS/IFRS International accounting standards issued by the International Accounting Standard Board (IASB), a private
international body established in April 2001, involving representatives of the accounting professions of the principal countries
and, as observers, the European Union, IOSCO (International Organization of Securities Commissions) and the Basel
Committee. This body is the successor of the International Accounting Standards Committee (IASC), set up in 1973 to
promote harmonization of the rules for the preparation of company accounts. When the IASC became the IASB, it was
decided, among other things, to name the new accounting principles "International Financial Reporting Standards" (IFRS).
At international level, work is currently underway to harmonize the IAS/IFRS with the US GAAP – United States Generally
Accepted Accounting Principles.
IBNR Incurred But Not Reported (losses)
325
ICAAP Internal Capital Adequacy Assessment process; the discipline of the so called “Pillar 2” requires banks to implement
processes and systems to determine the level of internal capital adequate to face any type of risk, also different from those
provided by the capital requirements (Pillar 1) rules; in the scope of an assessment of the exposure, actual and future, that
has to consider also the strategies and the evolution of the reference environment
IMA Internal Models Approach is an approach to calculate market risk capital requirement using internal models
Impairment Within the framework of the IAS/IFRS (q.v.), this refers to the loss of value of a balance sheet asset, recorded
when the balance sheet value is greater than the recoverable value, i.e. the sum that can be obtained by selling or using the
asset.
(Internal) validation an expert unit, internal but sufficiently independent, that verifies the adequacy of internal models for
internal and regulatory purposes and issues a formal opinion about their usefulness and effectiveness. Usually a prerequisite
for the validation process carried out by the authorities.
Investment banking Banking segment devoted to the subscription and placement of newly issued securities, as well as the
trading of financial instruments.
IPRE Income Producing Real Estate
IRB Internal Ratings-Based is an approach to calculate credit risk capital requirement using internal estimated risk
parameters.
IRC Incremental Risk Charge is a measure of potential losses arising from default and migration risks of unsecuritised credit
products over a 1-year capital horizon at a 99.9% confidence level, taking into account the liquidity horizons of individual
positions.
Junior, Mezzanine and Senior exposures In a securitization transaction, the exposures may be classified as follows:
•
junior exposures are the last to be repaid, and consequently absorb the first loss produced by the securitization
transaction;
•
mezzanine exposures are those with medium repayment priority, between senior and junior;
•
senior exposures are the first to be repaid.
KPI - “Key Performance Indicators”, a set of indicators used to evaluate the success of a particular activity or process.
LCP Loss Confirmation Period
Leasing Contract whereby one party (the lessor) grants to another party (the lessee) for a given period of time the enjoyment
of an asset purchased or built by the lessor at the choice and on the instructions of the lessee, with the latter having the
option of acquiring ownership of the asset under predetermined conditions at the end of the leasing contract.
LGD Loss Given Default is the expected value of loss due to default; it is usually reported as percentage of EAD
Liquidity risk The risk of the company being unable to meet its payment commitments due to the inability to mobilize assets
or obtain adequate funding from the market (funding liquidity risk) or due to the difficulty/impossibility of easily liquidating
positions in financial assets without significantly and unfavorably affecting the price because of insufficient depth or temporary
malfunction of the financial market (market liquidity risk).
M Effective Maturity
Market risk The effect that changes in market variables might have on the economic value of the Group's portfolio, where this
includes both the assets held in the trading book and those entered in the banking book, or the operations connected with the
characteristic management of the commercial bank and its strategic investment choices.
Medium Term Note Bond with a maturity of between 5 and 10 years.
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Glossary/Abbreviations
Notch Level, referred to a scale
Operational risk The risk of losses due to errors, violations, interruptions, damages caused by internal processes, personnel
or systems, or by external events. This definition includes legal and compliance risk, but excludes strategic and reputational
risk. For example, operational risks include losses deriving from internal or external fraud, employment contracts and
employment protection regulations, customer claims, distribution of products, fines and other sanctions arising from breaches
of regulations, damages to the company’s assets, interruption of operations, malfunction of systems and the management of
processes.
Originator The entity that originated the assets to be securitized or acquired them from others.
OTC Over the Counter All trades done on non-regulated markets or exchange but arranged directly between two parties.
Overcollateralization The value of the assets underlying the bonds issued is higher than the amount of the bonds.
PD Probability of Default is the probability that a counterparty will default within a time horizon of one year.
Private equity Investments in the risk capital of companies, generally unlisted but with high growth potential and the ability to
generate constant cash flows. Investments in private equity include a wide range of operations that vary according to both the
development phase of the company concerned and the investment techniques used. These techniques include closed-end
private equity funds.
Purchase Companies Vehicle used by “ABCP Conduits – Asset Backed Commercial Paper Conduits” to purchase the
assets to be securitized and subsequently financed by the Conduit vehicle by means of commercial paper.
Rating Evaluation of the quality of a company or its issues of debt securities on the basis of the company's financial
soundness and prospects. This evaluation is made either by specialist agencies or by the bank on the basis of internal
models.
RBA Ratings-Based Approach
Retail Customer segment consisting principally of private individuals, self-employed professionals, traders and artisans.
RIC IRB calculation model - Rating Integrato Privati (Individuals Integrate Rating)
RISB IRB calculation model - Rating Integrato Small Business (Small Business Integrate Rating)
RUF Revolving Underwriting Facility
RWA Risk Weighted Assets; on-balance sheet assets and off-balance sheet assets (derivatives and guarantees) classified
and weighted by different coefficients referring to risks, following banking rules issued by local Supervisors (i.e. Banca d’Italia,
Bafin, etc.), to calculate solvency ratios.
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Securitization Transfer of a portfolio of assets to an “SPV - Special Purpose Vehicle” and the issue of securities with various
levels of seniority to meet any default by the underlying assets.
Securitizations can be:
•
traditional: method of securitization whereby transfer of the assets is by means of sale of the portfolio to the “SPV Special Purpose Vehicle”.
•
synthetic: method of securitization whereby the transfer of assets is by means of credit derivatives or similar
security enabling the risk of the portfolio to be transferred.
Sensitivity The greater or lesser degree of sensitivity with which certain assets or liabilities react to changes in rates or other
reference parameters.
SFA Supervisory Formula Approach
SL Specialized Lending
SME Small and Medium Enterprise
Sponsor An entity other than the Originator (q.v.) which sets up and manages an ABCP conduit or other securitization
scheme where assets are acquired from a third entity for securitization.
SPV Special purpose vehicle, usually a company established for the sole purpose of acquiring certain assets or derivative
exposures and issuing liabilities exclusively related to these assets or exposures.
Subprime (Residential Mortgages) Although Subprime has no univocal definition, this category includes mortgages granted
to borrowers who have had repayment difficulties in the past, e.g. delayed installments, insolvency or bankruptcy, or who are
more likely to default than the average due to high loan-to-value and installment-to-income ratios.
SVaR Stressed VaR is a quantification of exposures to particular extreme losses that can be inflicted to a Bank during market
tensions, by modeling the portfolio response conditional on historical data from a (continuous 12-month) period of significant
financial stress.
Swap A transaction that generally consists in the exchange of financial streams between operators according to different
contractual arrangements. In the case of an interest rate swap (IRS), the counterparties exchange payment streams that may
or may not be linked to interest rates calculated on a notional principal amount (for example: one counterparty pays a stream
on the basis of a fixed rate, while the other does so on the basis of a variable rate).
UCITS Undertakings for Collective Investments in Transferable Securities
UL Unexpected Losses are the losses exceeding the expected losses
VaR Value at Risk is a measure of the risk of potential loss, under a given level of confidence and time horizon, which could
occur on a position or a portfolio
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Glossary/Abbreviations
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Declaration by the Manager charged with
preparing the financial reports
The undersigned, Marina Natale, in her capacity as the Manager charged with preparing the financial reports of UniCredit
S.p.A.
DECLARES
that, pursuant to article 154-bis, paragraph 2, of the “Consolidated Law on Financial Intermediation”, the information disclosed
in this document corresponds to the accounting documents, books and records.
Milan – August 5, 2014
Marina Natale
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