996 - Banca Antonveneta

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Risk controlRisk control is carried out on a continuous basis bythe financial risk control unit, in order to ascertain:• that operating limits insofar as acceptable lossesand accrued losses for the period (stop-loss) areabided by the departments and individual desks;• that the limits in terms of counterparty risks areadhered to.The risk control activity is also carried outperiodically by the internal audit department and theunits involved in the financial process to check:• the adequacy and functionality of the financingprocess;• that rules and criteria pertaining to riskmanagement are respected;• that the risk control activities and controls areperformed correctly;• that there are no critical areas which must beimmediately removed.Illustration of the method used toconstruct the internal modelThe Bank uses a VaR model as its main tool for dailymeasurement and control of exposure to marketrisk.VaR is a statistical measurement which estimatespotential losses caused by movements of risk factorswhich the trading portfolio is exposed to over apreset time frame and with a specific level ofstatistical confidence. As regards the parameters ofthe model used, following a prudential approach, thebank measures a VaR with a confidence interval of99%, over a holding period of one day.The positions subject to VaR calculation are those infinancial instruments (cash and derivatives), whichcan be classified as assets or liabilities belonging tothe trading portfolio.The VaR is measured on a daily basis, for each singledesk, by type of product and risk factor and it is sentto top management and other interesteddepartments.In order to calculate the VaR, the Bank has adoptedthe statistical method of historical simulation, usinga historical series spanning a two year period withequal weight given to all observations while thesimulated scenarios are defined according to thevariations in the historical market data (such asinterest rates, exchange rates and prices) used. Thehistorical series which the simulations are basedon is updated daily, inputting themost recent figure for each series, and excluding theoldest figure in time. The Bank has chosen thehistorical simulation method because it is not basedon any assumptions regarding the distribution ofreturns from financial instruments and, moreover,because it allows for estimating the riskiness ofinstruments with optional components by using thefull repricing technique instead of using numericalapproximation based on partial derivatives (knownas Greeks). Through the VaR, which is estimatedusing historical simulations, the aggregation of riskfactors takes place on the basis of correlations in thehistorical series of data used. Therefore, specificattention is paid to the synchronisation of the data insuch a way as to adequately include the correlatedstructure of the different instruments. Currently, theBank measures derivative instruments using fullrepricing with optional content (including implicitcontent), while for other types of financialinstruments, a Delta-Gamma approach is used.The current model covers general market risks(interest rate risk, exchange rate risk) and specificmarket risks (stock market risk). The specific risklinked to bond positions (issuer risk) is measuredusing traditional methods connected to the issuer’srating.The process of validating the strength of the modelex post is through a technique which is known asback testing. This technique compares the profit/lossdata of the portfolio to the VaR; in particular, thenumber of days in which the daily losses are higherthan the VaR measurements are counted. From astatistical point of view, in case of a VaR modelestimated with a confidence interval of 99%, anexception (i.e. a loss above the VaR) is expectedevery 100 working days. The Bank compares thetheoretical profits and losses (which assume that theportfolio remains unchanged for one day while notcounting commissions and any intra-day trading) ona daily basis with the VaR levels.Currently the Bank does not use the internal modelfor management of the market risks to calculate theasset requirements involved in these risks, while ituses VaR measurements (at the parent companylevel) to establish limits defined by the Board ofDirectors upon assumption of market risk.337
QUANTITATIVE INFORMATION1. Regulatory trading portfolio: distribution by residual duration (date of re-appreciation) ofthe cash financial assets and liabilities and financial derivativesNo tables are provided given that a sensitivity analysis is provided in the following paragraph.2. Regulatory trading portfolio: internal models and other methods for sensitivity analysisThe following table illustrates the exposure of the trading portfolio to interest rate risk, expressed in terms ofVaR, in relation to the final amount, initial amount, average amount, and minimum and maximum assumedduring 2007:/000 Euro VaR28/12/2007VaR29/12/2006AverageVaR 2007MinimumVaR 2007MaximumVaR 2007Interest Rate Risk 1,019 929 1,276 737 2,049VaR by Risk Factor (holding period 1 day, confidence interval 99%)2.500.000VaRRischio Rate di Risk tasso for BAPV BAPV - anno - 20072.000.0001.500.0001.000.000500.00002/1/2 00722/1/200711/2/20073/3/200723/3/200712/4/20072/5/2 00722/5/200711/6/20071/7/200721/7/200710/8/200730/8/200719/9/20079/10/200729/10 /200718/11 /20078/12/200728/12/2007338
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\\ItAntonvenetaAnnualReport2007XII
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Board of DirectorsChairman * France
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GROUPSTRUCTUREANTONVENETAANTONVENET
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The Macroeconomic ScenarioDear Shar
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• Santander: Business unit in Lat
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Performance in 2007Comparability wi
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As at 31 December 2007, loans to cu
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In detail, 19 new issues of unit-li
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The economic and financial performa
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Impaired and performingloansNET POS
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Income StatementThe 2007 income sta
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Performance of the main Antonveneta
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Antenore Finance Società dicartola
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Relevant events occurred after clos
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CONSOLIDATED FINANCIAL STATEMENTSCo
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Consolidated Income Statement€/th
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Statement of changes in consolidate
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A.1 - GENERAL PARTSection 1 - PREPA
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investments are originally recognis
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loans past due for over 180 days ac
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Valuation criteria and recognition
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Financial liabilities held for trad
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Prepaid tax assets and deferred tax
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ASSETSSection 1Cash and cash equiva
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2.2 Financial assets held for tradi
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Section 3Financial assets designate
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Section 4Financial assets available
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4.5.1 Financial assets available fo
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Section 7Loans to customers - Entry
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Section 8Hedging derivative contrac
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Section 12Tangible fixed assets - E
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12.3.3 Fixed assets for functional
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Section 14Tax assets and liabilitie
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14.5 Changes in prepaid taxes (offs
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Section 16Other assets - Entry 1601
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Section 2Due to customers - Entry 2
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3.3 Securities issued: securities u
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4.4.1 Trading financial liabilities
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Section 8Tax liabilities - Entry 80
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The actuarial assumptions used in t
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• discount rate. The financial ba
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12.3.2 Personnel pension fund (ex-B
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15.5 Income reserves: other informa
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Section 16Minority interests - Entr
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OTHER INFORMATION1. Guarantees and
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121
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Section 1Interest - Entries 10 and
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Section 2Commissions - Entries 40 a
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Section 3Dividends and similar inco
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Section 5Net profit on hedging - En
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Section 7Net change in value of fin
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Section 11Administrative expenses -
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Section 12Net allowances for risks
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Section 14Net value adjustments to
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Section 16Profits (Losses) from inv
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Section 20Taxes on income from cont
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Section 22Third party profit (loss)
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A. PRIMARY REPORTINGA.1. Distributi
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This section provides information w
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Section 1CREDIT RISKQUANTITATIVE IN
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A.1.5 Cash Exposures to Banks: Tren
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A.3 DISTRIBUTION OF GUARANTEED EXPO
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A.3.4 Impaired "off balance sheet"
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B.1 By-sector distribution of cash
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C. SECURITISATIONS AND TRANSFER OF
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THEANO FINANCE SPASUMMARY STATEMENT
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GIOTTO FINANCE 2 SPASUMMARY STATEME
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2.3 PRICE RISKREGULATORY TRADING PO
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2.5 EXCHANGE RATE RISKQUANTITATIVE
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2.6 DERIVATIVE FINANCIAL INSTRUMENT
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A.2 Bank Portfolio: notional values
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A.4 "Over the counter" financial de
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A.6 Residual duration of "over the
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Currency: STERLINGEntry/Time bandOn
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2. Distribution of financial liabil
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Section 1Shareholders' equityA. QUA
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B. QUANTITATIVE INFORMATIONExposure
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1 - Information on directors' and e
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INDIVIDUAL FINANCIAL STATEMENTS DAT
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Dear Shareholders,In addition to il
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Banca Antonveneta in 2007, a new se
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Distribution ChannelsDuring 2007, B
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The Economic and Financial TrendsDe
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INDIRECT DEPOSITS(in millions of Eu
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Financial Assets(€/thousand)31.12
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Income StatementThe Income Statemen
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Relevant events occurred after the
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4. During the fiscal year 2007, the
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Balance Sheet - Liabilities and sha
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Statement of changes in consolidate
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CASH FLOW STATEMENT (Direct method)
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A.1 - GENERALSection 1 - Statement
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the accumulated profit or loss are
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Recognition and derecognition crite
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Intangible fixed assets include goo
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Valuation criteria and recognition
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ASSETSSection 1Cash and cash equiva
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2.2 Financial assets held for tradi
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Section 3Financial assets designate
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Section 4Financial assets available
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4.5 Financial assets available for
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Section 7Loans to customers - Entry
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Section 8Hedging derivative contrac
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10.3 Investments: annual changes31.
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11.3 Fixed assets for functional us
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Section 12Intangible fixed assets -
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13.2 Deferred tax liabilities: brea
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13.5 Changes in prepaid taxes (offs
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Section 15Other assets - Entry 1501
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Section 2Due to customers - Entry 2
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3.3 Securities issued: securities u
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4.4 Trading financial liabilities:
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Section 8Tax liabilities - Entry 80
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The actuarial assumptions used in t
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• discount rate. The financial ba
Page 288 and 289: 12.3.2 Personnel pension fund (ex-B
Page 290 and 291: 14.5 Income reserves: other informa
Page 292 and 293: Other information1. Guarantees and
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Page 296 and 297: Section 1Interest - Entries 10 and
Page 298 and 299: Section 2Commissions - Entries 40 a
Page 300 and 301: Section 3Dividends and similar inco
Page 302 and 303: Section 5Net profit on hedging - En
Page 304 and 305: Section 7Net profit/(loss) from fin
Page 306 and 307: Section 9Administrative expenses -
Page 308 and 309: Section 10Net allowances for risks
Page 310 and 311: Section 14Profits (Losses) from inv
Page 312 and 313: Section 19Income (loss) after tax f
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Page 316 and 317: Section 1CREDIT RISKQUALITATIVE INF
Page 318 and 319: As a final measure, specific regula
Page 320 and 321: In this type of control, typical cr
Page 322 and 323: A.1.3 Exposure to Cash and Off-Bala
Page 324 and 325: A.2 CLASSIFICATION OF EXPOSURES BY
Page 326 and 327: A.3.3 Impaired cash exposures towar
Page 328 and 329: B. DISTRIBUTION AND CONCENTRATION O
Page 330 and 331: C. SECURITISATIONS AND TRANSFER OF
Page 332 and 333: C.1.2 Exposures deriving from princ
Page 334 and 335: C.1.7 Service activities - revenue
Page 336 and 337: Section 2MARKET RISK2.1 INTEREST RA
Page 340 and 341: 2.2 INTEREST RATE RISKBANK PORTFOLI
Page 342 and 343: QUANTITATIVE INFORMATIONSensitivity
Page 344 and 345: 2. Regulatory trading portfolio: di
Page 346 and 347: transactions, (iii) comparable tran
Page 348 and 349: 2.5 EXCHANGE RATE RISKQUALITATIVE I
Page 350 and 351: 2.6 DERIVATIVE FINANCIAL INSTRUMENT
Page 352 and 353: A.3 Derivatives: Purchase and Sale
Page 354 and 355: A.5 "Over the counter" financial de
Page 356 and 357: SECTION 3LIQUIDITY RISKQUALITATIVE
Page 358 and 359: Currency: SterlingEntry/Time bandOn
Page 360 and 361: 2. Distribution of financial liabil
Page 362 and 363: • attributing the regular segment
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Page 366 and 367: Section 1Company assetsA. QUALITATI
Page 368 and 369: B. QUANTITATIVE INFORMATIONExposure
Page 370 and 371: Breakdown of net shareholders' equi
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Page 374 and 375: Fees to directors, board of auditor
Page 376 and 377: Information required by art. 2497 b
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Page 380 and 381: EQUITY INVESTMENTS Situation at 31
Page 382 and 383: INTERNATIONAL ACCOUNTING STANDARDS
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996 - Banca Antonveneta

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