Annual Financial Statements 2011 of Bank Austria

Consolidated Financial Statements in accordance with IFRSs
E – Risk report (CoNTINuED)
European government debt crisis). Market risk managed by VaR limits (represented by the red line in the middle) was slightly below € 70 m at the end
of 2011: loans to the public sector in the form of private placements, equity holdings in the banking book and private equity are excluded here because
these are not managed via VaR limits. This compares with a VaR of the trading book of below € 3 m at the end of 2011. The regulatory trading
book was further reduced in CEE and in UniCredit Bank Austria AG in the course of the year.
Credit spread risk and interest rate risk account for most of the total risk of the Bank Austria Group. Other risk categories are much less significant by
comparison. Since January 2007, commodity risk has only been assumed in the Bank Austria Group on a back-to-back basis.
In addition to VaR, risk positions of the Bank Austria Group are limited through sensitivity-oriented limits. As part of daily risk reporting, detailed “Trader
Reports” are prepared for a large number of portfolios, with updated and historical information made available to all risk-takers and the responsible
senior management via the Intranet. These reports are now complemented by the new UniCredit market risk platform, which enables trading and other
units to perform analyses down to individual position level.
As at 31 December 2011, the entire interest rate position of the Bank Austria Group (trading and investment) for major currencies was composed as
follows (the table below shows basis point values over € 500):
Basis point values of the Bank Austria Group (in €)
as at 31 december 2011 aNNual aVerage, miNimum/maximum
up tO 1 mONth tO 3 mONths 1 year tO OVer
absOlute
1 mONth 3 mONths tO 1 year 5 years 5 years tOtal maximum miNimum aVerage
Europe EUR 84,952 –46,628 –88,129 –460,086 844,056 334,165 618,020 –509,959 333,163
CHF –8,140 70,497 18,989 –35,772 –78,719 –33,145 26,084 –116,385 45,756
GBP –1,595 1,971 13,083 5,782 1,613 20,854 50,458 –58,169 19,092
NOK 192 102 672 212 4 1,183 1,243 –440 259
New EU countries BGN 714 1,498 14,372 –31,644 –16,450 –31,510 –20,188 –37,485 28,686
CZK –2,539 –21,893 –23,586 3,310 33,386 –11,320 72,897 –54,633 27,105
HUF –2,347 612 13,871 –2,963 10,876 20,049 82,068 –31,119 26,739
PLN –704 – 978 –248 –650 – –2,580 2,242 –10,851 1,057
RON –741 –4,854 –10,083 –23,624 –10,794 –50,095 –46,889 –74,722 56,776
HRK 1,905 –2,305 –5,742 –64,816 –21,298 – 92,256 –35,919 –128,518 74,270
Central and Eastern AZN 67 –64 –514 –2,535 –40 –3,086 –231 –3,958 2,011
Europe incl. Turkey BAM –145 –816 –805 –1,684 –13,256 –16,706 1,803 –17,720 2,037
KGS –17 –72 171 –1,273 – –1,191 – 94 –10,612 590
KZT 1,531 –3,562 18,429 7,654 –65,893 –41,841 80,973 –103,352 24,563
LTL –40 74 1,833 – – 1,867 2,040 –289 388
LVL 106 –83 –5,557 –679 – –6,214 –1,545 –6,434 3,998
RSD – 907 –1,008 –4,611 –2,199 –180 –8,904 18,507 –12,687 5,529
RUB –446 –33,238 –63,279 61,132 –60,735 – 96,566 50,513 –258,255 93,120
TRY –3,128 –30,967 –70,355 53,241 –249,852 –301,061 91,295 –367,654 180,271
UAH 2,035 587 –19,746 –23,210 –6,407 –46,742 –26,392 –77,441 50,314
Overseas – highly USD 1,086 –22,685 –120,349 307,082 –1,647,486 –1,482,352 –1,332,519 –1,951,624 1,628,979
developed countries CAD 789 –718 8,196 4 – 8,271 16,613 –3,409 6,332
AUD –169 218 5,089 1,332 – 6,470 9,253 397 3,780
NZD 2 –2 107 – – 107 127 –5,385 1,221
JPY –503 5,527 –1,220 –2,252 –3,570 –2,017 5,648 –10,253 2,984
Other countries AED –35 – – – – –35 – –637 142
XAU –7 534 1,753 – – 2,280 3,100 97 1,481
ZAR –437 –17 9 – – –444 88 –11,015 3,492
BPV