Annual Financial Statements 2011 of Bank Austria

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Consolidated Financial Statements in accordance with IFRSs E – Risk report (CoNTINuED) E.5 – Country risk and sovereign risk Risk associated with cross-border transactions with all customer groups is reflected in country risk (“transfer and convertibility risk”; country risk includes, for example, loans to foreign corporate customers or banks). Risk associated with the state itself (e.g. the purchase of government bonds) is reflected in sovereign risk, irrespective of whether such risk is cross-border or local risk. Both risks are assessed via a groupwide credit process. Country limits and sovereign limits are assessed by the responsible risk management team, approved by the relevant body having approval authority, and assigned to UniCredit subsidiaries according to business needs. In general, cross-border business is not limited for countries which are presumed less risky, e.g. the US, Japan, core EU countries; for all other countries, cross-border business is limited via the assigned country limit. Sovereign risk is in each case limited via counterparty limits. The overall bond exposure is monitored via nominal credit risk limits and market risk limits. Impairment losses are recognised, if necessary, according to international standards. Greek bond exposure has been impaired based on a conservative approach and impairment losses will be further recognised using international standards. Business with Greek banks has been reduced to an absolute minimum and is restricted via a watch list strategy. Due to the challenging political and economic situation in Hungary, UniCredit Group has taken prudent risk mitigating measures and is actively monitoring the situation and its portfolio. UniCredit Group has also limited business via a watch list strategy. Apart from the current credit risk valuation reflected in mark to market valuation an impairment is – in line with international standards – currently not foreseen. The Italian risk is also centrally monitored and has also been adjusted via a watch list strategy, mainly focusing on UniCredit, tier 1 banks and the sovereign within assigned counterparty credit and market risk limits. Large sovereign exposures for other countries (e.g. Russia, Romania, Croatia) mainly result from excess liquidity management of Bank Austria banking subsidiaries or guarantees from the respective sovereign granted to support local (i.e. Bank Austria banking subsidiaries in e.g. Serbia, Croatia) corporate business. Both are monitored closely by FIBS CRO and CEE underwriting and captured under credit risk and market risk limits (for bonds). Breakdown of sovereign debt securities by country and portfolio (€ m) cOuNtry / pOrtfOliO NOmiNal Value 31 dec. 2011 bOOK Value fair Value turkey 2) 3,177 3,168 3,533 HFT financial assets/liabilities (net exposures) 1) 29 28 28 Financial assets at FV through P&L – – – Available for sale 998 1,028 1,028 Loans and receivables – – – Held-to-maturity investments 2,150 2,112 2,477 austria 2,111 2,226 2,234 HFT financial assets/liabilities (net exposures) 1) – – – Financial assets at FV through P&L – – – Available for sale 1,868 2,039 2,039 Loans and receivables – – – Held-to-maturity investments 243 187 195 czech republic 1,720 1,660 1,660 HFT financial assets/liabilities (net exposures) 1) 642 546 546 Financial assets at FV through P&L 4 4 4 Available for sale 1,073 1,109 1,109 Loans and receivables – – – Held-to-maturity investments – – – italy 1,116 1,109 1,107 HFT financial assets/liabilities (net exposures) 1) – – – Financial assets at FV through P&L – – – Available for sale 1,025 1,016 1,016 Loans and receivables – – – Held-to-maturity investments 91 94 92 Bank Austria · Annual Financial Statements 2011 146
Consolidated Financial Statements in accordance with IFRSs E – Risk report (CoNTINuED) 31 dec. 2011 cOuNtry / pOrtfOliO NOmiNal Value bOOK Value fair Value hungary 1,100 1,090 1,090 HFT financial assets/liabilities (net exposures) 1) 63 62 62 Financial assets at FV through P&L – – – Available for sale 992 983 983 Loans and receivables 27 27 27 Held-to-maturity investments 17 18 18 romania 802 802 801 HFT financial assets/liabilities (net exposures) 1) – – – Financial assets at FV through P&L – – – Available for sale 795 794 794 Loans and receivables – – – Held-to-maturity investments 7 7 7 russia 627 644 644 HFT financial assets/liabilities (net exposures) 1) 27 29 29 Financial assets at FV through P&L – – – Available for sale 600 615 615 Loans and receivables – – – Held-to-maturity investments – – – croatia 732 645 645 HFT financial assets/liabilities (net exposures) 1) 60 57 57 Financial assets at FV through P&L – – – Available for sale 640 555 555 Loans and receivables – – – Held-to-maturity investments 32 33 32 slovakia 478 470 470 HFT financial assets/liabilities (net exposures) 1) – – – Financial assets at FV through P&L – – – Available for sale 408 395 395 Loans and receivables – – – Held-to-maturity investments 70 75 75 bulgaria 354 363 361 HFT financial assets/liabilities (net exposures) 1) 41 42 42 Financial assets at FV through P&L 6 5 5 Available for sale 184 180 180 Loans and receivables 5 5 5 Held-to-maturity investments 118 130 128 Other countries 1,519 1,109 1,106 HFT financial assets/liabilities (net exposures) 1) 82 80 80 Financial assets at FV through P&L – – – Available for sale 1,128 965 865 Loans and receivables – – – Held-to-maturity investments 309 165 162 tOtal 13,737 13,286 13,652 thereof: greece 498 129 129 ireland – – – portugal 70 50 46 spain 16 16 15 1) Including exposures in credit derivatives 2) Amounts recognised using proportionate consolidation with reference to the ownership percentage for exposures held by joint ventures. # Sovereign exposures are bonds issued by and loans granted to central banks, governments and other public sector entities. ABSs are not included. Bank Austria · Annual Financial Statements 2011 147
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