Annual Financial Statements 2011 of Bank Austria

Consolidated Financial Statements in accordance with IFRSs
E – Risk report (CoNTINuED)
Banking group – On-balance sheet and off-balance sheet exposure by internal rating class (book values) (€ m)
balaNce at 31 dec. 2011
iNterNal ratiNg classes
1 2 3 4 5 6
On-balance sheet exposures 1,606 10,732 30,337 42,097 32,429 19,943
derivative contracts
Financial derivative contracts 139 812 17,223 1,806 1,764 1,264
Credit derivatives contracts – – – – – –
guarantees given 25 359 2,101 6,034 5,796 2,104
Other commitments to disburse funds 15 121 2,930 6,111 3,489 2,237
tOtal 1,785 12,024 52,592 56,049 43,478 25,547
iNterNal ratiNg classes
7 8 9
balaNce at 31 dec. 2011
impaired
expOsures
NO
ratiNg tOtal
On-balance sheet exposures 11,244 4,040 1,677 7,725 17,002 178,832
derivative contracts
Financial derivative contracts 380 126 69 252 2,344 26,179
Credit derivatives contracts – – – – 3 4
guarantees given 1,394 289 222 134 930 19,388
Other commitments to disburse funds 677 240 37 118 14,237 30,212
tOtal 13,694 4,696 2,005 8,229 34,516 254,616
The mapping to the internal rating masterscale considers the PD ranges mentioned below:
iNterNal ratiNg classes pd miN pd max
1 0.0000% 0.0036%
2 0.0036% 0.0208%
3 0.0208% 0.1185%
4 0.1185% 0.5824%
5 0.5824% 1.3693%
6 1.3693% 3.2198%
7 3.2198% 7.5710%
8 7.5710% 17.8023%
9 17.8023% 99.9999%
10 impaired
Credit risk
Net write-downs of loans and provisions for guarantees and commitments in 2011 continued to improve across all segments compared with the
previous year. This development reflected significantly higher economic stability, especially in the first half of the year, and the fact that the economic
slowdown which started in the second half of 2011 did not yet have a strong impact.
In the Corporate & Investment Banking segment (CIB), the decline in the number of new cases requiring corporate restructuring activities had a positive
influence on additions to loan loss provisions. At € 131.5 m, net write-downs of loans and provisions for guarantees and commitments in this
business segment were further reduced, by more than 20%, from the previous year’s level.
In the Family & SME Banking segment (F&SME), net write-downs of loans and provisions for guarantees and commitments continued to decline
even after the inclusion of the sub-segment comprising small and medium-sized businesses with a turnover of up to € 50 m. Overall, the provisioning
charge in this business segment amounted to € 161.1 m, an improvement of 24% over the previous year which was mainly due to significantly
lower additions to loan loss provisions in the sub-segments of Mass Market and Affluent customers. The additional write-down on foreign currency
loans in these sub-segments was further increased to take adequate account of the risk associated with loans with final maturity. Quite generally, as
in the previous year, a large number of additional advisory talks were held with customers in this segment in several waves in order to evaluate the
new situation and the credit risk arising for the bank from this type of loan on a timely basis. At any point in time, the risk-focused presentation
(credit line in €, utilisation in currency) shows the amount of the credit line originally granted to the customer, the currency fluctuation allowed for
when the loan was granted, and the amount currently outstanding.
Bank Austria · Annual Financial Statements 2011
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