Annual Financial Statements 2011 of Bank Austria

More documents

Recommendations

Info

Management Report of UniCredit Bank Austria AG Current status of the application of the internal ratings-based approach (IRB approach) to credit risk in the Bank Austria Group UniCredit Bank Austria AG has applied the internal ratings-based approach since March 2008, using its own estimates of loss given default and of conversion factors for the major part of its loan portfolio (advanced IRB approach). The filing of an application for approval of the advanced IRB approach of UniCredit Bank Austria AG for the Group-wide models covering Global Project Finance transactions, insurance companies and leasing companies is planned for 2012. The bank is planning to introduce various other Group-wide models in the next few years while also further refining and developing local models. Banca d’Italia (the Bank of Italy), the home supervisor of UniCredit Group, is responsible for all approvals at Group level, while local supervisory authorities are responsible for local topics in the legal entities and for local on-site reviews. Regulatory issues are being dealt with in close cooperation between home and host regulators (college of supervisors). Implementation of the advanced IRB approach has been established as a Group-wide programme. Therefore UniCredit is responsible for Group-wide decisions and guidelines as well as for the development of Group-wide models. For example, Group-wide homogeneous portfolios have been defined for which uniform rating models are used across the Group, such as those for countries, banks and multinational companies. Group standards have for the most part already been prepared and adopted by the UniCredit Group holding company in cooperation with the major IRB legal entities, and are used as an instrument for uniform Group-wide implementation, with a view to complying with local legal requirements – some of which differ from country to country – and safeguarding Group interests. These Group standards will continue to be gradually extended and complemented. The Group standards continue to be integrated step by step in the processes and organisational set-up of all business areas and Group units, with account being taken of local features and legal requirements in ensuring Basel 2 compliance. Austrian subsidiaries All Austrian subsidiaries of UniCredit Bank Austria AG started to use the standardised approach in 2008. From a current perspective, for reasons of materiality, it is not planned to switch to one of the IRB approaches. CEE subsidiaries The CEE subsidiaries have used the standardised approach to credit risk since the beginning of 2008. Based on a detailed roll-out plan, there are plans to switch to the advanced IRB approach at most of the CEE banking subsidiaries in line with the Group’s decision to use the advanced IRB approach. According to the detailed roll-out plan communicated to the supervisory authorities involved, the switch to the A-IRB approach will take place at the relevant CEE subsidiaries step by step. In the course of the cross-border approval process, supervisory IRB assessments took place in an initial group of CEE subsidiaries in 2010. For the CEE subsidiaries UniCredit Bulbank AD, UniCredit Bank Czech Republic, a. s., and UniCredit Bank Slovenija d. d., the application of the F-IRB approach was approved as at 1 January 2011. The application of the F-IRB approach at UniCredit Bank Hungary Zrt. was approved as at 1 July 2011. Further approvals for the application of the F-IRB approach at the CEE subsidiaries UniCredit Tiriac Bank S.A. and UniCredit Bank Slovakia a.s. are expected for 2012. Current status of the application of the advanced measurement approach (AMA) for operational risk in the Bank Austria Group UniCredit Bank Austria AG has used the AMA since the beginning of 2008. Austrian subsidiaries Schoellerbank has applied the AMA in the area of operational risk since 2009. CEE subsidiaries In the reporting period, approval for the use of the AMA in the area of operational risk was available for the banking subsidiaries in in the Czech Republic, Slovakia, Hungary, Slovenia, Croatia, Bulgaria and Romania. In the next few years, AMA preparations will concentrate on our banking subsidiaries in Russia, Serbia and Turkey. Current status of Basel 2.5 / Basel 3 implementation in the Bank Austria Group Market risk in the trading book In the past year Bank Austria, in cooperation with the UniCredit holding company, successfully implemented the joint projects in connection with significantly stricter capital requirements for the trading book. “Stressed VaR” was implemented under IMOD, the new market risk model, and approved by the Austrian supervisory authority pursuant to the Austrian Banking Act as part of the joint decision of the college of regulators. The extension to include the incremental risk charge (IRC) – to cover default risk and rating migration risk – was also completed in 2011, with reviews performed by the supervisory authorities at Bank Austria and at holding company level. Bank Austria integrated capital requirements for both areas in its regulatory reporting for the first time as at the end of 2011. As part of the approval processes for IRC and S-VaR, the college of regulators imposed several requirements which need to be addressed at holding company level or at Bank Austria level. Bank Austria and UniCredit Group will have to meet these requirements by the end of 2012. Counterparty risk Details of the changes in the area of counterparty credit risk which result from the publications of the Basel Committee (Basel 3) and the capital adequacy directive (CRD IV) are now available. On this basis Bank Austria has developed a plan to implement the changes. Originally focusing on UniCredit Bank Austria AG, the local project in Austria is now included in a broader context at UniCredit Group level under joint control. Key changes in the area of counterparty credit risk include the calculation of a stress counterparty exposure, comparable to the stressed VaR in market risk. Other new features are the capital backing for market risk in respect of credit valuation adjustments, stricter standards for Bank Austria – Annual Financial Statements 2011 204
Management Report of UniCredit Bank Austria AG collateral management and margining. There are also stricter requirements in respect of stress testing and backtesting. The approval process for the adapted model is planned to start in the middle of 2012. Liquidity Basel 3 sets liquidity standards under stressed conditions in the short-term maturity range (liquidity coverage ratio = 100%) and in the structural sector (net stable funding ratio = 1). Although compliance with these rules will not be mandatory before 2015, Bank Austria made the necessary extensions to the liquidity monitoring system in the course of 2011 and integrated the new regulatory standards in the current management information process. 2.3. Third-party guarantees Under Section 92 (9) of the Austrian Banking Act, "Privatstiftung zur Verwaltung von Anteilsrechten" ("AVZ Stiftung", a private foundation under Austrian law) serves as deficiency guarantor for all liabilities of UniCredit Bank Austria AG in the event of the company's insolvency. After the change in the legal form of Anteilsverwaltung- Zentralsparkasse into a private foundation (“AVZ Stiftung”) in 2001, the Municipality of Vienna serves as deficiency guarantor for all outstanding liabilities, and obligations to pay future benefits, of UniCredit Bank Austria AG (then Bank Austria Aktiengesellschaft) which were entered into prior to and including 31 December 2001. 2.4. Outlook for 2012 The economic environment The moderate upturn of the global economy, underway since 2010, has lost momentum since autumn 2011. According to the most recent sentiment indicators and leading indicators, the lacklustre performance is likely to be only temporary. But the worse than expected economic developments in the second half of 2011, and probably also in the first quarter of 2012, have reduced the prospects for the economy to get off to a reasonable start in 2012. Annual growth rates for 2012 have consequently been revised downwards. Global trade slowed towards the end of 2011, but still recorded growth in a year-on-year comparison; we expect global trade to pick up again as from spring 2012. We think that from 3.3% in 2012, global economic growth will return to a level of 4% in 2013. With an anticipated growth rate of between 9% and 10% in 2012, China will provide the main impetus for global economic growth. The performance of the US economy in 2012 will fall somewhat short of its potential growth (2 % after 1.7 %). In the euro area, the economy contracted by 0.3 % in the fourth quarter of 2011 compared with Q3 2011, and will remain weak in the first quarter of 2012. In addition to a technical recession (two quarters of seasonally-adjusted negative growth) the less favourable starting position (negative carry-over effect) will lower the growth rate expected for 2012 to 0% to ½%. All forecasts are made on the premise that confidence in the debt-bearing capacity of industrial countries will slowly be restored, that it will at least not be shaken again, and that a renewed sharp rise in commodity prices (triggered, for example, by a culmination of events at the Persian Gulf) can be prevented. Since the beginning of the current year, favourable leading indicators and sentiment surveys in Austria have suggested that the intermediate low may be coming to an end. The Austrian economy will return to a growth path in the first half of 2012, though expansion will be very moderate. Weak foreign demand, consumer restraint and a cautious approach to business investment will limit economic growth for the time being. From the middle of the year, impetus provided by the Asian emerging economies should have an indirect effect on Austrian industry via Germany, Austria’s main trading partner, and this should reinvigorate the economy. Investment projects which were postponed should then be carried out and consumption should pick up, supported by weakening inflation (expected to average 2.2 % in 2012) and a slightly positive trend in real incomes. Despite the economic revival in the course of the year, growth will be moderate, reaching only 0.8 % for 2012 as a whole. This also reflects the low base before and after the turn of the year. The unemployment rate will rise slightly in 2012, to 4.3 per cent, though remaining very low by international comparison. GDP is expected to grow by 2 % in 2013, when budget consolidation measures will become fully effective, but dampening growth only slightly. According to preliminary calculations, the direct dampening effect for 2013 will be about ¼ percentage point of GDP and will be more than offset by stronger global economic trends. In view of the moderate economic outlook, credit expansion is expected to show hardly any change in the course of 2012, with growth again reaching between 2% and 3%. The major challenges facing the banks (buildup of additional risk buffers, difficult funding conditions, management of liquidity ratios) led to high and rising interest rates on bank deposits in the second half of 2011, which rose by over 3%. Deposits from private customers increased by close to 2 % and accounted for about one-half of additions to financial assets held by private households. In 2012, monetary capital formation could be somewhat more pronounced. At the current low valuation levels in some areas, capital markets offer attractive investment opportunities. But deposit interest rates will probably remain attractive also in 2012. Countries in Central and Eastern Europe (CEE) were also affected by the deterioration in the global economic environment in the second half of 2011 and around the turn of the year. Overall, however, the region continued to pursue sound expansion. As the European debt crisis escalated, risk aversion again became more pronounced. But given the relatively low levels of government debt in the region, CEE coped well with this situation. Developments in the euro area will continue to be among the factors determining trends in the CEE region later in 2012. The difference between a weak first six months and more lively business in the second halfyear will be particularly apparent in the Central European countries, which are closely integrated in the production network. The impact on major exporters of raw materials and commodities will be weaker, these countries will benefit from high oil prices. Turkey, which enjoys a high degree of economic autonomy, continues to achieve strong growth even if the boom of past years is over. Overall, we expect that economic growth in CEE (in Bank Austria’s perimeter) will be 3.0 % (2012) and 3.8 % (2013), double or triple the figure for Western Europe. Despite significant regional divergence, we expect that the CEE region as a whole will see currency appreciation rather than depreciation. This will require stable inflows of long-term capital. Bank Austria – Annual Financial Statements 2011 205
Page 1:
Annual Financial Statements 2011 of
Page 4 and 5:
Bank Austria at a Glance Income sta
Page 6 and 7:
Management Report Management Report
Page 8 and 9:
Page 10 and 11:
Page 12 and 13:
Page 14 and 15:
Page 16 and 17:
Page 18 and 19:
Page 20 and 21:
Page 22 and 23:
Page 24 and 25:
Page 26 and 27:
Page 28 and 29:
Page 30 and 31:
Page 32 and 33:
Page 34 and 35:
Page 36 and 37:
Page 38 and 39:
Page 40 and 41:
Page 42 and 43:
Page 44 and 45:
Page 46 and 47:
Page 48 and 49:
Page 50 and 51:
Page 52 and 53:
Page 54 and 55:
Page 56 and 57:
Page 58 and 59:
Page 61 and 62:
Consolidated Financial Statements i
Page 63 and 64:
Page 65 and 66:
Page 69:
Notes to the Consolidated Financial
Page 72 and 73:
Page 74 and 75:
Page 76 and 77:
Page 78 and 79:
Page 80 and 81:
Page 82 and 83:
Page 84 and 85:
Page 86 and 87:
Page 88 and 89:
Page 90 and 91:
Page 92 and 93:
Page 94 and 95:
Page 97 and 98:
B - Notes to the income statement B
Page 99 and 100:
Page 101 and 102:
Page 103 and 104:
Page 105 and 106:
Page 107:
Page 110 and 111:
Page 112 and 113:
Page 114 and 115:
Page 116 and 117:
Page 118 and 119:
Page 120 and 121:
Page 122:
Page 126 and 127:
Page 128 and 129:
Page 130 and 131:
Page 132 and 133:
Page 134:
Page 138 and 139:
Page 140 and 141:
Page 142 and 143:
Page 144 and 145:
Page 146 and 147:
Page 148 and 149:
Page 150 and 151:
Page 152 and 153:
Page 154 and 155:
Page 156 and 157: Consolidated Financial Statements i
Page 167 and 168: F - Additional disclosures F.1 - Ti
Page 185 and 186: II. UniCredit Bank Austria AG Preli
Page 187 and 188: Management Report of UniCredit Bank
Page 205: Management Report of UniCredit Bank
Page 213 and 214: Financial Statements of UniCredit B
Page 215 and 216: Financial Statements of UniCredit B
Page 217 and 218: Notes to the Financial Statements o
Page 239 and 240: Shares in group companies and equit
Page 241 and 242: Supervisory Board and Management Bo
Page 243 and 244: Financial Statements for 2011 Bank
Page 245 and 246: Financial Statements for 2011 An au
Page 247 and 248: Financial Statements for 2011 Prüf
Page 249 and 250: Financial Statements for 2011 Bank
Page 251 and 252: Financial Statements for 2011 State
Page 253: Investor Relations UniCredit Bank A
show all

Annual Financial Statements 2011 of Bank Austria

Create successful ePaper yourself

Delete template?

Save as template?