One Bank,
One Team,
One UniCredit.
Capital and balance
sheet management
Transform
Ethics and Respect
Enhanced
service model
Team 23
Compliance
Grow and strengthen
client franchise
Process
optimisation
Sustainable
results
Sustainability
Paperless
bank
Growth
engines
Customer
experience
Disciplined risk
management
“Go-to” bank for SMEs
“Do the right thing!”
2019
Annual Report and Accounts
One Bank,
One UniCredit.
Our strategy is clear and long-term: UniCredit is a simple successful
Pan European Commercial Bank, with a fully plugged in CIB, delivering a
unique Western, Central and Eastern European network to its extensive
and growing client franchise.
Contents
Board of Directors, Board of Statutory Auditors and External Auditors as at 31 December 2019
Chairman’s message
Chief Executive Officer’s message
Preliminary notes
CONSOLIDATED REPORT AND ACCOUNTS 2019 OF UNICREDIT GROUP
REPORT AND ACCOUNTS 2019 OF UNICREDIT S.P.A.
Incorporations of qualitative information by reference
Glossary
Contacts
5
6
8
19
23
479
739
745
759
Notes
The following conventional symbols have been used in the tables:
a dash (-) indicates that the item/figure is non-existent;
two stops (..) or “n.m.” when the figures do not reach the minimum considered significant or are not meaningful;
“n.a.” indicates that the figure is not available.
Any discrepancies between data are solely due to the effect of rounding.
UniCredit ·2019 Annual Report and Accounts 3
I
UniCredit S.p.A.
A joint stock company
Registered Office and Head Office: Piazza Gae Aulenti, 3 - Tower A - 20154 Milano
Share capital €20,994,799,961.81 fully paid in
Registered in the Register of Banking Groups and Parent Company of the UniCredit Banking Group, with cod. 02008.1
Cod. ABI 02008.1
Fiscal Code, VAT number and Registration number with the Company Register of Milan-Monza-Brianza-Lodi: 00348170101
Member of the National Interbank Deposit Guarantee Fund and of the National Compensation Fund
Stamp duty paid virtually, if due - Auth. Agenzia delle Entrate, Ufficio di Roma 1, No.143106/07 of 12.21.2007
4 2019 Annual Report and Accounts · UniCredit
Board of Directors, Board of Statutory Auditors and
External Auditors as at 31 December 2019
Board of Directors, Board of Statutory Aud itors and External Auditors as at 31 December 201 9
Board of Directors
Chairman
Deputy Vice Chairman
CEO
Directors(***)
Cesare Bisoni(*)
Lamberto Andreotti(**)
Jean Pierre Mustier
Mohamed Hamad Al Mehairi
Sergio Balbinot
Vincenzo Cariello
Elena Carletti
Isabelle de Wismes
Stefano Micossi
Maria Pierdicchi
Francesca Tondi
Alexander Wolfgring
Elena Zambon
Gianpaolo Alessandro
Company Secretary
Marco Rigotti
Antonella Bientinesi
Angelo Rocco Bonissoni
Benedetta Navarra
Guido Paolucci
Stefano Porro
Board of Statutory Auditors
Chairman
Standing Auditors
Manager in charge of preparing
the financial reports
Deloitte & Touche S.p.A.
External Auditors
Notes:
(*) Prof. Cesare Bisoni has been appointed as Chairman starting from 20 September 2019 after the sudden death of Dott. Fabrizio Saccomanni.
(**) Dott. Lamberto Andreotti has been appointed as Deputy Chairman starting from 8 October 2019 replacing Prof. Cesare Bisoni.
(***) Dr. Martha Boeckenfeld has resigned from his office with effect from 18 September 2019
UniCredit ·2019 Annual Report and Accounts 5
Chairman's
message
Sustainability
characterises our new
strategic plan: today, more
than ever, the ways in
which results are achieved
are as important as the
results themselves.
Cesare Bisoni
Chairman
Dear Shareholders,
Please allow me to start by expressing my personal grief, and deep sorrow of all UniCredit colleagues
at the premature passing of our esteemed chairman, Fabrizio Saccomanni. Fabrizio was a great friend
to me and an excellent chairman of the Group. He was instrumental in the success of Transform 2019
and unfailingly supported the management throughout the execution of the plan. Thus we dedicate the
success of Transform 2019 to Fabrizio.
2019 Annual Report and Accounts · UniCredit
Our solid governance system ensured an orderly transition, guaranteeing stability for the Group. I am
grateful to the Board of Directors for placing their trust in me in such a delicate moment.
On behalf of the board of directors, I would like to express my heartfelt gratitude and appreciation
to everyone at UniCredit, starting with the chief executive officer Jean Pierre Mustier. Jean Pierre’s
hard work and commitment ensured the overall plan was a success and that many Transform 2019
targets were well exceeded. The new strategic plan, Team 23, was presented in December 2019 and
its implementation is already underway. The new plan focuses on strengthening the client franchise,
continued disciplined risk and control management and proactive capital allocation within the
framework of ongoing transformation.
In February 2020, we completed the board of directors through the co-optation of two new non-executive
directors. Their strong skills will contribute to the further enrichment of our dialogue, within the board.
This is essential, as the banking sector faces ever greater challenges, in a complex macroeconomic
environment. Increasing competitive pressure, also from sectors other than financial services, alongside
progress in digitisation, is leading banks to rethink traditional service models.
At UniCredit, over the past years, we have laid the foundations for the future of our Group. The definition
of the new strategic plan Team 23 was done in full cooperation with the board of directors. At several
points the board contributed to shaping the new plan through continuous, constructive dialogue with
the Group’s management team.
Fully supporting the real economy of the countries where we operate is and will remain key. We are
very proud to be a Pan European commercial bank, listed and headquartered in Italy. The countries
where we operate show very good opportunities for the development of our activity with our 16 million
clients, individual clients, small and medium-sized enterprises, which are the backbone of the European
economy, and large corporates. For all of them, we are focusing on initiatives aimed at fostering their
growth and development, domestically and internationally.
Our actions aim to create value for all our stakeholders, from our customers – who will benefit from
simpler processes and more innovative products – to you, our shareholders – through our commitment
to significantly increase our return on capital.
Today, more than ever, the way we achieve results is as important as the results themselves.
Sustainability characterises our new strategic plan and is fully integrated in our business and decision-
making processes, from the board of directors all the way throughout the Group. We have adopted a
responsible approach to every business which is based on the core values Ethics and Respect, coupled
with our guiding principle “Do the right thing!”. This means interacting with all our stakeholders with
integrity, doing the right thing at all times. Our commitment to long-term sustainability is also shown by
the adoption of new Environmental, Social and Governance (ESG) targets. Among these, I would like to
highlight our one billion euro commitment to supporting projects with a positive social impact, as part
of our Social Impact Banking initiative, together with clear actions to promote the transition towards a
low carbon economy.
We want to be more than lenders – we want to be a partner in the positive evolution of our society.
To do well, you have to do good!
Sincerely,
Cesare Bisoni
Chairman
UniCredit S.p.A.
UniCredit · 2019 Annual Report and Accounts
Chief Executive
Officer's message
We always favour
long-term sustainable
outcomes over
short-term solutions.
This is a key pillar
of our new plan,
Team 23, which will
deliver €16bn of value
creation.
Jean Pierre Mustier
Chief Executive Officer
Dear Shareholders,
2019 was a very important milestone for UniCredit, although tinged with sadness for all of us in the
Group. Our chairman Fabrizio Saccomanni, who was integral to the success of the Group, suddenly passed
away this summer. Fabrizio was a friend of great intelligence and humanity, highly competent with a
fi ne sense of culture and wit. His premature death was a great loss for us all and he is much missed.
In September Cesare Bisoni was elected chairman and I am extremely grateful to him for leading the
continuing constructive work of the board.
2019 Annual Report and Accounts · UniCredit
We successfully concluded our three year strategic plan, Transform 2019, launched in 2016, exceeding
many of our initial targets. This success is thanks to the drive and unwavering commitment from all our
team members and the support you, our shareholders, have shown us throughout the plan. This is a
great achievement and I am proud of the results and the truly transformative work that has been done.
To share our success and show appreciation to our shareholders, we are pleased to propose an increased
capital distribution for 2019, returning 40 per cent – 30 per cent as a cash dividend and 10 per cent
through a proposed share buyback.
This is double the target we set ourselves in 2016. We have shown that, no matter what, at UniCredit we
say what we do and do what we say. We will apply the same mindset and dedication to our new plan,
Team 23.
Although Transform 2019 was based on conservative assumptions, there were some challenges faced by
the financial services sector over the past few years that could not have been foreseen.
Headwinds from unexpected geopolitical tensions, macroeconomic volatility and higher regulatory
pressure added to an already testing environment.
At UniCredit, we took a series of decisive actions to counter these unforeseen events, enabling us to
successfully execute our business strategy, delivering on our key targets.
2016-2019 headwinds
Interest rate
impact
Slowdown
of economic
growth
BTP-Bund
spread
volatility
Deterioration
of economic
environment
in Turkey
Regulatory
headwinds
US
sanctions
Decisive actions
Acceleration of balance sheet
de-risking
Additional
cost optimisation
Strong
capital position
• Acceleration of Non Core
run-off
• Further cost reduction
vs initial 2019 target
• BTP portfolio reduction
•
Intragroup exposure decrease
• Trasparent disclosure
of regulatory impacts
• Disposal of non-strategic
assets*
* Fineco, Mediobanca, Ocean Breeze, selected real estate.
UniCredit · 2019 Annual Report and Accounts
Transform 2019: a strategic
plan delivered as promised
Transform 2019 was about restructuring and reshaping the Group, with an emphasis on strengthening
capital and improving asset quality. We also strengthened our corporate governance in line with best-
in-class European companies. We are the only large listed Italian company where the board of directors
presents its own list of candidates. We also lifted voting restrictions and converted savings shares into
common shares.
Our hard work was acknowledged by the ECB that, at the end of 2019, lowered our SREP pillar 2
requirement by a further 25 basis points, to 175. This is 75 basis points lower than in 2016, an
achievement we are very proud of and another recognition of the outstanding work done by the team
over these last three years.
SIGNIFICANT DE-RISKING
Gross NPEs down by more
than €50bn since 2015, to
€25bn
with an end 2019
Gross NPE ratio of 5.0 per cent
and a Net NPE ratio 1.8 per cent
IMPROVED ROTE
More than doubled our
profitability with
underlying RoTE in 2019 of
9.2 per cent
up from 4 per cent in 2015
MATERIAL COST REDUCTION
€2.3bn
net cost reduction
since 2015 with C/I ratio
reduced by more than
7 percentage points
to 52.7 per cent in 2019
STRONG CAPITAL POSITION
Pro forma1 CET1 ratio of
13.1 per cent
as at the end of 2019, equivalent
to a pro forma1 MDA buffer of
300 basis points, above our 200
to 250 basis points target range
1 Pro forma 2019 CET1 ratio and MDA buffer including deduction of share buyback of €467m, subject to supervisory and AGM approval.
2019 Annual Report and Accounts · UniCredit Team 23: a new strategic
plan, further building on our
pan European strengths
While Transform 2019 represented a strong cost efficiency and de-risking effort, Team 23 focuses
on strengthening and growing our customer base. All our key strategic initiatives focus on customer
experience, which we will monitor precisely while making sure we increase our process optimisation.
We will also continue to manage the business with tight cost discipline, focusing on high asset
quality and ensuring we maintain a very strong capital level at all times. We work on this from a
position of strength, thanks to Transform 2019. We will deliver a recurring dividend with a mix of
cash and share buybacks.
Grow and
strengthen client
franchise
Transform
and maximise
productivity
Disciplined risk
management
& controls
Capital and
balance sheet
management
UniCredit · 2019 Annual Report and Accounts Our strategy remains unchanged
UniCredit is a simple
successful Pan European Commercial Bank,
with a fully plugged in Corporate & Investment
Banking (CIB), delivering a unique Western, Central
and Eastern European network
to its extensive and growing client franchise
As “One Bank, One UniCredit” we will continue
to build on our existing competitive advantages
Truly local with 13 leading commercial banks* and a unique reach
through our fully plugged in CIB and international branch network
Provide “banking that matters” for all our 16 million clients across
Europe. UniCredit is:
• Supporting our individual clients and the European mid-market
corporate clients, that are the backbone of the European economy,
as the second largest corporate lender in Continental Europe
• Ranked in the top three by assets in Italy, Germany and Austria
and first by assets in CEE, on a consolidated basis
• We have a well-diversified business with a third of our lending
coming from Italy, a third from Germany and Austria, and a third
from CEE and CIB
A fully plugged-in CIB business, focused on supporting the Group’s
clients, with top of the league tables rankings, demonstrates
our strong product offer and our ability to create significant cross-selling
and synergies across the Bank
* Assuming full regulatory deconsolidation of Yapi.
2019 Annual Report and Accounts · UniCredit
Unique network: pan European footprint
Commercial banks
International branches
and representative
offi ices*
* Including UC Luxembourg and UC Ireland.
Other International branches and representative
offi ces In Asia and Oceania, North and South
America, Middle East and Africa.
“Banking that matters” for our clients
16
#3
m clients
ranking for assets
in IGA
#2
#1
for loans to corporates
in Europe
by total assets
in CEE
Well-diversifi ed business
Market-leading CIB
>430
Commercial
loans, bn
• Most active player in EUR Bonds
since 2013 (cumulative)
• #1 in EUR Bonds in Italy, Germany, Austria
Italy**
• #1 All Covered Bonds in EUR
• #1 EMEA Corporate Loans EUR
denominated
Austria
Germany
• #1 Syndicated Loans in Italy, Austria
and CEE; #2 in Germany
Western
Europe
CEE
CIB
** Italy including Non Core and Group Corporate Centre.
Source: Dealogic, period: 1 Jan-31 Dec 2019.
UniCredit · 2019 Annual Report and Accounts
How we achieve results in
UniCredit: Do the right thing!
At UniCredit, our corporate culture is based on two core values: Ethics and Respect. Our commitment to
always “Do the right thing!” is our guiding principle for interactions with all our stakeholders: investors,
customers, colleagues and communities.
In the fourth quarter of 2019, we announced new ESG targets as part of our long-term commitment
to sustainability – part of our Group’s DNA and a key component of our business model. Building a
sustainable future is an important challenge for both people and businesses. Every company has to do
more than ‘business as usual’ – it is time to act and make an impact.
“Do the right thing!” to generate sustainable results
Investors
Communities
Environment
Do
the right
thing!
Colleagues
Customers
We adhere to the highest standards and principles with external monitoring and recognition.
This include the Task Force on Climate-Related Financial Disclosures, Principles for Responsible Banking
and OECD Business for Inclusive Growth Coalition. Our commitment to ESG places us in the 99th
percentile of the FTSE Russell ESG ratings, a constituent of the FTSE4Good Index Series. Standard Ethics
identifi ed us as the only bank in Italy with an EE+ rating, strong compliance and the ability to manage
key reputational risks.
2019 Annual Report and Accounts · UniCredit
UniCredit Leadership Team Meeting, Millennial Board presentation, Dec 2019
Environment
Every team member of UniCredit is committed to protect the environment: the entire UniCredit team
was involved in “Climate day” on Friday September 20th, submitting more than 1,200 new ideas on
what UniCredit can do concretely. All these suggestions will be implemented, under the leadership of
the Group “millennial board”, made of 10 millennial team members, who bring a tremendous energy
and vision to our Group to “Do the right thing!”. We are committed to reducing our direct environmental
impact by further cutting greenhouse gas emissions. By 2023 all electricity consumption in Western
Europe will come from renewable energy sources, by when we will also remove all single-use plastic from
all our headquarters. We are working to make an ever bigger difference through our indirect emissions,
partnering with our customers in the shift to a low carbon economy. As already announced, we will fully
exit thermal coal mining projects by 2023 and not fi nance any new projects in thermal coal mining
or coal fi red power generation. We will increase our renewable energy sector exposure, granting more
energy effi ciency loans to our customers.
Social
We have committed € 1 billion to Social Impact Banking (SIB) initiatives throughout the Group between
now and end 2023. This builds on our success in Italy, where we have already disbursed over 100 million
euros. The programme is now being rolled out in 10 more markets. Art4Future is supporting SIB with the
sale of a limited number of expensive pieces to provide the capital to extend more social loans and buy
art pieces of young artists from our different countries.
In addition, we will continue to promote culture through important associations and our UniCredit
Foundation will carry on addressing important social needs, while supporting study and research.
Governance
All companies looking to grow and thrive must also focus on diversity and inclusion. Different perspectives
help improve processes and behaviours, bringing more sustainable organisations. Creating a positive
and inclusive workplace is key to innovation and growth. This is why UniCredit is working on different
initiatives to ensure diversity and inclusion is at the forefront throughout the Group, to increase the active
participation by women and minorities at all levels of the bank.
UniCredit · 2019 Annual Report and Accounts
UniCredit · 2019 Annual Report and Accounts
8
The future: what lies ahead
UniCredit clearly shows that pan European banking is the future for our industry to support the growth
of our clients, and of Europe. We are passionate Europeans, "One Bank, One UniCredit" across all our
countries, combining central support and local excellence.
With Transform 2019, we have shown we always favour long-term sustainable outcomes over short-term
solutions, and this is also one of the key pillars of Team 23. This is how we will deliver €16bn of value
creation during our new plan, €8bn via capital distribution and €8bn from increased tangible equity.
Beyond purely economic goals serving our shareholders, we will continue to “Do the right thing!” for all
our other stakeholders, from our clients, our team members, to our communities and the environment.
Let me conclude by reiterating how immensely proud I am of all my UniCredit colleagues who work so
hard to achieve the success of our Group, making sure we can continue to support the real economy,
serve our clients, encourage growth across all our markets, transform our Group, and deliver recurring
value to all our stakeholders.
Thank you!
Jean Pierre Mustier
Chief Executive Officer
UniCredit S.p.A.
2019 Annual Report and Accounts · UniCredit I am immensely proud
of all my UniCredit
colleagues, who work
so hard to achieve
the success of
our Group.
Jean Pierre Mustier
Chief Executive Officer
UniCredit · 2019 Annual Report and Accounts
Team 23
Our new plan is called Team 23, in recognition of the outstanding work done
together for Transform 2019. Team 23 is based on four strategic pillars:
• Grow and strengthen client franchise
• Transform and maximise productivity
• Disciplined risk management & controls
• Capital and balance sheet management
Preliminary notes
Preliminary notes
UniCredit prepares a single document called “Annual report and accounts” replacing the two documents relating to the UniCredit group consolidated
financial statements and the UniCredit S.p.A. company financial statements.
The integration of the contents of the two financial statements documents into a single one led to the elimination of duplications of the qualitative
information presented in both files and, in order to facilitate the reading, the adoption of a system of cross-references between the chapters
dedicated to the consolidated financial statements and the company ones; pursuant to these references the contents of the each referenced
paragraph is entirely reported in the paragraph containing the reference.
The chapter “Incorporations of qualitative information by reference” reports the list of the references.
General aspects
The UniCredit group’s Consolidated financial statements and UniCredit S.p.A. financial statements as at 31 December 2019 were drafted in
accordance with the IAS/IFRS international accounting standards, in compliance with the instructions of Banca d’Italia in Circular 262 of 22
December 2005 (and subsequent amendments). These instructions define binding requirements for the related fulfilling methods as well as
regarding the minimal contents of the Notes to the accounts.
The Consolidated financial statements is made up of the Balance sheet, the Income statement, the Statement of Other comprehensive income, the
Statement of changes in Shareholders’ Equity, the Cash flow statement, the Notes to the accounts, as well as the Report on operations, the
economic results achieved, the Group’s financial situation and Annexes.
A section dedicated to Corporate Governance is also included within the document.
The Consolidated financial statements include:
the Consolidated financial statements certification pursuant to Art.81-ter of Consob Regulation No.11971/99 as amended;
the Independent Auditor’s Report pursuant to Art.14 of Legislative Decree No.39 of 27 January 2010 and Art.10 of the EU Regulation
No.537/2014.
UniCredit S.p.A. financial statements is made up of the Balance sheet, the Income statement, the Statement of other comprehensive income, the
Statement of changes in Shareholder’s Equity, the Cash flow statement, the Notes to the accounts as well as the Report on operation, the economic
results achieved, the Bank’s financial situation and Annexes.
UniCredit S.p.A. financial statements includes:
the Annual financial statements certification pursuant to Art.81-ter of Consob Regulation No.11971/99, as amended;
the Report of the Board of Statutory Auditors pursuant to Art.153 of Legislative Decree No.58/1998;
the Independent Auditor’s Report pursuant to Art.14 of Legislative Decree No.39 of 27 January 2010 and Art.10 of the EU Regulation
No.537/2014.
UniCredit’s group website also contains the press releases concerning the main events of the period, the market presentation of Group results and
the UniCredit group Disclosure (Pillar III), this latter is subject of joint publication with this document.
For the declaration of a non-financial nature, refer to the Integrated Report published on the company website.
UniCredit ·2019 Annual Report and Accounts 19
Preliminary notes
COPERTINA
20 2019 Annual Report and Accounts · UniCredit
One Bank,
One Team,
One UniCredit.
2019
Consolidated Report and Accounts
of UniCredit Group
c
22 2019 Annual Report and Accounts · UniCredit
Consolidated report and accounts 2019 of UniCredit
Group
CONSOLIDAT ED REPORT AND ACCOUNTS 2019 OF UNICREDIT GROU P
Consolidated report on operations
Introduction and Group highlights
Introduction to the Consolidated report on operations of UniCredit group
Group highlights, alternative performance indicators and other measures
Reclassified consolidated accounts
Summary results by business segments
Group and UniCredit share historical data series
Group results
Macroeconomic situation, banking and financial markets
Main results and performance for the period
Capital and value management
Principles of value creation and capital allocation
Capital ratios
Capital strengthening
Shareholders’ equity attributable to the Group
Reconciliation parent company UniCredit S.p.A. - Consolidated accounts
Contribution of the sector of activity to the results of the Group
Other information
Report on corporate governance and ownership structure
Report on remuneration
Non-financial information
Research and development projects
Group activities development operations and other corporate transactions
Organisational model
Conversion of DTAs into tax credits
Certifications and other communications
Information on risks
Subsequent events and outlook
Subsequent events
Outlook
Corporate Governance
Governance organisational structure
Senior Executive Management Team
Group Management Team
Consolidated financial statements
Consolidated accounts
Consolidated balance sheet
Consolidated income statement
Consolidated statement of comprehensive income
Statement of changes in the consolidated shareholders’ equity
Consolidated cash flow statement
Notes to the consolidated accounts
Part A - Accounting policies
A.1 - General
Section 1 - Statement of compliance with IFRS
Section 2 - General preparation criteria
Section 3 - Consolidation scope and methods
Section 4 - Subsequent events
Section 5 - Other matters
29
29
29
29
32
39
40
42
42
44
51
51
52
53
54
54
55
58
58
58
58
58
58
67
68
69
69
70
70
71
73
73
86
88
91
91
91
92
93
94
96
99
99
99
99
99
100
128
129
UniCredit ·2019 Annual Report and Accounts 23
Consolidated report and accounts 2019 of UniCredit
Group
A.2 - Main items of the accounts
A.3 - Information on transfers between portfolios of financial assets
A.4 - Information on fair value
A.5 - Information on “day one profit/loss"
Part B - Consolidated balance sheet
Assets
Section 1 - Cash and cash balances - Item 10
Section 2 - Financial assets at fair value through profit or loss - Item 20
Information about the units of Atlante Fund and Italian Recovery Fund
Information about the investments in the “Schema Volontario” (Voluntary Scheme)
Section 3 - Financial assets at fair value through other comprehensive income - Item
30
Information about the shareholding in Banca d'Italia
Section 4 - Financial assets at amortised cost - Item 40
Section 5 - Hedging derivatives - Item 50
Section 6 - Changes in fair value of portfolio hedged items - Item 60
Section 7 - Equity investments - Item 70
Section 8 - Insurance reserves charged to reinsurers - Item 80
Section 9 - Property, plant and equipment - Item 90
Section 10 - Intangible assets - Item 100
Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities)
Section 12 - Non-current assets and disposal groups classified as held for sale and
Liabilities associated with assets classified as held for sale - Item 120 (Assets) and
Item 70 (Liabilities)
Section 13 - Other assets - Item 130
Liabilities
Section 1 - Financial liabilities at amortised cost - Item 10
Section 2 - Financial liabilities held for trading - Item 20
Section 3 - Financial liabilities designated at fair value - Item 30
Section 4 - Hedging derivatives - Item 40
Section 5 - Value adjustment of hedged financial liabilities - Item 50
Section 6 - Tax liabilities - Item 60
Section 7 - Liabilities associated with assets classified as held for sale - Item 70
Section 8 - Other liabilities - Item 80
Section 9 - Provision for employee severance pay - Item 90
Section 10 - Provisions for risks and charges - Item 100
Section 11 - Technical reserves - Item 110
Section 12 - Redeemable Shares - Item 130
Section 13 - Group shareholders’ equity - Items 120, 130, 140, 150, 160, 170 and 180
Section 14 - Minority shareholders‘ equity - Item 190
Other information
Part C - Consolidated income statement
Section 1 - Interests - Items 10 and 20
Section 2 - Fees and commissions - Items 40 and 50
Section 3 - Dividend income and similar revenue - Item 70
Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80
Section 5 - Fair value adjustments in hedge accounting - Item 90
138
157
157
170
171
171
171
171
173
173
174
175
176
179
180
180
188
188
193
200
203
205
207
207
209
210
211
212
212
212
212
213
213
217
217
217
221
222
225
225
226
227
228
228
24 2019 Annual Report and Accounts · UniCredit
Consolidated report and accounts 2019 of UniCredit
Group
Section 6 - Gains (Losses) on disposals/repurchases - Item 100
Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through
profit or loss - Item 110
Section 8 - Net losses/recoveries on credit impairment - Item 130
Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140
Section 10 - Net premiums - Item 160
Section 11 - Other net insurance income/expenses - Item 170
Section 12 - Administrative expenses - Item 190
Contributions to Resolution and Guarantee funds
Guarantee fees for DTA conversion
Fees paid to the auditing firm
Section 13 - Net provisions for risks and charges - Item 200
Section 14 - Net value adjustments/write-backs on property, plant and equipment -
Item 210
Section 15 - Net value adjustments/write-backs on intangible assets - Item 220
Section 16 - Other operating expenses/income - Item 230
Section 17 - Gains (Losses) of equity investments - Item 250
Section 18 - Net gains (losses) on property, plant and equipment and intangible assets
measured at fair value - Item 260
Section 19 - Goodwill impairment - Item 270
Section 20 - Gains (Losses) on disposals on investments - Item 280
Section 21 - Tax expenses (income) for the period from continuing operations - Item
300
Section 22 - Profit (Loss) after tax from discontinued operations - Item 320
Section 23 - Minority profit (loss) of the year - Item 340
Section 24 - Other information
Section 25 - Earnings per share
Part D - Consolidated comprehensive income
Part E - Information on risks and hedging policies
Introduction
Section 1 - Risks of the accounting consolidated perimeter
Quantitative information
A. Credit quality
A.1 Impaired and non-performing credit exposures: stocks, value adjustments,
dynamics and economic
B. Structured entities (other than entities for securitisation transaction)
B.1 Consolidated structured entities
B.2 Non-consolidated for accounting purposes structured entities
Section 2 - Risks of the prudential consolidated perimeter
2.1 Credit risk
Qualitative information
1. General aspects
2. Credit risk management policies
3. Non-performing credit exposures
4. Financial assets subject to commercial renegotiations and forborne
exposures
Quantitative information
A. Credit quality
B. Distribution and concentration of credit exposures
C. Securitisation transactions
D. Sales Transactions
E. Prudential perimeter - Credit risk measurement models
229
230
231
231
232
232
232
234
235
235
235
236
236
237
238
240
241
241
242
243
244
244
247
248
249
249
256
256
256
256
258
258
259
263
263
263
263
264
273
276
278
278
289
290
312
321
UniCredit ·2019 Annual Report and Accounts 25
Consolidated report and accounts 2019 of UniCredit
Group
2.2 Market risk
Risk management strategies and processes
Structure and organisation
Risk measurement and reporting systems
Hedging policies and risk mitigation
Internal model for price, interest rate and exchange rate risk of the regulatory
trading book
2.2.1 Interest rate risk and price risk - Regulatory trading book
Qualitative information
Quantitative information
2.2.2 Interest rate risk and price risk - Banking book
Qualitative information
Quantitative information
2.2.3 Exchange rate risk
Qualitative information
Quantitative information
Credit spread risk
Stress test
2.3 Derivative instruments and hedging policies
2.3.1 Trading financial derivatives
A Financial Derivatives
B. Credit derivatives
2.3.2 Hending policies
Qualitative information
Quantitative information
2.3.3 Other information on derivatives instruments (trading and hedging)
A. Financial and credit derivatives
2.4 Liquidity risk
Qualitative information
Quantitative information
2.5 Operational risks
Qualitative information
A. General aspects, operational processes and methods for measuring
operational risk
B. Legal risks
C. Risks arising from employment law cases
D. Risks arising from tax disputes
E. Other claims by customers
Quantitative information
2.6 Other risks
Other risks included in Economic Capital
1. Business risk
2. Real estate risk
3. Financial investments risk
Reputational risk
Top and emerging risks
321
321
324
325
326
326
332
332
333
334
334
336
339
339
339
340
341
344
344
344
347
348
348
350
354
354
354
354
361
364
364
364
367
372
373
373
374
375
375
375
375
375
376
376
26 2019 Annual Report and Accounts · UniCredit
Consolidated report and accounts 2019 of UniCredit
Group
Part F - Consolidated shareholders’ equity
Section 1 - Consolidated Shareholders’ Equity
A. Qualitative information
B. Quantitative information
Section 2 - Own funds and banking regulatory ratios
Part G - Business combinatios
Section 1 - Business combinations completed in the year
Section 2 - Business combinations completed after year-end
Section 3 - Retrospective adjustments
Part H - Related-party transactions
Introduction
1. Details of Key management personnels’ compensation
2. Related-party transactions
Part I - Share-based payments
Qualitative information
1. Description of payment agreements based on own equity instruments
Quantitative information
1. Annual changes
2. Other Information
Part L - Segment reporting
Organisational structure
A - Primary segment
B - Secondary segment
Part M - Information on leases
Section 1 - Lessee
Qualitative information
Quantitative information
Section 2 - Lessor
Qualitative information
Quantitative information
Certification
Report of the External Auditors
Annexes
Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts
and mandatory reporting schedules
Annex 2 - Fees for annual audits and related services
Annex 3 - Securitisations - qualitative tables
Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued
by the same funds - qualitative
380
380
380
381
382
383
383
383
383
384
384
385
386
389
389
389
391
391
392
393
393
395
397
398
398
398
398
399
399
399
403
405
417
417
422
423
471
UniCredit ·2019 Annual Report and Accounts 27
Grow and
strengthen
client
franchise.
Team 23 focuses on strengthening and growing our client franchise across
all segments: SMEs, individuals and corporates.
Our strategic initiatives focus on the customer experience, to improve
customer satisfaction and service quality. This is how we will increase our
Net Promoter Score at Group-level.
Consolidated report on operations
Introduction and Group highlights
Consolidated report on operations
Introduction and Group highlights
Introduction to the Consolidated report on operations of UniCredit group
The Consolidated report on operations illustrates the performance of UniCredit group and the related amounts and results. It includes financial
information such as Group highlights, Reclassified consolidated accounts and their Quarterly figures, Summary results by business segment, Group
and UniCredit share historical data series as well as a comment on “Group results”.
In order to provide further evidences about the performance achieved by the Group, the Consolidated report on operations is also supported by
some alternative performance indicators (“API”) such as: Cost/Income ratio, EVA, ROTE, Net bad loans to customers/Loans to customers, Net non-
performing loans to customers/Loans to customers, Absorbed capital, ROAC, Cost of risk.
Although some of this information, including certain APIs, is neither extracted nor directly reconciled with the Consolidated financial statements, it is
worth mentioning that the Consolidated report on operations, the Annexes and the Glossary provide explanatory descriptions of the contents and, in
case, the calculation methods used, in accordance with European Securities and Markets Authority Guidelines (ESMA/2015/1415) of 5 October
2015.
In particular the Annex 1 includes the reconciliation between the reclassified accounts and the mandatory reporting schedule, as required by Consob
Notice No.6064293 of 28 July 2006.
The amounts related to year 2018 differ from the ones published at that time. For further details about the reasons of these restatement, refer to
following paragraphs relating to the “Reconciliation principles followed for the reclassified consolidated balance sheet and income statement”.
For information on relations and transactions with related-party, it shall be referred to the Notes to the consolidated accounts - Part H of
Consolidated financial statements of UniCredit group.
For a complete description of risks and uncertainties that the Group has to face in the current market situation, it shall be referred to the specific
paragraph of this Consolidated report on operations and to the Notes to the consolidated accounts - Part E of the Consolidated financial statements
of UniCredit group.
Group highlights, alternative performance indicators and other measures
Income statement
Operating income
of which:
- net interest
- dividends and other income from equity investments
- net fees and commissions
Operating costs
Operating profit (loss)
Net write-downs on loans and provisions for guarantees and commitments
Net operating profit (loss)
Profit (Loss) before tax
Group net profit (loss)
YEAR
2019
18,839
10,203
637
6,304
(9,929)
8,910
(3,382)
5,527
3,065
3,373
2018
18,965
10,570
672
6,328
(10,307)
8,658
(2,614)
6,044
3,566
4,107
(€ million)
% CHANGE
- 0.7%
- 3.5%
- 5.2%
- 0.4%
- 3.7%
+ 2.9%
+ 29.4%
- 8.6%
- 14.0%
- 17.9%
The figures in this table refer to the reclassified income statement. The amounts related to year 2018 differ from the ones published at that time.
For further details refer to “Reconciliation principles followed for the reclassified consolidated income statement”. In Annex 1 is included the
reconciliation between the reclassified accounts and the mandatory reporting schedule.
UniCredit ·2019 Annual Report and Accounts 29
Consolidated report on operations
Introduction and Group highlights
Balance sheet
Total assets
Financial assets held for trading
Loans and receivables with customers
Financial liabilities held for trading
Deposits from customers and debt securities issue
of which:
- deposits from customers
- debt securities issue
Group shareholders' equity
AMOUNTS AS AT
12.31.2019
855,647
63,280
482,574
41,483
566,871
470,570
96,301
61,416
12.31.2018
832,172
65,231
471,839
43,111
560,141
478,988
81,153
56,389
(€ million)
% CHANGE
+ 2.8%
- 3.0%
+ 2.3%
- 3.8%
+ 1.2%
- 1.8%
+ 18.7%
+ 8.9%
The figures in the table above refer to the reclassified balance sheet. The amounts related to year 2018 differ from the ones published at that time.
For further details refer to “Reconciliation principles followed for the reclassified consolidated balance sheet”. In Annex 1 is included the
reconciliation between the reclassified accounts and the mandatory reporting schedule.
For further details on "non-performing loans", refer to the paragraph "Net write-downs on loans and provisions for guarantees and commitments" in
this Consolidated report on operations.
Profitability ratios
EPS(1) (€)
Cost/Income ratio(2)
EVA(3) (€ million)
ROTE(4)
ROA(5)
YEAR
2019
1.462
52.7%
(21)
6.7%
0.4%
2018
1.809
54.3%
(637)
8.5%
0.5%
CHANGE
-0.347
- 1.6%
+ 616
- 1.8%
- 0.1%
Notes:
(1) Earnings per share. For further details refer to Part C - Section 25.
(2) Ratio between operating expenses and operating income.
(3) Economic value added equal to the difference between Net operating profit after tax (NOPAT) and the Cost of the absorbed capital.
(4) Annualised ratio between the net profit and the average tangible equity.
(5) Return on assets calculated as the ratio between Net profit (loss) attributable to the Group and Total assets pursuant to art. 90 of CRD IV.
The amounts relating to 2018 differ from the ones published at that time. For further details refer to the “Reconciliation principles followed for the
reclassified consolidated income statement”.
Risk ratios
Net bad loans to customers/Loans to customers
Net non-performing loans to customers/Loans to customers
AS AT
12.31.2019
0.6%
1.8%
12.31.2018
1.2%
3.2%
% CHANGE
- 0.6%
- 1.4%
For the amounts, refer to the table “Loans to customers - Asset quality” in the paragraph “Net write-downs on loans and provisions for guarantees
and commitments” of this Consolidated report on operations.
30 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Introduction and Group highlights
Staff and Branches
Number of employees(1)
Number of branches(2)
of which:
- Italy
- Other countries
AS AT
12.31.2019
84,245
3,717
2,387
1,330
12.31.2018
85,662
3,815
2,466
1,349
CHANGE
-1,416
-98
-79
-19
Notes:
(1) "Full time equivalent" data (FTE): number of employees counted for the rate of presence. Employees of sub-group Koc Finansal Hizmetler AS are not included.
(2) Retail branches only. The branches of of sub-group Koc Finansal Hizmetler AS are not included.
The figures as at 31 December 2018 are restated to increase comparability; in particular the FTEs related to FinecoBank S.p.A no more belonging to
UniCredit group since May 2019, were not included.
Transitional capital ratios
Total own funds (€ million)
Total risk-weighted assets (€ million)
Common Equity Tier 1 Capital Ratio
Total Capital Ratio
AS AT
12.31.2019(*)
66,982
378,718
13.22%
17.69%
12.31.2018(*)
58,476
370,180
12.13%
15.80%
CHANGE
+ 8,506
+ 8,539
+ 1.1%
+ 1.9%
Notes:
(*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages.
UniCredit group decided to not apply the IFRS9 transitional approach as reported in article 473a of the Regulation 575/2013/EU (CRR). Therefore the values here reported fully reflect the impact arising from the application
of the IFRS9 principle.
For additional details, refer to the paragraph "Capital and value management - Capital ratios" of this Consolidated report on operations.
Ratings
Fitch Ratings
Moody's Investors Service
Standard & Poor's
Ratings updated as at 4 February 2020.
SHORT-TERM
DEBT
F2
P-2
A-2
MEDIUM AND
LONG-TERM
BBB
Baa1
BBB
OUTLOOK
negative
stable
stable
STANDALONE
RATING
bbb
baa3
bbb
UniCredit ·2019 Annual Report and Accounts 31
Consolidated report on operations
Reclassified consolidated accounts
Reclassified consolidated accounts
Changes occurred in the scope of consolidation
During 2019, with reference to the consolidation perimeter, the following changes were recorded:
the number of fully consolidated companies, including those ones classified as non-current assets and asset disposal groups based on the
accounting principle IFRS5, decreases for 23 (18 in and 41 out) changing from 505 at the end of 2018, to 482 as at 31 December 2019;
the number of companies consolidated by using the equity method, including those ones classified as non-current assets and asset disposal
groups, present a decrease of 7 (7 out) changing from 54 at the end of 2018, to 47 as at 31 December 2019.
For further details, refer to the Notes to the consolidated accounts - Part A - Accounting Policies; A.1 - General, Section 3 - Consolidation scope and
methods and Part B - Consolidated balance sheet - Assets - Section 7 - Equity investments (Item 70).
Non-current assets and disposal groups classified as held for sale
As at 31 December 2019, the main assets which, based on the application of IFRS5 accounting principle, were reclassified as non-current assets
and asset disposal groups, are the following:
regarding the single asset and liability held for sale:
- the subsidiaries General logistic Solutions LLC and Cards & Systems EDV- Dienstleistungs GmbH, the companies of Card Complete Service
Bank AG and SIA UniCredit Leasing groups, the 9.02% of Yapi ve Kredi Bankasi A.S. and the joint venture KOC Finansal Hizmetler AS;
- the non-performing loans related to the disposal of certain portfolios;
- the real estate properties held by certain Group entities, mainly in Germany;
regarding the data relating to the discontinued operations, the companies of the Immobilien Holding group (Austria).
For additional information, reference is made to Notes to the consolidated accounts - Part B - Consolidated balance sheet - Assets - Section 12 -
Non-current assets and disposal groups classified as held for sale (Item 120 - Assets and Item 70 - Liabilities).
Reconciliation principles followed for the reclassified consolidated balance sheet
The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involved:
the inclusion, under the item “Loans to banks”: i) of item “40. Financial assets at amortised cost: a) Loans and receivables with banks”, net of debt
securities reclassified in “Other financial assets” and ii) of loans relating to item “Other financial assets mandatorily at fair value”;
the inclusion, under the item “Loans to customers”: i) of the item “40.Financial assets at amortised cost: b) Loans and receivables with customers”,
net of debt securities reclassified in “Other financial assets” and ii) of loans relating to item “Other financial assets mandatorily at fair value”;
the aggregation, under the item “Other financial assets”, of the i) “20. Financial assets at fair value through profit and loss: b) Financial assets
designated at fair value and c) Other financial assets mandatorily at fair value” this last net of loans reclassified in “Loans to banks and to
customers”, ii) “30. Financial assets at fair value through other comprehensive income”, iii) “Equity investments”; finally debt securities relating to
item “40. Financial assets at amortised cost: a) Loans to banks and b) Loans to customers” were included;
grouping, under the item “Hedging instruments” (both for assets and liabilities), of the items “50. Hedging derivatives” and “60. Changes in fair
value of portfolio hedged items”;
the inclusion of the items “Provision for employee severance pay” and “Provisions for risks and charges” under the “Other liabilities”.
The Reclassified consolidated balance sheet is different from the one used in the previous financial year for the item “Financial liabilities designated
at fair value" renamed in “Other financial liabilities”.
Data related to 2018 and quarterly data related to 2019 were restated to reflect the adoption of the fair value model for the measurement of the Real
Estate portfolio, with retrospective application from 1 January 2018 for held for investment properties (IAS40).
For further details, refer to the Notes to the consolidated accounts - Part A - Accounting policies; A.1 - General, Section 5 - Other matters.
32 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Reclassified consolidated accounts
Reclassified consolidated balance sheet
ASSETS
Cash and cash balances
Financial assets held for trading
Loans to banks
Loans to customers
Other financial assets
Hedging instruments
Property, plant and equipment
Goodwill
Other intangible assets
Tax assets
Non-current assets and disposal groups classified as held for sale
Other assets
Total assets
LIABILITIES AND SHAREHOLDERS' EQUITY
Deposits from banks
Deposits from customers
Debt securities issued
Financial liabilities held for trading
Other financial liabilities
Hedging instruments
Tax liabilities
Liabilities included in disposal groups classified as held for sale
Other liabilities
Minorities
Group shareholders' equity
of which:
- capital and reserves
- net profit (loss)
Total liabilities and shareholders' equity
AMOUNTS AS AT
CHANGE
12.31.2019
17,305
63,280
97,888
482,574
149,091
9,230
11,097
886
1,914
12,922
2,512
6,949
855,647
12.31.2018
30,991
65,231
69,850
471,839
152,310
7,120
8,804
1,484
2,024
12,944
2,241
7,334
832,172
AMOUNT
- 13,686
- 1,952
+ 28,038
+ 10,735
- 3,219
+ 2,110
+ 2,292
- 597
- 110
- 23
+ 271
- 384
+ 23,475
AMOUNTS AS AT
CHANGE
12.31.2019
135,563
470,570
96,301
41,483
12,083
12,150
1,378
725
23,608
369
61,416
58,042
3,373
855,647
12.31.2018
125,895
478,988
81,153
43,111
9,318
9,262
945
540
25,609
961
56,389
52,282
4,107
832,172
AMOUNT
+ 9,668
- 8,417
+ 15,148
- 1,628
+ 2,766
+ 2,888
+ 433
+ 185
- 2,001
- 592
+ 5,026
+ 5,761
- 734
+ 23,475
(€ million)
%
- 44.2%
- 3.0%
+ 40.1%
+ 2.3%
- 2.1%
+ 29.6%
+ 26.0%
- 40.3%
- 5.4%
- 0.2%
+ 12.1%
- 5.2%
+ 2.8%
(€ million)
%
+ 7.7%
- 1.8%
+ 18.7%
- 3.8%
+ 29.7%
+ 31.2%
+ 45.8%
+ 34.2%
- 7.8%
- 61.6%
+ 8.9%
+ 11.0%
- 17.9%
+ 2.8%
UniCredit ·2019 Annual Report and Accounts 33
Consolidated report on operations
Reclassified consolidated accounts
Reclassified consolidated balance sheet - Quarterly figures
ASSETS
Cash and cash balances
Financial assets held for trading
Loans to banks
Loans to customers
Other financial assets
Hedging instruments
Property, plant and equipment
Goodwill
Other intangible assets
Tax assets
Non-current assets and disposal groups classified
as held for sale
Other assets
Total assets
LIABILITIES AND SHAREHOLDERS' EQUITY
Deposits from banks
Deposits from customers
Debt securities issued
Financial liabilities held for trading
Other financial liabilities
Hedging instruments
Tax liabilities
Liabilities included in disposal groups classified as
held for sale
Other liabilities
Minorities
Group shareholders' equity
of which:
- capital and reserves
- net profit (loss)
Total liabilities and shareholders' equity
AMOUNTS AS AT
AMOUNTS AS AT
12.31.2019
17,305
63,280
97,888
482,574
149,091
9,230
11,097
886
1,914
12,922
09.30.2019
30,997
74,871
81,483
480,997
146,292
11,573
9,276
886
1,952
12,673
06.30.2019
32,578
67,344
77,911
469,298
138,438
9,801
9,549
886
1,915
12,780
03.31.2019
31,991
67,135
83,655
471,653
148,061
8,516
11,162
1,484
1,996
13,019
12.31.2018
30,991
65,231
69,850
471,839
152,310
7,120
8,804
1,484
2,024
12,944
09.30.2018
26,356
81,258
76,289
462,235
150,232
5,225
9,495
1,484
1,873
12,189
06.30.2018
21,238
83,262
73,004
458,787
148,841
5,700
9,461
1,484
1,864
11,925
(€ million)
03.31.2018
49,944
80,324
70,324
441,783
142,917
5,688
9,560
1,484
1,872
12,022
2,512
6,949
855,647
4,535
8,008
863,544
3,286
8,824
832,611
1,764
7,692
848,128
2,241
7,334
832,172
539
7,253
834,428
985
7,740
824,290
1,051
7,461
824,430
AMOUNTS AS AT
AMOUNTS AS AT
12.31.2019
135,563
470,570
96,301
41,483
12,083
12,150
1,378
725
23,608
369
61,416
09.30.2019
143,213
455,473
97,575
46,102
13,401
16,023
1,079
626
29,137
462
60,454
06.30.2019
132,695
453,019
92,434
40,410
13,689
13,848
1,020
632
24,948
445
59,471
03.31.2019
136,882
473,514
84,283
41,879
13,815
11,440
1,295
547
25,267
1,018
58,188
12.31.2018
125,895
478,988
81,153
43,111
9,318
9,262
945
540
25,609
961
56,389
09.30.2018
136,664
469,044
79,493
51,920
8,736
5,508
1,108
49
26,426
887
54,593
06.30.2018
129,747
456,094
87,567
52,454
8,524
6,254
1,134
79
25,825
855
55,758
(€ million)
03.31.2018
125,177
456,959
93,369
48,685
8,575
5,881
1,219
196
26,104
959
57,305
58,042
3,373
855,647
56,245
4,208
863,544
56,443
3,028
832,611
57,012
1,175
848,128
52,282
4,107
832,172
52,478
2,115
834,428
53,659
2,099
824,290
56,172
1,133
824,430
34 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Reclassified consolidated accounts
Reconciliation principles followed for the reclassified consolidated income statement
The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve:
the inclusion in “Dividends and other income from equity investments” of “Profit (Loss) of equity investments valued at equity” and the exclusion of
(i) “Dividends from held for trading equity instruments” and (ii) “Dividends from Other financial assets mandatorily at fair value” which are included
in “Net trading income”;
the inclusion among “Net trading income” of net gains (losses) on trading, on hedge accounting, of net gains/losses on the financial
assets/liabilities at fair value through profit or loss and of gains/losses on disposal or repurchase of financial assets at fair value through other
comprehensive income;
the inclusion in the “Net other operating expenses/income”, excluding “Recovery of expenses” which is classified under its own item, the exclusion
of the costs for “Write-downs on leasehold improvements” classified among “Other administrative expenses” and inclusion of result of industrial
companies;
presentation of “Payroll costs”, “Other administrative expenses”, “Amortisation, depreciation and impairment losses on tangible and intangible
assets” and “Other charges and Provisions” net of any “Integration costs” relating to the reorganisation operations, classified as a separate item;
the exclusion from the “Other administrative expenses” of the Contributions to the Resolution Funds (SRF), the Deposit Guarantee Schemes
(DGS), the Bank Levies and the Guarantee fees for DTA reclassified in item “Other charges and provision”;
the exclusion from “Amortisation, depreciation and impairment losses on intangible and tangible assets” of property owned for investment and
those related to operating lease assets, which are reclassified respectively among “Net income from investments” and “Net other
expenses/income”;
in “Net write-downs on loans and provisions for guarantees and commitments”, the inclusion of net losses/recoveries on financial assets at
amortised cost and at fair value through other comprehensive income net of debt securities and write-downs to commitments and financial
guarantees included in “Net provisions for risks and charge”;
the inclusion in “Net income from investments” of write-downs and write-backs on financial assets at amortised cost and at fair value through other
comprehensive income - debt securities, gains (losses) on disposal of investments, gains (losses) on tangible and intangible assets measured at
fair value as well as gains (losses) on equity investments and on disposal of investments, including impacts from revaluation arising from IFRS5
non-current assets and disposal groups related to equity investment consolidated line by line and at net equity method not presented to item “Profit
(Loss) from non-current assets held for sale after tax”.
2018 figures were restated to reflect:
following the first time adoption of IFRS16 - Leasing from 1 January 2019, the lessee’s lease payment previously computed in the item “Other
administrative expenses” is split between:
- the item “Net interest” for the interest expense with reference to the lease liability;
- the item “Amortisation, depreciation and impairment losses on intangible and tangible assets” for right of use asset depreciation.
In addition, in the item “Recovery of expenses”, is no longer included in the income arising from the sublease to third parties of real estate assets
leased by the Group;
for the reclassification of some commitment fees on undrawn credit lines from the item “Net interest” to the item “Net fees and commissions”
starting from December 2018.
2018 and 2019 quarters figures were restated:
to reflect “loss of control” on FinecoBank S.p.A. following the completion on 8 May 2019 of the accelerated bookbuilding (ABB) of No.103.5 million
ordinary shares of the company, settled on 10 May 2019;
to reflect adoption of fair value model for the measurement of the Real Estate portfolio, with retrospective application from 1 January 2018 for held
for investment assets (IAS40);
following the reclassification starting from June 2019:
- of revenues for “Dividends from other financial assets mandatorily at fair value” to the item “Net trading income”;
- of some expenses incurred in handling the recovery process of non-performing exposures to the item “Other administrative expenses”
(previously included in the item “Net fees and commissions”);
- of some expenses for payment services and cards that, were reclassified from the item “Other administrative expenses” to the item “Net fees and
commissions”;
- of net results from sales & purchases and re-measurement of physical gold, precious stones and metals that were reclassified from the item “Net
other expenses/income” to the item “Net trading income” when entered into in contemplation with other trading book exposures or “Net income
from investments” otherwise;
- of some non-recoverable expenses incurred for customer financial transaction taxes that were reclassified from the item “Other administrative
expenses” to the item “Net fees and commissions” or when otherwise recovered/debited, the related income has been included in the item
“Recovery of expenses” (from the item “Net fees and commissions”);
- of some expenses for local tax on corporate revenues (i.e. Municipality and Innovation Tax in Hungary) that were reclassified from the item
“Other administrative expenses” to the item “Income tax for the period”.
UniCredit ·2019 Annual Report and Accounts 35
Consolidated report on operations
Reclassified consolidated accounts
Reclassified consolidated income statement
Net interest
Dividends and other income from equity investments
Net fees and commissions
Net trading income
Net other expenses/income
OPERATING INCOME
Payroll costs
Other administrative expenses
Recovery of expenses
Amortisation, depreciation and impairment losses on intangible
and tangible assets
Operating costs
OPERATING PROFIT (LOSS)
Net write-downs on loans and provisions for guarantees and
commitments
NET OPERATING PROFIT (LOSS)
Other charges and provisions
of which: systemic charges
Integration costs
Net income from investments
PROFIT (LOSS) BEFORE TAX
Income tax for the period
NET PROFIT (LOSS)
Profit (Loss) from non-current assets held for sale after tax
PROFIT (LOSS) FOR THE PERIOD
Minorities
NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP
BEFORE PPA
Purchase Price Allocation effect
Goodwill impairment
NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP
Note:
(*) Foreign Exchange.
YEAR
CHANGE
2019
10,203
637
6,304
1,538
156
18,839
(6,146)
(3,279)
592
(1,096)
(9,929)
8,910
(3,382)
5,527
(954)
(886)
(664)
(844)
3,065
(890)
2,176
1,383
3,559
(118)
3,441
(68)
-
3,373
2018
10,570
672
6,328
1,279
116
18,965
(6,336)
(3,545)
631
(1,057)
(10,307)
8,658
(2,614)
6,044
(2,271)
(832)
(9)
(198)
3,566
489
4,055
288
4,343
(233)
4,111
(3)
-
4,107
P&L
- 368
- 35
- 23
+ 259
+ 41
- 126
+ 191
+ 265
- 39
- 40
+ 378
+ 251
- 769
- 517
+ 1,318
- 54
- 655
- 646
- 501
- 1,378
- 1,879
+ 1,095
- 785
+ 115
- 670
- 65
-
- 734
%
- 3.5%
- 5.2%
- 0.4%
+ 20.2%
+ 35.3%
- 0.7%
- 3.0%
- 7.5%
- 6.2%
+ 3.8%
- 3.7%
+ 2.9%
+ 29.4%
- 8.6%
- 58.0%
+ 6.5%
n.m.
n.m.
- 14.0%
n.m.
- 46.3%
n.m.
- 18.1%
- 49.4%
- 16.3%
n.m.
-
- 17.9%
(€ million)
% AT CONSTANT
FX(*) RATES
- 3.5%
- 3.4%
- 0.4%
+ 20.6%
+ 35.2%
- 0.6%
- 3.0%
- 7.5%
- 6.0%
+ 3.7%
- 3.7%
+ 3.0%
+ 29.3%
- 8.2%
- 57.9%
+ 6.5%
n.m.
n.m.
- 13.4%
n.m.
- 45.0%
n.m.
- 17.4%
- 49.4%
- 15.7%
n.m.
-
- 17.2%
36 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Reclassified consolidated accounts
Reclassified consolidated income statement - Quarterly figures
Net interest
Dividends and other income from equity
investments
Net fees and commissions
Net trading income
Net other expenses/income
OPERATING INCOME
Payroll costs
Other administrative expenses
Recovery of expenses
Amortisation, depreciation and impairment losses
on intangible and tangible assets
Operating costs
OPERATING PROFIT (LOSS)
Net write-downs on loans and provisions for
guarantees and commitments
NET OPERATING PROFIT (LOSS)
Other charges and provisions
of which: systemic charges
Integration costs
Net income from investments
PROFIT (LOSS) BEFORE TAX
Income tax for the period
NET PROFIT (LOSS)
Profit (Loss) from non-current assets held for sale
after tax
PROFIT (LOSS) FOR THE PERIOD
Minorities
NET PROFIT (LOSS) ATTRIBUTABLE TO THE
GROUP BEFORE PPA
Purchase Price Allocation effect
Goodwill impairment
NET PROFIT (LOSS) ATTRIBUTABLE TO THE
GROUP
Q4
2,515
133
1,629
464
108
4,850
(1,549)
(858)
150
(267)
(2,525)
2,325
(1,645)
681
(316)
(82)
(657)
(665)
(958)
119
(839)
11
(828)
(4)
(832)
(3)
-
2019
Q3
2,555
183
1,569
378
17
4,703
(1,522)
(786)
142
(281)
(2,447)
2,256
(563)
1,694
(187)
(148)
(2)
41
1,545
(338)
1,207
-
1,207
(26)
1,181
(1)
-
Q2
2,554
154
1,565
253
(8)
4,518
(1,519)
(803)
151
(276)
(2,448)
2,070
(707)
1,362
(236)
(118)
(2)
(311)
814
(176)
637
1,307
1,944
(29)
1,916
(63)
-
Q1
2,578
167
1,541
442
39
4,768
(1,555)
(832)
150
(272)
(2,510)
2,258
(467)
1,791
(214)
(538)
(3)
90
1,664
(494)
1,171
65
1,235
(59)
1,176
(1)
-
Q4
2,712
208
1,551
204
18
4,692
(1,579)
(947)
153
(267)
(2,640)
2,053
(921)
1,132
(369)
(60)
(15)
338
1,086
906
1,992
65
2,057
(65)
1,993
-
-
(835)
1,180
1,853
1,175
1,992
2018
Q3
2,689
111
1,523
293
7
4,623
(1,552)
(826)
158
(267)
(2,487)
2,136
(696)
1,440
(725)
(134)
(3)
(681)
31
(16)
14
59
74
(56)
17
(1)
-
16
Q2
2,608
169
1,613
312
34
4,737
(1,591)
(872)
171
(262)
(2,554)
2,183
(502)
1,681
(660)
(173)
(2)
108
1,127
(199)
928
96
1,023
(57)
967
(1)
-
966
(€ million)
Q1
2,561
184
1,642
469
57
4,913
(1,614)
(899)
148
(261)
(2,625)
2,287
(496)
1,792
(517)
(465)
11
37
1,322
(202)
1,121
68
1,189
(55)
1,134
(1)
-
1,133
UniCredit ·2019 Annual Report and Accounts 37
Consolidated report on operations
Reclassified consolidated accounts
Reclassified consolidated income statement - Comparison of Q4 2019/Q4 2018
Q4
CHANGE
Net interest
Dividends and other income from equity investments
Net fees and commissions
Net trading income
Net other expenses/income
OPERATING INCOME
Payroll costs
Other administrative expenses
Recovery of expenses
Amortisation, depreciation and impairment losses on intangible
and tangible assets
Operating costs
OPERATING PROFIT (LOSS)
Net write-downs on loans and provisions for guarantees and
commitments
NET OPERATING PROFIT (LOSS)
Other charges and provisions
of which: systemic charges
Integration costs
Net income from investments
PROFIT (LOSS) BEFORE TAX
Income tax for the period
NET PROFIT (LOSS)
Profit (Loss) from non-current assets held for sale after tax
PROFIT (LOSS) FOR THE PERIOD
Minorities
NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP
BEFORE PPA
Purchase Price Allocation effect
Goodwill impairment
NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP
Note:
(*) Foreign Exchange.
2019
2,515
133
1,629
464
108
4,850
(1,549)
(858)
150
(267)
(2,525)
2,325
(1,645)
681
(316)
(82)
(657)
(665)
(958)
119
(839)
11
(828)
(4)
(832)
(3)
-
(835)
2018
2,712
208
1,551
204
18
4,692
(1,579)
(947)
153
(267)
(2,640)
2,053
(921)
1,132
(369)
(60)
(15)
338
1,086
906
1,992
65
2,057
(65)
1,993
-
-
1,992
P&L
- 197
- 75
+ 79
+ 260
+ 91
+ 158
+ 30
+ 89
- 4
-
+ 115
+ 273
- 724
- 451
+ 53
- 22
- 643
- 1,003
- 2,044
- 787
- 2,831
- 54
- 2,885
+ 60
- 2,825
- 3
-
- 2,827
%
- 7.3%
- 36.1%
+ 5.1%
n.m.
n.m.
+ 3.4%
- 1.9%
- 9.4%
- 2.4%
+ 0.1%
- 4.4%
+ 13.3%
+ 78.6%
- 39.8%
- 14.3%
+ 37.4%
n.m.
n.m.
n.m.
- 86.9%
n.m.
- 83.1%
n.m.
- 93.7%
n.m.
n.m.
-
n.m.
(€ million)
% AT CONSTANT
FX(*) RATES
- 7.6%
- 43.1%
+ 5.0%
n.m.
n.m.
+ 2.6%
- 2.0%
- 9.4%
- 2.1%
- 0.1%
- 4.5%
+ 11.4%
+ 78.1%
- 41.2%
- 14.2%
+ 36.7%
n.m.
n.m.
n.m.
- 87.0%
n.m.
- 83.1%
n.m.
- 93.6%
n.m.
n.m.
-
n.m.
38 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Summary results by business segments
Key figures by business segment
Income statement
OPERATING INCOME
2019
2018
OPERATING COSTS
2019
2018
OPERATING PROFIT
2019
2018
PROFIT BEFORE TAX
2019
2018
Balance sheet
CUSTOMERS LOANS(2)
as at 31 December, 2019
as at 31 December, 2018
CUSTOMERS DEPOS(2)
as at 31 December, 2019
as at 31 December, 2018
TOTAL RISK WEIGHTED ASSETS
as at 31 December, 2019
as at 31 December, 2018
EVA
2019
2018
Cost/income ratio
2019
2018
Employees
as at 31 December, 2019
as at 31 December, 2018
COMMERCIAL
BANKING
ITALY
COMMERCIAL
BANKING
GERMANY
COMMERCIAL
BANKING
AUSTRIA
CEE
DIVISION
7,148
7,163
(3,786)
(4,033)
3,362
3,130
1,811
1,879
141,308
145,641
152,889
146,236
99,784
95,753
303
4
53.0%
56.3%
28,640
29,582
2,392
2,445
(1,627)
(1,641)
765
804
849
727
87,172
83,741
92,742
91,694
36,388
36,642
35
193
68.0%
67.1%
9,120
9,167
1,558
1,561
(975)
(1,021)
583
541
332
437
45,269
44,808
48,459
47,380
23,857
23,496
423
166
62.6%
65.4%
4,833
4,873
4,251
4,199
(1,535)
(1,501)
2,716
2,699
1,962
2,030
67,534
65,344
70,745
65,744
90,028
86,572
485
478
36.1%
35.7%
24,229
24,214
GROUP
CORPORATE
CENTRE(1)
(€ million)
NON
CORE
CONSOLIDATED
GROUP
TOTAL
(371)
(245)
(300)
(349)
(671)
(595)
(41)
42
(180)
(206)
(221)
(163)
(1,660)
(1,681)
(2,270)
(1,194)
2,295
3,274
2,331
2,985
37,047
33,898
(1,021)
(439)
n.m.
n.m.
13,968
14,247
1,886
6,612
488
528
10,966
12,221
(919)
(1,017)
n.m.
n.m.
295
345
18,839
18,965
(9,929)
(10,307)
8,910
8,658
3,065
3,566
424,352
430,774
420,448
399,867
378,718
370,180
(21)
(637)
52.7%
54.3%
84,245
85,662
CIB
3,901
3,799
(1,526)
(1,556)
2,375
2,243
2,041
1,369
78,888
81,354
52,794
45,301
80,648
81,598
673
(22)
39.1%
41.0%
3,161
3,234
Notes:
(1) COO Services, Corporate Centre Global Functions, inter-segment adjustments and consolidation adjustments not attributable to individual segments.
(2) Net of repos, intercompany transactions and FinecoBank S.p.A. contribution after its disposal.
The figures were recasted, where necessary, on a like-to-like basis to consider changes in scope of business segment and methodological rules.
Summary re sults by business segments
UniCredit ·2019 Annual Report and Accounts 39
Consolidated report on operations
Group and UniCredit share historical data series
Group figures 2009 - 2019(*)
IAS/IFRS
Reclassified income statement (€ million)
Operating income
Operating costs
Operating profit (loss)
Profit (loss) before income tax
Net profit (loss) for the period
Net profit (loss) attributable to the Group
Reclassified balance sheet (€ million)
Total assets
Loans and receivables with customers
of which: bad exposures
Deposits from customers and debt securities issued
Group shareholders’ equity
Profitability ratios (%)
Operating profit (loss)/Total assets
Cost/Income ratio
2019
2018
2017
2016
2015
2014
2013
2012
2011
2010
2009
18,839
(9,929)
8,910
3,065
3,559
3,373
855,647
482,574
2,956
566,871
61,416
19,723
(10,698)
9,025
3,619
4,112
3,892
831,469
471,839
5,787
560,141
55,841
19,619
(11,350)
8,268
4,148
5,790
5,473
836,790
447,727
9,499
561,498
59,331
18,801
(12,453)
6,348
(10,978)
(11,061)
(11,790)
859,533
444,607
10,945
567,855
39,336
22,405
(13,618)
8,787
2,671
2,239
1,694
860,433
473,999
19,924
584,268
50,087
22,513
(13,838)
8,675
4,091
2,669
2,008
844,217
470,569
19,701
560,688
49,390
23,973
(14,801)
9,172
(4,888)
(3,920)
(13,965)
845,838
503,142
18,058
571,024
46,841
25,049
(14,979)
10,070
317
1,687
865
926,827
547,144
19,360
579,965
62,784
25,200
(15,460)
9,740
2,060
644
(9,206)
926,769
559,553
18,118
561,370
51,479
26,347
(15,483)
10,864
2,517
1,876
1,323
929,488
555,653
16,344
583,239
64,224
27,572
(15,324)
12,248
3,300
2,291
1,702
928,760
564,986
12,692
596,396
59,689
1.04
52.7
1.09
54.2
0.99
57.9
0.74
66.2
1.02
60.8
1.03
61.5
1.08
61.7
1.09
59.8
1.05
61.4
1.17
58.8
1.32
55.6
Note:
(*)The figures here reported refer to the information published in the reference year.
Group and UniCredit share historica l data series
Share information
Share price (€)(*)
- maximum
- minimum
- average
- end of period
Number of outstanding shares (million)
- at period end(1)
- shares cum dividend
of which: savings shares
- average(1)
Dividend
- total dividends (€ million)
- dividend per ordinary share
- dividend per savings share
2019
2018
2017
2016
2015
2014
2013
2012
2011
2010
2009
13.494
9.190
11.193
13.020
2,233
2,224
-
2,233
-
-
-
18.212
9.596
14.635
9.894
2,230
2,220
-
2,229
601
0.270
-
18.350
12.160
15.801
15.580
2,226
2,216
0.25
1,957
726
0.320
-
25.733
8.785
13.820
13.701
6,180
6,084
2.52
6,110
-
-
-
32.824
24.605
29.509
25.733
5,970
5,873
2.48
5,927
706
0.120
0.120
34.427
25.583
30.015
26.735
5,866
5,769
2.45
5,837
697
0.120
1.065
28.213
16.227
22.067
26.961
5,792
5,695
2.42
5,791
570
0.100
0.100
22.440
11.456
16.520
18.572
5,789
5,693
2.42
5,473
512
0.090
0.090
65.912
21.157
42.923
21.190
1,930
1,833
2.42
1,930
-
-
-
76.243
49.212
63.702
51.093
19,297.6
18,330.5
24.2
19,101.8
550
0.030
0.045
87.212
19.283
59.078
73.819
16,779.3
18,329.5
24.2
16,637.8
550
0.030
0.045
Notes:
(1) The number of shares, existing at the end of the reference period, is net of treasury shares and includes 9.676 million of shares held under a contract of usufruct signed with Mediobanca S.p.A.
(*) Due to extraordinary corporate operations (such as shares’ grouping, demergers, distribution of extraordinary dividends, etc.) share prices might change being no longer comparable from one financial year to another.
The historical series of share prices have been therefore adjusted to allow a better comparison.
The following paragraph outlines additional information concerning shares capital changes and dividends pay-out of the last two financial years.
On 9 April 2018, the resolution to increase the share capital for €59,848,665.00 by issuing No.3,519,352 ordinary free shares for the execution of
Group Incentive System was registered with the Company Register. On 12 April 2018, the Shareholders’ Meeting approved the payment to the
shareholders of a dividend of €0.32 for each ordinary share outstanding and entitled to dividend at payment date, for a maximum amount of €726
million, from the allocation of 2017 net profit.
On 4 April 2019, the resolution to increase the share capital for €54,401,495.00 by issuing No.3,200,177 ordinary free shares for the execution of
Group Incentive System was registered with the Company Register. On 11 April 2019, the Shareholders’ Meeting approved the payment to the
shareholders of a dividend of €0.27 for each share outstanding and entitled to dividend at payment date, for a maximum amount of €601 million,
from allocation of 2018 net profit.
40 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Group and UniCredit share historical data series
Earnings ratios
IAS/IFRS
Shareholders' equity (€ million)
Net profit (loss) attribuible to the Group
(€ million)
Shareholders' equity per share (€)
Price/Book value
Earnings per share(1) (€)
Payout ratio (%)
Dividend yield on average price per ordinary
share (%)
2019
61,416
2018
55,841
2017
59,331
2016
39,336
2015
50,087
2014
49,390
2013
46,841
2012
62,784
3,373
27.50
0.47
1.462
-
3,892
25.04
0.40
1.712
15.4
5,473
26.65
0.58
2.794
13.3
(11,790)
6.36
4.30
(1.982)
-
1,694
8.39
0.61
0.27
41.7
2,008
8.42
0.63
0.34
34.7
(13,965)
8.09
0.67
(2.47)
-4.1
865
10.85
0.34
0.15
59.2
2011
51,479
(9,206)
26.67
0.16
(5.12)
-
2010
64,224
2009
59,689
1,323
3.33
3.06
0.06
41.6
1,702
3.56
4.14
0.10
32.3
-
1.84
2.03
-
2.04
2.00
2.27
2.73
-
1.55
1.58
Note:
(1) For further details on Earnings per share (EPS) refer to Part C - Section 25 Earnings per share.
The amounts in the table are published "historical figures" and they should be read with reference to each reference period.
Starting from 2009, the net profit for the period used to calculate EPS is reduced for the following amounts related to disbursements, charged to
equity, made in connection with the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares supporting the issuance of convertible
securities denominated “Cashes”: €131 million for 2009, €156 million for 2010, €172 million for 2011, €46 million for 2012, €105 million for 2013, €35
million for 2014, €100 million for 2015, €128 million for 2016, €32 million for 2017, €93 million for 2018 and €124 million for 2019.
Earnings per share
(€)
4,00
2,00
0,00
-2,00
-4,00
-6,00
0,10
2009
0,06
2010
2011
-5,12
0,15
2012
0,34
2013
2014
0,27
2015
2016
2017
2018
2019
2,794
1,712
1,462
-2,47
-1,982
UniCredit ·2019 Annual Report and Accounts 41
Consolidated report on operations
Group results
Group results
Macroeconomic situation, banking and financial markets
International situation
In the final stretch of 2019, signs of stabilisation for the global economy started to emerge on the back of the phase-one trade agreement between
China and the US as well as on the prospects of an orderly Brexit following Boris Johnson’s electoral victory. Global Gross Domestic Product
(“GDP”) growth came in at 2.9% in 2019. The US economy kept expanding at a fast, but declining, pace, driven particularly by private consumption
as the business cycle is now mature. The Japanese economy expanded at around 1% supported by healthy consumption and government
countermeasures that accompanied the October increase in the consumption tax rate, whereas the UK economy remained unscathed by the
increasing Brexit uncertainty. In China, economic activity slowed to its slowest pace in three decades as a result of protectionist threats and fading
stimulus.
In 2019 the US economy decelerated; GDP growth has passed from around from around 3% in 2018 to approximately 2%, getting close to its
potential growth. Buoyant private consumption, which benefited from the increases in household income and wealth, offset part of the global
uncertainty due to rising protectionist tendencies. Business investment and the external sector showed signs of weakness. The former was
particularly affected not only by the global slowdown and trade tensions but also by low oil prices that contributed to sluggish investment in oil
extraction. Given the rising global uncertainty, the Fed changed course and adopted a more accommodative monetary policy stance, cutting the
policy rate three times throughout the year (to 1.75%).
Economic activity in the eurozone has been held back primarily by the weakness of the manufacturing sector that was affected by global trade
tensions and a struggling auto industry. The manufacturing Purchasing Managers’ Index (“PMI”) has remained in contractionary territory, below the
critical threshold of 50, for most of the year. Among the largest eurozone economies, Germany was especially vulnerable to these global headwinds
and managed to avoid a technical recession in third quarter 2019. For the area as a whole, economic activity was primarily supported by domestic
demand and by consumption in particular, which strengthened thanks to the positive developments in employment. The contribution of net exports,
instead, was slightly negative. The average growth for the whole 2019 was 1.2%, the slowest pace of expansion since the recession caused by the
sovereign-debt crisis.
Eurozone headline inflation remained subdued, at slightly above 1%, but a long way off from the 2% target. The lack of inflationary pressures has
induced the ECB to adopt a highly accommodative package after summer, splitting the Governing Council on the best policy mix to undertake. The
package adopted in September included: an open-ended QE program which will run at a monthly pace of €20 billion per month; a 10bp cut in the
deposit rate along with a strengthened forward guidance; a two-tier system for reserve remuneration; easier terms for TLTRO-III.
Banking and financial markets
Loans to the private sector in the eurozone continued to expand at a good pace at the end of 2019, benefiting from persistently low financing costs.
On an annual basis, loan growth was 3.7%, a slight increase compared to 3.5% at the end of 2018. The evolution of loans to the private sector
benefited from the good performance of loans to households, and especially loans for house purchases. On the other hand, the growth of loans to
non-financial corporations has decelerated since August, amid declining investment spending by firms. The Bank Lending Survey, published by the
European Central Bank, showed net demand for loans from non-financial corporations turned negative in the fourth quarter of 2019 for the first time
since the end of 2013.
Loans to the private sector showed varied performance among the three reference countries (Germany, Austria and Italy). The growth of loans to
non-financial corporations and households was particularly positive in Germany, especially for corporate loans, which stood at around 6%, on an
annual basis, in December 2019, not far from the 7% peak hit at the end of the first half of 2019. Credit aggregates in Austria experienced a very
similar trend. Italy showed a good expansion of loans to households for the whole of 2019, with 2.5% growth on an annual basis in December
(compared to 2.6% at the end of 2018). However, loans to non-financial corporations weakened sharply in 2019, with growth moving into negative
territory in March. A slowdown in fixed investment weighed on corporate-loan growth in Italy, as Italian firms reacted to heightened uncertainty by
postponing spending decisions. The availability of own funds probably contributed further to the deceleration of loans to non-financial corporations.
However, the latest evidence available from the Bank Lending Survey of Italian banks, released by the Banca d’Italia, does not seem to indicate a
visible deterioration in either supply conditions or demand for loans from non-financial corporations in the final quarter of 2019.
42 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Group results
In terms of bank funding at the system level, deposits from households and non-financial corporations showed solid increases in 2019 in all of three
reference countries. Bank deposits were additionally supported by the ECB’s decision to further expand monetary policy in September 2019. This
decision has further postponed the prospect of interest rate normalisation. In this context, sight deposits have accelerated to the detriment of
medium and long-term deposits.
As a consequence of this monetary policy’s decision, bank interest rates continued to stabilise, declining more moderately towards the end of 2019
in all three reference countries, with interest rates on sight deposits remaining close to zero. The banking spread (i.e. the difference between the
average interest rate on loans and the average interest rate on deposits) stabilised substantially throughout year.
While the beginning of 2019 featured high macroeconomic uncertainty, which moderated the improving performance of financial markets, the
second half of the year saw a return of investors’ risk appetite. This followed more reassuring news concerning trade tensions between the United
States and China and the increasing likelihood of an orderly Brexit, which supported the financial markets more generally. Stock markets, in
particular, showed a marked improvement in performance, with the Italian stock exchange recording a sharp improvement and closing the year up
around 30%. The German stock exchange moved in a similar direction, with close to 26% growth on the year, and the Austrian stock exchange rose
about 16% in 2019.
CEE countries
After hitting a cyclical peak in 2018, economic growth slowed in most CEE countries in 2019, affected by weak global trade and slow growth in the
main Eurozone trading partners. However, GDP growth outperformed expectations in the whole region. It remained in line with or above potential in
all EU-CEE countries, close to potential in Russia, while the downturn in Turkey was less pronounced than envisaged.
In EU-CEE1, the stronger resilience stemmed from solid domestic demand, with private consumption and investment continuing to grow above
potential supported by wage growth, EU funds inflows, and a late cycle surge in real estate investment. Exports were a drag in all countries, but
those that benefited from significant investment projects fared better, with Hungary standing out. In the western Balkans, fiscal easing offset weaker
foreign demand, keeping growth close to potential.
In Russia, economic growth slowed to an estimated 1.1%, from 2.3% in 2018 when growth was supported by temporary factors (investment related
to the 2018 Football World Cup and the Crimea bridge). Slow growth reflected weak domestic demand, in particular investment, muted exports
growth, and tight fiscal policy. The stagnation in capital expenditure was mostly driven by a delay in public sector spending investment as spending
on the “12 National Projects program” failed to start, while weak private investment was affected by sluggish internal consumption and global
uncertainty. Exports were affected by temporary disruptions to oil transport and weak global demand. In 2019, Russia did not face significant new
sanctions. This ushered in large portfolio inflows and reduced exchange-rate volatility.
Turkey’s economy managed to exit recession faster than expected, as global risk appetite remained resilient, negative foreign-policy risks did not
materialise and the government delivered significant stimulus via fiscal and credit impulses. The benign external environment helped the
government borrow and spend more than expected, with the fiscal impulse reaching 2.3% of GDP in 2019. In addition, the Central Bank of Turkey
was able to halve the policy rate without triggering significant real currency depreciation.
Most central banks in the CEE region kept their policy rates unchanged or delivered cuts. Central banks in Hungary, Romania and Poland remained
on hold, despite an increase in inflation related to higher core inflation and energy prices, reflecting concerns about the growth outlook. In Czechia,
the central bank hiked its policy rate by 25bp in May 2019 but kept it unchanged thereafter reflecting risks to growth. Serbia reduced its policy rate
by 75bp to its historical low of 2.25%. The central bank of Russia cut its policy rate by 150bp in 2019, due to below target inflation and slow
economic growth. In Turkey the sharp deceleration in inflation, from 20.3% at end of 2018 to 11.8% at the end of 2019, and the benign external
environment allowed the central bank to halve its policy rate from 24% to 12%.
1 Bulgaria, Croatia, Czech Republic, Hungary, Poland, Romania, Slovakia and Slovenia.
UniCredit ·2019 Annual Report and Accounts 43
Consolidated report on operations
Group results
Main results and performance for the period2
Introduction
The successful execution of Transform 2019 plan is proving UniCredit capability to execute and to favour long-term sustainable outcomes.
The Group remains committed to generating these returns by leveraging on its extensive and growing pan European client franchise, maximising
productivity through continuous cost optimisation and more efficient business processes.
Thanks to proven discipline in risk management and capital allocation, the Group will keep a comfortable level of capital to absorb regulatory
headwinds, while maximising shareholder distribution.
Basing on these successful results, on 3 December 2019 the new strategic plan 2020-2023 “Team 23” has been presented, with a clear
commitment to deliver €16 billion of value creation for shareholders over the plan horizon.
The new strategic plan is based on four main pillars:
Grow and strengthen client franchise
- To improve the customer experience with a renewed focus on customer satisfaction and service quality;
- To confirm the "Go-to" bank for the Small/Medium Enterprises (SMEs) thanks to enhanced service model;
- To redesign customer service for individuals thanks to a mix of integrated channels;
- To make the CEE and fully plugged-in CIB divisions as profitable growth engines, reinforcing the market leadership in CEE and strengthen CIB
and Commercial Banking cooperation.
Transform and maximise productivity
- To transform into a paperless bank by adopting dematerialised processes to reduce costs and operational risk, with roll out in Italy by early
second half 2020, in Austria and in Germany by 2021 and in CEE by 2023;
- Seamless cooperation between business, support functions and IT, to drive product innovation across dedicated customer journeys, such as
current accounts, investment products, residential mortgages, consumer finance, cards, SME banking.
Disciplined risk management & controls
- To strengthen monitoring and management on credit and financial risk, by enhanced business accountability and in-depth monitoring by control
functions;
- To carry out targeted actions on Compliance and Operational risk;
- Non Core rundown by end 2021 confirmed;
- Group culture driven by "Do the right thing!" principle.
Capital and balance sheet management
- Proactive capital allocation, gradual alignment of domestic sovereign bond portfolios and evolution of Group structure, including working on a
project to create a sub-holding, incorporated in Italy and not listed, for international operations.
- Capital distribution expected to increase to 50 per cent of underlying net profit3 in 2023, through a combination of cash dividends and share
buybacks4;
- Overall €16 billion value creation as a combination of capital distribution and growth in tangible equity5;
- CET1 MDA buffer maintained in the range 200-250bps at all times6;
- SREP Pillar 2 Capital Requirement (P2R) lowered by 25 basis points to 175 basis points7.
As mentioned, in 2019 the Group has successfully completed the strategic plan 2016-2019 “Transform 2019” goals:
Strengthen and optimise capital
- After having successfully completed the capital increase, the sale of subsidiaries (Pekao and Pioneer), and also considering the agreements that
led to the resolution of Koç Financial Services joint venture and disposal of 9.02 per cent stake in Yapi ve Kredi Bankasi A.Ş., the Group shows a
strong capital position with the CET18 ratio as of 31 December 2019 at 13.09% including the effect from the proposed share buyback (or 13.22%
excluding it), from 10.4% of 2015;
- Since the end of 2019 the SREP Pillar 2 Capital Requirement (P2R) has lowered by 25 basis points to 175 basis points6..
Improve the asset quality
- Also in 2019 the proactive risk reduction measures have continued, leading the Non-Performing Exposure (NPE) ratio to 5.04% at the end of
December, in comparison to the 7.72% of the end of 2018 restated, with a coverage ratio increased to 65.24%, compared to 60.96% of the end
of 2018 restated;
2 The amounts related to 2018 differ from the ones published at that time. For further details refer to the paragraphs “Reconciliation principles followed for the reclassified accounts“.
3 Underlying net profit based on stated net profit adjusted for non-operating items.
4 Proposed share buybacks subject to regulatory approval and also, as well for the dividends, to Shareholders’ Meeting authorisation.
5 9M19 to 2023
6 For 2023 including estimated impact of CRD5 (article 104a) and Basel 4, FRTB and CVA fully loaded.
7 Based on SREP letter received 2 December 2019.
8 Common Equity Tier 1 Capital (CET1).
44 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Group results
- Starting from the year 2015 the overall reduction of the Group Non-Performig Exposures (NPE) amounted to about €52 billion, moving from
€77.1 billion9 of 2015 to €25.3 billion of 2019.
Transform the operating model
- The strict cost control carried out by the Group allowed to exceed the plan’s targets;
- The commercial network rationalisation has continued, with the branch closures that have reached 963 units (of which 22 in the last quarter of
2019) starting from 2015, corresponding to 102% of the 944 closures forecasted by 2019 in the strategic plan;
- In the year the staff has been reduced by 1,416 FTEs, bringing the overall reduction to about 15,600 FTEs starting from the end of 2015, thus
overtaking the 14,000 exits planned by Transform 2019.
Maximise commercial bank value
In the whole Group, commercial initiatives are ongoing, bringing tangible results. In particular during the 2019 the following main initiatives have
been carried out:
- release in Germany of the new Mobile Banking App common across the Group, already successfully rolled out in Italy, whose standardisation
allows a consistent user experience and enhances the innovation time to market;
- increase of the mobile user penetration in the CEE division, that reached 48.6% of the total clients;
- a new digital account opening process in Germany, allowing opening of a new current account within a few minutes via mobile and online;
- so called "Minibonds" issuance for Italian SMEs, helping to develop a capital market culture;
- €500 million credit line activation in collaboration with the European Investment Bank, finalised to promote female entrepreneurship projects and
climate change combat actions;
- subscription of the first “social impact Minibond” of €5 million;
- launch of the Patient Capital initiative, an innovative institutional platform of “patient” capitals aimed to provide with growth capital the Italian
SME;
- increase of the remote sales (ATM, on line, mobile, call centre), that in Italy reached 31.3% of total sales of the bank’s products which have a
direct selling process;
- release of “Made4Italy”, a new initiative to support Italian SMEs and promote an integrated agri-tourism sector, supported by €5 billion of new
financing and consultancy services;
- agreement with the European Investment Fund to support Italian micro enterprises with an additional €60 million;
- successful joint venture with Allianz with more than 100,000 clients choosing My Care Family: an innovative product offering customised
insurance solutions;
- memorandum of Understanding signed with the Export-Import Bank of China to intensify cooperation between Chinese, Italian and Central
Eastern European companies;
- renewal of a €250 million funding agreement with the European Investment Bank to support Italian SMEs operating in agriculture, bio-economy
and renewable energy sectors;
- “HVB Premium Invest” launch in Germany, an initiative with a dedicated sustainability investment strategy, to respond to the customer interest for
sustainable investment solutions;
- Set-up a €500 million agreement with the European Investment Fund to support innovative Austrian SMEs;
- Launch of Apple Pay in Austria.
Adopt a lean but strong steering Group Corporate Centre
Referring to the Group Corporate Centre rationalisation, in 2019 its weight on total costs was equal to the 3.0% (3.1% net of non-recurring items),
below the target set for 2019 at 3.5% (recast as of June 2019, previously 3.8%).
These initiatives led in 2019 to achieve:
a Group net profit of €3,373 million (compared with €4,107 million in 2018 restated);
an “underlying” Group net profit, determined as net of non recurring items and used for calculation of dividend distributions, equal to 4,675 million
(increasing by 55.5% versus €3,006 million of restated 2018 underlying net profit).
With specific reference to the “underlying” 2019 Group net profit, the non- recurring items amount to -€1,301 million. These arise mainly from:
events having a positive impact, such as the sale of FinecoBank S.p.A. (€1,176 million including impacts arising from deconsolidation, valuation of
the trademark and pledges provided) and the adoption of fair value model and revaluation model for the measurement of Group Real Estate
portfolio respectively held for investment and used in business (79 million);
events having a negative impact, such as the disposal of Ocean Breeze (-€194 million), the increased write-downs of “Non Core” credit exposures
resulting from the update of Group rundown strategy (-€1,055 million), the agreements for the conclusion of the Joint Venture with Koç Financial
Services and the disposal of 9.02% of Yapi ve Kredi Bankasi A.Ş (-365 million), the integration costs for leaving incentives of workers in Germany
and Austria (-319 million) and the write-downs recognised on intangible assets (-€208 million).
.
9 Figures for 2015 as per Capital Market Day 2016 perimeter, not recasted.
UniCredit ·2019 Annual Report and Accounts 45
Consolidated report on operations
Group results
Regarding the 2018 restated “underlying” Group net profit, the non recurring items amount to €1,102 million and are originated by the recognition in
profit and loss of deferred tax assets, resulting from the change, introduced by the Italian Budgetary Law, of the fiscal treatment related to the IFRS9
First Time Adoption (FTA) on Loan Loss Provisions (€871 million), the impact on IRAP current taxes resulting from the change mentioned above
(€16 million) related to IFRS9 FTA and the retroactive application, as required by IAS40, of the fair value model for the Group real estate portfolio
held for investment (€215 million).
Operating income
In 2019 Group’s revenues were €18,839 million, decreasing by 0.7% compared to 2018 restated (down by 0.6% at constant exchange rates). Net of
the non-recurring items, 2019 Group’s revenues would have been €18,830 million compared to €18,961 million in 2018 restated, with a deviation of -
0.7%.
The decrease was mainly due to the lower net interest income, only partially mitigated by the increase of the trading result.
In particular, net interest was equal to €10,203 million, decreasing by 3.5% compared to 2018 restated (-3.5% at constant exchange rates).
It is worth mentioning as well, that in 2018 an extraordinary amount of €20 million for fiscal accruals release has been recorded in Germany. Net of
these extraordinary components net interest would has registered an yearly decrease of 3.2%. During the 2019 net interest was characterised by the
reduction of interests income on lending to customers, as well as by the time value component decline and by the increase of the passive interests
on deposits following the collection's volumes growth. To these effects was added an increase of the average costs for the bonds issued, as well as
by the decrease in the results of treasury and investment & trading activities.
Again in 2019, credit spreads have continued to shrink, also due to the new decrease of the market rates, following the stabilisation signals
registered in the first half of the year: average 3 months Euribor in 2019 was equal to -0.36% decreasing by 4 basis point in comparison to -0.32% in
2018.
The upturning loans to customers volumes’ dynamic (€482.6 billion as at 31 December 2019, up by €13.7 billion or up by 2.9% over the last year10),
has more than mitigated the €4.7 billion reduction of the Non Core component, subject of the initiatives aimed to reduce the Non-Performing
Exposure (NPE).
However, the decrease of the net interest income is originated in the reduction of the loans to customers excluding the repos component, recording
in 2019 a decrease of €6.4 billion, or down by 1.5% compared to the last year11 (down by 1.8% at constant exchange rates), and down by 0.4%, or -
€1.7 billion net of the Non Core component.
The decrease of the customers loans net of repos is originated in Italy that shows the Commercial Banking division in decrease of 3.0% compared
with 2018 restated. Influenced by the Italian component, CIB divisions shows a 3.0% decrease as well. However, the other Group divisions show
improving results, with Commercial Banking Germany up by 4.1%, Commercial Banking Austria up 1.0% and CEE Division up by 3.4% (1.3% at
constant exchange rates). Among the CEE countries, stand out in particular Czech republic (up by 7.1% at constant exchange rates), Hungary (up
by 6.8% at constant exchange rates), Bulgaria (up by 8.2%), Romania (up by 6.2% at constant exchange rates) and Bosnia (up by 6.4%), while
Russia is decreasing (down by 13.0% at constant exchange rates).
Non Core Division recorded a further reduction of customers loans net of repos from €6.6 billion at the end of December 2018 restated to €1.9 billion
at the end of December 2019 (down by 71.5%), continuing to pursue the goal of the Division’s portfolio rundown by the 2021.
Deposits from customers, equal to €470.6 billion, have been growing by 3.0% (up by 2.7% at constant exchange rates) compared to 201812.
The increase proved to be higher for the deposits from customers net of repos, up by 5.1% compared to 201813 (up by 4.7% at constant exchange
rates).
More specifically, the deposits from customers net of repos improved in all Group’s divisions, with Commercial Banking Italy up by 4.5%,
Commercial Banking Germany up by 1.1%, Commercial Banking Austria up by 2.3% and CIB up by 16.5%. The CEE Division grew by 7.6% (up by
5.1% at constant exchange rates), mainly driven by Czech republic (up by 10.2% at constant exchange rates), Croatia (up by 10.0% at constant
exchange rates), Bulgaria (up by 11.9%), Romania (up by 15.1% at constant exchange rates), while Russia is decreasing (down by 15.3% at
constant exchange rates).
Dividends and other income from equity investments (which include the profits of the companies accounted at equity method) in 2019 amounted to
€637 million, decreasing by €35 million, or down by 5.2% (down by 3.4% at constant exchange rates) compared with 2018 restated. The change is
mainly attributable to a reduction of the result for the period accounted from Yapi Kredi of -€75 million, while an increase is shown in the bank-
assurance joint ventures (€46 million) and in dividends for participation in Austrian banks (€24 million).
10 €468.9 billion, adjusted excluding FinecoBank S.p.A. volumes due to the sale of the company.
11 €430.8 billion, adjusted excluding FinecoBank S.p.A. volumes due to the sale of the company.
12 €456.7 billion, adjusted excluding FinecoBank S.p.A. volumes due to the sale of the company.
13 €399.9 billion, adjusted excluding FinecoBank S.p.A. volumes due to the sale of the company.
46 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Group results
The net fees and commissions in 2019 amounted to €6,304 million, mostly stable compared with 2018 restated (-€24 million or down by 0.4% at
current and constant exchange rates), but showing a positive trend in the last quarter of 2019.
In 2019, particularly, the investment services fees showed a growth (up by 1.8% at current and constant exchange rates) that has been determined
by the growth of the portfolio under management.
A positive trend as well on the transaction services fees (up by 3.1% at current and constant exchange rates compared with 2018 restated), driven
by better results on debit and credit cards fees, forex and property insurance fees.
Financing services were decreasing, resulting down by 7.3% (at current and constant exchange rates) compared with 2018 restated, mainly as an
effect of the lower loans commissions and “money supply”.
The net trading income in 2019 was firmly improving, moving from €1,279 million of 2018 restated to €1,538 million of the current year (up by 20.2%
or up by 20.6% at constant exchange rates). By adjusting 2019 of the non-recurring items related to the sale of FinecoBank S.p.A., the net trading
income would have been €1,552 million, up by 21.4% compared with prior year. The increase was determined by an increase of the gains from
clients activities, as well as of other activities, also thanks to improvement of the market environment. It is however continued the strategy of
increasing allocation of newly acquired government bonds in the portfolio of financial assets valued at amortised cost, with an underlying model of
business aimed at the collection of contractual cash flows ("Held to collect"), which goes hand in hand with the traditional operations with an
underlying business model aimed at both the collection of contractual cash flows and the sale of the instruments ("Held to collect and sell ") and
determines the classification of the related securities in the portfolio "financial assets valued at fair value through other comprehensive income".
Finally, in 2019 the net other expenses/income amounted to €156 million, up by €41 million compared with 2018 restated (up by 35.3% and up by
35.2% at constant exchange rates). Deducting the non-recurring items both from 2018 and 2019 data, the growth would be 14.3%.
Operating income
Net interest
Dividends and other income from equity investments
Net fees and commissions
Net trading income
Net other expenses/income
Operating income
YEAR
2019
10,203
637
6,304
1,538
156
18,839
2018
10,570
672
6,328
1,279
116
18,965
%
CHANGE
- 3.5%
- 5.2%
- 0.4%
+ 20.2%
+ 35.3%
- 0.7%
2019
Q4
2,515
133
1,629
464
108
4,850
(€ million)
% CHANGE
ON Q3 2019
- 1.6%
- 27.5%
+ 3.8%
+ 22.9%
n.m.
+ 3.1%
Operating costs
Group’s operating costs in 2019 were equal to €9,929 million, decreasing by 3.7% compared to 2018 restated (both at current and constant
exchange rates), thanks to the continuation of the staff resizing initiatives and the administrative expenses control actions.
In detail, the staff expenses of 2019 were €6,146 million, decreasing by 3.0% (both at current and constant exchange rates) in comparison €6,336
million of the 2018 restated.
This result was achieved mainly thanks to the resolute dynamic of employees reduction, characterised by a drop of 1,416 FTEs compared to the
2018 restated, equal to a decrease of 1.7%. It is worth mentioning that in 2019 Staff expenses benefit from the release of €30 million relating “gains
on settlement” following the acceptance of a capitalisation offer, made by UniCredit Bank Austria, to a small group of retirees.
The other administrative expenses, in 2019 amounted to €3,279 million, decreasing by 7.5% (both at current and constant exchange rates) in
comparison with €3,545 million of the 2018 restated. The lower costs have been recorded mainly among the real estate expenses, mostly relating to
the branch network rationalisation and to head-offices related initiatives, the communication and marketing expenses and the consulting and legal
expenses.
The expenses recovery in 2019 amounted to €592 million, decreasing in comparison to the €631 million of last year (down by 6.2%, or down by
6.0% at constant exchange rates). In particular the drop was mainly related to the lower expenses of the Non Core Division and to lower number of
users rights derived from software write-offs and closure of other contracts with VTS company.
Finally, the write-downs on tangible and intangible assets in 2019 amounted to €1,096 million, increasing by 3.8% (or up by 3.7% at constant
exchange rates) compared to the €1,057 million in 2018 restated. Net of the non-recurring items both in 2018 and 2019 data, the yearly growth
would be up by 2.0%.
UniCredit ·2019 Annual Report and Accounts 47
Consolidated report on operations
Group results
Operating costs
Payroll costs
Other administrative expenses
Recovery of expenses
Write downs of tangible and intangible assets
Operating costs
YEAR
2019
(6,146)
(3,279)
592
(1,096)
(9,929)
2018
(6,336)
(3,545)
631
(1,057)
(10,307)
%
CHANGE
- 3.0%
- 7.5%
- 6.2%
+ 3.8%
- 3.7%
2019
Q4
(1,549)
(858)
150
(267)
(2,525)
(€ million)
% CHANGE
ON Q3 2019
+ 1.8%
+ 9.3%
+ 5.6%
- 4.8%
+ 3.2%
The good result achieved in terms of cost reduction deeply balanced the revenues decline, generating a Group gross operating profit of €8,910
million, up by 2.9% compared to 2018 restated (up by 3.0% at constant exchange rates). The yearly increase is 3.1% after the deduction of non-
recurring items used for the calculation of the underlying net profit of the Group both in 2018 and 2019.
The cost income ratio of 2019 amounted to 52.7%, improving by 1.6 percentage points over the previous year, which amounted to 54.3%.
Net write-downs on loans and provisions for guarantees and commitments
Net write-downs on loans and provisions for guarantees and commitments of the Group in 2019 were €3,382 million, compared to €2,614 million of
2018 restated (+29.4% or +29.3% at constant exchange rates) with an increase of €769 million. The 2019 amount includes €1,049 million of higher
Non Core credit exposures’ loan loss provisions relating to the update of the rundown strategy of the relevant portfolio within 2021. Net of these
additional provisions, compared with 2018, net write-downs on loans and provisions for guarantees and commitments of the Group would have been
decreasing by 10.7%.
The cost of risk of the Group was equal to 71 basis points, in comparison to 58 basis points of 2018 restated. Deducting from 2019 the non-recurring
item of Non Core mentioned above, the cost of risk of the Group would have been 49 basis points.
In detail, Commercial Banking Italy division recorded a cost of risk of 73 basis points, improving by 1 basis point in comparison to 2018 restated.
Commercial Banking Germany division recorded 12 basis points, improving by 6 basis points in comparison to last year and Commercial Banking
Austria division accounted 9 basis points, worsening by 15 basis points in comparison to 2018 restated, which benefitted from some write-backs.
The CIB division showed a cost of risk of 8 basis points, worsening by 2 basis points compared with 2018 restated.
At last, CEE Division showed a cost of risk of 68 basis points, improving by 5 basis points in comparison to 2018 restated.
The Group gross impaired loans at 31 December 2019 were down by €12.9 billion compared to 31 December 2018 restated, decreasing from €38.2
billion to €25.3 billion, thanks to the continuous risk reduction measures carried out and to Non Core rundown.
Thanks to this decrease, the gross non-performing loans on total loans ratio improved, moving from 7.72% of December 2018 restated to 5.04% of
December 2019. Gross bad exposures stock was at €12.5 billion, decreasing by €8.6 billion from December 2018 restated (€21.1 billion).
The Group coverage ratio of the gross non-performing loans as at 31 December 2019 was furtherly improved by 428 basis points, reaching 65.24%
in comparison to 60.96% of December 2018 restated.
48 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Group results
Loans to customers - Asset quality
As at 12.31.2019(*)
Gross exposure
as a percentage of total loans
Writedowns
as a percentage of gross value
Carrying value
as a percentage of total loans
As at 12.31.2018(**)
Gross exposure
as a percentage of total loans
Writedowns
as a percentage of gross value
Carrying value
as a percentage of total loans
BAD
EXPOSURES
UNLIKELY
TO PAY
NON-
PERFORMING
PAST-DUE
TOTAL
NON-
PERFORMING
PERFORMING
12,491
2.49%
9,535
76.33%
2,956
0.61%
21,134
4.27%
15,348
72.62%
5,786
1.23%
11,934
2.38%
6,675
55.93%
5,259
1.09%
16,193
3.27%
7,655
47.27%
8,538
1.82%
870
0.17%
293
33.70%
577
0.12%
839
0.17%
262
31.29%
576
0.12%
25,295
5.04%
16,503
65.24%
8,792
1.82%
38,167
7.72%
23,266
60.96%
14,900
3.18%
476,333
94.96%
2,552
0.54%
473,782
98.18%
456,511
92.28%
2,523
0.55%
453,988
96.82%
(€ million)
TOTAL
LOANS
501,628
19,055
482,574
494,677
25,789
468,889
Notes:
(*)Total loans to customers exclude the receivables arising from subleases recognised due to the application of IFRS16; it should be noted that following the deconsolidation of FinecoBank S.p.A. and its subsidiary, this
amount do not include loans referred to those company.
(**)The figures as at 31 December 2018 differ from the ones published at the reference date due to the exclusion of the loans of FinecoBank S.p.A. and its subsidiary for the purposes of presentation on the same
comparable basis with the amounts as at 31 December 2019.
From net operating profit to profit before tax
In 2019 the improvement of the gross operating profit (+€251 million) was offset by the increase of net write-downs on loans (-€769 million),
generating a Group’s net operating profit amounting to €5,527 million, worsening by €517 million compared to 2018 restated (down by 8.6% or down
by 8.2% at constant exchange rates).
Deducting the non-recurring items excluded from the calculation of the underlying net profit used as base for dividend distribution from both 2018
and 2019, the net operating profit of the Group would show an improvement of 9.1%, moving from €6,006 million in 2018 to €6,551 million in 2019.
Group’s other charges and provisions were -€954 million, compared to -€2,271 million of 2018 restated.
This item includes legal cases and estimated liabilities of various nature totalling -€68 million, in addition to the systemic charges, amounting to -
€886 million. The latter include the contributions to the Single Resolution Fund (SRF), the harmonised guarantee schemes charges (Deposits
Guarantee Scheme - DGS) and the non-harmonised ones, as well as the Bank Levies.
It is worth mentioning that the 2018 restated included also provisions for the alleged US sanctions violations (refer to Notes to consolidated accounts
Part E - 2.5 Operational risks - B. Legal risks paragraph “Financial sanctions matter” for further details).
The Group other provisions for risk and charges for 2019 would be reduced to -€850 million net of the non-recurring items.
Integration costs in 2019 were -€664 million compared with -€9 million in 2018 restated. Year 2019 includes non-recurring items to be excluded from
the calculation of the underlying Group net profit for -€657 million (-€436 million of leaving incentives of workers in Germany and Austria and -€222
million of other integration costs, mainly due to value adjustments on intangible assets), net of which the integration costs would have been -€7
million.
Finally, net income from investments in 2019 was -€844 million compared with -€198 million recorded in 2018 restated. Both years include non-
recurring items: +€288 million in 2018 restated, related to the retroactive application, provided for by IAS40, of the fair value model for the
measurement of the Real Estate portfolio for investment purposes and -€937 million in 2019, mainly related to the application of fair value model and
revaluation model for the measurement of Group Real Estate portfolio respectively held for investment and used in business, to the agreement
aimed at the resolution of the Joint Venture of Koç Financial Services joint venture and the sale of the 9,02% of Yapi ve Kredi Bankasi A.Ş. Net of
the non-recurring items, to be excluded from the calculation of the underlying net profit, net income from investments would have moved from -€485
million in 2018 to +€93 million in 2019.
As an effect of the items mentioned above, in 2019 the Group registered a profit before tax of €3,065 million, compared to €3,566 million of 2018
restated (down by 14.0% or down by 13.4% at constant exchange rates). Adjusting the figures of both the years from the non-recurring items, the
Group profit before tax would amount to €5,787 million in 2019, increasing by 78.6% in comparison to €3,240 million of 2018. For non-recurring
items refer to paragraph “Introduction” of this section.
UniCredit ·2019 Annual Report and Accounts 49
Consolidated report on operations
Group results
Profit before tax by business segment
Commercial Banking Italy
Commercial Banking Germany
Commercial Banking Austria
Central Eastern Europe
Corporate & Investment Banking
Group Corporate Centre
Non Core
Group Total
OPERATING
INCOME
7,148
2,392
1,558
4,251
3,901
(371)
(41)
18,839
OPERATING
COSTS
(3,786)
(1,627)
(975)
(1,535)
(1,526)
(300)
(180)
(9,929)
NET WRITE-
DOWNS ON
LOANS
AND PROVISIONS
(1,044)
(100)
(41)
(456)
(106)
(2)
(1,632)
(3,382)
NET
OPERATING
PROFIT
2,318
665
542
2,260
2,270
(673)
(1,854)
5,527
(€ million)
PROFIT BEFORE TAX
YEAR
2019
1,811
849
332
1,962
2,041
(1,660)
(2,270)
3,065
2018
1,879
727
437
2,030
1,369
(1,681)
(1,194)
3,566
Profit (Loss) attributable to the Group
In 2019 Group’s income taxes line recorded -€890 million, in comparison to +€489 million of 2018 restated.
2019 includes a positive effect of +€211 million related to the taxes connected to the non-recurring components, while 2018 data includes the
extraordinary effects arising from the recognition through P&L of the positive tax effects related to IFRS9 First Time Adoption on loan loss provisions
for €887 million, of which €871 million related to deferred tax assets.
Profit from non-current assets held for sale net of taxes in 2019 was €1,383 million in comparison to €288 million of the last year restated.
The 2019 figure includes non-recurring income to be excluded from the calculation of the underlying net profit of €1,287 million, related to the sale of
FinecoBank S.p.A.
The profit for the period of 2019 was €3,559 million, in comparison to €4,343 million of last year restated.
Adjusting both years with the impact of the non-recurring items, the profit for the period would move from €3,225 million of 2018, to €4,782 million of
2019, with an increase of 48.3%.
Minorities, conventionally exposed with negative sign, were -€118 million, against -€233 million of 2018 restated.
Purchase price allocation was -€68 million, mainly due to the total write-down, net of the tax effect, of the brands referable to FinecoBank S.p.A.,
compared to -€3 million of 2018 restated.
Consequently, in 2019 the net profit attributable to the Group amounted to €3,373 million, compared to €4,107 million of 2018 restated. Excluding
the non-recurring items from both years, 2019 would have recorded a net profit underlying of €4,675 million, increasing by 55.5% in comparison to
the 2018 restated underlying net result, equal to €3,006 million. For non-recurring items refer to paragraph “Introduction” of this section.
50 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Group results
Profit (Loss) attributable to the Group
Operating income
Operating costs
Operating profit (loss)
Net write-downs on loans and provisions for guarantees
and commitments
Net operating profit (loss)
Other charges and provisions
Integration costs
Net income from investment
Profit (Loss) before tax
Income tax for the period
Profit (Loss) from non-current assets held for sale, after
tax
Profit (Loss) for the period
Minorities
Net profit (loss) attributable
to the Group before PPA
Purchase Price Allocation effects
Goodwill impairment
Net profit (loss) attributable
to the Group
YEAR
2019
18,839
(9,929)
8,910
(3,382)
5,527
(954)
(664)
(844)
3,065
(890)
1,383
3,559
(118)
3,441
(68)
-
3,373
2018
18,965
(10,307)
8,658
(2,614)
6,044
(2,271)
(9)
(198)
3,566
489
288
4,343
(233)
4,111
(3)
-
4,107
%
CHANGE
- 0.7%
- 3.7%
+ 2.9%
+ 29.4%
- 8.6%
- 58.0%
n.m.
n.m.
- 14.0%
n.m.
n.m.
- 18.1%
- 49.4%
- 16.3%
n.m.
n.m.
- 17.9%
2019
Q4
4,850
(2,525)
2,325
(1,645)
681
(316)
(657)
(665)
(958)
119
11
(828)
(4)
(832)
(3)
-
(835)
(€ million)
% CHANGE
ON Q3 2019
+ 3.1%
+ 3.2%
+ 3.1%
n.m.
- 59.8%
+ 68.9%
n.m.
n.m.
n.m.
n.m.
n.m.
n.m.
- 84.2%
n.m.
n.m.
n.m.
n.m.
Capital and value management
Principles of value creation and capital allocation
In order to create value for the shareholders, the Group’s strategic guidelines aim at optimising the composition of the business portfolio.
This goal is pursued through a process of capital allocation to each business line in relation to its specific risk profile and ability to generate
sustainable earnings measured as EVA (Economic Value Added), which is the main performance indicator linked to TSR (Total Shareholder
Return). The capital allocated to business segments is quantified applying internal capitalisation targets to regulatory capital requirements
(Regulatory Capital).
The development of Group operations with a view to value creation requires a process of allocating and managing capital governed by different
phases in the process of planning and control, articulated as:
formulation of the proposed risk propensity and capitalisation targets;
analysis of the risks associated with the value drivers and resulting allocation of capital to the business lines and to the Business Units;
assignment of performance targets in line with risk;
analysis of the impact on the Group’s value and of the creation of value for shareholders;
drafting and proposal of the financial plan, capital plan and dividend policy.
The Group dynamically manages its capital base by monitoring regulatory capital ratios, anticipating the appropriate changes necessary to achieve
its defined targets, and optimising the composition of its assets and equity. Planning and monitoring refer, on the one hand, to the total Own Funds
(Common Equity Tier 1, Additional Tier 1 and Tier 2 Capital) and new TLAC requirement and, on the other hand, to the Risk-Weighted Assets
(RWAs). The Risk-Weighted Assets, for portfolios managed using the internal advanced models, do not only depend on the nominal value of the
assets but also on the relevant credit parameters. Besides volume dynamics, it is also crucial to monitor and forecast the change in the asset quality
of the portfolio in view of the macroeconomic scenario (the so-called pro-cyclical effect).
Following the financial crisis that unfolded in 2007-2008, the European Union implemented a substantial reform of the financial services regulatory
framework to enhance the resilience of its financial institutions. This reform was largely based on international standards agreed in 2010 by the
Basel Committee on Banking Supervision, known as the Basel 3 framework. Among its many measures, the reform package included the adoption
of Regulation (EU) No 575/2013 of the European Parliament and of the Council and Directive 2013/36/EU of the European Parliament and of the
Council, which strengthened the prudential requirements for credit institutions and investment firms.
UniCredit ·2019 Annual Report and Accounts 51
Consolidated report on operations
Group results
These rules have been modified by Regulation (EU) No.2019/876 of the European Parliament and of the Council of 20 May 2019 (so called CRR 2),
amending Regulation (EU) No.575/2013 and by Directive (EU) 2019/878 of the European Parliament and of the Council of 20 May 2019 (so-called
CRD V), amending Directive 2013/36/EU.
Capital ratios
Transitional own funds and capital ratios
Common Equity Tier 1 Capital
Tier 1 Capital
Total own funds
Total RWA
Common Equity Tier 1 Capital Ratio
Tier 1 Capital Ratio
Total Capital Ratio
AS AT
12.31.2019(*)
50,054
56,414
66,982
378,718
13.22%
14.90%
17.69%
(€ million)
12.31.2018(*)
44,903
50,488
58,476
370,180
12.13%
13.64%
15.80%
Notes:
(*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages.
UniCredit group has decided to not apply the IFRS9 transitional approach as reported in article 473a of the Regulation 575/2013/EU (CRR). Therefore the values shown fully reflect the impact arising from the application of
the IFRS9 principle.
The positive change with respect to 31 December 2018 (equal to about €5 billion on Common Equity Tier 1 Capital and about €9 billion on Total
Own Funds) mainly reflects: (i) positive variation (equal to €2,061) in the accumulated other comprehensive income and other reserves, primarily
related to the change in the valuation criterion for tangible assets, in particular with reference to properties used in business (IAS16) and properties
held for investment (IAS40), (ii) the profit of 2019 (equal to €3,373 million), net of dividends for €1,404 and of €2 million of social and charity
initiatives, computed for €1,967 million; (iii) the positive effect equal to €654 million deriving from the lower deduction on intangible assets connected
to the deconsolidation of FinecoBank S.p.A., (iv) the lower deduction (zero at 31 December 2019 and €615 million at 31 December 2018) connected
to the exceedance of the 17.65% of Common Equity Tier 1 Capital after applying the adjustments and deductions in CRR Articles 32 to 36 in full in
comparison with the deferred tax assets that rely on future profitability and arise from temporary differences summed up to the direct, indirect and
synthetic holdings detained by UniCredit S.p.A. in financial sector entities in which UniCredit S.p.A. has a significant investments. With reference to
the Total Own Funds, the positive change reflects in addition also the effect deriving from the new issue of three subordinated instruments classified
in Tier 2 Capital.
The capital requirements applicable to the Group as at 31 December 2019 in coherence with CRR article 92 are the following (Pillar 1):
Common Equity Tier 1 Capital:
Tier 1 Capital:
Total Capital:
4.50%
6.00%
8.00%
With reference to 2019, in addition to such requirements, the Group shall also meet, through Common Equity Tier 1 Capital, the following additional
requirements:
2.00%, as Pillar 2 Requirements for 2019 in coherence with Supervisory Review and Evaluation Process (SREP) results;
2.50%, as Capital Conservation buffer14 according to CRDIV article129;
1.00%, as Global Systemically Important Institutions buffer15;
0.09%, as Countercyclical Capital buffer16 according to the CRDIV Article 160 (paragraphs from 1 to 4), to be calculated on a quarterly basis.
Therefore, as at 31 December 2019, the Group shall also meet the following overall capital requirements:
Common Equity Tier 1 Capital:
Tier 1 Capital:
Total Capital:
10.09%
11.59%
13.59%
14 From 1 January 2019, ended the transitional rules, the capital conservation buffer is at 2.50%.
15 From 1 January 2019, ended the transitional rules, such requirement is equal to 1.00%. It should be noted that UniCredit group was identified by the Banca d’Italia as an O-SII authorized to operate in Italy, and it has to
maintain a CET1 capital buffer; such level is equal to 0.50% in 2019 and will be increased starting by 0.25% on a yearly basis reaching the target of 1.00% from 1 January 2021. Nevertheless, it is worth mentioning that
according to the CRD IV Article 131.14, the higher of the G-SII and the O-SII buffer will apply: hence, UniCredit group is subject to the application of 1.00% G-SII buffer for 2019.
16 Amount rounded to two decimal numbers. With reference to 31 December 2019: (I) countercyclical capital rates have generally been set at 0%, except for the following countries: United Kingdom (1,00%); Czech Republic
(1.50%); Hong Kong (2.00%); Iceland (1.75%); Norway (2.50%); Sweden (2.50%); Slovakia (1.50%); Lithuania (1.00%); Bulgaria (0.50%); France (0.25%); Ireland (1,00%) Denmark (1.00%) (II) with reference to the
exposures towards Italian counterparties, Banca d’Italia has set the rate equal to 0%.
52 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Group results
Below a scheme of UniCredit group transitional capital requirements and buffers which also provide evidences of TSCR (Total SREP Capital
Requirement) and OCR (Overall Capital Requirement) related to the outcome of the SREP process held in 2018 and applicable for 2019:
2019 Capital requirements and buffers for UniCredit group
REQUIREMENT
A) Pillar 1 Requirements
B) Pillar 2 Requirements
C) TSCR (A+B)
D) Combined capital buffer requirement, of which:
1. Capital Conservation buffer (CCB)
2. Global Systemically Important Institution buffer (G-SII)
3. Institution-specific Countercyclical Capital buffer (CCyB)
E) OCR (C+D)
CET1
4.50%
2.00%
6.50%
3.59%
2.50%
1.00%
0.09%
10.09%
T1
6.00%
2.00%
8.00%
3.59%
2.50%
1.00%
0.09%
11.59%
TOTAL
CAPITAL
8.00%
2.00%
10.00%
3.59%
2.50%
1.00%
0.09%
13.59%
The above mentioned requirements are the ones which are relevant for MDA purposes for UniCredit group as at 31 December 2019.
As at 31 December 2019, UniCredit group’s ratios are compliant with all the above requirements.
The consolidated profit as at 31 December 2019, equal to €3,373 million, is recognised in the Own Funds for €1,967 million, resulting after the
destination to potential dividends for €1.404 million approved by the Board of Directors and to social and charity initiatives for €2 million.
The dividends envisages a 30% of pay-out ratio on 2019 consolidated underlying net profit17, equal to €4,675 million, excluding nonrecurring items
equal to -€1,301 million. The amount of €1,967 million, as determined above, is included in CET1 capital following the authorisation by the
Supervisory Authority according to CRR Article 26(2).
Capital strengthening
During the year 2019 UniCredit S.p.A. placed an issue of equity instruments Additional Tier 1 (in particular Non-Cumulative Temporary Write-Down
Deeply Subordinated Fixed Rate Resettable Notes), for a total amount of €1 billion targeted to institutional investors, to continue to strengthen its
regulatory capital.
The securities are perpetual (with maturity linked to corporate duration of UniCredit S.p.A.) and they may be called by the Issuer on 3 June 2026 and
thereafter at any interest payment date, subject to Regulatory approval. The notes pay fixed rate coupons of 7.50% per annum up to June 2026 on a
semi-annual basis; if not redeemed, coupon will be reset every 5 years to the aggregate of the then 5-Year Mid-Swap rate on the renegotiation date
plus 733.4bps, calculated on an annual basis and then converted to a semi-annual rate in accordance with market practices. In line with the
regulatory requirements, the coupon payments are fully discretionary.
Moreover with reference to share capital, on 6 February 2019 the Board of Directors of UniCredit S.p.A., by the powers conferred time by time by the
Extraordinary Shareholders' Meeting pursuant to the art.2443 of the Italian Civil Code in order to execute the Group Incentive System, resolved a
free share capital increase of €55 million by issuing No.3,200,177 ordinary shares to be granted to the employees of UniCredit S.p.A. and of Group
banks and companies.
The resolution to increase the share capital has been registered with the Company Register on 4 April 2019 and the fully subscribed and paid-up
share capital of UniCredit S.p.A. currently amounts to €20,995 million and it is divided into No.2,233,376,842 ordinary shares with no nominal value.
17 Net profit adjusted for non-operating items; for further details, refer to definition in the Glossary.
UniCredit ·2019 Annual Report and Accounts 53
Consolidated report on operations
Group results
Shareholders’ equity attributable to the Group
The Shareholders’ equity of the Group, including the net profit of the period equal to €3,373 million, amounted to €61,416 million as at 31 December
2019, compared to €56,389 million as at 31 December 2018 restated.
The statement of changes in shareholders’ equity is included in the consolidated accounts.
The following table shows the main changes occurred in 2019.
Shareholders' equity attributable to the Group
Shareholders' Equity as at 31 December 2018 restated
Equity instruments
Dividends and other allocations
Change in reserve related coupon on AT1 instruments
Changes in reserve for the unsustainable amount of Deferred Tax Assets relating to tax losses carried forward linked to shareholders'
equity items
Disbursements related to transaction denominated "Cashes"
Changes in the valuation reserve tangible assets(1)
Change in the valuation reserve relating to the financial assets and liabilities at fair value
Change in the valuation reserve of the companies accounted for using the equity method(2)
Exchange differences reserve(3)
Change in the valuation reserve of non-current assets classified held-for-sale(2)
Change in the valuation reserve relating to the actuarial gains/losses on defined benefit plans(4)
Other changes
Net profit (loss) for the period
Shareholders' Equity as at 31 December 2019
(€ million)
56,389
992
(604)
(285)
269
(124)
1,442
709
501
294
(660)
(863)
(17)
3,373
61,416
Notes:
(1) The change in the valuation reserve tangible assets for +€1,442 million (€1,445 million gross of minorities) due to the transition from the cost model to the revaluation model for the properties used in business, ruled by
IAS16 "Property, plant and machinery" (for further details please see Part A – Accounting policies - A.1 - General - Section 5 - Other matters).
(2) The change in the valuation reserve of the companies accounted for using the equity method for +€501 million mainly due to the change of Turkish Lira for -€110 million and for +€677 million due to the reclassification of
9.02% of the valuation reserve of Yapi Ve Kredi Bankasi AS in the valuation reserve of non-current assets classified held-for-sale (mainly referred to Turkish Lira for -€643 million).
(3) This effect is mainly due to the positive impact of the Russian Ruble for €324 million.
(4) Mainly referred to widespread drop in Euro yield curve reducing DBO discount rate partially offset by plan assets performance.
For further information, refer to section Consolidated accounts - Statement of changes in shareholders’ equity.
Reconciliation parent company UniCredit S.p.A. - Consolidated accounts
The following table reconciles the Parent Company’s shareholders’ equity and Net profit to the corresponding consolidated figures.
Reconciliation of parent company UniCredit S.p.A. to Consolidated accounts
Balance as at 31 December 2019 of parent company UniCredit S.p.A.
Consolidated contribution:
- fully consolidated subsidiaries
- investments valued at equity method
Reverse of ordinary dividends received in the period:
- fully consolidated subsidiaries
- investments valued at equity method
Other consolidation adjustments
Balance as at 31 December 2019 (minorities included)
of which Group
of which minorities
SHAREHOLDERS'
EQUITY
51,519
9,254
5,494
3,760
-
-
-
1,012
61,785
61,416
369
(€ million)
of which:
NET PROFIT
(555)
6,904
6,232
672
(2,350)
(2,290)
(60)
(508)
3,491
3,373
118
54 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Group results
Contribution of the sector of activity to the results of the Group
Commercial Banking Italy
Commercial Banking Italy is composed by UniCredit SpA commercial network related to Core clients (excluding Large Corporate and Multinational
clients, supported by Corporate and Investment Banking Division), Leasing (excluding Non-Core clients), Factoring and local Corporate Center with
supporting functions for the Italian business.
In relation to individual clients (Mass market, Affluent, Private and Wealth), Commercial Banking Italy’ s goal is to offer a full range of products and
services to fulfill transactional, investments and credit needs, relying on branches and multichannel services provided thanks to new technologies.
Income statement, key ratios and indicators
COMMERCIAL BANKING ITALY
Operating income
Operating costs
Net write-downs on loans and provisions for
guarantees and commitments
Net operating profit
Profit before tax
Customers loans (net Repos and IC)
Customers depos (net Repos and IC)
Total RWA Eop
EVA (€ million)
Absorbed Capital (€ million)
ROAC
Cost/Income
Cost of Risk
Full Time Equivalent (eop)
YEAR
2019
7,148
(3,786)
(1,044)
2,318
1,811
141,308
152,889
99,784
303
12,584
+ 11.2%
+ 53.0%
73 bps
28,640
2018
7,163
(4,033)
(1,046)
2,083
1,879
145,641
146,236
95,753
4
11,016
+ 12.0%
+ 56.3%
74 bps
29,582
%
CHANGE
- 0.2%
- 6.1%
- 0.2%
+ 11.3%
- 3.6%
- 3.0%
+ 4.5%
+ 4.2%
n.m.
+ 14.2%
- 0.8 p.p.
- 3.3 p.p.
- 1 bps
- 3.2%
2019
Q4
1,782
(946)
(270)
566
386
141,308
152,889
99,784
160
12,776
+ 13.1%
+ 53.1%
76 bps
28,640
(€ million)
% CHANGE
ON Q3 2019
+ 0.6%
+ 0.8%
+ 7.6%
- 2.7%
- 21.1%
- 1.3%
+ 0.1%
- 2.3%
n.m.
- 2.1%
+ 2.5 p.p.
+ 0.1 p.p.
6 bps
- 0.7%
Commercial Banking Germany
Commercial Banking Germany provides all German customers (excluding Large Corporate and Multinational clients, supported by Corporate and
Investment Banking Division) with a complete range of banking products and services through its branch network. It is composed of:
“Privatkundenbank” (Individual Clients segment), “Unternehmerbank” (Corporate segment) and the local Corporate Center.
Commercial Banking Germany holds large market shares and a strategic market position in retail banking, in private banking and especially in
business with local corporate customers (including factoring and leasing).
Income statement, key ratios and indicators
COMMERCIAL BANKING GERMANY
Operating income
Operating costs
Net write-downs on loans and provisions for
guarantees and commitments
Net operating profit
Profit before tax
Customers loans (net Repos and IC)
Customers depos (net Repos and IC)
Total RWA Eop
EVA (€ million)
Absorbed Capital (€ million)
ROAC
Cost/Income
Cost of Risk
Full Time Equivalent (eop)
YEAR
2019
2,392
(1,627)
(100)
665
849
87,172
92,742
36,388
35
4,636
+ 11.7%
+ 68.0%
12 bps
9,120
2018
2,445
(1,641)
(145)
659
727
83,741
91,694
36,642
193
4,441
+ 13.4%
+ 67.1%
17 bps
9,167
%
CHANGE
- 2.2%
- 0.9%
- 30.9%
+ 0.8%
+ 16.8%
+ 4.1%
+ 1.1%
- 0.7%
- 81.8%
+ 4.4%
- 1.7 p.p.
+ 0.9 p.p.
- 6 bps
- 0.5%
2019
Q4
635
(416)
(48)
171
165
87,172
92,742
36,388
(103)
4,654
+ 7.1%
+ 65.5%
22 bps
9,120
(€ million)
% CHANGE
ON Q3 2019
+ 9.6%
+ 4.7%
+ 73.9%
+ 11.0%
- 28.5%
- 1.5%
+ 1.4%
- 2.5%
n.m.
+ 0.5%
- 7.5 p.p.
- 3.1 p.p.
9 bps
- 0.2%
UniCredit ·2019 Annual Report and Accounts 55
Consolidated report on operations
Group results
Commercial Banking Austria
Commercial Banking Austria provides its Austrian customers (excluding Large Corporate and Multinational clients, supported by Corporate and
Investment Banking Division) with a complete range of banking products and services. It is composed of: “Privatkundenbank” (Private Customer
Bank), “Unternehmerbank” (Corporate Customer Bank, excluding CIB clients) that includes the product factories Factoring and Leasing and the
Local Corporate Center.
Commercial Banking Austria holds significant market shares and a strategic market position in retail banking, private banking and especially in
business with local corporate customers and is one of the leading providers of banking services in Austria.
Income statement, key ratios and indicators
COMMERCIAL BANKING AUSTRIA
Operating income
Operating costs
Net write-downs on loans and provisions for
guarantees and commitments
Net operating profit
Profit before tax
Customers loans (net Repos and IC)
Customers depos (net Repos and IC)
Total RWA Eop
EVA (€ million)
Absorbed Capital (€ million)
ROAC
Cost/Income
Cost of Risk
Full Time Equivalent (eop)
YEAR
2019
1,558
(975)
(41)
542
332
45,269
48,459
23,857
423
2,930
+ 19.3%
+ 62.6%
9 bps
4,833
2018
1,561
(1,021)
25
565
437
44,808
47,380
23,496
166
2,647
+ 15.8%
+ 65.4%
- 5 bps
4,873
%
CHANGE
- 0.2%
- 4.5%
n.m.
- 4.2%
- 24.1%
+ 1.0%
+ 2.3%
+ 1.5%
n.m.
+ 10.7%
+ 3.5 p.p.
- 2.8 p.p.
15 bps
- 0.8%
2019
Q4
419
(249)
(32)
138
(16)
45,269
48,459
23,857
270
2,963
+ 30.0%
+ 59.5%
28 bps
4,833
(€ million)
% CHANGE
ON Q3 2019
+ 6.6%
+ 2.2%
+ 67.9%
+ 5.9%
n.m.
+ 0.5%
+ 2.4%
- 1.6%
n.m.
+ 0.8%
+ 13.8 p.p.
- 2.6 p.p.
11 bps
- 1.2%
CEE Division
The Group operates, through the CEE business segment, in 12 Central and Eastern Europe countries: Azerbaijan, Bosnia -Herzegovina, Bulgaria,
Croatia, the Czech Republic, Hungary, Romania, Russia, Serbia, Slovakia, Slovenia and Turkey, having in addition Leasing activities in the 3 Baltic
countries. The CEE business segment through its branches offers a wide range of products and services to retail, corporate and institutional clients
in these countries.
Income statement, key ratios and indicators
CEE DIVISION
Operating income
Operating costs
Net write-downs on loans and provisions for
guarantees and commitments
Net operating profit
Profit before tax
Customers loans (net Repos and IC)
Customers depos (net Repos and IC)
Total RWA Eop
EVA (€ million)
Absorbed Capital (€ million)
ROAC
Cost/Income
Cost of Risk
Full Time Equivalent (eop)
YEAR
2019
4,251
(1,535)
(456)
2,260
1,962
67,534
70,745
90,028
485
11,065
+ 14.5%
+ 36.1%
68 bps
24,229
2018
4,199
(1,501)
(457)
2,241
2,030
65,344
65,744
86,572
478
10,632
+ 15.6%
+ 35.7%
73 bps
24,214
%
CHANGE
+ 1.2%
+ 2.3%
- 0.2%
+ 0.8%
- 3.3%
+ 3.4%
+ 7.6%
+ 4.0%
+ 1.4%
+ 4.1%
- 1.1 p.p.
+ 0.4 p.p.
- 5 bps
+ 0.1%
2019
Q4
1,046
(408)
(153)
486
381
67,534
70,745
90,028
49
11,144
+ 11.1%
+ 39.0%
90 bps
24,229
(€ million)
% CHANGE
ON Q3 2019
- 1.5%
+ 7.8%
+ 31.0%
- 14.4%
- 27.1%
- 0.9%
- 1.2%
- 1.0%
- 66.1%
- 0.2%
- 4.4 p.p.
+ 3.4 p.p.
21 bps
- 0.3%
56 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Group results
CIB
The CIB Division targets mainly Large Corporate and Multinational clients with highly sophisticated financial profile and needs for investment
banking services, as well as institutional clients of UniCredit Group. Moreover CIB acts as products and solutions provider for the commercial
network, provides structured financing, hedging and treasury solutions for corporate and investment products for private and retail, according to the
“CIB fully plugged-in concept”. The organizational structure of CIB is based on a matrix that integrates market coverage (carried out through an
extensive network in Western Europe and an international network of branches and representative offices) and product offering (divided into three
Product Lines Financing and Advisory, Markets, Global Transaction Banking that consolidate the breadth of the Group’s CIB know-how).
Income statement, key ratios and indicators
CORPORATE & INVESTMENT BANKING
Operating income
Operating costs
Net write-downs on loans and provisions for
guarantees and commitments
Net operating profit
Profit before tax
Customers loans (net Repos and IC)
Customers depos (net Repos and IC)
Total RWA Eop
EVA (€ million)
Absorbed Capital (€ million)
ROAC
Cost/Income
Cost of Risk
Full Time Equivalent (eop)
YEAR
2019
3,901
(1,526)
(106)
2,270
2,041
78,888
52,794
80,648
673
10,427
+ 13.2%
+ 39.1%
8 bps
3,161
2018
3,799
(1,556)
(76)
2,167
1,369
81,354
45,301
81,598
(22)
10,028
+ 8.9%
+ 41.0%
7 bps
3,234
%
CHANGE
+ 2.7%
- 2.0%
+ 39.0%
+ 4.8%
+ 49.1%
- 3.0%
+ 16.5%
- 1.2%
n.m.
+ 4.0%
+ 4.2 p.p.
- 1.9 p.p.
2 bps
- 2.3%
2019
Q4
1,033
(399)
47
682
537
78,888
52,794
80,648
210
10,447
+ 14.1%
+ 38.6%
- 14 bps
3,161
(€ million)
% CHANGE
ON Q3 2019
+ 5.7%
+ 10.8%
n.m.
+ 11.0%
- 10.7%
- 2.1%
+ 2.8%
- 3.3%
+ 25.6%
- 2.8%
- 1.2 p.p.
+ 1.8 p.p.
- 15 bps
- 1.3%
Non Core
Non-core segment reports separately assets that the Group considers not strategic and with a poor fit to the Group’s risk-adjusted returns
framework. These businesses are managed with the final goal of reducing the overall exposure in the course of time and to improve the risk profile.
Specifically, the segment includes selected assets of Commercial Banking Italy (identified on a single deal/client basis) to be managed with a risk
mitigation approach and some special vehicles for securitization transactions.
Income statement, key ratios and indicators
NON CORE
Operating income
Operating costs
Net write-downs on loans and provisions for
guarantees and commitments(*)
Net operating profit
Profit before tax
Customers loans (net Repos and IC)
Customers depos (net Repos and IC)
Net Impaired Loans (percentage of total net loans
Non-Core)
Total RWA Eop
EVA (€ million)
Absorbed Capital (€ million)
ROAC
Cost/Income
Cost of Risk
Full Time Equivalent (eop)
YEAR
2019
(41)
(180)
(1,632)
(1,854)
(2,270)
1,886
488
100.00%
10,966
(919)
1,635
- 103.1%
n.m.
n.m.
295
2018
42
(206)
(921)
(1,085)
(1,194)
6,612
528
99.93%
12,221
(1,017)
1,975
- 40.5%
n.m.
918 bps
345
%
CHANGE
n.m.
- 12.5%
+ 77.2%
+ 70.9%
+ 90.2%
- 71.5%
- 7.5%
6.5 bps
- 10.3%
- 9.7%
- 17.2%
- 62.6 p.p.
n.m.
n.m.
- 14.7%
2019
Q4
(30)
(45)
(1,188)
(1,263)
(1,496)
1,886
488
100.00%
10,966
(252)
1,543
- 286.0%
n.m.
n.m.
295
(€ million)
% CHANGE
ON Q3 2019
n.m.
- 10.0%
n.m.
n.m.
n.m.
- 50.9%
+ 3.5%
0.8 bps
- 19.6%
+ 21.8%
- 14.8%
n.m.
n.m.
n.m.
- 7.6%
Note:
(*) The increase in item “Net write-downs on loans and provisions for guarantees and commitments” reflects for €1,049 million the higher value adjustments resulting from the update of the rundown strategy.
UniCredit ·2019 Annual Report and Accounts 57
Consolidated report on operations
Other information
Other information
Report on corporate governance and ownership structure
Within the meaning of Art.123-bis par.3 of the Legislative Decree No.58 dated 24 February 1998, the “Report on corporate governance and
ownership structure” is available in the “Governance” section of the UniCredit website (http://www.unicreditgroup.eu).
An explanatory chapter on the corporate governance structure is likewise included below in this document (“Corporate Governance”).
Report on remuneration
Pursuant to Art.123-ter of the Legislative Decree dated 24 February 1998 No.58 and of Art.84-quater, of the Consob Issuers’ Regulations, the
“Group Remuneration Policy and Report” is available on UniCredit’s website (http://www.unicreditgroup.eu).
Non-financial information
During 2019 the Group took decisive steps towards the integration of sustainability topics within our business strategy. There was a strong focus on
Ethics and Respect, with the issuing of global policies on anti-retaliation, harassment, bullying and sexual misconduct. Further to that the Group did
a great effort in order to communicate its approach and commitments towards sustainability topics, which were publicly announced in November
2019 with a set of Environmental and Social targets.
Pursuant to articles 3 and 4 of Legislative Decree 254/2016, the Integrated Report, published on UniCredit website (http://www.unicreditgroup.eu)
constitutes the Non-financial Declaration and it covers more in detail the sustainability strategy and 2019 achievements.
Research and development projects
In 2019, UniCredit S.p.A.’s Research & Development Department primarily focused on:
Exceed: R&D has been involved in Exceed project aimed at the creation of an electronic market of domestic liquidity within the Group. This
involvement has ended in June, as the project is currently in development by Group’s “Markets” division;
Lupin: an artificial intelligence model is under development to automatically compare signatures and other information on cheques;
Gyros: automatic analysis of document within artificial intelligence models in order to verify the correct grant of loans;
Pizza: requested by Group Compliance, is to automatically analyse the Loans documents, in order to verify coherence and completeness between
the offer form and the contract;
Invicta: requested by Group Cost Management, Invicta project aims at automatically dispatch the electronic invoices, to be processed by the
correct owner;
Pitchbook: requested by Commercial Banking Italy and Commercial Banking Central Eastern Europe, aims at automatically generate customer-
tailored commercial offers, based on the analysis of the balance sheets. Currently R&D is completing the prototyping phase.
Group activities development operations and other corporate transactions
Transactions and initiatives involving shareholdings
Reduction of UniCredit stake in Yapi Kredi Bank below 32%
On 30 November 2019, UniCredit S.p.A. and Koç Group entered into a set of agreements related to certain shares transfers (as better described
below) and to the termination of the exisiting shareholders agreement related to Koç Finansal Hizmetleri A.S. (“KFS”), the Turkish joint venture
vehicle through which Koç Group and UniCredit have run a commercial banking operation in Turkey since 2002.
In particular, the agreements signed entailed that, at the closing of the transaction occurred on 5 February 2020:
Koç Group has acquired UniCredit’s entire 50% shareholding in KFS, thereby becoming the sole owner of KFS,
KFS simultaneously has sold 31.93% and 9.02% stakes in Yapı ve Kredi Bankası A.Ş. (“YKB”) to UniCredit and Koç Holding A.Ş. (“Koç Holding”),
respectively, and
simultaneously, the shareholders agreement related to KFS have been terminated.
58 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Other information
As a result, at closing, UniCredit owns a direct 31.93% stake in YKB, with a reduction in participation by 9.02% (from an indirect 40.95% stake, to a
direct 31.93% stake).
For further information on the transaction refer to Consolidated financial statement - Notes to consolidated accounts - Part B - Section 7 - Equity
investments.
For further details refer to paragraph “Subsequent events” of this Consolidated report on operations.
Disposal of SIA UniCredit Leasing
On 10 December 2019, UniCredit S.p.A. signed a binding agreement with AS Citadele banka for the disposal of SIA UniCredit Leasing, its 100%
subsidiary active in the Baltics. Closing of the transaction, subject to regulatory approvals, is expected in first half 2020.
Disposal of FinecoBank S.p.A.
Accelerated bookbuilding of 17% of FinecoBank S.p.A. and exit from UniCredit group
On 7 May 2019, UniCredit S.p.A. announced the launch of a placement of ordinary shares in FinecoBank S.p.A. representing 17% of the issued
share capital, compared to 35.3% held on the same date. On 8 May 2019 the successful completion of the transaction has been announced
following the placement to institutional investors of No.103.5 million of ordinary shares at a price of €9.80 per share. The price represented a
discount of 4.4% to the last pre-announcement closing price of FinecoBank S.p.A. Gross proceeds in favour of UniCredit S.p.A. amounted to €1,014
million.
Before the abovementioned announcement, on the same day, UniCredit S.p.A. and FinecoBank S.p.A. announced a series of actions and
procedures aimed at ensuring FinecoBank S.p.A. ability to operate independently in case of exit from the UniCredit group. In this context, the parties
have entered into a framework agreement concerning, inter alia:
a financial guarantee contract granted by UniCredit S.p.A. in favour of FinecoBank S.p.A. in order to neutralise the credit risk exposure of
FinecoBank S.p.A. against UniCredit S.p.A.;
a contract that allows FinecoBank S.p.A. to use, free of charge, certain names and trademarks containing the term "Fineco”, owned by UniCredit
S.p.A., together with the provision of an American option in favour of FinecoBank S.p.A. for the acquisition of the brand;
a Master Service Agreement for the supply of certain services for a specific period of time by UniCredit group in favour of FinecoBank S.p.A.
Following the completion of the placement's settlement, on 10 May 2019 UniCredit S.p.A. informed that FinecoBank S.p.A. was no longer part of the
Group.
Accelerated bookbuilding of UniCredit’s residual stake in FinecoBank S.p.A.
On 8 July 2019, UniCredit S.p.A. announced the launch of a placement of the residual stake held in FinecoBank S.p.A., equal to 18.3% of the issued
share capital, that lead to the placement to institutional investors of No.111.6 million of ordinary shares at a price of €9.85 per share. The price
represents a discount of 4.4% to the last pre-announcement closing price of FinecoBank S.p.A. Gross proceeds in favour of UniCredit S.p.A.
amounted to €1,099 million.
Exercise of the option for the purchase of the brand “Fineco” by FinecoBank S.p.A.
By exercising the option provided by the contract stipulated with UniCredit S.p.A., in November 2019 FinecoBank S.p.A. purchased the brand
“Fineco” at the price of €22.5 million. The change of ownership at the relevant trademark offices, where the brand “Fineco” is registered, is in
progress.
For further details on terms of Fineco’s transaction, refer to Consolidated financial statements - Notes to the consolidated accounts - Part A - A.1
General - Section 3. Consolidation scope and methods.
Accelerated bookbuilding of 8.4% of Mediobanca
On 6 November 2019, UniCredit S.p.A. announced the launch of a placement of its total stake held in Mediobanca - Banca di Credito Finanziario
S.p.A., equal to 8.4% of the issued share capital. On the same day, the successful completion of the transaction has been announced, following the
placement to institutional investors of No.74.5 million of ordinary shares at a price of €10.53 per share. The price represented a discount of 2.3% to
the last pre-announcement closing price of Mediobanca. Gross proceeds of the placement amount to €785 million.
For further information on the transaction refer to Consolidated financial statement - Notes to consolidated accounts - Part B - Section 7 - Equity
investments.
UniCredit ·2019 Annual Report and Accounts 59
Consolidated report on operations
Other information
Disposal of UniCredit’s indirect stake in SwanCap Partners
In April 2019, UniCredit S.p.A. sold its entire non-control shareholding in SwanCap Partners GmbH ("SwanCap"), held through UniCredit Bank AG,
to funds advised by Ardian realizing a gain on disposal of about €16 million.
SwanCap is specialised in private equity (“PE”) buyouts, offering an integrated approach to its predominantly institutional investors by combining PE
primary investments, direct secondaries and direct co-investments.
Disposal of Ocean Breeze, a German offshore wind farm
In December 2019, UniCredit S.p.A. sold Ocean Breeze Energy GmbH & Co. KG ("Ocean Breeze"), held through UniCredit Bank AG, to Macquarie
Infrastructure and Real Assets.
Ocean Breeze is the owner and operator of the 400MW offshore wind farm BARD Offshore 1, the first operative offshore wind farm in the German
North Sea.
Reorganisation of the activities carried out by UniCredit Services S.C.p.A.
In February 2019 UniCredit approved the reorganisation project of the activities carried out by its subsidiary UniCredit Services S.C.p.A. through the
transfer to UniCredit S.p.A. of the Italian activities related to "operations" and "real estate" business carried out by UniCredit Services in Italy for the
benefit of Italian customers.
The transfer of the activities is expected to generate benefits in terms of synergies and simplification of procedures and/or complexities reduction
and governance enhancement, also through a clearer accountability and controlling process.
The reorganisation project, which obtained the European Central Bank authorisation in April 2019, took place through a partial non-proportional and
asymmetric demerger of UniCredit Services in favor of UniCredit; in July 2019 the aforementioned demerger was approved by the extraordinary
shareholders' meeting of UniCredit Services and by the Board of Directors of UniCredit, according to the provisions of Article 2505-bis of the Italian
Civil Code; the project was completed on 1 September 2019.
Foundation of UniCredit Leased Asset Management S.p.A.
Within the goal of accelerating the rundown of the non-core portfolio by 2021, in April 2019 UniCredit Leased Asset Management S.p.A., a company
entirely owned by UniCredit Leasing S.p.A., was set up to optimise the property management returned to UniCredit Leasing and preserve the value
of the real estate guarantees underlying loans to Group customers, through auction activity intervention, in order to allow a better valuation and a
more efficient placement of the property on the market.
The new company, whose target is on real estate assets from business activities, became operative after the spin-off of the Leased Asset
Management branch division and the previously repossessed property of UniCredit Leasing.
Acquisition of a shareholding in Salini Impregilo S.p.A.
In November 2019, as part of a capital increase of a total of €600 million approved by Salini Impregilo S.p.A. (one of the major global players in the
construction of large complex infrastructures sector), UniCredit subscribed a 5.26% stake in Salini's capital with an investment of €70.5 million; the
aforementioned increase was also subscribed by a significant pool of qualified investors.
The project is aimed at strengthening and relaunching the national major works and construction sector, creating a group able to compete abroad on
an equal footing with international rivals.
UniCredit, together with other shareholders (Salini Costruttori, CDP Equity, Intesa Sanpaolo and Banco BPM), has entered into a 6-month lock-up
commitment starting from the date of subscription of the shares.
Foundation of UniQLegal società tra avvocati per azioni
In December 2019, UniCredit, together with the law firms Nctm and La Scala, established “UniQLegal società tra avvocati per azioni”, new initiative
created to meet UniCredit group’s specific legal services requirements; specifically the necessity to effectively manage passive banking litigation and
recurring legal advice with the aim to become a true reference point of banking law in Italy.
The partnership, whose capital is held by the law firms Nctm and La Scala with 45.5% each and by UniCredit with 9%, will enable to leverage the
partner firms’ considerable experience and advanced management technologies with the skills and processes of Group Legal, creating a centre of
professional excellence characterised by specialised know-how, ability to investment, technological innovation, new organisational models and
economies of scale that will lead to a new standard in the provision of specialised legal services.
Sale initiatives of non-performing portfolios
The portfolios’ sale is part of the overall UniCredit group's on-going strategy to reduce non-performing exposure ("NPE") and to sell Non Core
assets.
60 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Other information
Sales initiatives of the parent company UniCredit S.p.A.
Sale of an Italian Consumer unsecured non-performing credit portfolio
On 12 April 2019 UniCredit S.p.A. reached an agreement with MBCredit Solutions ("MBCS") in relation to the disposal on a non-recourse basis (pro-
soluto) of a non-performing unsecured consumer credit portfolio which entirely consists of Italian unsecured consumer credits with a total legal claim
value, gross of write-downs and write-offs mainly, of approximately €51 million, a gross book value at the transfer date of approximately €48 million
and a net book value, at the transfer date, of approximately €7 million.
Non-performing loans included in this portfolio have been derecognised in the second quarter 2019, with the recognition of the economic impact in
the same quarter.
UniCredit S.p.A. and MBCS have also reached an agreement for the disposal of up to €160 million of Italian unsecured consumer loans of the same
nature, originated from the first quarter of 2019 to the end of the year.
The additional sales performed during the year 2019 involved credit exposures with a total legal claim value, gross of write-downs and write-offs
mainly, of approximately €140 million, a gross book value at the transfer date of approximately €136 million and a net book value, at the transfer
date, of approximately €21 million.
Sale of an Italian Small Medium Enterprise unsecured non-performing loans portfolio of €1.1 billion
On 25 July 2019 UniCredit S.p.A. announced an agreement with a securitisation vehicle financed by SPF Investment Management, L.P. in relation
to the sale of an Italian Small and Medium Enterprise non-performing unsecured loans portfolio, on a non-recourse basis (pro-soluto).
The portfolio consists of granular Italian exposures (small tickets) with total legal claim value, gross of write-downs and write-offs mainly, of
approximately €1.1 billion, a gross book value at the transfer date of approximately €964 million and a net book value, at the transfer date, of
approximately €55 million.
The economic impact of the disposal was recognised in the accounting measurement of these NPLs in the second quarter 2019.
Sale of an Italian Small Medium Enterprise unsecured non-performing loans portfolio
On 26 July 2019 UniCredit S.p.A. announced an agreement with a securitisation vehicle managed by illimity S.p.A. ("illimity") and a securitisation
vehicle managed by Guber S.p.A. ("Guber"). The agreement concerns the disposal of an Italian Small and Medium Enterprise non-performing
unsecured loans portfolio, on a non-recourse basis (pro-soluto).
The portfolio entirely consists of Italian large-ticket exposures with a total legal claim value, gross of write-downs and write-offs mainly, of
approximately €450 million.
Illimity bought a portion of the portfolio with a claim value of approximately €240 million, a gross book value at the transfer date of approximately
€193 million and a net book value, at the transfer date, of approximately €12 million, and Guber bought approximately €210 million, a gross book
value at the transfer date of approximately €168 million and a net book value, at the transfer date, of approximately €8 million.
The impact was recognised in the second quarter 2019 financial statements.
Sale of an Italian Small Medium Enterprise secured non-performing loans portfolio
On 27 July 2019 UniCredit S.p.A. announced an agreement with a securitisation vehicle managed by Illimity S.p.A. ("Illimity"). The agreement
concerns the disposal of an Italian Small and Medium Enterprise non-performing secured loans portfolio, on a non-recourse basis (pro-soluto).
The portfolio entirely consists of Italian exposures with a total gross claim value of approximately €730 million, a gross book value at the transfer
date of approximately €607 million and a net book value, at the transfer date, of approximately €142 million.
The impact was recognised in the third quarter 2019.
Sale of a non-performing loans Residential Mortgage portfolio to PRISMA SPV
On 11 October 2019 UniCredit S.p.A. transferred an NPL Residential Mortgage Portfolio of €4.1 billion Gross Book Value (€6.1 billion claims to a
securitisation vehicle, PRISMA SPV S.r.l. (PRISMA) with the transaction structured by UniCredit Bank AG as Sole Arranger.
On 18 October 2019 PRISMA issued three classes of notes: €1.21 billion senior note, €80 million mezzanine note and €30 million junior note, fully
subscribed by UniCredit S.p.A. The senior and the mezzanine notes are rated by Moody's (Baa1 and B3 respectively) and by Scope (BBB+ and B-
UniCredit ·2019 Annual Report and Accounts 61
Consolidated report on operations
Other information
respectively).The Securitisation has been structured for complying with the new GACS law issued on 25 March 2019 and the senior note aims at
obtaining the GACS guarantee (Garanzia sulle Cartolarizzazioni delle Sofferenze).
On 5 November 2019 UniCredit entered into a binding agreement to dispose 95% of the mezzanine and junior notes to a financial institution not
belonging to the Group, while retaining the 5% required by regulation as Originator net economic interest in PRISMA. Following the completion of
this agreement, UniCredit proceeded with the cancellation (derecognition) of the transferred loans from the Assets.
Italfondiario and doValue act respectively as Master and Special Servicer of the Securitisation while Securitisation Services S.p.A. (Banca Finint
Group) covers the roles of Monitoring Agent, Calculation Agent, Representative of Noteholders and Back-up Servicer Facilitator.
UniCredit Bank AG and JPMorgan acted as Placement Agents of the mezzanine and junior notes and the latter acts also as Settlement Agent.
UniCredit Bank AG covers also the roles of swap counterparty and liquidity line provider for PRISMA.
On 27 December 2019 Italian Minister of Economy and Finance recognised the GACS as a guarantee for the repayment of the senior notes.
With reference to the regulatory treatment applied as of the fourth quarter 2019, UniCredit, following the notification to the European Central Bank,
represented the related significant risk transfer when reporting the transaction above outlined.
For further detail on the initiative refer to Company financial statement - Notes to the accounts - Part E - Information on risks and hedging policies -
Section 1 - Credit Risk - Quantitative information - “Prisma transaction”.
Sale to Guber, Barclays and IFIS of an unsecured non-performing Italian leasing credit portfolio by
UniCredit Leasing S.p.A.
On 16 December 2019 UniCredit S.p.A. announced an agreement with Guber Banca and Barclays Investments Bank and Banca IFIS for the
disposal of an unsecured non performing Italian leasing loans portfolio, on a non-recourse basis (pro-soluto).
The portfolio entirely consists of Italian exposures with a gross claim value of approximately €154 million as at 30 June 2019 and a gross book value
at the transfer date of approximately €137 million. The economic impact of the disposal was reflected in the fourth quarter 2019 financial statements.
Guber Banca and Barclays Investments Bank bought, through a securitisation vehicle "SPV", a portion of the portfolio with a claim value of
approximately €112 million and Banca IFIS bought the remaining portion for approximately €42 million.
Other sales initiatives
UniCredit Bank Hungary sold a non-performing credit portfolio to EOS Faktor Zrt. and reached an
agreement for a three-years forward flows program
On 17 July 2019 UniCredit informed that, through its subsidiary UniCredit Bank Hungary, concluded an agreement in relation to the disposal on a
non-recourse basis (pro-soluto) of a portfolio composed of retail mortgages, unsecured and overdrawn accounts receivables with the locally-licensed
Hungarian financial enterprise EOS Faktor Zrt.
The portfolio entirely consists of Hungarian loans with a total legal claim value, gross of write-downs and write-offs mainly, of approximately €28
million (HUF 9,0 billion) a gross book value at the transfer date of approximately €14 million.
In addition, UniCredit Bank Hungary has signed with EOS Faktor Zrt. a 3-year agreement forward flow program on the new non-performing loans
inflows in the mortgages, unsecured consumer, predefined SME loans and overdrawn accounts segments.
The loans included in this portfolio were derecognised in the second quarter 2019, with the recognition of the economic impact of the disposal in the
same quarter.
Sale of a Bosnian non-performing credit portfolio to B2 Kapital d.o.o., part of the B2Holding group
On 4 July 2019 UniCredit announced that, through its subsidiaries UniCredit a.d. Banja Luka and UniCredit Bank d.d. Mostar, reached an agreement
with B2 Kapital d.o.o., part of the B2Holding group, for the disposal of a portfolio on a non-recourse basis (pro-soluto) composed of secured and
unsecured non-performing loans granted by UniCredit a.d. Banja Luka and UniCredit Bank d.d. Mostar to SME's and Corporate customers.
The portfolio entirely consists of Bosnian loans with total legal claim value, gross of write-downs and write-offs mainly, of approximately €24.5 million
and a gross book value at the transfer date of approximately €15.6 million. The accounting derecognition of NPLs included in this portfolio, started
during the second quarter 2019, was completed in the third quarter 2019.
The economic impact of the disposal was recognised in the accounting measurement of these NPLs in the second quarter 2019.
62 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Other information
Zagrebacka banka sells a non-performing credit portfolio of €203.3 million to DDM Group
On 20 September 2019 UniCredit announced, through its subsidiary Zagrebačka banka, the signing of a loan sale and purchase agreement with
DDM, in relation to the disposal on a non-recourse basis (pro-soluto) of a non-performing exposures portfolio composed of loans granted to
corporate, SME and private individual customers.
The portfolio entirely consists of Croatian loans with total claim value, gross of write-downs and write-offs mainly, of €203.3 million and a gross book
value at the transfer date of approximately €137.7 million.
The economic impact of the disposal was recognised in the accounting measurement of these NPLs in the second quarter 2019
AO UniCredit Bank sells Russian non-performing credit portfolio of €45.2 million to EOS Group
On 24 September 2019 UniCredit announced, through its subsidiary AO UniCredit Bank (Russia), the signing of a loan sale and purchase
agreement with EOS Group, in relation to the disposal on a non-recourse basis (pro-soluto) of non-performing exposures portfolio composed of
loans granted to private individual customers. The portfolio entirely consists of Russian loans with a total claim value of €45.2 million, equal to the
gross book value.
The economic impact of the disposal was recognised in the third quarter 2019 financial statements.
Sale of a Bulgarian non-performing credit portfolio to APS and Balbec Capital
On 18 November 2019 UniCredit announced that, through its subsidiary UniCredit Bulbank (Bulgaria), an agreement was reached with APS and
Balbec Capital to sell on a non-recourse basis (pro-soluto) a portfolio composed of secured and unsecured non-performing loans granted by
UniCredit Bulbank to SME and Corporate customers.
The portfolio entirely consists of Bulgarian loans with a Legal Claim, gross of write-downs and write-offs mainly, value of approximately €50 million
and a gross book value at the transfer date of approximately €15.8 million.
The economic impact of the disposal was recognised in the fourth quarter 2019.
Other information on Group activities
FINO Project
In relation to the FINO Project (started in 2016 and completed in 2018), as at 31 December 2019, following the redemptions made, the Notes (Asset
Backed Securities) owned by UniCredit S.p.A. amounted totally about €215 million (about €164 million recorded under item “30. Financial assets at
fair value through other comprehensive income” pertaining to the Senior securities and in part to the Mezzanine securities, and €51 million recorded
under item “20. Financial assets at fair value through profit or loss c) other financial assets mandatorily at fair value” in connection with the remaining
Mezzanine securities and all the Junior Notes). The evaluation of the Notes classified among other assets mandatorily at fair value led in 2019 to a
negative impact of about €9 million, while the Notes classified among financial assets at fair value through other comprehensive income an
impairment has been recognised for approximately €22 million, due to the change in estimation of expected cash flows of the underlying securitised
loans.
The receivables related to the Deferred Subscription Price (DSP/Deferred Purchase Price-DPP), owed to UniCredit S.p.A. by third-party entities
belonging to the relevant third-party Investor's groups, with suitable credit rating and a capital structure that can guarantee that the repayment of the
DSP/DPP does not depend, either in full or mainly, on the payment of ABSs issued by the SPVs Fino 1 Securitisation S.r.l., Fino 2 Securitisation
S.r.l. and Onif Finance S.r.l., and deriving from the securitisation transactions completed during 2017, have been classified under item “40. Financial
assets at amortised cost” according to IFRS9, and measured on the basis of the estimated future cash flows. During 2019, in alignment with the
contractual deadlines, the DSP/DPPs have been reimbursed for an amount of €335 million (equal to approximately 64% of the original amount). As
at 31 December 2019 they remain to approximately €184 million, and include, among others, for around €6 million, the positive effect (recognised in
item “10. Interest income and similar revenues” of the income statement as at 31 December 2019) connected with the reversal of the time value in
respect to 31 December 2018.
Issue of dual tranche 3-Year Senior Non-Preferred Notes for a total amount of $3 billion
On 9 January 2019 the parent company UniCredit S.p.A. issued $2.5 billion Fixed Rate Notes and $0.5 billion Floating Rate Notes, both due on 14
January 2022 (collectively, the "Notes") for a total combined amount of $3 billion.
This transaction is the third on the Senior Non-Preferred market by UniCredit S.p.A. following its inaugural €1.5 billion 5-year issue in January 2018
and the $3 billion 5-year issue occurred in November 2018.
The bonds will be eligible for the forthcoming of Total Loss Absorbing Capacity (TLAC) requirement improving the subordination ratio by
approximately 72bps.
This transaction is part of UniCredit's TLAC funding plan for which the company had announced planned issuances of €3 to €5 billion by the end of
the first quarter of 2019 during the third quarter of 2018 results presentation.
UniCredit ·2019 Annual Report and Accounts 63
Consolidated report on operations
Other information
UniCredit Services S.C.p.A admitted to the Italian cooperative compliance regime with the Italian
Revenue Agency
On 18 January 2019 UniCredit Services S.C.p.A., the service company of UniCredit group, informed that it has been admitted to the Italian
cooperative compliance regime with the Italian Revenue Agency, pursuant to Legislative Decree No.128/2015, with effect from 2017.
As already happened in 2017 for UniCredit S.p.A. (which was bank admitted in the register of the Italian Revenue Agency with effect from 2016), the
participation of UniCredit Services S.C.p.A.to this compliance regime contributes to further strengthen the Group’s standing, with two companies
now admitted, among the significant taxpayers operating as part of the regime.
This is a fundamental milestone showing the strength of UniCredit group’s accountability process, an important element of our fair and efficient fiscal
strategy, also considering that UniCredit group is already joining the tax cooperative compliance schemes in other countries where it is present.
Reorganisation of the Senior management team to prepare the strategic plan
On 6 February 2019 UniCredit group announced a reorganisation project of its Senior management team as it began the development of its 2020-23
strategic plan, which was presented to the markets in London on 3 December 2019. For further details about the reorganisation of the Senior
management team, refer to the information already provided in the section “Corporate Governance” of Consolidated report and accounts 2018 of
UniCredit group.
Issue of a 10-year subordinated Tier 2 bond for an amount of €1 billion
On 13 February 2019 the parent company UniCredit S.p.A. launched a Tier 2 subordinated benchmark bond with a 10-year maturity and callable
after 5 years. The amount issued amounts to €1 billion.
The transaction saw strong demand from almost 200 institutional investors, mainly funds with 75% of the final allocation, and had an order-book of
around €2 billion, which originated mainly from: France (40%), Italy (28%), United Kingdom and Ireland (11%), followed by Germany and Austria
(8%).
Issue of €1 billion Additional Tier 1 PerpNC 6/2026 Notes (AT1)
On 12 March 2019 the parent company UniCredit S.p.A. issued Non-Cumulative Temporary Write-Down Deeply Subordinated Fixed Rate
Resettable Notes - Additional Tier 1 (AT1), for a total amount of €1 billion targeted to institutional investors.
UniCredit S.p.A. decided to proceed with the transaction to continue to strengthen its regulatory capital taking advantage of the positive market
window.
The Additional Tier 1 notes contributed to improve the Tier 1 ratio for approximately 27 bps and were part of UniCredit's 2019 TLAC Funding plan.
The Notes were distributed to different institutional investor categories such as funds (90%), banks/private banks (7%) and insurance companies
(3%).
The demand came mainly from the United Kingdom (65%), Italy (9%), France (6%) and US-offshore (4%).
Issue of Fixed Rate Tier 2 Subordinated 15NC10 Notes for $1.25 billion
On 27 March 2019 the parent company UniCredit S.p.A. placed Tier 2 Notes targeted to institutional investors for a total amount of $1.25 billion.
This transaction allowed UniCredit S.p.A. to be well ahead in the execution of the 2019 TLAC Funding Plan, contributing to further strengthen the
Total Capital Ratio.
The book building process generated approximately $2.5 billion in demand, with a very granular distribution attracting orders from over 100 global
accounts: 80% from United States/Canada, 7% from the United Kingdom, 3% from Italy, 3% from France and 3% from Asia.
The Notes were distributed to different institutional investors' categories such as funds (94%), insurance companies/pension funds (4%) and
banks/private banks (2%).
Project Sandokan 2. UniCredit, Pimco, GWM and Aurora Recovery Capital (AREC) agree on the
expansion of the Sandokan securitisation programme
The Sandokan programme, started in 2016 with circa €1.3 billion gross book value of large secured loans) has continued with the implementation of
"Sandokan 2" a co-investment programme between the parent company UniCredit S.p.A., Pimco, GWM and Aurora Recovery Capital (“AREC”).
The final agreement was executed on 5 June 2019. Through the transaction, management and special servicing activities relating to the Sandokan 2
portfolio have been transferred to AREC, a special servicer owned by Finance Roma, GWM and PIMCO, to optimise the effectiveness in the
handling of medium and long-term real estate loans.
The expanded Sandokan platform will help to increase the future value of loans through a proactive asset management, innovative solutions and
new funding, when and where needed.
The transaction do not result in the derecognition of UniCredit's portfolio.
64 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Other information
The loans are transferred place in multiple tranches to Yanez SPV, the Sandokan programme securitisation vehicle, whose first one took place in
June 2019.
Sandokan 2, part of the Sandokan programme, is expected to include loans up to a maximum amount of €2 billion gross book value.
The subscribed agreement aims to generate a potential economic benefit by developing the assets included. It is built on the strong relationship
developed in the last 4 years between UniCredit S.p.A., PIMCO, GWM and AREC.
UniCredit first European bank issuing a Senior Preferred benchmark callable
On 18 June 2019 the parent company UniCredit S.p.A. launched a Senior Preferred benchmark with a 6-year maturity and callable after 5 years.
The amount issued amounts to €1.25 billion and it is the first callable Senior Preferred benchmark issued by an European bank.
The transaction was an extraordinary success with orders amounting to €4,3 billion placed by 300 institutional investors.
The bond was distributed to various types of institutional investors, such as funds (77%), banks/private banks (14%), insurance companies (4%) and
governmental institutions (4%). The geographical distribution was the following: France (24%), United Kingdom (24%), Germany/Austria (11%) and
Italy (10%).
Issue of a callable Senior Non-Preferred
On 26 June 2019 the parent company UniCredit S.p.A. launched its first callable Senior Non-Preferred, raising a total of €750 million. Targeted at
institutional investors, with 6-year maturity, callable after 5 years.
The bond was placed across various institutional investor categories, comprising funds (76%), banks/private banks (12%), insurance companies
(7%) and official institutions (4%). The demand came from the following main regions: France (44%), United Kingdom (17%), Germany/Austria
(11%) and Italy (10%).
Sale of USD 200 million of the USD 650,000.000 Perpetual Fixed Rate Resettable Additional Tier 1
Notes (the "AT1 Notes") issued by Yapı ve Kredi Bankası A.Ş.
On 7 August 2019 the parent company UniCredit S.p.A. sold USD 200million of the AT1 Notes issued by Yapi. This followed the completion of the
period of 180 days from the issue date of the AT1 Notes in which it was agreed with the issuer that UniCredit would not have sold any of the AT1
Notes purchased by UniCredit in the initial offering.
Issue of a 10 year subordinated Tier 2 bond with a 2% coupon for an amount of €1.25 billion
On 16 September 2019 the parent company UniCredit S.p.A. launched a Tier 2 subordinated benchmark with 10 year maturity, callable after 5
years. The amount issued is equal to €1.25 billion and represents the third Tier 2 issuance in 2019, reaffirming once again UniCredit's solid fixed
income investors base and its market access in different formats.
The bond pays a fixed coupon of 2.00% during the first 5 years, and has an issue price of 99.783%, equivalent to a spread of 240bps over the 5
year swap rate. If the issuer does not call the bonds after 5 years, the coupon for the subsequent period until maturity will be reset on the base of the
5 year swap rate at the end of the fifth year, increased by the initial spread.
Goldman Sachs, HSBC, Mediobanca, Société Générale CIB, UBS and UniCredit Bank AG have managed the placement acting as joint
bookrunners.
Agreement with B&C Privatstiftung Foundation for the disposal of its ultimate beneficiary position
On 1 October 2019 the parent company UniCredit S.p.A. signed an agreement with B&C Privatstiftung Foundation for the disposal of its ultimate
beneficiary position and an agreement regarding all former rights in the foundation.
For further details refer to Consolidated financial statements - Notes to consolidated accounts - Part C - Consolidated income statement - Section 17
- Gains (Losses) of equity investments.
Issue of a 5.5 Year Senior Preferred Fixed Rate for an amount of €1 billion
On 2 October 2019 the parent company UniCredit S.p.A. launched a Senior Preferred benchmark with a "long" 5 year maturity, taking advantage of
current positive market conditions. The amount issued is equal to €1 billion.
In particular, the bond pays a fixed coupon of 0.50%, and has an issue price of 99.919%.
UniCredit Bank AG acted as Sole Book Runner and Lead Manager. CA-CIB, Credit Suisse, ING, JPM and Santander acted as Joint Lead Managers
(no books).
UniCredit ·2019 Annual Report and Accounts 65
Consolidated report on operations
Other information
UniCredit 2015 data incident
On 28 October 2019 the UniCredit S.p.A. cyber security team identified a data incident involving a file generated in 2015 containing a defined set of
approximately 3 million records limited to the Italian perimeter. The records consist of names, city, telephone number and email only. Consequently
no other personal data or any bank details permitting access to customer accounts or allowing for unauthorised transactions have been
compromised.
UniCredit immediately launched an internal investigation and informed all the relevant authorities, including the Police.
The Bank contacted all potentially affected persons exclusively by post and/or online banking notifications.
Customer data safety and security is UniCredit's top priority and since the 2016 launch of Transform 2019, the Group has invested an additional
€2.4 billion in upgrading and strengthening its IT systems and cyber security. In June 2019, the Group implemented a new strong identification
process for access to its web and mobile services, as well as payment transactions. This new process requires a onetime password or biometric
identification further reinforcing its strong security and client protection.
2019 EU-wide Transparency Exercise
On 29 November 2019 UniCredit noted the announcements made by the European Banking Authority (EBA) and the European Central Bank (ECB)
regarding the information of the 2019 EU-wide Transparency Exercise and fulfilment of the EBA Board of Supervisors' decision.
ECB lowers SREP Pillar 2 Capital Requirement by 25 basis points to 175 basis points
On 2 December 2019 UniCredit was informed by the European Central Bank ('ECB') of its final decision concerning capital requirements following
the results of its annual Supervisory Review and Evaluation Process ('SREP').
As a result of the strengthening and de-risking of its balance sheet and given the successful execution of Transform 2019, the ECB improved the
risk evaluation of UniCredit compared to 2018. As a consequence, the Single Supervisor has lowered UniCredit's SREP Pillar 2 Capital Requirement
(P2R) by 25 basis points to 175 basis points.
Update MREL requirement to 10.67 percent of TLOF from June 2022
On 2 December 2019 the parent company UniCredit S.p.A. received from the Single Resolution Board and Banca d'Italia the updated decision on
the Minimum Requirement for Own Funds and Eligible Liabilities (MREL), which superseded the previous one communicated in May 2018.
UniCredit S.p.A. shall comply with MREL on a consolidated basis at the level of 10.67 percent of Total Liabilities and Own Funds (TLOF), of which
8.29 percent shall be met with subordinated instruments taking into account an allowance of 2.5 percent of Risk Weighted Assets (RWAs), which
shall be reached by 30 June 2022 and from that day shall be met at all times.
Team 23 - UniCredit 2020-2023 Strategic Plan
On 3 December 2019 presented UniCredit 2020-2023 Strategic Plan which foresees a clear commitment to deliver €16 billion of value creation for
shareholders over the 2020-2023 Plan and the increase to 40 per cent of 2019 capital distribution.
For further details on new strategic plan refer to paragraph Main results and performance for the period - Introduction of this Consolidated report on
operations.
Mandatory settlement of the "Secured Equity-Linked Certificates to be Mandatorily Settled in
Ordinary Shares of Bank Pekao S.A. on or before 15 December 2019"
In connection with the mandatory settlement of the "Secured Equity-Linked Certificates to be Mandatorily Settled in Ordinary Shares of Bank Pekao
S.A. on or before 15 December 2019" (the "Certificates") issued by parent company UniCredit S.p.A., on 16 December 2019 (the "Settlement Date")
the outstanding Certificates were settled according to a Relevant Settlement Ratio equal to 100%. Therefore No.10,000 ordinary shares of Bank
Pekao S.A. (the "BP Shares") were delivered in respect of each Certificate.
In light of the receipt of the settlement notices for all outstanding Certificates, in accordance with the terms & conditions of the Certificates, on the
Settlement Date, a total of No.16,430,000 BP Shares were delivered to the relevant certificate holders.
66 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Other information
Organisational model
Significant organisational changes in 2019
On 6 February 2019, the Board of Directors approved the cancellation with immediate effect of the position of General Manager and the following
new organisational set up for UniCredit S.p.A., starting from 31 March, positions directly reporting to the Chief Executive Officer:
Commercial Banking Western Europe and Commercial Banking Eastern Europe, both positions covered by two co-Heads respectively
appointed (co-CEOs), responsible for all business activities for the respective perimeter of competence;
Finance & Controls centralizing in particular the activities of Planning, Finance & Administration, Identity and Communication, relations with
institutional counterparties and with Banking Regulatory Authority, credit granting activities and management;
Chief Operating Office, position covered by two co-Heads (co-COOs), focused on the oversight of the operational machine.
Organisational structure
UniCredit group organisation reflects an organisational and business model that support our aim of being a commercial bank, that ensures
autonomy to the Countries/Banks so to guarantee increased proximity to the client and faster decision-making processes, while maintaining a
divisional structure for the governance of the Corporate & Investment Banking (CIB) business/products and the business in Western Europe and
Central Eastern Europe, as well as overall control over the COO and Finance and Controls functions. Specifically:
the Chief Executive Officer (Group CEO) maintain a direct supervision on the definition of Group Strategy, Risks, Compliance, Legal and Human
Resources;
co-Heads (Co-CEOs) of Commercial Banking Western Europe and Commercial Banking Central Eastern Europe are responsible of all the
business activities, focusing on the ongoing development of client services, aiming at maximizing the cross selling, for the countries in the
respective perimeter of competence;
Finance and Controls is in charge of coordinating comprehensive process of Planning, Finance and Administration, managing Identity and
Communication activities, developing relationships with institutional counterparties, managing the relationships with the European Banking
Supervisory Authorities (e.g. EBA, ECB) and Banca d’Italia, as well as credit granting activities;
the co-Chief (co-COOs) of the Chief Operating Office are responsible for the oversight of the operating machine with a specific focus on costs
and on IT, Security & Operations development, for the transformation in the Group operating model, in coherence with the defined Group
strategies, by ensuring at the same time synergies, savings and operational excellence, together with the supervision of strategic planning and the
rationalisation of the IT developing program;
the Corporate & Investment Banking Division (CIB), position covered by CEO CIB, reporting to the appointed co-Head of CB Western Europe
and the appointed co-Head of CB Central Eastern Europe has a coverage role for the multinational clients ("Multinational"), for selected "Large
corporate" clients with a strong potential demand for investment banking products, for the Financial Institutions (FIG) and “Global Family Office” as
well as for the global product lines "Global Transaction Banking (GTB)", "Financing & Advisory (F&A)", "Markets" and for the international network;
as far as the Italian perimeter is concerned, the co-Heads (co-CEOs) CB Italy, directly reporting to the co-CEOs Commercial Banking Western
Europe, are responsible for the definition of the business strategies of the "commercial banking" and the assignment of such strategies to the
territories and to the client segments (Family, First, Business First, Corporate and Private Banking);
the functions called Competence Lines (Internal Audit, Planning, Finance & Administration, Risk Management, Lending, Legal, Compliance,
Identity & Communication, Human Capital) and the Service Lines (Group ICT, Group Security, Group Operations, Group Real Estate, Group
Procurement & Cost Management, Group Data Office, Group Institutional Affairs & Sustainability and Group Regulatory Affairs) oversee the
guidance, coordination and control of UniCredit Group's activities and manage the related risks.
UniCredit ·2019 Annual Report and Accounts 67
Consolidated report on operations
Other information
Conversion of DTAs into tax credits
With reference to financial year 2018, the conditions for a new conversion of Deferred Tax Assets (DTA) into tax credits (pursuant to Art.2,
paragraph 55, of Law Decree No.225/2010), were not verified, since the Group legal entities having a stock of Convertible DTAs registered a net
profit in their separate financial statements.
In order to preserve for the future the regime of conversion of DTAs into tax credits, and in order to overcome the issues raised by the European
Commission in connection to the application of State Aid rules, Art.11 of Law Decree No.59/2016, converted into Law No.119/2016 (as modified by
Law Decree No.237/2016, converted in to Law No.15/2017) provides for the possibility, starting from 2016 till 2030, to elect for the payment of an
annual fee equal to 1.5% of an aggregate amount deriving from the difference between:
the increase in convertible DTAs recognised at the end of the fiscal year and the convertible DTAs existing as at the end of 2007, for IRES tax,
and as at the end of 2012 for IRAP tax, taking into account the amounts already converted into tax credits;
taxes:
- IRES paid by tax group starting from 1 January 2008;
- IRAP paid registered starting from 1 January 2013 by Legal Entities included in Tax Group with convertible DTAs;
- substitute taxes that generated convertible DTAs.
The fee due for financial year 2019 was paid on 28 June 2019 for an overall amount of €114.2 million relating to the whole Italian Tax Group, of
which €109.5 million for UniCredit S.p.A., €4.4 million for UniCredit Leasing S.p.A. and €0.3 million for UniCredit Factoring.
68 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Other information
Certifications and other communications
With reference to the “Rules of Markets organised and managed by Borsa Italiana S.p.A.” dated 3 October 2011 (Title 2.6 “Obligations of issuers”,
Section 2.6.2. “Disclosure requirements”, paragraph 10) the satisfaction of conditions provided by Section 36 of Consob Regulation No.16191/2007,
letters a), b) and c) is hereby certified.
With reference to paragraph 8 of Art.5 - “Public information on transactions with related parties" of Consob Regulation containing provisions relating
to transactions with related parties (adopted by Consob with Resolution No.17221 of 12 March 2010, as subsequently amended by Resolution
No.17389 of 23 June 2010), it should be noted that:
a) according to the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex art.136 CBA” adopted by the
Board of Directors of UniCredit S.p.A. on 6 February 2019, and published on the website www.unicreditgroup.eu, during 2019 the Bank’s Presidio
Unico received no reports of transactions of greater importance ended in the period;
b) during 2019, no transactions with related parties as defined by article 2427, paragraph 22-bis of the Civil Code were conducted, under different
conditions from normal market conditions and materially affecting the Group’s financial and economic situation;
c) during 2019, there were no changes or developments in the individual transactions with related parties already described in the latest annual
report that had a material effect on the Group’s financial position or results during the reference period.
For more information on related-party transactions refer to Notes to the consolidated accounts - Part H.
Information on risks
For a complete description of the risks and uncertainties that the Group must face under the current market conditions, refer to the appropriate
section in the Consolidated financial statements - Notes to the consolidated accounts - Part E.
UniCredit ·2019 Annual Report and Accounts 69
Consolidated report on operations
Subsequent events and outlook
Subsequent events and outlook
Subsequent events18
On 8 January 2020 the parent company UniCredit S.p.A. launched a Tier 2 subordinated benchmark with 12 year maturity, callable after 7 years.
The amount issued is equal to €1.25 billion and represents the first Tier 2 issuance in 2020, reaffirming UniCredit's solid fixed income investors base
and its market access in different formats.
The bond pays a fixed coupon of 2.731% during the first 7 years, and has an issue price of 100%, equivalent to a spread of 280 bps over the 7 year
swap rate. If the issuer does not call the bonds after 7 years, the coupon for the subsequent period until maturity will be reset on the base of the 5
year swap rate at the end of the seventh year, increased by the initial spread.
Barclays, BBVA, Credit Agricole CIB, Mediobanca, Morgan Stanley and UniCredit Bank AG have managed the placement acting as joint
bookrunners.
On 13 January 2020 the parent company UniCredit S.p.A. launched €1.25 billion Senior Non-Preferred with 6 year maturity, callable after 5 years,
and €750 million Senior Non-Preferred with 10 years maturity. The combined amount represents the largest EUR institutional unsecured issuance
ever done by UniCredit.
The amount issued is part of the 2020 Funding Plan presented at the Capital Market Day last December 3 and will be computed in UniCredit's TLAC
requirement. This further confirms UniCredit's ability to access the market in different formats.
BofA Securities, Commerzbank, HSBC, ING, JP Morgan, Société Générale and UniCredit Bank AG have managed the placement acting as joint
bookrunners.
On 28 January 2020 the parent company UniCredit S.p.A. sold senior notes, related to the PRISMA securitisation transaction, for a nominal value of
€100 million.
On 5 February 2020 the agreements whose signing was announced on 30 November 2019 were completed; such agreements envisaged: (i) the
disposal of the entire UniCredit S.p.A.’s 50% stake in Koç Finansal Hizmetleri A.S. (“KFS”) to the Koç Group, (ii) the disposal of shares of Yapi ve
Kredi Bankasi A.Ş. (“Yapi Kredi”) by KFS to UniCredit S.p.A. and Koç Holding A.Ş., as a result of which UniCredit S.p.A. became a direct
shareholder of Yapi Kredi with a stake equal to 31.93% of the share capital, and (iii) the termination of the shareholders agreement related to KFS.
On the same date, UniCredit S.p.A. completed the Accelerated BookBuild offering for the disposal to institutional investors of the 11.93% of the
share capital of Yapi Kredi; following such transaction UniCredit S.p.A. holds a direct stake in Yapi Kredi equal to 20% of the share capital, which is
accounted among the participations under significant influence.
On 5 February 2020, the Italian Personal Data Protection Authority notified the parent company UniCredit S.p.A. of the start of sanctioning
proceedings regarding a violation of customers' personal data following a Cyber-attack (data breach) occurred in October 2018, communicated
through its Group website on 22 October 2018. As required by the “Italian personal data protection Code (Art.166, c.6 of Legislative Decree 196/03)”
the Bank will present its statement of defence on the matter and will request a hearing with the Authority to explain its arguments. It is currently not
possible to define the timeline and outcome of the proceedings.
For further details refer to Consolidated financial statements - Notes to the consolidated accounts - Part E - Information on risks and hedging policies
- Section 2 - Risks on the prudential consolidated perimeter - 2.6 Other risks - Top end emerging risks - 3. Systemic threats - 3.1 Systemic threats
associated with cybercrime.
18 Up to the date of approval by the Board of Directors’ Meeting of 5 February 2020 which, on the same date, authorised the publication also in accordance with IAS10.
70 2019 Annual Report and Accounts · UniCredit
Consolidated report on operations
Subsequent events and outlook
Outlook
Global GDP growth is set to weaken further in 2020, growing to 2.7%, from 2.9% in 2019. With less uncertainty from trade tensions between US and
China, a slowdown in the American economy, with growth rates halving compared to 2019, will weigh on world growth. These developments will
likely lead to a weak growth in world trade: +0.6% in 2020 and +0.9% in 2021 (following a 0.4% decline in 2019).
In the eurozone, the economic growth is at 1.2% throughout 2019, the weakest level since the sovereign debt crisis, and is expected to slow to 0.8%
in 2020. The manufacturing sector, in Germany in particular, will continue to be hit by the weakness in world trade, which is likely to have a negative
impact on exports and investments, with these latter also penalised by a deterioration in corporate profitability. Private consumption will remain an
important driver of economic growth, in a context in which the effects of the weakness of external demand on the labour market will remain probably
limited.
In Italy, expectations are that the phase of weak growth will continue in 2020, at a rate of 0.2%, similar to that of 2019, continuing to be affected by
the challenging external context. This will translate into a further slowdown in the growth of Italian exports, which in addition to the weakness of the
German economy, in 2020 could be affected by the lower demand from the US market. On domestic demand, prospects for investment in machinery
and equipment will remain the most uncertain, although low financing costs will help contain the fall, while we expect that private consumption will
support economic growth, albeit hampered by slowing employment and income growth.
The monetary policy of the European Central Bank (ECB) is likely to remain unchanged during the 2020, following a 10 basis points cut in the
deposit rate to -0.50%, adopted in September. The ECB’s strategy review, which started in January and is expected to be concluded by the end of
the year, mainly with a focus on the definition of price stability, will be the key event for financial markets.
In 2020 the Group will operate in a still challenging macro-economic environment, characterised by uncertainty factors and by a still low level of
interest rates. Nevertheless it will be committed to carry out the new strategic plan “Team 23”, to generate sustainable returns by leveraging on its
pan European client franchise and focusing on continuous costs and processes optimisation.
The Group will continue to keeping a high level of capital to absorb regulatory headwinds, delivering recurring growth of tangible equity, while
maximising distribution to shareholders.
Milan, 5 February 2020
CHAIRMAN
CESARE BISONI
THE BOARD OF DIRECTORS
CEO
JEAN PIERRE MUSTIER
UniCredit ·2019 Annual Report and Accounts 71
Transform
and Maximise
Productivity.
Our customer focus drives the right process optimisation, leading to new
ways of working. We will continue to maximise productivity across the value
chain, improving processes and products while minimising operational risk.
A great example of our transformation is the paperless bank, currently
being rolled out across our networks.
Corporate Governance
Governance organisational structure
The information in this section refers to the date of 5 February 2020 (approval date by the Board of Directors of the Report and Accounts 2019 -
General Meeting Draft of UniCredit S.p.A. and of the Consolidated Report and Accounts of UniCredit group).
Corporate Governance
Governance organisational structure
Introduction
UniCredit’s overall corporate governance framework, i.e. the system of rules and procedures that its corporate bodies refer to steer the principles of
their behaviour and fulfil their various responsibilities towards the Group’s stakeholders, has been defined in compliance with current national and
European provisions as well as the recommendations contained in the Italian Corporate Governance Code for listed companies (hereinafter, also
the “Code”). The Code, according to the major international markets’ experience, identifies the corporate governance standards and best practices
for Italian listed companies recommended by the Corporate Governance Committee, to be applied according to the “comply or explain” principle that
requires the explanation in the corporate governance report of the reasons of failure to comply with one or more recommendations contained in its
principles or criteria.
Moreover, UniCredit is subject to the provisions contained in the Supervisory Regulations issued by Banca d’Italia and, in detail, with regards to
corporate governance issues, to the Supervisory Regulations on banks’ corporate governance (Circular No.285/2013, Part I, Title IV, Chapter 1).
In compliance with the aforementioned Supervisory Regulations UniCredit, as significant bank subject to the direct prudential supervision of the
ECB, as well as a listed bank, is qualifiable as bank of a major size or operational complexity and consequently complies with the provisions
applicable to such kind of bank.
Since 2001, UniCredit has adopted the Code which is available to the public on the Corporate Governance Committee website
(http://www.borsaitaliana.it/comitato-corporate-governance/homepage/homepage.en.htm).
UniCredit yearly draws up a corporate governance report meant for its shareholders, institutional and non-institutional investors and the market. The
report supplies suitable information on the UniCredit own corporate governance system.
Consistently with the relevant legal and regulatory obligations, as well as in line with the provisions of the Code, in its edition as updated in July
2018, the 2019 Report on corporate governance and ownership structure has been drafted, in accordance with Section 123/bis of the Legislative
Decree No.58 dated 24 February 1998 (hereinafter, also the “TUF”).
The Report on corporate governance and ownership structure, approved by the Board of Directors in its meeting held on 5 March 2020, is published
at the same time as the Report on Operations on the Issuer’s website (https://www.unicreditgroup.eu/en/governance/governance-system-and-
policies.html). For further information on the UniCredit corporate governance system see the first of the above documents.
UniCredit, as issuer of shares also listed on the Frankfurt and Warsaw regulated markets, also fulfils the legal and regulatory obligations relating to
listings on said markets as well as the provisions on corporate governance contained in the Polish Corporate Governance Code issued by the
Warsaw Stock Exchange.
Since its establishment, UniCredit has adopted the so-called traditional management and control system.
The distinctive feature of this model is that the strategic supervision and the management of the company, the overseeing of its management and
the legal accounting supervision are separated. In particular, the Board of Directors is solely responsible for the strategic supervision and the
management of the Company, while the Board of Statutory Auditors is entrusted with supervising its management. Legal accounting supervision is
assigned to an external audit firm by the Shareholders' Meeting on the basis of a proposal from the Board of Statutory Auditors, in compliance with
relevant current laws.
The reasons behind the choice of such governance model are that it has proven capable of managing the business efficiently, while ensuring
effective controls. That is, it creates the conditions for UniCredit S.p.A. to be able to guarantee the sound and prudent management of a complex
and global banking group, such as the UniCredit group.
Moreover, the traditional management ascribes certain aspects to the sole responsibility of the Shareholders' Meeting, creating in this way an
opportunity for dialogue and debate between shareholders and management about the fundamental elements of governance. These include the
appointment and dismissal of directors, the appointment of the Board of Statutory Auditors members, the assignment of the mandate for the external
auditing to an audit firm, the setting of the related remuneration, as well as the approval of the financial statements, the profit allocations, the
resolutions on the remuneration and incentive policies and practices provided for by current provisions and the criteria to determine the
compensation to be granted in the event of early termination of employment or early retirement from office.
UniCredit ·2019 Annual Report and Accounts 73
Corporate Governance
Governance organisational structure
Shareholders' Meeting
The Ordinary Shareholders’ Meeting of UniCredit is convened at least once a year within 180 days of the end of the financial year, in order to
resolve upon the issues that current laws and the Articles of Association make it responsible for. An Extraordinary Shareholders’ Meeting is
convened, instead, whenever it is necessary to resolve upon any of the matters that are exclusively attributed to it by current laws.
The Agenda of the Shareholders’ Meeting is established pursuant to legal requirements and to the UniCredit Articles of Association by whoever
exercises the power to call a Meeting.
The Ordinary Shareholders’ Meeting has adopted Regulations governing Ordinary and Extraordinary Meetings in a functional and regular way.
The Regulations are available on the Governance/Shareholders Meeting Section of the UniCredit website.
Board of Directors
The Board of Directors of UniCredit may be comprised of between a minimum of 9 up to a maximum of 24 members. As at the approval date of this
document, UniCredit has 15 Directors.
Their term in office is 3 financial years, unless a shorter term is established at the time they are appointed, and ends on the date of the
Shareholders’ Meeting called upon to approve the financial statements relating to the latest year in which they were in office.
The term in office of the current Board of Directors, which was appointed by the Shareholders’ Meeting of 12 April 2018, will expire on the date of the
Shareholders’ Meeting called upon to approve the 2020 financial statements.
According to the current legal and regulatory provisions, the UniCredit Directors shall be appointed on the basis of a proportional representation
mechanism (“voto di lista”) abiding by the membership criteria concerning, inter alia, minority and independent Directors, as well as the balance
between genders, pursuant to the procedures specified in Clause 20 of the UniCredit Articles of Association. The legitimate parties who are entitled
to submit slates are the Board of Directors and the shareholders, who individually or collectively with others represent at least 0.5% of share capital
in the form of ordinary shares with voting rights at the ordinary Shareholders’ Meetings.
The UniCredit Articles of Association envisage that, regardless of the total number of the Board members, two Directors shall be appointed from the
second slate receiving the highest votes, without any connection with the shareholders who, even jointly, filed, or voted for, the slate first by number
of votes, to ensure to the minority shareholders a greater presence on the Board of Directors.
The Board establishes its qualitative and quantitative composition deemed to be optimal for the effective fulfillment of the duties and responsibilities
entrusted to the Board of Directors by law, by the Supervisory Provisions and by the UniCredit Articles of Association, according to the current
national and European provisions applicable on such topics, also concerning the time commitment and the limits upon the maximum number of
offices that UniCredit Directors may hold.
Moreover, Directors must take into account the provisions of Section 36 of Law Decree No.201/2011 (“ban on interlocking directorships”), approved
as statute by Law No.214/2011, which establishes that holders of a seat in managerial, supervisory and controlling bodies, as well as top
management officers in companies or group of companies active in banking, insurance and financial markets are forbidden to hold similar offices, or
to exercise similar duties, in competing companies or groups of companies.
The function and competencies of the Board of Directors are set forth in the UniCredit Corporate Bodies and Committees Regulation, available on
the Governance/Governance system & policies Section of the UniCredit website.
Independence of Directors
In compliance with the criteria established by Section 3 of the Code (which coincide with those envisaged by the UniCredit Articles of Association)
and the provisions set out by Section 148 of the TUF, the Directors’ independence shall be assessed by the Board of Directors every time the Board
is renewed, as well as on an annual basis and whenever a person is appointed as Director, on the basis of the information provided by the Director
him/herself or, however, available to the Company. The outcome of the assessments of the Board shall be notified after the appointment, through a
press release disclosed to the market and, subsequently, within the Corporate Governance Report.
74 2019 Annual Report and Accounts · UniCredit
Corporate Governance
Governance organisational structure
With reference to the Board of Directors’ members, the Corporate Governance, Nomination and Sustainability Committee and the Board of
Directors, the latter at the annual verification carried out during its meeting held on 9 July 2019, as well as at the verification of individual Directors (5
March and 8 May 2019),carried out the assessment of the Directors’ independence requirements based on the statements made by the parties
concerned and on the information available to the Company.
With specific reference to the independence requirements laid down by the Code and the Articles of Association, information relating to the
existence of direct or indirect relationships (credit relationships, business/professional relationships and employee relationships, as well as
significant offices held) that the Directors and their other connected subjects may have with UniCredit and Group companies was taken into account.
In order to assess the potential significance of the abovementioned relationships, the Board of Directors has decided not to proceed with merely
identifying predefined economic targets, which if simply exceeded could automatically indicate that independence has been compromised, as such
check requires an overall assessment of both objective and subjective aspects. Therefore, for this purpose, the following criteria should be taken into
account: (i) the nature and characteristics of the relationship; (ii) the amount in absolute and relative terms of the transactions; and (iii) the subjective
profile of the relationship.
More specifically, when assessing the significance of the relationship, the following information, where available, is considered by the Board:
as far as credit relations are concerned, the amount in absolute value of the credit granted, its weighting in relation to the system and, where
appropriate, the economic and financial situation of the borrower;
as far as professional/commercial relations are concerned, the characteristics of the transaction/relationship, the amount of the consideration and,
where appropriate, the economic and financial situation of the counterparty;
as far as offices held in Group companies are concerned, the total amount of any additional remunerations.
In all the above cases, all the parties involved (Director or family member; UniCredit or Group company) and, for relationships with
companies/entities, the related kind of “connection" (post held/control participation) with the Director or the family member were taken into account.
As a result of such assessments and on the basis of the declaration provided by the persons concerned, the number of independent Directors
according to the provisions of the Code is equal to 12.
According to the Code, the Board of Statutory Auditors, in its meetings held on 13 March, 8 May and 10 July 2019, ascertained, with a positive
outcome, the proper application of the criteria and procedures adopted by the Board of Directors to assess the independence of its own members.
UniCredit ·2019 Annual Report and Accounts 75
Corporate Governance
Governance organisational structure
Status and activities of the Directors
In the following chart the information regarding the members of the Board of Directors in office at the approval date of this document is reported.
I
I
E
D
O
C
D
N
A
N
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T
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C
O
S
S
A
F
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T
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A
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I
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E
V
T
U
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X
E
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I
-
E
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T
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N
X
X
X
X
X
X
X
X
X
X
X
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X
X
X
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X
)
*
*
(
I
%
E
C
N
A
D
N
E
T
T
A
S
G
N
T
E
E
M
D
R
A
O
B
100
83.33
100
83.33
88.89
100
100
--
88.89
--
100
94.44
100
100
94.44
100
100
72.73
F
U
T
R
E
P
S
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T
N
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N
I
X
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)
*
*
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(
I
I
S
N
O
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S
O
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E
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T
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O
R
E
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M
U
N
--
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--
7
7
--
--
--
--
1
--
3
1
3
12
--
6
3
)
*
(
)
m
M
/
POSITION
Chairman
Deputy Vice Chairman
CEO◊
Director
Director
Director
Director
Director
Director
Director
Director
Director
Director
Director
Director
MEMBERS
Bisoni Cesare(1)
Andreotti Lamberto(2)
Mustier Jean Pierre
Al Mehairi Mohamed Hamad
Balbinot Sergio
Cariello Vincenzo
Carletti Elena(3)
De Giorgi Diego(4)
De Wismes Isabelle
Lara Bartolomé Beatriz Ángela(4)
Micossi Stefano
Pierdicchi Maria
Tondi Francesca
Wolfgring Alexander
Zambon Elena
SINCE
04.12.2018
04.12.2018
04.12.2018
04.12.2018
04.12.2018
04.12.2018
02.07.2019
02.05.2020
04.12.2018
02.05.2020
04.12.2018
04.12.2018
04.12.2018
04.12.2018
04.12.2018
IN OFFICE
UNTIL
Approval of 2020 financial statements
Approval of 2020 financial statements
Approval of 2020 financial statements
Approval of 2020 financial statements
Approval of 2020 financial statements
Approval of 2020 financial statements
Approval of 2020 financial statements
04.09.2020
Approval of 2020 financial statements
04.09.2020
Approval of 2020 financial statements
Approval of 2020 financial statements
Approval of 2020 financial statements
Approval of 2020 financial statements
Approval of 2020 financial statements
----- Directors who left during the Period -----
Chairman
Director
Director
Quorum required for the submission of the slates for the latest appointment: 0.5%
Number of meetings held during the financial year: 18
Saccomanni Fabrizio
Boeckenfeld Martha Dagmar(5)
Sironi Andrea(6)
04.12.2018
04.12.2018
04.12.2018
08.08.2019
09.18.2019
02.06.2019
(
E
T
A
L
S
M
M
M
M
M
m
--
--
M
--
M
M
m
M
M
M
M
M
Notes:
(*) M = Member elected from the slate that obtained the majority of the Shareholders’ votes;
m = Member elected from the slate voted by the minority;
(**) Number of meeting attended/number of meetings held during the concerned party’s term of office with regard to the period;
(***) Number of positions as Director or Auditor held in other companies listed on regulated markets (both in Italy and abroad), including financial services companies, banks, insurance companies or other large companies.
There is a list of such companies for each Director attached to the Report on corporate governance and ownership structure;
◊ Director in charge of the internal controls and risks management system.
(1) Appointed as Chairman on 20 September 2019, in place of Mr. Fabrizio Saccomanni. Mr. Bisoni, as Deputy Vice Chairman, acted as pro-tempore Chairman from 8 August up to 20 September 2019.
(2) Appointed as Deputy Vice Chairman on 8 October 2019, in place of Mr. Bisoni.
(3) Co-opted effective from 7 February 2019, in place of Mr. Andrea Sironi, and confirmed by the Shareholders’ Meeting held on 11 April 2019.
(4) Co-opted on 5 February 2020, in place of Mr. Fabrizio Saccomanni and Ms. Martha Dagmar Boeckenfeld
(5) Resigned effective from 18 September 2019.
(6) Resigned effective from 7 February 2019.
76 2019 Annual Report and Accounts · UniCredit
Corporate Governance
Governance organisational structure
Committees of the Board of Directors
In order to foster an efficient information and advisory system to enable the Board of Directors better to assess the topics for which it is responsible,
also in accordance with the provisions of the Code, the Board has established four Committees, vested with research, advisory and proposal-making
powers diversified by sector of competence: the Internal Controls & Risks Committee, the Corporate Governance, Nomination and Sustainability
Committee, the Remuneration Committee and the Related-Parties Committee. Their duties are undertaken based on terms of reference and
procedures set forth by the Board.
The Committees consist, as a rule, of a number of members from 3 up to 5. More specifically, the Internal Controls & Risks Committee, the
Corporate Governance, Nomination and Sustainability Committee and the Remuneration Committee, set up in compliance with the provisions of the
Banca d’Italia Supervisory Regulations on banks’ corporate governance, envisaging 3 specialist committees, one on appointments, one on risks and
one on remuneration, are composed of non-executives Directors, mostly independent pursuant to the Articles of Association. Such Committees must
be differentiated from each other by at least one member and, if a Director elected by the minorities is present, that Director is a member of at least
one Committee. The Chairman of each Committee shall be chosen from among the independent members. The Related-Parties Committee, set up
for overseeing issues concerning transactions with related and associated parties, in compliance with the CONSOB regulatory provisions and the
Banca d’Italia Supervisory Regulations, consists only of independent Directors pursuant to the Code.
The Corporate Governance, Nomination and Sustainability Committee also supervises the sustainability issues linked to the activity exercised by
UniCredit and to the dynamics of the interactions of the latter with all the stakeholders.
None of the functions of one or more specialist Committees on appointments, risks and remuneration envisaged by the Code has been reserved to
the Board of Directors. Moreover, none of the abovementioned Committees, per se, performs the multiple functions of two or more committees as
envisaged by the Code. The Committee functions have not been allocated amongst the various Committees in a different manner vis-à-vis the
provisions of the Code.
The Committee’s tasks are coordinated by the Chairman, who exercises all necessary powers for its proper functioning. Each Committee draws up
an annual plan of activities to ensure the fulfillment of its tasks. Committee meetings are convened by the Chairman with frequency adequate to the
fulfillment of its tasks and plan of activities or when needed or requested in writing, with proper motivation, by at least two members of the
Committee. The provisions set out for the Board of Directors’ functioning shall apply, as compatible, to the Board Committees.
Committee members have the necessary knowledge, skills and experience to perform the duties assigned to them and ensure that any other
corporate positions they hold in other companies or entities (including non-Italian ones) are compatible with their availability and commitment to
serve as a Committee member.
At the invitation of each Committee Chairman, the CEO, other Directors, the General Manager (when appointed), the Manager in charge of drafting
the company financial reports, as well as personnel belonging to the Company and the Group, may attend Committee meetings on specific Agenda
items. Without prejudice to the possibility for the Statutory Auditors to attend the meetings, at the invitation of each Committee Chairman, the
Chairman of the Board of Statutory Auditors, or other Auditors designated by the latter, may be called upon to attend Committee meetings. Always
at the invitation of each Committee Chairman, personnel or externals appointed in the corporate bodies of the Group’s subsidiaries may be called
upon to attend Committee meetings.
To perform their duties, Board Committees have access to the financial resources necessary to guarantee their operational independence and,
within the limitations of the budget approved by the Board of Directors, may consult independent external experts and invite them to attend
meetings; in the event of specific requirements, the relevant budget may be supplemented.
The Chairman of each Committee, at the first available Board of Directors meeting, reports on the activities carried out during the Committee
meetings.
The Board Committees’ composition, functions and competencies are set forth in the Corporate Bodies and Committees Regulation, available on the
Governance/Governance system & policies Section of the UniCredit website.
Internal Controls & Risks Committee
The Internal Controls & Risks Committee consists of 5 non-executive Directors.
The composition of the Internal Controls & Risks Committee is the following: Mr. Alexander Wolfgring (Chairman), Ms. Elena Carletti, Ms. Isabelle de
Wismes, Ms. Maria Pierdicchi and Ms. Francesca Tondi.
UniCredit ·2019 Annual Report and Accounts 77
Corporate Governance
Governance organisational structure
All members of the Committee meet the independence requirements prescribed by the Code, which coincide with those envisaged by the UniCredit
Articles of Association, and are independent pursuant to Section 148, paragraph 3, of the TUF.
All members of the Committee meet the experience required by the applicable provisions, covering the provided areas of competence related to risk
and control as well as in accounting and audit.
Committee meetings are attended by the Chairman of the Board of Statutory Auditors, the Head of Internal Audit, the Chief Compliance Officer and
the Group Chief Risk Officer. At the invitation of the Committee Chairman, the Chief Executive Officer, other Directors, the Manager in charge of
drafting the Company financial reports, as well as personnel belonging to the Company and the Group, may attend Committee meetings. Staff from
the external audit firm may also be invited.
The Committee is responsible for setting up the necessary functional links with the Board of Statutory Auditors, so as to undertake activities deemed
common to the two bodies, and to exchange information of mutual interest, within the purview of their respective competencies.
The Committee must be able to access relevant corporate information, consult external experts and, where necessary, communicate directly with
the Heads of Internal Audit, Group Risk Management and Group Compliance.
In 2019, the Committee held 17 meetings.
Duties
The Committee supports the Board of Directors on risk management and control-related issues.
Among other things, the Committee:
a) with the support of the Corporate Governance, Nomination and Sustainability Committee, identifies and proposes to the Board who should be
appointed as Head of the corporate control functions or assesses the evaluation of their dismissal; for the Head of Internal Audit function, issues its
opinion on setting the remuneration and the performance goals associated with its variable portion in line with the company policies;
b) pre-examines activity programmes (including audit plans) and annual reports from corporate control functions to be sent to the Board, as well as
periodical reports prepared by these functions above and beyond legal or regulatory requirements;
c) evaluates and issues opinions to the Board on the compliance of the internal control system and corporate organisation with the applicable rules
and regulations, and on the requirements that must be complied with by the corporate control functions, drawing the Board’s attention to any
weaknesses and consequent corrective actions to be implemented; for this purpose, it assesses proposals put forward by the CEO;
d) through evaluations and opinions, contributes to defining company policy on the outsourcing of corporate control functions;
e) verifies that the corporate control functions correctly comply with the Board’s recommendations and guidelines, assisting the Board in drafting the
coordination documents envisaged under Banca d’Italia Circular No.285;
f) examines and assesses the correct use of accounting principles and their uniformity with regard to drafting the main accounting documents (such
as, by way of example, operating and consolidated financial statements, interim operating reports, etc.), for this purpose coordinating with the
Manager in charge of drafting the company financial reports and with the Board of Statutory Auditors;
g) examines the work carried out by the Group’s external auditors and the results stated in their reports or any letters and suggestions;
h) assesses any findings reported by Internal Audit and Group Compliance, or that may arise from enquiries and/or investigations carried out by third
parties;
i) may seek specific audit interventions, at such time informing the Chairman of the Board of Statutory Auditors;
j) analyses Group guidelines for the Group Compliance function that fall within its remit, monitoring that they have been adopted and implemented;
k) requests that the Head of Internal Audit draft any proposals for the qualitative and quantitative improvement of the function itself;
l) is involved, within its specific remit, in the process of identifying material risk takers on an on-going basis.
With a special focus on risk management and control-related issues, the Committee supports the Board of Directors in:
defining and approving strategic guidelines and risk management policies with specific reference to risk appetite and risk tolerance. For this
purpose, it also examines the annual budget drafting guidelines;
verifying that risk strategies, management policies and the Risk Appetite Framework (RAF) have been correctly implemented;
defining policies and processes for evaluating corporate activities, including verification that the price and conditions of client transactions comply
with the risk-related business model and strategies.
78 2019 Annual Report and Accounts · UniCredit
Corporate Governance
Governance organisational structure
Without prejudice to the competencies of the Remuneration Committee, the Committee checks that the incentives underlying the remuneration and
incentive system comply with the RAF, particularly taking into account risks, capital and liquidity.
Moreover, the Committee reports to the Board of Directors on the status of the Group’s internal control system.
Furthermore, as regards investments in non-financial equities, the Committee assesses, supports and puts forward proposals with regard to
organizing and enacting internal controls on the making and managing of equity investments in non-financial companies, in addition to verifying
compliance within the framework of such equity investments in terms of strategic and operational guidelines.
Corporate Governance, Nomination and Sustainability Committee
The Corporate Governance, Nomination and Sustainability Committee consists of 5 non-executive Directors.
The composition of the Corporate Governance, Nomination and Sustainability Committee is the following: Mr. Stefano Micossi (Chairman), Mr.
Cesare Bisoni, Ms. Francesca Tondi, Mr. Alexander Wolfgring and Ms. Elena Zambon.
The majority of the members of the Committee (4 out of 5) meet the independence requirements prescribed by the Code, which coincide with those
envisaged by the UniCredit Articles of Association; all the members are independent pursuant to Section 148, sub-section 3, of the TUF. The
Chairman of the Committee is independent pursuant to the Code and Section 148, sub-section 3, of the TUF.
In 2019, the Committee held 15 meetings.
Duties
Among other things, the Committee:
a) provides opinions and support to the Board regarding the definition of the UniCredit corporate governance system, corporate structure and Group
governance models and guidelines;
b) drafts proposals to be submitted to the Board regarding the optimal qualitative and quantitative composition of the Board, and the maximum
number of posts held by Directors in other companies considered compatible with effectively fulfilling these roles at UniCredit;
c) provides opinions and support regarding the Board self-assessment process, as directed by the Chairman of the Board of Directors;
d) sets targets for the least well represented gender in corporate bodies as well as for management and staff belonging to the Group, and prepares
a plan to bring this proportion up to set targets;
e) drafts proposals to be submitted to the Chairman of the Board of Directors regarding the selection of staff appointed to conduct the Board’s self-
assessment process.
The Committee provides opinions and support to the Board also regarding:
a) the verification that UniCredit Directors comply with the requirements provided by applicable laws and the Articles of Association (including the
ban on interlocking directorships laid down by applicable laws), and that they collectively and individually ensure abidance with the qualitative and
quantitative composition of the Board deemed to be optimal;
b) the selection of candidates for the post of Chairman, Chief Executive Officer and Director of UniCredit, in the event of co-optation, and, should the
Board present its own list of candidates for the position of independent Director for approval by the UniCredit Shareholders’ Meeting, taking into
due account any recommendations from shareholders, as per the process for selecting candidates to the post of Board of Directors members
(including the Chairman and the Chief Executive Officer) approved by the Board itself;
c) the appointment of the CEO, General Manager, Deputy General Managers and other Senior Executive Vice Presidents who are executives with
strategic responsibilities;
d) the verification that the General Manager and the Manager in charge of drafting the company financial reports comply with the requirements
provided by applicable laws and the Articles of Association, if applicable;
e) the definition of appointment and succession plan policies for the CEO, General Manager, Deputy General Managers and other executives with
strategic responsibilities, Senior Executive Vice Presidents, the Group Management Team (Executive Vice Presidents) and Leadership Team
(Senior Vice Presidents);
f) the definition of the policy for the appointment of corporate officers (members of the Board of Directors, Board of Statutory Auditors and
Supervisory Board) at Group companies;
g) the designation of corporate officers (members of the Board of Directors, Board of Statutory Auditors and Supervisory Board) at the main
companies.
UniCredit ·2019 Annual Report and Accounts 79
Corporate Governance
Governance organisational structure
Moreover, the Committee:
provides support, coordinating with the Internal Controls & Risks Committee, in proposing candidates or assessing dismissal for the roles of Heads
of corporate control functions to the Board of Directors;
undertakes research to help the Board of Directors draft a succession plan for executive directors.
Furthermore, the Committee oversees sustainability issues linked to the activities carried out by UniCredit and the dynamics underpinning
interactions between UniCredit and all of its stakeholders.
Within this framework, in particular, the Committee:
pre-examines the yearly Integrated Report, which constitutes a non-financial declaration pursuant to the provisions of Sections 3 and 4 of
Legislative Decree No.254/2016, to be submitted for approval to the Board of Directors;
drafts proposals with regard to the Group environmental and social strategy, annual objectives and targets, monitoring over time that they are
implemented;
oversees sustainability-related developments also in light of international guidelines and principles, monitoring the Group’s performance.
Remuneration Committee
The Remuneration Committee consists of 3 non-executive Directors.
The composition of the Remuneration Committee is the following: Mr. Lamberto Andreotti (Chairman), Ms. Elena Carletti and Ms. Elena Zambon.
All members of the Committee meet the independence requirements prescribed by the Code, which coincide with those envisaged by the UniCredit
Articles of Association, and are independent pursuant to Section 148, paragraph 3, of the TUF.
At least one member of the Committee has adequate knowledge and experience in finance or remuneration policies, which the Board of Directors
assesses at such time as they are appointed to the Committee.
In order for the incentives included in the compensation and incentive schemes to be consistent with the Bank’s risk, capital and liquidity
management, as well as to get updates on the market trends, compensation levels and regulatory developments, an external advisor also attends
Committee meetings.
The Group Chief Risk Officer is invited, upon need, to attend Committee meetings to ensure that incentive schemes are appropriately updated to
take into account all of the risks that the Bank has taken on, pursuant to methodologies in compliance with those adopted by the Bank in managing
risk for regulatory and internal purposes.
In 2019, the Committee held 12 meetings.
Duties
Among other things, the Committee:
puts proposals to the Board regarding the remuneration and the performance goals associated with its variable portion, for the members of the
Board of Directors, the General Manager, Deputy General Managers, Heads of the corporate control functions and personnel whose remuneration
and incentive systems are decided upon by the Board;
exercises oversight on the criteria for remunerating the most significant employees, as identified pursuant to the relevant Banca d’Italia provisions,
as well as on the outcomes of the application of such criteria.
Furthermore, the Committee issues opinions to the Board on:
a) the remuneration policy for Senior Executive Vice Presidents, the Group Management Team (Executive Vice Presidents) and the Leadership
Team (Senior Vice Presidents);
b) Group incentive schemes based on financial instruments;
c) the remuneration policy for corporate officers (members of the Board of Directors, Board of Statutory Auditors and Supervisory Board) at Group
companies.
Committee members regarding whom the Committee is called upon to express its opinion on their remuneration as a result of their specific
assignments shall not attend meetings at which the proposal for such remuneration is calculated.
80 2019 Annual Report and Accounts · UniCredit
Corporate Governance
Governance organisational structure
Furthermore, the Committee:
coordinates the process for identifying material risk takers on an on-going basis;
directly oversees the correct application of rules regarding the remuneration of the Heads of corporate control functions, working closely with the
Board of Statutory Auditors;
works with the other committees, particularly the Internal Controls & Risks Committee, to verify that the incentives included in compensation and
incentive schemes are consistent with the RAF, ensuring the involvement of the corporate functions responsible for drafting and monitoring
remuneration and incentive policies and practices;
provides appropriate feedback on its operations to the Board of Directors, Board of Statutory Auditors and the Shareholders’ Meeting;
where necessary drawing on information received from the relevant corporate functions, expresses its opinion on the achievement of the
performance targets associated with incentive schemes, and on the other conditions laid down for bonus payments.
Related-Parties Committee
The Related-Parties Committee consist of 3 independent Directors.
The composition of the Related-Parties Committee is the following: Ms. Maria Pierdicchi (Chairwoman), Mr. Vincenzo Cariello and Mr. Stefano
Micossi.
In reference to the Related-Parties Committee’s meetings, only for reasons of urgency, in specific cases dealing with transactions falling into the
decision-making powers of the Board of Directors, a meeting may be convened at least twelve hours in advance.
In 2019 the Committee held 11 meetings.
Duties
The Committee operates on a consultative and proposition-making basis. The Committee oversees issues concerning transactions with related
parties pursuant to CONSOB Regulation No.17221/2010 and transactions with associated parties pursuant to Banca d’Italia Circular No.263/2006
(Title V, Chapter 5), carrying out the specific role attributed to independent directors by the aforementioned provisions. Furthermore, it carries out
any other duties assigned to it within the Global Policy for the management of transactions with persons in conflict of interest.
The Company’s competent offices ensure a constant monitoring of transactions envisaged by the procedures for the identification and management
of transactions with related and/or associated parties, also in view of enabling the Committee to propose corrective actions.
a) Temporary replacement in cases of conflict of interest
For each individual transaction, Committee members must be different from the counterparty, its associated parties and/or any entities related to it.
If a Committee member is a counterparty to the transaction under examination (or is related/associated with the counterparty), he/she must promptly
inform the Chairman of the Board of Directors and the Committee Chairman (provided he/she is not in a conflict of interest situation), and abstain
from attending further Committee proceedings with regard to the transaction in which the relationship exists. Having consulted with the Committee
Chairman (provided he/she is not in a conflict of interest situation), the Chairman of the Board of Directors shall immediately take steps to replace
the member who has this conflict of interest with another member from the Board of Directors who qualifies as independent pursuant to the Italian
Corporate Governance Code for listed companies, after contacting them beforehand, in order to restore the Committee to three non-related and
non-associated independent Directors.
b) Temporary replacement of unavailable members in the event of an urgent transaction
For transactions that need to be finalised urgently and require the intervention of the Related-Parties Committee during negotiations and due
diligence and/or during the issue of opinions, having acknowledged the urgency and noted that the majority or all members are unable to meet or
carry out the required activities in time to conclude the transaction, the Committee Chairman shall promptly inform the Chairman of the Board of
Directors of this situation.
In any event, these circumstances must be communicated no later than the day after the Committee Chairman was informed that the majority or all
Committee members were not available.
Having consulted with the CEO and determined that the transaction cannot be delayed, the Chairman of the Board of Directors immediately takes
steps to find three Directors to sit on the Committee and follow the process for temporary substitutions in the event of conflicts of interest.
UniCredit ·2019 Annual Report and Accounts 81
Corporate Governance
Governance organisational structure
As regards sections a) and b) above, it should be noted that:
replacements must be provided with all available information in good time before the meeting at which the Committee is called upon to express its
opinion regarding the transaction;
replacements undertake the duties allocated to them until the conclusion of the decision-making process regarding the specific transaction in
question, and remain involved in the decisions taken by the Committee.
Board Committees
INTERNAL
CONTROLS &
RISKS COMMITTEE
CORPORATE
GOVERNANCE,
NOMINATION AND
SUSTAINABILITY
COMMITTEE
REMUNERATION
COMMITTEE
RELATED-PARTIES
COMMITTEE
MEMBERS
Bisoni Cesare
Andreotti Lamberto
Mustier Jean Pierre
Al Mehairi Mohamed Hamad
Balbinot Sergio
Cariello Vincenzo
Carletti Elena
De Giorgi Diego
De Wismes Isabelle
Lara Bartolomé Beatriz Ángela
Micossi Stefano
Pierdicchi Maria
Tondi Francesca
Wolfgring Alexander
Zambon Elena
NON
EXEC.
X
X
EXEC.
X
INDEP. AS
PER
ARTICLES OF
ASSOCIATION
AND CODE
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
(*)
(**)
(*)
M
(**)
100%
(*)
C
(**)
91.67%
(*)
C(1)
(**)
100%
M(2)
100%
M
100%
M
M(3)
C
100%
100%
100%
C
M
M
M
100%
100%
100%
86.67%
M(2)
100%
M
100%
M
C(1)
100%
100%
M
91.67%
M(5)
RC: 12
100%
RPC: 11
Boeckenfeld Martha Dagmar
Sironi Andrea
No. of meetings held during the financial year
----- Members who left during the Period -----
X
X
M(4)
M(5)
100%
100%
IC&RC: 17
CGN&S: 15
Notes:
(*) A “C” (Chairman) or an “M” (Member) in this column shows that the member of the Board of Directors belongs to the Committee and also indicates his/her position.
(**) Meetings’ attendance percentage (number of meetings attended/number of meetings held during the concerned party’s term of office with regard to the period).
(1) Further to the appointment of Mr. Bisoni as Chairman of the Board of Directors, effective from 20 September 2019, the Board of Director, in its meeting held on 8 October 2019, on proposal of the Corporate Governance,
Nomination and Sustainability Committee, has appointed Ms. Maria Pierdicchi as Chairwoman of the Related-Parties Committee.
(2) Office held since 7 February 2019.
(3) Office held since 8 October 2019.
(4) Office held until 18 September 2019.
(5) Office held until 6 February 2019.
82 2019 Annual Report and Accounts · UniCredit
Corporate Governance
Governance organisational structure
Board of Statutory Auditors
Pursuant to the UniCredit Articles of Association, the Ordinary Shareholders’ Meeting appoints 5 permanent Statutory Auditors, among whom the
Chairman, and 4 substitute Statutory Auditors. Both the permanent and substitute Statutory Auditors may be re-elected.
Permanent and substitute members of the Board of Statutory Auditors are appointed on the basis of a proportional representation mechanism (“voto
di lista”) in abidance by the composition criteria regarding, inter alia, the appointment of the Chairman of the Board by the minority shareholders and
the balance between genders, as established by the UniCredit Articles of Association, and in compliance with current legal provisions. In detail, the
candidate who has obtained the highest share of votes among the candidates belonging to the slate that obtained the highest number of votes
among the minority slates, as defined by current provisions (also regulatory) in force, shall be selected by the Shareholders’ Meeting as Chairman of
the Board of Statutory Auditors.
Their term in office is 3 financial years and ends on the date of the Shareholders’ Meeting called upon to approve the financial statements for the
third year of office.
Members of the Board of Statutory Auditors shall meet the requirements envisaged by current provisions, also of a regulatory nature, in particular
theprofessional experience, integrity and independence ones, and they can hold administrative and control appointments with other companies
within the limits set by current laws and regulations.
The Shareholders’ Meeting of 11 April 2019, appointed the permanent and substitute Statutory Auditors for the 2019-2021 financial years, with term
of office until the date of the Shareholders’ Meeting called upon to approve the 2021 financial statements.
In the following chart the information regarding the members of the Board of Statutory Auditors in office as at the approval date of this document.
Statutory Auditors
IN OFFICE
POSITION
Chairman
MEMBERS
SINCE
UNTIL
Rigotti Marco Giuseppe Maria
04.11.2019
Approval of 2021 financial statements
Permanent Statutory Auditor
Bonissoni Angelo Rocco
04.11.2019
Approval of 2021 financial statements
Permanent Statutory Auditor
Navarra Benedetta
04.11.2019
Approval of 2021 financial statements
Permanent Statutory Auditor
Paolucci Guido
04.11.2019
Approval of 2021 financial statements
Permanent Statutory Auditor
Bientinesi Antonella
04.11.2019
Approval of 2021 financial statements
Substitute Statutory Auditor
Pagani Raffaella
04.11.2019
Approval of 2021 financial statements
Substitute Statutory Auditor
Manes Paola
04.11.2019
Approval of 2021 financial statements
Substitute Statutory Auditor
Franchini Roberto
04.11.2019
Approval of 2021 financial statements
Substitute Statutory Auditor
Rimoldi Enrica
04.11.2019
Approval of 2021 financial statements
----- Statutory Auditors who left during the Period -----
Chairman
Singer Pierpaolo
Substitute Statutory Auditor
Talamonti Maria Francesca
Substitute Statutory Auditor
Amato Myriam
04.14.2016
04.14.2016
12.04.2017
04.11.2019
04.11.2019
04.11.2019
Quorum required for the submission of the slates for the latest appointment: 0.5%
Number of meetings held during the financial year: 57
SLATE
(M/m)(*)
INDEPENDENT
AS PER CODE
m
M
M
M
m
M
M
m
m
m
m
--
X
X
X
X
X
X
X
X
X
X
X
X
%(**)
100%
100%
100%
100%
100%
100%
NUMBER OF
OTHERS
POSITIONS(***)
2
--
4
--
2
3
1
--
--
--
2
1
Notes:
(*) M = Member elected from the slate obtaining the majority of the Shareholders' votes; m = Member elected from the slate voted by a minority.
(**) Meetings’ attendance percentage (number of meetings attended/number of meetings held during the concerned party’s term of office with regard to the period).
(***) Number of positions as Director or Auditor held by the concerned party pursuant to Section 148/bis of the TUF. A complete list of such positions is published by the CONSOB on its website pursuant to Section
144-quinquiesdecies of the CONSOB Issuers Rules.
UniCredit ·2019 Annual Report and Accounts 83
Corporate Governance
Governance organisational structure
Share capital
As at 31 December 2019, the fully subscribed and paid up UniCredit share capital amounted to Euro 20,994,799,961.81, divided into
No.2,233,376,842 ordinary shares with no nominal value. The ordinary shares are issued in a dematerialised form and are indivisible as well as
freely transferable.
No other types of shares, equity instruments or convertible or exchangeable bonds have been issued.
Major Shareholders
On the basis of the results from the Shareholders Register, completed with the communications received according to Section 120 of the TUF and
other information known to the Company, the relevant equity holdings, direct and indirect, as at 31 December 2019 were as follows.
According to the communications received pursuant to current provisions, the shareholders listed below hold significant shareholdings (more than
3%), not falling within the disclosure exemptions (Section 119/bis of the Consob Rules No.11971/99).
DECLARANT
BlackRock Inc.
Dodge & Cox
DIRECT SHAREHOLDER
BlackRock Institutional Trust Company, Na
BlackRock Fund Advisors
BlackRock Advisors (UK) Ltd
BlackRock Advisors, LLC
BlackRock Investment Management, LLC
BlackRock Asset Management Deutschland Ag
BlackRock Investment Management (UK) Ltd
BlackRock Asset Management Canada Ltd
BlackRock Investment Management (Australia) Ltd
BlackRock Financial Management, Inc
BlackRock Japan Co. Ltd
BlackRock (Netherlands) B.V.
BlackRock (Singapore) Ltd
BlackRock International Ltd
BlackRock Asset Management North Asia Ltd
Dodge & Cox
% OF ORDINARY
CAPITAL
5.084%
1.327%
1.205%
0.623%
0.535%
0.513%
0.454%
0.253%
0.066%
0.042%
0.025%
0.023%
0.012%
0.003%
0.002%
0.001%
5.002%
% OF VOTING
CAPITAL
5.084%
1.327%
1.205%
0.623%
0.535%
0.513%
0.454%
0.253%
0.066%
0.042%
0.025%
0.023%
0.012%
0.003%
0.002%
0.001%
5.002%
84 2019 Annual Report and Accounts · UniCredit
Corporate Governance
Governance organisational structure
Participation Rights
Eligible to attend Shareholders' Meetings are those who hold voting rights and in respect of whom the Company has received, from the broker
holding the relevant securities account, the notification within the deadline set forth by applicable law (record date, i.e. seven market trading days
before the Shareholders’ Meeting date).
Those who hold voting rights may arrange to be represented in the Shareholders’ Meeting, in compliance with the provisions of the prevailing law.
UniCredit has always encouraged its shareholders to exercise their participation and voting rights and; for that reason, some time ago it adopted the
Regulations governing Shareholders’ Meetings to ensure their regular conduct. Said Regulations are available on UniCredit website on the
Governance/Shareholders’ Meeting Section.
UniCredit ·2019 Annual Report and Accounts 85
Corporate Governance
Senior Management Team
JEAN PIERRE
MUSTIER
Chief Executive Officer
FRANCESCO
GIORDANO
Co-CEO of Commercial
Banking WEU
OLIVIER
KHAYAT
GIANFRANCO
BISAGNI
NICCOLÒ
UBERTALLI
Co-CEO of Commercial
Banking WEU
Co-CEO of Commercial
Banking CEE
Co-CEO of Commercial
Banking CEE
CARLO
VIVALDI
Co-Chief Operating
Officer
RANIERI
DE MARCHIS
Co-Chief Operating
Officer
WOUTER
DEVRIENDT
Head of Finance &
Controls
GIANPAOLO
ALESSANDRO
Head of Group Legal
Secretary of the BoD
CARLO
APPETITI
Chief Compliance
Officer
MAURIZIO
BERETTA
Head of Group Institutional
Affairs & Sustainability
2019 Annual Report and Accounts · UniCredit
MARCO
BIZZOZERO
MIRKO
BIANCHI
CEO of Group Wealth
Management
Co-Chief Financial
Officer
RICHARD
BURTON
CEO of CIB Division
ANDREA
CASINI
Co-CEO of Commercial
Banking Italy
PAOLO
CORNETTA
Head of Group Human
Capital
SERENELLA
DE CANDIA*
Head of Internal Audit
MICHAEL
DIEDERICH
CEO of Commercial
Banking Germany
MAXIMILIAN
HOHENBERG
Head of Group Identity
& Communication
FINJA CAROLIN
KÜTZ
TJ
LIM
Group Chief Transformation
Officer & Deputy COO
Group Chief Risk
Officer
AURELIO
MACCARIO
Chief Lending Officer
ANDREA FRANCESCO
MAFFEZZONI
Head of Strategy
and M&A
STEFANO
PORRO
REMO
TARICANI
Co-Chief Financial Officer
and "Dirigente Preposto"
Co-CEO of Commercial
Banking Italy
ROBERT
ZADRAZIL
CEO of Commercial
Banking Austria
* Not EMC Member
UniCredit · 2019 Annual Report and Accounts
Corporate Governance
Group Management Team
List of other members of Group Management Team*
COUNTRY GERMANY – UNICREDIT BANK AG
Sandra Betocchi
Chief Operating Officer
Markus Beumer
Head of Corporate (Unternehmer) Bank
Emanuele Butta'
Head of Commercial Banking
(Privatkunden Bank)
Ljiljana Cortan
Chief Risk Officer
Joachim Dobrikat
Head of Accounting, Shareholding &
Regulatory Reporting
Andreas Frueh
Head of Legal, Corporate Affairs &
Documentation Germany
Jan Kupfer
Head of Corporate &
Investment Banking/Markets
Simone Marcucci
General Representative CFO Germany
Angelika Plauk
Head of Audit Management
Georg Rohleder
Head of Human Capital
& Corporate Office
Barbara Roth
Head of Compliance Germany
Paolo Lange'
Cordusio SIM - Chief Executive Officer
Stefano Vecchi
Head of Wealth Management Italy
COMMERCIAL BANKING CENTRAL EASTERN EUROPE
Mikhail Alekseev
Chief Executive Officer - Russia
Graziano Cameli
Head of CEE Business Development
Claudio Cesario
Commercial Banking Central Eastern Europe
Romeo Collina
Chief Executive Officer - Croatia
Dalibor Cubela
General Manager - Croatia**
Andrea Diamanti
General Manager - Russia
Jakub Dusilek
Chief Executive Officer - Czech Republic &
Slovakia**
Marco Giuseppe Esposito
Chief Executive Officer - Slovenia**
Marco Iannaccone
General Manager - Turkey
Paolo Iannone
General Manager - Czech Republic & Slovakia
Boris Scukanec Hopinski
General Representative COO Germany
Amina Mahmutovic
Chief Executive Officer - Mostar**
Guglielmo Zadra
Chief Financial Officer
COMMERCIAL BANKING ITALY
Andrea Burchi
Regional Manager Centro Nord
Gordan Pehar
Chief Executive Officer - Banja Luka**
Teodora Petkova
Chief Executive Officer - Bulgaria**
Septimiu Postelnicu
General Manager - Bulgaria**
Lucio Izzi
Head of Corporate Sales & Marketing
Catalin Rasvan Radu
Chief Executive Officer - Romania
Salvatore Malandrino
Regional Manager Sicilia
Salvatore Pisconti
Regional Manager Centro
WEALTH MANAGEMENT
Manuela D'Onofrio
Head of Group Investments and Solutions
Dieter Hengl
Head of Wealth Management Bank Austria/
CEO Schoellerbank Ag
Feza Tan
Chief Executive Officer - Serbia
Balazs Toth
Chief Executive Officer - Hungary**
Ivan Vlaho
General Manager - Hungary
CORPORATE & INVESTMENT BANKING
Luca Corsini
Co-Head Global Transaction Banking (GTB)
EXECUTIVE
VICE PRESIDENT
COMMERCIAL BANKING WESTERN EUROPE
Giuseppe Aquaro
Head of Business Operational Excellence
COUNTRY AUSTRIA – UNICREDIT BANK
AUSTRIA AG
Gregor Hofstaetter Pobst
Chief Financial Officer
Juergen Kullnigg
Chief Risk Officer
Mauro Maschio
Head of Privatkundenbank (Retail, Small
Business, Private)
Tina Pogacic
Chief Operating Officer and
CEO UniCredit Services GmbH
Guenter Schubert
Head of CIB Network Austria
Susanne Wendler
Head of Unternehmerbank (Corporate)
2019 Annual Report and Accounts · UniCredit
RISK MANAGEMENT
Davide Bazzarello
Head of Group Credit & Integrated Risks
Jose Brena
Head of Non Core Asset Management
Andrea Cesaroni
Head of Group Financial Risk
Giandomenico Miceli
Head of Group Operational
& Reputational Risks
Corrado Pavanati
Head of Group Risk Models & Credit Risk
Governance
Wolfgang Schilk
CRO CEE
Alfredo Maria De Falco
Head of CIB Italy
Luigi Luciani
Head of HR Italy & CEO Functions
Jérôme Frizé
Head of Financial Institutions Groups (FIG)
Laura Orlic
Head of HR CEE
Goffredo Guizzardi
Co-Head Global F&A
Guy Laffineur
Head of Markets
Christian Reusch
Co-Head Global F&A
Marcello Vittorio Ronco
Head of Tech Projects (GTB)
Giovanni Solaroli
Co-Head Global Transaction Banking (GTB)
Patrick Soulard
Country Head France
Ivan Tardivo
Head of HR CIB and CIB Business
and Process Transformation
CHIEF OPERATING OFFICE
Fabio Cesaretti
CIO Western Europe
Paolo Chiaverini
Head of Global Operations
Marco Cravario
Head of Group Procurement & Cost
Management
Salvatore Greco
Head of Group Real Estate
Artur Gruca
CIO Finance & Controls
Luca Rubaga
General Manager UniCredit Services
Daniele Tonella
CEO UniCredit Services and Group Chief
Information Officer
Stefan Vogt
Group Chief Security Officer
GROUP HUMAN CAPITAL
Angelo Carletta
Head of HR COO Area
Cihangir Kavuncu
Head of HR Transformation and
Operations Office
Andrea Vintani
Head of Human Capital Strategies
FINANCE & CONTROLS
GROUP COMPLIANCE
Martin Boehm
Head of Group CIB Compliance
Giovanni Buson
Head of Group Compliance Advisory
& Country Italy Management
Michele Valeriani
Head of Group Anti Financial Crime Compliance &
Head of Group Compliance Risk Assessment and Control
GROUP CHIEF FINANCIAL OFFICE
Alessandro Brusadelli
Head of Group Finance
Bonifacio Di Francescantonio
Head of Group Accounting & Regulatory Reporting
Mihaela-Alina Lupu
Head of Group Planning & Capital Management
Roberto Monachino
Group Data Officer
Joerg Pietzner
Head of Group Investor Relations
GROUP LENDING OFFICE
Mario Agostini
Head of CLO Italy
Maurizio Maria Francescatti
Head of Group Lending Processes
Andreas Mayer
Head of Group Credit Transactions
Andrea Varese
Chief Lending Office***
GROUP LEGAL
Shannon Lazzarini
Head of Group Litigation
* Data as at 5 February 2020
** SVP/FVP Group Title
*** SEVP Group Title
UniCredit · 2019 Annual Report and Accounts
Consolidated Financial Statements | Consolidated accounts
Consolidated accounts
90 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Consolidated accounts
Consolidated accounts
Consolidated financial statements
Consolidated accounts
Consolidated balance sheet
Balance sheet carrying values as at 31 December 2018 reported for comparative purposes are subject to restatement, compared to those stated at
the same date, as a result of the change in investment properties evaluation criterion that represents a voluntary change in accounting policy to be
applied retrospectively according to IAS8 par.19-b). In addition, as requested by IAS1 par.40A and 40B, also comparative figures as at 1 January
2018 are exposed.
Income statement carrying values as at 31 December 2018 reported for comparative purposes are subject to restatement, compared to those stated
at the same date, as a result of both the change in investment properties evaluation criterion and the deconsolidation of FinecoBank S.p.A. and its
subsidiary Fineco Asset Management Designated Activity Company.
Consolidated balance sheet
ASSETS
10. Cash and cash balances
20. Financial assets at fair value through profit or loss:
a) financial assets held for trading
b) financial assets designated at fair value
c) other financial assets mandatorily at fair value
30. Financial assets at fair value through other comprehensive income
40. Financial assets at amortised cost:
a) loans and advances to banks
b) loans and advances to customers
50. Hedging derivatives
60. Changes in fair value of portfolio hedged items (+/-)
70. Equity investments
80. Insurance reserves charged to reinsurers
90. Property, plant and equipment
100. Intangible assets
of which: goodwill
110. Tax assets:
a) current
b) deferred
120. Non-current assets and disposal groups classified as held for sale
130. Other assets
Total assets
LIABILITIES AND SHAREHOLDERS' EQUITY
10. Financial liabilities at amortised cost:
a) deposits from banks
b) deposits from customers
c) debt securities in issue
20. Financial liabilities held for trading
30. Financial liabilities designated at fair value
40. Hedging derivatives
50. Value adjustment of hedged financial liabilities (+/-)
60. Tax liabilities:
a) current
b) deferred
70. Liabilities associated with assets classified as held for sale
80. Other liabilities
90. Provision for employee severance pay
100. Provisions for risks and charges:
a) committments and guarantees given
b) post-retirement benefit obligations
c) other provisions for risks and charges
110. Technical reserves
120. Valuation reserves
130. Redeemable shares
140. Equity instruments
150. Reserves
160. Share premium
170. Share capital
180. Treasury shares (-)
190. Minority shareholders' equity (+/-)
200. Profit (Loss) of the year (+/-)
Total liabilities and shareholders' equity
12.31.2019
17,305
81,880
63,280
-
18,600
79,702
626,463
101,669
524,794
5,934
3,296
4,787
-
11,097
2,800
886
12,922
793
12,129
2,512
6,949
855,647
12.31.2019
704,840
135,572
472,967
96,301
41,483
9,678
7,186
4,964
1,378
685
693
725
12,549
661
10,398
1,089
5,619
3,690
-
(6,120)
-
5,602
24,344
13,225
20,995
(3)
369
3,373
855,647
AMOUNTS AS AT
12.31.2018
30,991
86,137
65,231
-
20,906
88,280
579,311
73,643
505,668
4,682
2,439
5,502
-
8,804
3,507
1,484
12,944
1,032
11,912
2,241
7,334
832,172
AMOUNTS AS AT
12.31.2018
686,036
125,895
478,988
81,153
43,111
9,318
6,032
3,230
946
402
544
540
13,950
698
10,961
1,140
4,767
5,054
-
(7,488)
-
4,610
20,836
13,393
20,940
(9)
961
4,107
832,172
(€ million)
01.01.2018
64,493
101,810
74,666
-
27,144
100,636
519,901
71,134
448,766
3,431
2,601
6,212
-
9,038
3,385
1,484
12,761
2,042
10,719
1,206
8,800
834,276
(€ million)
01.01.2018
684,190
123,234
462,895
98,061
51,100
8,302
3,568
3,047
1,179
644
535
185
14,809
917
9,741
1,090
4,522
4,129
-
(4,651)
-
4,610
16,627
13,400
20,881
(3)
902
5,473
834,276
UniCredit ·2019 Annual Report and Accounts 91
Consolidated financial statements | Consolidated accounts
Consolidated accounts
Consolidated income statement
ITEMS
10. Interest income and similar revenues
of which: interest income calculated with the effective interest method
20. Interest expenses and similar charges
30. Net interest margin
40. Fees and commissions income
50. Fees and commissions expenses
60. Net fees and commissions
70. Dividend income and similar revenues
80. Net gains (losses) on trading
90. Net gains (losses) on hedge accounting
100. Gains (Losses) on disposal and repurchase of:
a) financial assets at amortised cost
b) financial assets at fair value through other comprehensive income
c) financial liabilities
110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss:
a) financial assets/liabilities designated at fair value
b) other financial assets mandatorily at fair value
120. Operating income
130. Net losses/recoveries on credit impairment relating to:
a) financial assets at amortised cost
b) financial assets at fair value through other comprehensive income
140. Gains/Losses from contractual changes with no cancellations
150. Net profit from financial activities
160. Net premiums
170. Other net insurance income/expenses
180. Net profit from financial and insurance activities
190. Administrative expenses:
a) staff costs
b) other administrative expenses
200. Net provisions for risks and charges:
a) commitments and financial guarantees given
b) other net provisions
210. Net value adjustments/write-backs on property, plant and equipment
220. Net value adjustments/write-backs on intangible assets
230. Other operating expenses/income
240. Operating costs
250. Gains (Losses) of equity investments
260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value
270. Goodwill impairment
280. Gains (Losses) on disposals on investments
290. Profit (Loss) before tax from continuing operations
300. Tax expenses (income) of the year from continuing operations
310. Profit (Loss) after tax from continuing operations
320. Profit (Loss) after tax from discontinued operations
330. Profit (Loss) of the year
340. Minority profit (loss) of the year
350. Parent Company's profit (loss) of the year
Earnings per share (€)
Diluted earnings per share (€)
Consolidated income statement
92 2019 Annual Report and Accounts · UniCredit
YEAR
2019
14,793
13,186
(4,521)
10,272
7,606
(1,288)
6,318
295
1,298
42
287
138
160
(11)
(370)
(530)
160
18,142
(3,489)
(3,478)
(11)
(20)
14,633
-
-
14,633
(10,684)
(6,588)
(4,096)
(103)
45
(148)
(1,425)
(746)
897
(12,061)
316
4
-
129
3,021
(862)
2,159
1,332
3,491
(118)
3,373
1.462
1.453
(€ million)
2018
15,106
12,867
(4,355)
10,751
7,589
(1,038)
6,551
413
373
17
298
129
174
(5)
290
411
(121)
18,693
(2,674)
(2,655)
(19)
(3)
16,016
-
-
16,016
(11,157)
(6,350)
(4,807)
(1,516)
(19)
(1,497)
(633)
(420)
907
(12,819)
(97)
417
-
174
3,691
523
4,214
126
4,340
(233)
4,107
1.809
1.801
Consolidated financial statements | Consolidated accounts
Consolidated accounts
Consolidated statement of comprehensive income
Consolidated statement of other comprehensive income
ITEMS
10. Profit (Loss) for the year
Other comprehensive income after tax not reclassified to profit or loss
20. Equity instruments designated at fair value through other comprehensive income
30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes)
40. Hedge accounting of equity instruments designated at fair value through other comprehensive income
50. Property, plant and equipment
60. Intangible assets
70. Defined-benefit plans
80. Non-current assets and disposal groups classified as held for sale
90. Portion of valuation reserves from investments valued at equity method
Other comprehensive income after tax reclassified to profit or loss
100. Foreign investments hedging
110. Foreign exchange differences
120. Cash flow hedging
130. Hedging instruments (non-designated items)
140. Financial assets (different from equity instruments) at fair value through other comprehensive income
150. Non-current assets and disposal groups classified as held for sale
160. Part of valuation reserves from investments valued at equity method
170. Total other comprehensive income after tax
180. Other comprehensive income (Item 10+170)
190. Minority consolidated other comprehensive income
200. Parent Company's consolidated other comprehensive income
AS AT
12.31.2019
3,491
(€ million)
12.31.2018
4,340
39
(125)
-
1,445
-
(867)
-
(23)
-
309
(55)
-
806
-
(161)
1,368
4,859
(127)
4,732
16
120
-
-
-
(298)
-
(2)
-
(386)
(130)
-
(1,290)
-
(829)
(2,799)
1,541
(231)
1,310
UniCredit ·2019 Annual Report and Accounts 93
Consolidated financial statements | Consolidated accounts
Consolidated accounts
Statement of changes in the consolidated shareholders' equity as at 31 December 2019
PREVIOUS
YEAR PROFIT
(LOSS)
ALLOCATION
CHANGES IN THE YEAR
SHAREHOLDERS' EQUITY TRANSACTIONS
.
.
8
1
0
2
1
3
2
1
T
A
S
A
E
C
N
A
L
A
B
Share capital:
- ordinary shares
- other shares
Share premium
Reserves:
- from profits
- other
Valuation reserves
Advanced dividends
Equity instruments
Treasury shares
Profit (Loss) for the year
Total shareholders’ equity
Group shareholders' equity
Minority shareholders' equity
Statement of changes in the consolidated shareholders’ equity
21,248
-
13,480
13,776
7,408
(7,494)
-
4,610
(18)
4,340
57,350
56,389
961
E
C
N
A
L
A
B
G
N
N
E
P
O
N
I
I
E
G
N
A
H
C
-
-
-
-
-
-
-
-
-
-
-
-
-
I
S
N
O
T
A
C
O
L
L
A
R
E
H
T
O
D
N
A
S
D
N
E
D
V
D
I
I
-
-
-
-
-
-
-
-
-
.
.
9
1
0
2
1
0
1
0
T
A
S
A
E
C
N
A
L
A
B
21,248
-
13,480
13,776
7,408
(7,494)
-
4,610
(18)
S
E
V
R
E
S
E
R
-
-
-
3,548
-
-
-
-
-
4,340
(3,548)
57,350
56,389
961
-
-
-
(792)
(792)
(604)
(188)
S
E
R
A
H
S
Y
R
U
S
A
E
R
T
F
O
E
S
A
H
C
R
U
P
-
-
-
-
-
-
-
-
-
-
-
-
-
S
E
V
R
E
S
E
R
N
I
S
E
G
N
A
H
C
S
E
R
A
H
S
W
E
N
F
O
E
U
S
S
I
(137)
55
-
(169)
-
-
(575)
(55)
156
17
-
-
15
-
(693)
(162)
(531)
-
-
-
-
-
-
-
-
-
I
I
I
I
N
O
T
U
B
R
T
S
D
Y
R
A
N
D
R
O
A
R
T
X
E
S
D
N
E
D
V
D
I
I
I
I
S
D
N
E
D
V
D
D
E
C
N
A
V
D
A
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
S
T
N
E
M
U
R
T
S
N
I
I
Y
T
U
Q
E
N
I
E
G
N
A
H
C
-
-
-
-
-
-
-
992
-
-
992
992
-
I
I
S
E
V
T
A
V
R
E
D
S
E
R
A
H
S
Y
R
U
S
A
E
R
T
-
-
-
-
-
-
-
-
-
-
-
-
-
I
S
N
O
T
P
O
K
C
O
T
S
-
-
-
-
69
-
-
-
-
-
69
69
-
S
T
N
E
M
T
S
E
V
N
I
I
Y
T
U
Q
E
N
I
S
E
G
N
A
H
C
-
-
-
-
-
-
-
-
-
-
-
-
-
(€ million)
9
1
0
2
.
.
1
3
2
1
T
A
S
A
Y
T
U
Q
E
I
'
S
R
E
D
L
O
H
E
R
A
H
S
Y
T
R
O
N
M
I
I
.
.
9
1
0
2
1
3
2
1
T
A
S
A
Y
T
U
Q
E
I
'
S
R
E
D
L
O
H
E
R
A
H
S
L
A
T
O
T
.
.
9
1
0
2
1
3
2
1
T
A
S
A
Y
T
U
Q
E
I
'
S
R
E
D
L
O
H
E
R
A
H
S
P
U
O
R
G
21,166
20,995
-
-
13,311
13,225
171
-
86
16,694
16,838
(144)
7,633
7,506
9
1
0
2
E
M
O
C
N
I
I
E
V
S
N
E
H
E
R
P
M
O
C
R
E
H
T
O
-
-
-
-
-
127
11
-
-
-
118
369
1,368
(6,109)
(6,120)
-
-
-
3,491
4,859
4,732
127
-
-
5,602
5,602
(3)
(3)
3,491
3,373
61,785
61,416
61,416
369
The amounts disclosed in column “Stock Options” represent the effects of the delivery of shares (Stock Options, Performance Shares, Discount and
Matching Shares connected with the ESOP Plans and other Group Executive Incentive Plans).
The cumulated change of revaluation reserves includes the variation of property, plan and equipment reserve for +€1,445 million due to the
transition from the cost model to the revaluation model for the properties used in business, ruled by IAS16 "Property, plant and machinery" (for
further details please see Part A - Accounting policies - A.1 - General - Section 5 - Other matters), the effect for -€858 million of actuarial gain
(losses) from the measurement of the actuarial liabilities (defined benefit plans), the effects of the cash flow hedges reserve for -€55 million and the
effect of financial asset and liabilities at fair value for +€720 million. This cumulated change includes furthermore the effect of exchange differences
reserve for +€292 million, mainly related to effect of Russian Ruble for +€324 million, for +€501 million the change in the valuation reserve of the
companies accounted for using the equity method, mainly due to the change of Turkish Lira for -€110 million and for +€677 million due to the
reclassification of 9.02% of the valuation reserve of Yapi Ve Kredi Bankasi AS in the reserve of Non – current assets classified as held for sale
changed for -€660 million (mainly referred to cumulated change of Turkish Lira for -€643 million).
The change of the other reserves includes the payment of coupons on AT1 equity instruments for -€285 million.
The change in Group share capital refers to the increase for +€55 million following the resolution of the Board of Directors of 6 February 2019 of
UniCredit S.p.A. executed through a withdrawal from the specifically constituted reserve, for the issue of the shares connected to the medium term
incentive plan for Group personnel.
Following the resolutions of the Shareholders' Meeting of 11 April 2019 of UniCredit S.p.A., the coverage of the negative other reserves for +€293
million was executed by using: i) the share premium reserve for the component related to the payment of AT1 coupons in 2017 for -€168 million;
ii) the statutory reserve, included in reserves from profit, to cover the negative reserve arising from the payment of usufruct contract signed with
Mediobanca S.p.A. on UniCredit shares supporting the issuance of convertible securities denominated “Cashes” for -€125 million.
The change in net equity of minorities is mainly due to the sale of FinecoBank S.p.A. This transaction has impacted mainly share capital and
reserves from profits.
For further details about the Shareholders’ equity changes see Part B - Consolidated Balance Sheet - Liabilities - Section 13 of the Consolidated
financial statement, Notes to the consolidated accounts.
94 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Consolidated accounts
Consolidated accounts
Statement of changes in the consolidated shareholders' equity as at 31 December 2018
PREVIOUS
YEAR PROFIT
(LOSS)
ALLOCATION
CHANGES IN THE YEAR
SHAREHOLDERS' EQUITY TRANSACTIONS
E
C
N
A
L
A
B
G
N
N
E
P
O
N
I
I
E
G
N
A
H
C
-
-
-
.
.
7
1
0
2
1
3
2
1
T
A
S
A
E
C
N
A
L
A
B
21,200
2
13,488
11,520
(2,660)
7,951
(4,329)
-
4,610
(3)
5,786
-
-
-
-
-
.
.
8
1
0
2
1
0
1
0
T
A
S
A
E
C
N
A
L
A
B
21,200
2
13,488
8,860
7,951
-
4,610
(3)
(325)
(4,654)
S
E
V
R
E
S
E
R
-
-
-
4,924
-
-
-
-
-
I
S
N
O
T
A
C
O
L
L
A
R
E
H
T
O
D
N
A
S
D
N
E
D
V
D
I
I
-
-
-
-
-
-
-
-
-
(862)
(862)
(715)
(147)
S
E
R
A
H
S
Y
R
U
S
A
E
R
T
F
O
E
S
A
H
C
R
U
P
-
(2)
-
-
-
-
-
-
-
-
(2)
(2)
-
S
E
V
R
E
S
E
R
N
I
S
E
G
N
A
H
C
S
E
R
A
H
S
W
E
N
F
O
E
U
S
S
I
(14)
62
-
(8)
-
-
52
(60)
(613)
(41)
-
-
(15)
-
(639)
(616)
(23)
-
-
-
-
-
-
2
2
-
I
I
I
I
N
O
T
U
B
R
T
S
D
Y
R
A
N
D
R
O
A
R
T
X
E
S
D
N
E
D
V
D
I
I
I
I
S
D
N
E
D
V
D
D
E
C
N
A
V
D
A
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
S
T
N
E
M
U
R
T
S
N
I
I
Y
T
U
Q
E
N
I
E
G
N
A
H
C
-
-
-
-
-
-
-
-
-
-
-
-
-
I
I
S
E
V
T
A
V
R
E
D
S
E
R
A
H
S
Y
R
U
S
A
E
R
T
-
-
-
-
-
-
-
-
-
-
-
-
-
I
S
N
O
T
P
O
K
C
O
T
S
-
-
-
-
70
-
-
-
-
-
70
70
-
S
T
N
E
M
T
S
E
V
N
I
I
Y
T
U
Q
E
N
I
S
E
G
N
A
H
C
-
-
-
-
-
-
-
-
-
-
-
2
(2)
8
1
0
2
E
M
O
C
N
I
I
E
V
S
N
E
H
E
R
P
M
O
C
R
E
H
T
O
-
-
-
-
-
Share capital:
- ordinary shares
- other shares
Share premium
Reserves:
- from profits
- other
Valuation reserves
Advanced dividends
Equity instruments
Treasury shares
Profit (Loss) for the year
Total shareholders’ equity
60,225
(2,985)
57,240
Group shareholders' equity
59,331
(2,993)
56,338
Minority shareholders' equity
894
8
902
-
-
-
5,786
(4,924)
(€ million)
8
1
0
2
.
.
1
3
2
1
T
A
S
A
Y
T
U
Q
E
I
'
S
R
E
D
L
O
H
E
R
A
H
S
Y
T
R
O
N
M
I
I
.
.
8
1
0
2
1
3
2
1
T
A
S
A
Y
T
U
Q
E
I
'
S
R
E
D
L
O
H
E
R
A
H
S
L
A
T
O
T
.
.
8
1
0
2
1
3
2
1
T
A
S
A
Y
T
U
Q
E
I
'
S
R
E
D
L
O
H
E
R
A
H
S
P
U
O
R
G
21,248
20,940
308
-
-
13,480
13,393
13,776
13,555
7,408
7,281
-
87
221
127
(6)
-
-
(9)
233
961
(2,799)
(7,494)
(7,488)
-
-
-
4,340
1,541
1,310
231
-
4,610
(18)
4,340
-
4,610
(9)
4,107
57,350
56,389
56,389
961
The column “Change in opening balance” includes the reclassification and remeasurement effects resulting from the first time adoption of accounting
principle IFRS9. It should be noted that these effects include a negative impact for -€198 million related to a company consolidated using the equity
method totally compensated by previous impairment reversal. Furthermore, it is worth specifying that due to deposits certificates reclassification,
performed in order to grant the homogeneous classification within the Group, the accumulated changes in fair value related to the own credit risk for
€21 million have been accounted with negative impact in revaluation reserves with a corresponding positive effect under other reserves. Reference
is made to the paragraph “Transition to‘IFRS9 Financial Instruments’ of UniCredit group” of Part A - Notes to the consolidated accounts of UniCredit
group - Section 5 - Other matters in 2018 Annual Report and Accounts.
The column “Change in opening balance” includes furthermore the impacts arising from the change in the evaluation criterion of the Group’s real
estate portfolio held for investment. Please note that, due to the retrospective application of this change, the profit of 31 December 2018 is different
from the published result. Refer to Part A – Accounting policies - A.1 - General - Section 5 - Other matters for further details.
The amounts disclosed in column “Stock Options” represent the effects of the delivery of shares (Stock Options, Performance Shares, Discount and
Matching Shares connected with the ESOP Plans and other Group Executive Incentive Plans).
The cumulated change of revaluation reserves includes the effect for -€299 million of actuarial gain (losses) from the measurement of the actuarial
liabilities (defined benefit plans), the effects of the cash flow hedges reserve for -€130 million and the effect of financial asset and liabilities at fair
value for -€1,186 million. This cumulated change includes furthermore the effect of exchange differences reserve for -€386 million, mainly related to
effect of Russian Ruble for -€352 million and the change in the valuation reserve of the companies accounted for using the equity method for -€838
million, mainly due to the depreciation of the items in Turkish Lira for -€712 million.
The change of the other reserves mainly refers to the payment of coupon on AT1 equity instruments for -€242 million.
The share capital increase for +€60 million following the resolution of the Board of Directors of 7 February 2018 executed through a withdrawal from
the specifically constituted reserve, for the issue of the shares connected to the medium term incentive plan for Group personnel.
UniCredit ·2019 Annual Report and Accounts 95
Consolidated financial statements | Consolidated accounts
Consolidated accounts
Consolidated cash flow statement (indirect method)
A. OPERATING ACTIVITIES
1. Operations:
- profit (loss) for the year (+/-)
- gains/losses on financial assets held for trading and on other financial assets/liabilities at fair
value through profit or loss (-/+)
- gains (losses) on hedge accounting (-/+)
- net losses/recoveries on impairment (+/-)
- net value adjustments/write-backs on property, plant and equipment and intangible assets (+/-)
- net provisions for risks and charges and other expenses/income (+/-)
- uncollected net premiums (-)
- other uncollected insurance income/expenses (-/+)
- unpaid duties, taxes and tax credits (+/-)
- impairment/write-backs after tax on discontinued operations (+/-)
- other adjustments (+/-)
2. Liquidity generated/absorbed by financial assets:
- financial assets held for trading
- financial assets designated at fair value
- other financial assets mandatorily at fair value
- financial assets at fair value through other comprehensive income
- financial assets at amortised cost
- other assets
3. Liquidity generated/absorbed by financial liabilities:
- financial liabilities at amortised cost
- financial liabilities held for trading
- financial liabilities designated at fair value
- other liabilities
Net liquidity generated/absorbed by operating activities
B. INVESTMENT ACTIVITIES
1. Liquidity generated by:
- sales of equity investments
- collected dividends on equity investments
- sales of property, plant and equipment
- sales of intangible assets
- sales of subsidiaries and business units
2. Liquidity absorbed by:
- purchases of equity investments
- purchases of property, plant and equipment
- purchases of intangible assets
- purchases of subsidiaries and business units
Net liquidity generated/absorbed by investment activities
C. FUNDING ACTIVITIES
- issue/purchase of treasury shares
- issue/purchase of equity instruments
- dividend distribution and other
- sale/purchase of minority control
Key:
(+) generated;
(-) absorbed.
Consolidated cash flow statement
Net liquidity generated/absorbed by funding activities
NET LIQUIDITY GENERATED/ABSORBED IN THE YEAR
96 2019 Annual Report and Accounts · UniCredit
YEAR
2019
11,140
3,491
571
(42)
5,288
2,167
(174)
-
-
687
(1,235)
387
(58,982)
1,889
-
3,647
8,863
(75,408)
2,027
31,635
38,352
(2,045)
(158)
(4,514)
(16,207)
5,020
844
64
2,978
11
1,123
(2,205)
(20)
(1,543)
(642)
-
2,815
-
992
(1,307)
-
(315)
(13,707)
(€ million)
2018
8,566
4,340
(2,206)
(17)
4,478
635
1,083
-
-
(747)
135
865
(39,034)
10,559
-
6,153
10,436
(68,601)
2,419
(492)
6,387
(7,374)
1,635
(1,140)
(30,960)
842
14
183
377
6
262
(2,062)
(485)
(1,008)
(569)
-
(1,220)
-
-
(1,301)
-
(1,301)
(33,481)
Consolidated financial statements | Consolidated accounts
Consolidated accounts
Reconciliation
ITEMS
Cash and cash balances at the beginning of the year
Net liquidity generated/absorbed in the year
Cash and cash balances: foreign exchange effect
Cash and cash balances at the end of the year
YEAR
2019
30,991
(13,707)
21
17,305
(€ million)
2018
64,493
(33,481)
(21)
30,991
The figures related to 2018 of the point "1. Operations" in section "A. Operating activities" have been restated following the deconsolidation of
FinecoBank S.p.A. and its subsidiary, Fineco Asset Management Designated Activity Company occurred in the second quarter of 2019 and following
the adoption by the Group of fair value model to account for land and buildings held for investment, ruled by IAS40.
The liquidity absorbed in 2018 by FinecoBank S.p.A. and its subsidiary amounted to €1 million.
The disposal of FinecoBank S.p.A. has generated in 2019 cash of €2,094 million, net of cash and cash balances owned by the company at the
beginning of the year.
For further details related to the change of the Funding activities regarding the issue/purchase of equity instruments, refer to Part B - Consolidated
balance sheet - Liabilities - Section 13 - Group shareholders’ equity.
The item "Cash and cash balances" refers to the definition according to Banca d’Italia (Circular 262, 22 December 2005 and subsequent
amendments).
The information related to the significant restrictions are provided in Part A - Accounting Policies - A.1 - General - Section 3 - Consolidation scope
and methods.
UniCredit ·2019 Annual Report and Accounts 97
Consolidated financial statements | Consolidated accounts
Consolidated accounts
98 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
Notes to the consolidated accounts
Part A - Accounting policies
A.1 - General
Section 1 - Statement of compliance with IFRS
These Consolidated financial statements have been prepared in accordance with the IFRS issued by the International Accounting Standards Board
(IASB), including the interpretation documents issued by the SIC and the IFRIC, and endorsed by the European Commission up to 31 December
2019, pursuant to EU Regulation No.1606/2002 which was incorporated into Italian legislation through Legislative Decree No.38 of 28 February
2005 (see Section 5 - Other matters).
These statements are an integral part of the Annual Financial Statements as required by Art.154-ter, par.1 of the Single Finance Act (TUF,
Legislative Decree No.58 of 24 February 1998).
In its circular 262 of 22 December 2005 and subsequent amendments Banca d’Italia laid down the formats for the financial statements and notes to
the accounts used to prepare these financial statements.
Banca d’Italia issued on 30 November 2018 the 6th update of its circular 262 adjusting the formats for the consolidated accounts and notes to the
consolidated accounts to the requirements of IFRS16: Leasing.
Section 2 - General preparation criteria
As mentioned above, these Consolidated financial statements have been prepared in accordance with the IFRS endorsed by the European
Commission.
The following documents have been used to interpret and support the application of IFRS, even though not all of them have been endorsed by the
European Commission:
The Conceptual Framework for Financial Reporting;
Implementation Guidance, Basis for Conclusions, IFRICs and any other documents prepared by the IASB or International Financial Reporting
Interpretations Committee (IFRIC) supplementing the IFRSs;
Interpretative documents on the application of IAS/IFRS in Italy prepared by the Organismo Italiano di Contabilità (OIC) and Associazione
Bancaria Italiana (ABI);
ESMA (European Securities and Markets Authority) and CONSOB documents on the application of specific IFRS provisions.
The Consolidated financial statements include the Balance sheet, the Income statement, the Statement of other comprehensive income, the
Statement of changes in shareholders’ equity, the Cash flow statement (compiled using the “indirect method”) and the Notes to the consolidated
accounts, together with the Consolidated report on operations and Annexes.
In addition, pursuant to Art.123-bis par.3 of TUF, as reported in chapter “Other information” of the Consolidated report on operations, the Report on
Corporate Governance and Ownership Structures is available in the "Governance" section of UniCredit website:
https://www.unicreditgroup.eu/it/governance/governance-system-and-policies.html - Italian version and
https://www.unicreditgroup.eu/en/governance/governance-system-and-policies.html - English version.
Figures in the Consolidated accounts and in the Notes to the accounts are given in millions of euros, unless otherwise specified.
In their joint Document No.4 of 3 March 2010, Banca d’Italia, Consob and Isvap made a few observations on the current situation of the markets and
businesses and requested to disclose in the financial statements information which are essential for a better understanding of business trends and
outlook.
In this regard, the Directors, based on the 2020-2023 Strategic Plan, identified no symptoms in the capital and financial structure and in the
economic performance that could indicate uncertainty about the ability to continue as a going-concern and therefore believe with reasonable
certainty that the Group will continue to operate profitably in the foreseeable future; as a result, in accordance with the provisions of IAS1, the
Consolidated financial statements as at 31 December 2019 have been prepared on a going-concern basis.
The measurement criteria adopted are therefore consistent with the assumption that the business is a going-concern and with the principles of
accrual based accounting, the relevance and materiality of accounting information, and the prevalence of economic substance over legal form.
These criteria have not changed compared with the previous year.
Risks and uncertainty relating to the use of estimates
Pursuant to IFRSs, Management must make judgments, estimates and assumptions that affect the application of accounting principles and the
amounts of assets, liabilities, income and expenses reported in the Accounts, as well as the disclosure concerning potential assets and liabilities.
Estimates and the related assumptions are based on previous experience and other factors considered reasonable under the circumstances and
have been used to estimate the carrying values of assets and liabilities not readily available from other sources.
UniCredit ·2019 Annual Report and Accounts 99
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
In particular estimated figures have been used for the recognition of some of the largest value-based items in the Consolidated financial statements
at 31 December 2019, as required by the accounting policies and regulations described above. These estimates are largely based on calculations of
future recoverability of the values recognised in the accounts according to the rules laid down in current legislation and have been made on the
assumption of a going-concern, i.e. without contemplating the possibility of the forced sale of the estimated items.
The processes adopted confirm the carrying values at 31 December 2019. Valuation is particularly difficult because of the uncertainty in the
macroeconomic and market environment.
The parameters and information used to check the above-mentioned values were therefore significantly affected by such factors, which could
change rapidly in ways that are currently unforeseeable, such that further effects on future carrying values cannot be ruled out.
Estimates and assumptions are regularly reviewed. Any changes resulting from these reviews are recognised in the period in which the review was
carried out, provided the change only concerns that period. If the revision concerns both current and future periods it is recognised accordingly in
both current and future periods.
Uncertainty affecting estimates is generally inherent in the measurement of:
financial instruments not listed in active markets measured at fair value;
loans and receivables, equity investments and, in general, any other financial assets/liabilities;
severance pay (Italy) and other employee benefits;
provisions for risks and charges and contingent assets (for more information on legal risks see Part E - Par.2.5 Operational risk);
goodwill and other intangible assets;
deferred tax assets;
investment and used in business properties;
whose assessment may significantly change over time according to the trend in (i) domestic and international socio-economic conditions and
subsequent impact on the Group’s profitability and customers’ creditworthiness, (ii) financial markets, which affect changes in interest rates, prices
and actuarial assumptions and (iii) real estate market affecting the value of property owned by the Bank or received as collateral. Regarding the
evaluation of credit exposures, it should be noted that, with the entrance into force of IFRS9, their evaluation depends on forward-looking information
and, in particular, on the evolution of macro-economic scenarios used in the calculation of loan loss provisions.
Note that the economic and political uncertainty in Turkey and Russia were taken into account during the assessment of the net assets owned by
the Group in these countries. Refer to Part E - Information on risks and hedging policies - Section 5 - Other Risks - Top and emerging risks.
Similarly, risks and uncertainties associated with a macroeconomic scenario involving tensions in international trade, an increase in rates and
spreads, with specific reference to certain geographical areas and the expected contractions of quantitative easing measures so far implemented by
Central Banks, were considered in the valuation of assets. In this regard, refer to the Outlook of the Consolidated report on operations.
With specific reference to future cash flow projections used in the valuation of goodwill, intangible assets and deferred tax assets, it should be noted
that the parameters and information used are significantly influenced by the macro-economic market situation, which may change in unpredictably.
For further information see Part B - Consolidated Balance Sheet - Assets - Section 10 - Intangible assets.
With specific reference to valuation techniques, unobservable inputs used in the fair value measurement and sensitivities to changes in those inputs,
refer to Section A.4 - Information on fair value.
Section 3 - Consolidation scope and methods
The consolidation criteria and principles used to prepare the Consolidated financial statements as at 31 December 2019 are described below.
Consolidated Accounts
For the preparation of the Consolidated financial statements as at 31 December 2019 the following sources have been used:
UniCredit S.p.A. general meeting draft accounts as at 31 December 2019;
the accounts as at 31 December 2019, approved by the competent bodies and functions, of the other fully consolidated subsidiaries duly
reclassified and adjusted to take account of consolidation needs and, where necessary, to align them to the Group accounting principles;
the sub-consolidated Accounts as at 31 December 2019 of Nuova Compagnia di Partecipazioni Group, including Nuova Compagnia di
Partecipazioni S.p.A. (formerly Compagnia Italpetroli S.p.A.), and Capital Dev Group, including Capital Dev S.p.A., and their direct and indirect
subsidiaries.
100 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
Amounts in foreign currencies are converted at closing exchange rates in the balance sheet, whereas the average exchange rate for the year is
used for the income statement.
The accounts and explanatory notes of the main fully consolidated subsidiaries prepared under IIAS/IFRS are subject to limited review by leading
audit companies.
Subsidiaries
Entities, including structured entities, over which the Group has direct or indirect control, are considered subsidiaries.
Control over an entity entails:
the existence of power over the relevant activities;
the exposure to the variability of returns;
the ability to use the power exercised in order to influence the returns to which the Group is exposed.
In order to verify the existence of control, the Group considers the following factors:
the purpose and establishment of the investee, in order to identify which are the entity's objectives, the activities that determine its returns and how
these activities are governed;
the power, in order to understand whether the Group has contractual rights that attribute the ability to govern the relevant activities; to this end only
substantial rights that provide practical ability to govern are considered;
the exposure held in relation to the investee, in order to assess whether the Group has relations with the investee, the returns of which are subject
to changes depending on the investee's performance;
the existence of potential (principal - agent) relationships.
If the relevant activities are governed through voting rights, the existence of control is verified considering the voting rights held, including the
potential ones, and the existence of any shareholders' or other agreements which attribute the right to control the majority of the voting rights, to
appoint the majority of the governing body or in any case the power to determine the entity's financial and operating policies.
Subsidiaries may also include any “structured entity” in which the voting rights are not significant for establishing control, including special purpose
entities and investment funds.
In the case of structured entities, the existence of control is ascertained considering both the contractual rights that enable governance of the
relevant activities of the entity (or those that contribute most to the results) and the Group's exposure to the variability of returns deriving from these
activities.
The carrying amount of an equity interest in a fully consolidated entity held by the Parent company or another Group company is eliminated against
the recognition of the assets and liabilities of the investee as an offsetting entry to the corresponding portion of net equity of the subsidiary
attributable to the Group.
Intragroup balances, the off-balance sheet transactions, the income and expenses, and the gain/losses between consolidated companies are
eliminated in full, according to the method of consolidation adopted.
A subsidiary’s income and expenses are included in the consolidation from the date the Parent acquires the control. On disposal of a subsidiary, its
income and expenses are consolidated up to the date of the disposal, i.e. until the Parent ceases to control the subsidiary. The difference between
the consideration received of the subsidiary and the carrying amount of its net assets at the same date is recognised in the Income Statement under
item “280 Gains (Losses) on disposal of investments” for fully consolidated companies.
The portion attributable to non-controlling interests is presented in the Balance sheet under item “190 Minorities”, separately from the liabilities and
net equity attributable to the Group. In the Income statement, the portion attributable to minorities is also presented separately under item “340
Minorities”.
With respect to companies included in the consolidation scope for the first time, the fair value of the cost paid to obtain control of this equity interest,
including ancillary expenses, is measured at the acquisition date.
The difference between the consideration received of an interest held in a subsidiary and the carrying amount of the net assets is recognised in the
Net Equity, if the sale does not entail loss of control.
Joint arrangements
A joint arrangement is a contractual agreement under the terms of which two or more counterparties arrange to jointly control an entity.
Joint control is the contractually agreed sharing of control of an arrangement, which exists only when the decisions about the relevant activities
require the unanimous consent of the parties sharing control.
According to the standard IFRS11 - Joint Arrangements, such agreements must be classified as Joint Operations or Joint Ventures according to the
contractual rights and obligations held by the Group.
UniCredit ·2019 Annual Report and Accounts 101
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
A Joint Operation is a joint arrangement in which the parties have rights on the assets and obligations with respect to the liabilities of the
arrangement.
A Joint Venture is a joint arrangement in which the parties have rights on the net assets of the arrangement.
The Group has assessed the nature of the joint arrangements and has determined that its jointly controlled equity investments are of the Joint
Venture type. These equity investments are recognised using the equity method.
Carrying amount of the Joint Ventures is tested in accordance with IAS36 as a single asset, by comparing it with the corresponding recoverable
amount (i.e. higher of value in use (VIU) and fair value (FV) less cost to sell).
Associates
An associate is an entity over which the investor has significant influence and which are not subsidiaries or joint ventures.
Significant influence is presumed when the investor:
holds, directly or indirectly, at least 20% of the share capital of another entity, or
is able, also through shareholders' agreements, to exercise significant influence through:
- representation on the governing body of the company;
- participation in the policy-making process, including participation in decisions about dividends or other distributions;
- the existence of significant transactions;
- interchange of managerial personnel;
- provision of key technical information.
It is to be pointed out that only companies which are governed through voting rights can be classified as subject to significant influence.
Investments in associates are recognised using the equity method. Carrying amount of Associates is tested in accordance with IAS36 as a single
asset, by comparing it with the corresponding recoverable amount (i.e. higher of VIU and FV less cost to sell).
Equity method
Equity investments in companies measured using the equity method include the goodwill (less any impairment loss) paid to purchase them.
The investor’s share of the profit and loss of the investee after the date of acquisition is recognised in the Income statement under item “250 Profit
(Loss) of investments”. Any dividends distributed reduce the carrying amount of the equity investment.
If the investor’s share of an investee’s losses is equal to or greater than its carrying amount, no further losses are recognised, unless the investor
has incurred specific obligations or made payments on behalf of the associate.
Gains and losses on transactions with associates or joint arrangements are eliminated according to the percentage interest in the said company.
Any changes in the revaluation reserves of associates or joint arrangements, which are recorded as a contra item to changes in value of the
phenomena relevant to this purpose, are reported separately in the Statement of other comprehensive income.
The following table shows the companies included in the scope of consolidation.
102 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
1. Investments in Subsidiaries
MAIN
OFFICE
ADMINISTRATIVE
OFFICE
TYPE OF
RELATIONSHIP
(1)
HELD BY
HOLDING
%
VOTING
RIGHTS
%(2)
OWNERSHIP RELATIONSHIP
MILAN
MILAN
PARENT COMPANY
MUNICH
MUNICH
1
GRUNDSTUCKSAKTIENGESELLSCHAFT AM
POTSDAMER PLATZ (HAUS VATERLAND)
100.00
GRUENWALD
GRUENWALD
1
SIRIUS IMMOBILIEN- UND
PROJEKTENTWICKLUNGS GMBH
100.00
98.11
GRUENWALD
GRUENWALD
1
A&T-PROJEKTENTWICKLUNGS GMBH & CO.
POTSDAMER PLATZ BERLIN KG
100.00
98.11
GRUENWALD
GRUENWALD
1
HVB GESELLSCHAFT FUR GEBAUDE MBH & CO
KG
100.00
98.11
1
2
3
4
5
6
7
8
9
COMPANY NAME
A. LINE BY LINE METHOD
UNICREDIT SPA
Issued capital EUR 20,994,799,961.81
A&T-PROJEKTENTWICKLUNGS GMBH & CO.
POTSDAMER PLATZ BERLIN KG
Issued capital EUR 613,550
ACIS IMMOBILIEN- UND
PROJEKTENTWICKLUNGS GMBH & CO.
OBERBAUM CITY KG
Issued capital EUR 26,000
ACIS IMMOBILIEN- UND
PROJEKTENTWICKLUNGS GMBH & CO.
PARKKOLONNADEN KG
Issued capital EUR 26,000
ACIS IMMOBILIEN- UND
PROJEKTENTWICKLUNGS GMBH & CO.
STUTTGART KRONPRINZSTRASSE KG
Issued capital EUR 26,000
AI BETEILIGUNGS GMBH
Issued capital EUR 35,000
Issued capital EUR 36,500
ALLIB LEASING S.R.O.
Issued capital CZK 100,000
ALLIB NEKRETNINE D.O.O. ZA POSLOVANJE
NEKRETNINAMA
Issued capital HRK 20,000
10
ALMS LEASING GMBH.
Issued capital EUR 36,000
11
ALPINE CAYMAN ISLANDS LTD.
12
13
Issued capital EUR 798
ALTUS ALPHA PLC
ALV IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
Issued capital EUR 36,500
ALLEGRO LEASING GESELLSCHAFT M.B.H.
VIENNA
VIENNA
VIENNA
VIENNA
PRAGUE
PRAGUE
ZAGREB
ZAGREB
VIENNA
VIENNA
GRAND
CAYMAN
DUBLIN
VIENNA
GEORGE
TOWN
DUBLIN
VIENNA
14
AMBASSADOR PARC DEDINJE D.O.O. BEOGRAD
BELGRADE
BELGRADE
15
16
17
18
19
20
21
Issued capital RSD 98,672,974
ANTARES IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
ANTHEMIS EVO LLP
AO UNICREDIT BANK
Issued capital RUR 41,787,805,174
ARABELLA FINANCE DAC
ARENA NPL ONE S.R.L. (CARTOLARIZZAZIONE
2014)
ARGENTAURUS IMMOBILIEN-VERMIETUNGS-
UND VERWALTUNGS GMBH
Issued capital EUR 511,300
ARNO GRUNDSTUECKSVERWALTUNGS
GESELLSCHAFT M.B.H.
Issued capital EUR 36,337
LONDON
MOSCOW
DUBLIN
VERONA
LONDON
MOSCOW
DUBLIN
VERONA
MUNICH
MUNICH
VIENNA
VIENNA
22
ATLANTERRA IMMOBILIENVERWALTUNGS GMBH
MUNICH
MUNICH
Issued capital EUR 1,023,000
23
AUSTRIA LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,336
1
1
1
1
1
1
4
1
1
1
4
1
4
4
1
1
1
1
UNICREDIT BANK AUSTRIA AG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT LEASING CZ, A.S.
LOCAT CROATIA DOO
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT BANK AUSTRIA AG
UNICREDIT BANK AG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UCTAM D.O.O. BEOGRAD
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT GARAGEN ERRICHTUNG UND
VERWERTUNG GMBH
UNICREDIT SPA
UNICREDIT SPA
UNICREDIT BANK AG
UNICREDIT SPA
HVB PROJEKT GMBH
GALA GRUNDSTUECKVERWALTUNG
GESELLSCHAFT M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
HVB PROJEKT GMBH
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
GALA GRUNDSTUECKVERWALTUNG
GESELLSCHAFT M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
100.00
0.20
99.80
100.00
100.00
100.00
100.00
..
0.20
99.80
100.00
0.20
99.80
..
100.00
..
..
100.00
99.80
0.20
90.00
0.40
99.40
0.20
(3)
(3)
(3)
(3)
UniCredit ·2019 Annual Report and Accounts 103
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
COMPANY NAME
BA ALPINE HOLDINGS, INC.
24
Issued capital USD 74,435,918
MAIN
OFFICE
WILMINGTON
ADMINISTRATIVE
OFFICE
WILMINGTON
25
BA BETRIEBSOBJEKTE GMBH
VIENNA
VIENNA
Issued capital EUR 5,630,000
26
BA CA LEASING (DEUTSCHLAND) GMBH
HAMBURG
HAMBURG
Issued capital EUR 153,388
27
BA CA SECUND LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
28
BA EUROLEASE BETEILIGUNGSGESELLSCHAFT
M.B.H.
Issued capital EUR 363,364
VIENNA
VIENNA
29
BA GEBAEUDEVERMIETUNGSGMBH
VIENNA
VIENNA
Issued capital EUR 36,336
30
BA GVG-HOLDING GMBH
Issued capital EUR 18,168
VIENNA
VIENNA
31
BA-CA ANDANTE LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
32
BA-CA FINANCE (CAYMAN) II LIMITED
Issued capital EUR 15,000
33
BA-CA FINANCE (CAYMAN) LIMITED
Issued capital EUR 15,000
GEORGE
TOWN
GEORGE
TOWN
GEORGE
TOWN
GEORGE
TOWN
34
BA-CA LEASING DREI GARAGEN GMBH
VIENNA
VIENNA
Issued capital EUR 35,000
35
36
BA-CA LEASING MAR IMMOBILIEN LEASING
GMBH
Issued capital EUR 36,500
BA-CA MARKETS & INVESTMENT BETEILIGUNG
GES.M.B.H.
Issued capital EUR 127,177
VIENNA
VIENNA
VIENNA
VIENNA
37
BA-CA PRESTO LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
38
BA-CA WIEN MITTE HOLDING GMBH
VIENNA
VIENNA
Issued capital EUR 35,000
39
BA/CA-LEASING BETEILIGUNGEN GMBH
VIENNA
VIENNA
Issued capital EUR 454,000
40
BACA CENA IMMOBILIEN LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
41
BACA HYDRA LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
42
BACA KOMMUNALLEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
43
BACA LEASING ALFA S.R.O.
PRAGUE
PRAGUE
Issued capital CZK 110,000
44
BACA LEASING UND
BETEILIGUNGSMANAGEMENT GMBH
Issued capital EUR 18,287
VIENNA
VIENNA
45
BACAL ALPHA DOO ZA POSLOVANJE
NEKRETNINAMA
Issued capital HRK 20,000
ZAGREB
ZAGREB
46
BAHBETA INGATLANHASZNOSÍTO KFT.
BUDAPEST
BUDAPEST
Issued capital HUF 30,000,000
47
BAL CARINA IMMOBILIEN LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
TYPE OF
RELATIONSHIP
(1)
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
OWNERSHIP RELATIONSHIP
HELD BY
UNICREDIT BANK AUSTRIA AG
UNICREDIT BANK AUSTRIA AG
UNICREDIT LEASING SPA
THROUGH A TRUST COMPANY OUTSIDE THE
GROUP
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT ZEGA LEASING-GESELLSCHAFT
M.B.H.
BA GVG-HOLDING GMBH
BA-CA MARKETS & INVESTMENT BETEILIGUNG
GES.M.B.H.
PAYTRIA UNTERNEHMENSBETEILIGUNGEN
GMBH
UNICREDIT BANK AUSTRIA AG
UNICREDIT LEASING (AUSTRIA) GMBH
ALPINE CAYMAN ISLANDS LTD.
ALPINE CAYMAN ISLANDS LTD.
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT BANK AUSTRIA AG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT BANK AUSTRIA AG
CALG DELTA GRUNDSTUECKVERWALTUNG
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT LEASING CZ, A.S.
CALG IMMOBILIEN LEASING GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
LOCAT CROATIA DOO
UNIVERSALE INTERNATIONAL REALITAETEN
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
(4)
VOTING
RIGHTS
%(2)
HOLDING
%
100.00
100.00
94.90
5.10
0.20
99.80
100.00
89.00
10.00
1.00
100.00
100.00
100.00
100.00
99.80
0.20
0.20
99.80
100.00
0.20
99.80
100.00
99.80
0.20
0.20
99.80
0.20
99.80
100.00
100.00
98.80
0.20
1.00
100.00
100.00
0.20
99.80
104 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
COMPANY NAME
BAL HESTIA IMMOBILIEN LEASING GMBH
48
MAIN
OFFICE
VIENNA
ADMINISTRATIVE
OFFICE
VIENNA
Issued capital EUR 36,500
49
BAL HORUS IMMOBILIEN LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
50
BAL HYPNOS IMMOBILIEN LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
51
BAL LETO IMMOBILIEN LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
52
BAL OSIRIS IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
VIENNA
VIENNA
53
BAL SOBEK IMMOBILIEN LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
54
BANK AUSTRIA CREDITANSTALT LEASING
IMMOBILIENANLAGEN GMBH
Issued capital EUR 36,500
VIENNA
VIENNA
55
BANK AUSTRIA FINANZSERVICE GMBH
VIENNA
VIENNA
Issued capital EUR 490,542
56
BANK AUSTRIA LEASING ARGO IMMOBILIEN
LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
57
58
59
60
61
62
BANK AUSTRIA LEASING HERA IMMOBILIEN
LEASING GMBH
Issued capital EUR 36,337
BANK AUSTRIA LEASING IKARUS IMMOBILIEN
LEASING GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
BANK AUSTRIA LEASING MEDEA IMMOBILIEN
LEASING GMBH
Issued capital EUR 36,500
BANK AUSTRIA REAL INVEST CLIENT
INVESTMENT GMBH
Issued capital EUR 145,500
BANK AUSTRIA REAL INVEST IMMOBILIEN-
KAPITALANLAGE GMBH
Issued capital EUR 5,000,000
BANK AUSTRIA REAL INVEST IMMOBILIEN-
MANAGEMENT GMBH
Issued capital EUR 10,900,500
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
63
BANK AUSTRIA WOHNBAUBANK AG
VIENNA
VIENNA
64
65
66
67
68
Issued capital EUR 18,765,944
BARD ENGINEERING GMBH
BARD HOLDING GMBH
BAULANDENTWICKLUNG GDST 1682/8 GMBH &
CO OEG
Issued capital EUR 0
BAVARIA SERVICOS DE REPRESENTACAO
COMERCIAL LTDA.
Issued capital BRL 351,531
BAYERISCHE WOHNUNGSGESELLSCHAFT FUER
HANDEL UND INDUSTRIE, GESELLSCHAFT MIT
BESCHRAENKTER HAFTUNG
Issued capital EUR 51,150
69
BERTRAM PROJEKT UNODECIMA
TECHNIKZENTRUM GMBH & CO. KG
Issued capital EUR 10,000
EMDEN
EMDEN
VIENNA
EMDEN
EMDEN
VIENNA
SAO PAULO
SAO PAULO
MUNICH
MUNICH
MUNICH
MUNICH
70
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
Issued capital EUR 36,500
VIENNA
VIENNA
TYPE OF
RELATIONSHIP
(1)
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
4
4
1
1
1
1
1
OWNERSHIP RELATIONSHIP
HELD BY
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
CALG DELTA GRUNDSTUECKVERWALTUNG
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
CALG DELTA GRUNDSTUECKVERWALTUNG
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT GARAGEN ERRICHTUNG UND
VERWERTUNG GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT ZEGA LEASING-GESELLSCHAFT
M.B.H.
GALA GRUNDSTUECKVERWALTUNG
GESELLSCHAFT M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
VOTING
RIGHTS
%(2)
HOLDING
%
0.20
99.80
99.80
0.20
99.80
0.20
0.20
99.80
0.20
99.80
0.20
99.80
99.80
0.20
UNICREDIT BANK AUSTRIA AG
100.00
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
WOEM GRUNDSTUECKSVERWALTUNGS-
GESELLSCHAFT M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT GARAGEN ERRICHTUNG UND
VERWERTUNG GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
BANK AUSTRIA REAL INVEST IMMOBILIEN-
MANAGEMENT GMBH
BANK AUSTRIA REAL INVEST IMMOBILIEN-
MANAGEMENT GMBH
UNICREDIT BANK AUSTRIA AG
UNICREDIT BANK AUSTRIA AG
BARD HOLDING GMBH
UNICREDIT BANK AG
CALG ANLAGEN LEASING GMBH
CALG IMMOBILIEN LEASING GMBH
UNICREDIT SPA
UNICREDIT U.S. FINANCE LLC
HVB GESELLSCHAFT FUR GEBAUDE MBH & CO
KG
ROLIN GRUNDSTUCKSPLANUNGS- UND -
VERWALTUNGSGESELLSCHAFT MBH
WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG
WEALTHCAP MANAGEMENT SERVICES GMBH
UNICREDIT LEASING (AUSTRIA) GMBH
0.20
99.80
0.20
99.80
0.20
99.80
0.20
99.80
100.00
100.00
94.95
100.00
..
..
1.00
99.00
100.00
..
100.00
87.00
6.00
1.00
100.00
(3)
(3)
UniCredit ·2019 Annual Report and Accounts 105
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
COMPANY NAME
BF NINE HOLDING GMBH
71
Issued capital EUR 35,000
MAIN
OFFICE
VIENNA
ADMINISTRATIVE
OFFICE
VIENNA
72
BIL LEASING-FONDS GMBH & CO VELUM KG
GRUENWALD
GRUENWALD
Issued capital EUR 2,556
73
BIL LEASING-FONDS VERWALTUNGS-GMBH
GRUENWALD
GRUENWALD
Issued capital EUR 26,000
74
BORGO DI PEROLLA SRL
75
76
77
Issued capital EUR 2,043,952
BREWO GRUNDSTUECKSVERWALTUNGS-
GESELLSCHAFT M.B.H.
Issued capital EUR 36,337
BUITENGAATS HOLDING B.V.
C.E.CO.S. COMPLETAMENTO EDILIZIO CORSO
SICILIA SPA
Issued capital EUR 103,300
78
CA-LEASING OVUS S.R.O.
Issued capital CZK 100,000
MASSA
MARITTIMA
MASSA
MARITTIMA
VIENNA
VIENNA
EEMSHAVEN
EEMSHAVEN
CATANIA
CATANIA
PRAGUE
PRAGUE
79
CA-LEASING SENIOREN PARK GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
80
CA-ZETA REAL ESTATE DEVELOPMENT LIMITED
LIABILITY COMPANY
Issued capital HUF 3,000,000
81
CABET-HOLDING GMBH
Issued capital EUR 290,909
BUDAPEST
BUDAPEST
VIENNA
VIENNA
82
CABO BETEILIGUNGSGESELLSCHAFT M.B.H.
VIENNA
VIENNA
Issued capital EUR 35,000
83
CALG 307 MOBILIEN LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
84
CALG 443 GRUNDSTUECKVERWALTUNG GMBH
VIENNA
VIENNA
Issued capital EUR 36,336
85
CALG 445 GRUNDSTUECKVERWALTUNG GMBH
VIENNA
VIENNA
Issued capital EUR 18,168
86
CALG 451 GRUNDSTUECKVERWALTUNG GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
87
CALG ALPHA GRUNDSTUECKVERWALTUNG
GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
88
CALG ANLAGEN LEASING GMBH
VIENNA
VIENNA
89
90
91
92
Issued capital EUR 36,500
CALG ANLAGEN LEASING GMBH & CO
GRUNDSTUECKVERMIETUNG UND -
VERWALTUNG KG
Issued capital EUR 2,326,378
CALG DELTA GRUNDSTUECKVERWALTUNG
GMBH
Issued capital EUR 36,336
CALG GAMMA GRUNDSTUECKVERWALTUNG
GMBH
Issued capital EUR 36,337
MUNICH
MUNICH
VIENNA
VIENNA
VIENNA
VIENNA
CALG GRUNDSTUECKVERWALTUNG GMBH
Issued capital EUR 36,500
VIENNA
VIENNA
93
CALG IMMOBILIEN LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 254,355
106 2019 Annual Report and Accounts · UniCredit
TYPE OF
RELATIONSHIP
(1)
1
1
1
1
1
4
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
OWNERSHIP RELATIONSHIP
HELD BY
ALLEGRO LEASING GESELLSCHAFT M.B.H.
VOTING
RIGHTS
%(2)
HOLDING
%
100.00
33.33
33.33
(3)
BIL LEASING-FONDS VERWALTUNGS-GMBH
UNICREDIT BANK AG
WEALTHCAP PEIA MANAGEMENT GMBH
FONDIARIA LASA SPA
..
100.00
100.00
100.00
UNICREDIT PEGASUS LEASING GMBH
100.00
BARD ENGINEERING GMBH
ISTITUTO IMMOBILIARE DI CATANIA SPA
UNICREDIT LEASING CZ, A.S.
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNIVERSALE INTERNATIONAL REALITAETEN
GMBH
UNICREDIT BANK AUSTRIA AG
CABET-HOLDING GMBH
UNICREDIT ZEGA LEASING-GESELLSCHAFT
M.B.H.
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
CALG IMMOBILIEN LEASING GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
CALG IMMOBILIEN LEASING GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
CALG DELTA GRUNDSTUECKVERWALTUNG
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
CALG DELTA GRUNDSTUECKVERWALTUNG
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
CALG ANLAGEN LEASING GMBH
CALG ANLAGEN LEASING GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
CALG IMMOBILIEN LEASING GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
CALG IMMOBILIEN LEASING GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
CALG ANLAGEN LEASING GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
..
100.00
100.00
99.80
0.20
100.00
100.00
100.00
100.00
98.80
1.00
0.20
99.60
0.40
99.80
0.20
99.80
0.20
0.20
99.80
99.90
99.80
0.20
99.80
0.20
74.80
0.20
25.00
99.80
0.20
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
94
COMPANY NAME
CALG MINAL GRUNDSTUECKVERWALTUNG
GMBH
Issued capital EUR 18,286
MAIN
OFFICE
VIENNA
ADMINISTRATIVE
OFFICE
VIENNA
95
CAPITAL DEV SPA
Issued capital EUR 272,000
ROME
ROME
96
97
CAPITAL MORTGAGE SRL (CARTOLARIZZAZIONE:
BIPCA CORDUSIO RMBS)
VERONA
VERONA
CAPITAL MORTGAGE SRL (CARTOLARIZZAZIONE:
CAPITAL MORTGAGE 2007 - 1)
VERONA
VERONA
98
CARD COMPLETE SERVICE BANK AG
VIENNA
VIENNA
Issued capital EUR 6,000,000
99
CARDS & SYSTEMS EDV-DIENSTLEISTUNGS
GMBH
VIENNA
VIENNA
Issued capital EUR 75,000
100
CASTELLANI LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 1,800,000
101
CAVE NUOVE SPA
Issued capital EUR 140,000
ROME
ROME
102
CHARADE LEASING GESELLSCHAFT M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
103
CHEFREN LEASING GMBH
Issued capital EUR 36,500
VIENNA
VIENNA
104
105
106
107
CIVITAS IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
COMMUNA - LEASING
GRUNDSTUECKSVERWALTUNGSGESELLSCHAFT
M.B.H.
Issued capital EUR 36,337
COMPAGNIA FONDIARIA ROMANA - SOCIETA' A
RESPONSABILITA' LIMITATA
Issued capital EUR 103,400
CONSUMER THREE SRL (CARTOLARIZZAZIONE:
CONSUMER THREE )
VIENNA
VIENNA
ROME
ROME
VERONA
VERONA
108
CONTRA LEASING-GESELLSCHAFT M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
109
110
111
CORDUSIO RMBS - UCFIN SRL
(CARTOLARIZZAZIONE: CORDUSIO RMBS UCFIN -
SERIE 2006)
VERONA
VERONA
CORDUSIO RMBS SECURITISATION SRL
(CARTOLARIZZAZIONE: CORDUSIO RMBS
SECURITISATION - SERIE 2006)
CORDUSIO RMBS SECURITISATION SRL
(CARTOLARIZZAZIONE: CORDUSIO RMBS
SECURITISATION - SERIE 2007)
VERONA
VERONA
VERONA
VERONA
112
CORDUSIO SIM SPA
MILAN
MILAN
Issued capital EUR 76,282,051
113
CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI
MILAN
MILAN
Issued capital EUR 520,000
114
CRIVELLI SRL
Issued capital EUR 10,000
115
DC BANK AG
Issued capital EUR 5,000,000
MILAN
MILAN
VIENNA
VIENNA
116
DC ELEKTRONISCHE ZAHLUNGSSYSTEME GMBH
VIENNA
VIENNA
Issued capital EUR 35,000
TYPE OF
RELATIONSHIP
(1)
1
1
4
4
1
1
1
1
1
1
1
1
1
4
1
4
4
4
1
1
1
1
1
VOTING
RIGHTS
%(2)
(3)
(3)
OWNERSHIP RELATIONSHIP
HELD BY
CALG ANLAGEN LEASING GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT SPA
UNICREDIT SPA
UNICREDIT SPA
UNICREDIT BANK AUSTRIA AG
UNICREDIT BANK AUSTRIA AG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT ZEGA LEASING-GESELLSCHAFT
M.B.H.
CAPITAL DEV SPA
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT LEASING (AUSTRIA) GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
REAL-LEASE GRUNDSTUECKSVERWALTUNGS-
GESELLSCHAFT M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
HOLDING
%
99.80
0.20
100.00
..
..
50.10
55.00
10.00
90.00
100.00
74.80
0.20
25.00
100.00
0.20
99.80
99.80
0.20
NUOVA COMPAGNIA DI PARTECIPAZIONI SPA
100.00
UNICREDIT SPA
..
(3)
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
JAUSERN-LEASING GESELLSCHAFT M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT SPA
UNICREDIT SPA
UNICREDIT SPA
UNICREDIT SPA
UNICREDIT SPA
UNICREDIT SPA
CARD COMPLETE SERVICE BANK AG
KSG KARTEN-VERRECHNUNGS- UND
SERVICEGESELLSCHAFT M.B.H.
74.80
25.00
0.20
..
..
..
97.12
100.00
100.00
100.00
100.00
(3)
(3)
(3)
(5)
UniCredit ·2019 Annual Report and Accounts 107
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
COMPANY NAME
DEBO LEASING SRL
117
Issued capital RON 724,400
118
119
DELPHA IMMOBILIEN- UND
PROJEKTENTWICKLUNGS GMBH & CO.
GROSSKUGEL BAUABSCHNITT ALPHA
MANAGEMENT KG
Issued capital EUR 255,650
DELPHA IMMOBILIEN- UND
PROJEKTENTWICKLUNGS GMBH & CO.
GROSSKUGEL BAUABSCHNITT GAMMA
MANAGEMENT KG
Issued capital EUR 255,650
120
DINERS CLUB CS, S.R.O.
Issued capital EUR 995,000
MAIN
OFFICE
BUCHAREST
ADMINISTRATIVE
OFFICE
BUCHAREST
MUNICH
MUNICH
MUNICH
MUNICH
BRATISLAVA
BRATISLAVA
121
DINERS CLUB POLSKA SP.Z.O.O.
WARSAW
WARSAW
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
Issued capital PLN 7,500,000
DIRANA
LIEGENSCHAFTSVERWERTUNGSGESELLSCHAFT
M.B.H.
Issued capital EUR 17,500
DLV IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
Issued capital EUR 36,500
DUODEC Z IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
ELEKTRA PURCHASE NO. 28 DAC
ELEKTRA PURCHASE NO. 31 DAC
ELEKTRA PURCHASE NO. 32 S.A.
ELEKTRA PURCHASE NO. 33 DAC
ELEKTRA PURCHASE NO. 34 DAC
ELEKTRA PURCHASE NO. 36 DAC
ELEKTRA PURCHASE NO. 37 DAC
ELEKTRA PURCHASE NO. 38 DAC
ELEKTRA PURCHASE NO. 39 DAC
ELEKTRA PURCHASE NO. 41 DAC
ELEKTRA PURCHASE NO. 43 DAC
ELEKTRA PURCHASE NO. 44 DAC
ELEKTRA PURCHASE NO. 46 DAC
ELEKTRA PURCHASE NO. 54 DAC
ELEKTRA PURCHASE NO. 55 DAC
ELEKTRA PURCHASE NO. 56 DAC
ELEKTRA PURCHASE NO. 57 DAC
ELEKTRA PURCHASE NO. 63 DAC
ELEKTRA PURCHASE NO. 64 DAC
ELEKTRA PURCHASE NO. 71 DAC
ELEKTRA PURCHASE NO. 718 DAC
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
DUBLIN
DUBLIN
DUBLIN
DUBLIN
LUXEMBOURG
LUXEMBOURG
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
DUBLIN
ELEKTRA PURCHASE NO. 911 LTD
ST. HELIER
ST. HELIER
EUROLEASE ANUBIS IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
EUROLEASE ISIS IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
EUROLEASE MARDUK IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
EUROLEASE RA IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
EUROLEASE RAMSES IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,336
EUROPA BEFEKTETESI ALAPKEZELOE ZRT
(EUROPA INVESTMENT FUND MANAGEMENT
LTD.)
Issued capital HUF 100,000,000
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
BUDAPEST
BUDAPEST
153
EUROPA INGATLANBEFEKTETESI ALAP (EUROPE
REAL-ESTATE INVESTMENT FUND)
BUDAPEST
BUDAPEST
108 2019 Annual Report and Accounts · UniCredit
TYPE OF
RELATIONSHIP
(1)
1
1
1
1
1
1
1
1
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
1
1
1
1
1
1
4
OWNERSHIP RELATIONSHIP
HELD BY
UNICREDIT CONSUMER FINANCING IFN S.A.
VOTING
RIGHTS
%(2)
HOLDING
%
0.01
UNICREDIT LEASING CORPORATION IFN S.A.
99.99
HVB PROJEKT GMBH
100.00
HVB PROJEKT GMBH
100.00
DC BANK AG
DC BANK AG
UNIVERSALE INTERNATIONAL REALITAETEN
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
100.00
100.00
100.00
10.00
90.00
0.20
99.80
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
..
(3)
(3)
(3)
(3)
(3)
(3)
(3)
(3)
(3)
(3)
(3)
(3)
(3)
(3)
(3)
(3)
(3)
(3)
(3)
(3)
(3)
(3)
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT GARAGEN ERRICHTUNG UND
VERWERTUNG GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT TURN-AROUND MANAGEMENT CEE
GMBH
0.20
99.80
0.20
99.80
0.20
99.80
0.20
99.80
0.20
99.80
100.00
UNICREDIT BANK HUNGARY ZRT.
..
(3)
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
154
155
156
157
COMPANY NAME
EUROPEAN-OFFICE-FONDS
EXPANDA IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
Issued capital EUR 36,500
MAIN
OFFICE
MUNICH
VIENNA
ADMINISTRATIVE
OFFICE
MUNICH
VIENNA
F-E MORTGAGES SRL (CARTOLARIZZAZIONE: F-E
MORTGAGES 2005)
VERONA
VERONA
F-E MORTGAGES SRL (CARTOLARIZZAZIONE: F-E
MORTGAGES SERIES 1 - 2003)
VERONA
VERONA
158
FACTORBANK AKTIENGESELLSCHAFT
VIENNA
VIENNA
Issued capital EUR 3,000,000
159
FINECO VERWALTUNG AG
MUNICH
MUNICH
Issued capital EUR 50,000
160
FINN ARSENAL LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
161
FMZ SAVARIA SZOLGALTATO KORLATOLT
FELELOESSEG TARSASAG
Issued capital HUF 3,000,000
BUDAPEST
BUDAPEST
162
FMZ SIGMA PROJEKTENTWICKLUNGS GMBH
VIENNA
VIENNA
Issued capital EUR 35,000
163
FOLIA LEASING GESELLSCHAFT M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,336
164
FONDIARIA LASA SPA
ROME
ROME
Issued capital EUR 3,102,000
165
FOOD & MORE GMBH
Issued capital EUR 100,000
MUNICH
MUNICH
166
FUGATO LEASING GESELLSCHAFT M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,336
167
GALA GRUNDSTUECKVERWALTUNG
GESELLSCHAFT M.B.H.
Issued capital EUR 27,434
168
GEBAEUDELEASING
GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT
M.B.H.
Issued capital EUR 36,500
VIENNA
VIENNA
VIENNA
VIENNA
169
170
GELDILUX-TS-2015 S.A.
GEMEINDELEASING
GRUNDSTUECKVERWALTUNG GESELLSCHAFT
M.B.H.
Issued capital EUR 18,333
LUXEMBOURG
LUXEMBOURG
VIENNA
VIENNA
171
GEMMA VERWALTUNGSGESELLSCHAFT MBH &
CO. VERMIETUNGS KG
PULLACH
PULLACH
172
GENERAL LOGISTIC SOLUTIONS LLC
MOSCOW
MOSCOW
Issued capital RUB 2,342,309,444
173
GRUNDSTUCKSAKTIENGESELLSCHAFT AM
POTSDAMER PLATZ (HAUS VATERLAND)
Issued capital EUR 4,086,245
174
GRUNDSTUCKSGESELLSCHAFT SIMON
BESCHRANKT HAFTENDE
KOMMANDITGESELLSCHAF
Issued capital EUR 51,500
MUNICH
MUNICH
MUNICH
MUNICH
175
GRUNDSTUECKSVERWALTUNG LINZ-MITTE
GMBH
VIENNA
VIENNA
Issued capital EUR 35,000
TYPE OF
RELATIONSHIP
(1)
4
1
4
4
1
1
1
1
1
1
1
1
1
1
1
4
1
4
1
1
1
1
(3)
(3)
(3)
(3)
(3)
OWNERSHIP RELATIONSHIP
HELD BY
UNICREDIT BANK AG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
VOTING
RIGHTS
%(2)
HOLDING
%
..
0.20
UNICREDIT LEASING (AUSTRIA) GMBH
99.80
UNICREDIT SPA
UNICREDIT SPA
UNICREDIT BANK AUSTRIA AG
UNICREDIT SPA
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT LEASING KFT
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT GARAGEN ERRICHTUNG UND
VERWERTUNG GMBH
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
..
..
100.00
100.00
99.60
0.20
0.20
75.00
0.20
99.80
99.80
0.20
NUOVA COMPAGNIA DI PARTECIPAZIONI SPA
100.00
UNICREDIT BANK AG
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
CALG IMMOBILIEN LEASING GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT BANK AG
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
CALG IMMOBILIEN LEASING GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
ORESTOS IMMOBILIEN-VERWALTUNGS GMBH
100.00
100.00
99.80
0.20
98.80
0.20
1.00
..
37.30
37.50
0.20
25.00
..
UCTAM RU LIMITED LIABILITY COMPANY
100.00
TERRENO GRUNDSTUCKSVERWALTUNG GMBH
& CO. ENTWICKLUNGS- UND
FINANZIERUNGSVERMITTLUNGS-KG
98.24
HVB GESELLSCHAFT FUR GEBAUDE MBH & CO
KG
100.00
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
0.20
99.80
UniCredit ·2019 Annual Report and Accounts 109
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
TYPE OF
RELATIONSHIP
(1)
1
1
1
1
1
1
4
1
1
1
1
1
1
1
4
1
4
1
1
1
1
1
1
1
1
OWNERSHIP RELATIONSHIP
HELD BY
WEALTHCAP INVESTMENT SERVICES GMBH
HVB IMMOBILIEN AG
HVB IMMOBILIEN AG
VOTING
RIGHTS
%(2)
HOLDING
%
100.00
100.00
99.41
WEALTHCAP INVESTMENT SERVICES GMBH
100.00
HVB GESELLSCHAFT FUR GEBAUDE MBH & CO
KG
99.50
TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT
0.50
HVB GESELLSCHAFT FUR GEBAUDE MBH & CO
KG
99.50
TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT
0.50
UNICREDIT SPA
..
(3)
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT BANK AG
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT BANK AUSTRIA AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT LEASING CZ, A.S.
HVB IMMOBILIEN AG
UNICREDIT BANK AG
UNICREDIT BANK AG
HVB IMMOBILIEN AG
UNICREDIT BANK AG
UNICREDIT BANK AG
74.80
0.20
25.00
100.00
74.80
0.20
25.00
100.00
100.00
100.00
100.00
..
100.00
..
100.00
100.00
100.00
100.00
94.00
6.00
100.00
94.00
6.00
100.00
(3)
(3)
176
177
178
COMPANY NAME
H.F.S. IMMOBILIENFONDS GMBH
Issued capital EUR 25,565
H.F.S. LEASINGFONDS DEUTSCHLAND 1 GMBH &
CO. KG (IMMOBILIENLEASING)
Issued capital EUR 97,755,806
H.F.S. LEASINGFONDS DEUTSCHLAND 7 GMBH &
CO. KG
Issued capital EUR 85,430,630
MAIN
OFFICE
MUNICH
ADMINISTRATIVE
OFFICE
MUNICH
MUNICH
MUNICH
MUNICH
MUNICH
179
H.F.S. LEASINGFONDS GMBH
EBERSBERG
EBERSBERG
Issued capital EUR 26,000
180
HAWA GRUNDSTUCKS GMBH & CO. OHG
HOTELVERWALTUNG
Issued capital EUR 276,200
181
HAWA GRUNDSTUCKS GMBH & CO. OHG
IMMOBILIENVERWALTUNG
Issued capital EUR 54,300
MUNICH
MUNICH
MUNICH
MUNICH
182
HELICONUS SRL (CARTOLARIZZAZIONE:
HELICONUS)
VERONA
VERONA
183
HERKU LEASING GESELLSCHAFT M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
184
HJS 12 BETEILIGUNGSGESELLSCHAFT MBH
MUNICH
MUNICH
Issued capital EUR 25,000
185
HONEU LEASING GESELLSCHAFT M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,336
186
HUMAN RESOURCES SERVICE AND
DEVELOPMENT GMBH
Issued capital EUR 18,168
VIENNA
VIENNA
187
HVB CAPITAL LLC
WILMINGTON
WILMINGTON
Issued capital USD 10,000
188
HVB CAPITAL LLC II
Issued capital USD 13
189
HVB CAPITAL LLC III
Issued capital USD 10,000
190
HVB FUNDING TRUST
191
HVB FUNDING TRUST II
Issued capital USD 2,371
192
HVB FUNDING TRUST III
193
HVB GESELLSCHAFT FUR GEBAUDE MBH & CO
KG
Issued capital EUR 10,000,000
WILMINGTON
WILMINGTON
WILMINGTON
WILMINGTON
WILMINGTON
WILMINGTON
WILMINGTON
WILMINGTON
WILMINGTON
WILMINGTON
MUNICH
MUNICH
194
HVB HONG KONG LIMITED
HONG KONG
HONG KONG
Issued capital USD 129
195
HVB IMMOBILIEN AG
Issued capital EUR 520,000
MUNICH
MUNICH
196
HVB LEASING CZECH REPUBLIC S.R.O.
PRAGUE
PRAGUE
Issued capital CZK 49,632,000
197
HVB PROJEKT GMBH
MUNICH
MUNICH
Issued capital EUR 24,543,000
198
HVB SECUR GMBH
Issued capital EUR 50,000
199
HVB TECTA GMBH
Issued capital EUR 1,534,000
200
HVB VERWA 4 GMBH
Issued capital EUR 26,000
MUNICH
MUNICH
MUNICH
MUNICH
MUNICH
MUNICH
110 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
COMPANY NAME
HVB VERWA 4.4 GMBH
201
Issued capital EUR 25,000
MAIN
OFFICE
MUNICH
ADMINISTRATIVE
OFFICE
MUNICH
202
HVZ GMBH & CO. OBJEKT KG
MUNICH
MUNICH
Issued capital EUR 148,090,766
203
HYPO-BANK VERWALTUNGSZENTRUM GMBH &
CO. KG OBJEKT ARABELLASTRASSE
MUNICH
MUNICH
Issued capital EUR 25,600
ICE CREEK POOL NO.1 DAC
IDEA FIMIT SGR FONDO SIGMA IMMOBILIARE
204
205
DUBLIN
ROME
DUBLIN
ROME
206
IMMOBILIEN HOLDING GMBH
VIENNA
VIENNA
Issued capital EUR 36,336
207
IMMOBILIEN RATING GMBH
VIENNA
VIENNA
Issued capital EUR 50,000
208
IMMOBILIENLEASING
GRUNDSTUECKSVERWALTUNGS-
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
VIENNA
VIENNA
209
210
IMPRESA TWO SRL (CARTOLARIZZAZIONE :
IMPRESA TWO)
CONEGLIANO
CONEGLIANO
INTERRA GESELLSCHAFT FUR
IMMOBILIENVERWALTUNG MBH
Issued capital EUR 26,000
MUNICH
MUNICH
211
INTRO LEASING GESELLSCHAFT M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,336
212
ISB UNIVERSALE BAU GMBH
BERLIN
BERLIN
Issued capital EUR 6,288,890
213
ISTITUTO IMMOBILIARE DI CATANIA SPA
CATANIA
CATANIA
Issued capital EUR 7,700,000
214
ISTITUTO PER L'EDILIZIA POPOLARE DI SAN
BERILLO SRL IN LIQUIDAZIONE
Issued capital EUR 154,800
CATANIA
CATANIA
215
JAUSERN-LEASING GESELLSCHAFT M.B.H.
VIENNA
VIENNA
216
217
Issued capital EUR 36,336
KAISERWASSER BAU- UND ERRICHTUNGS GMBH
UND CO OG
Issued capital EUR 36,336
KSG KARTEN-VERRECHNUNGS- UND
SERVICEGESELLSCHAFT M.B.H.
Issued capital EUR 44,000
VIENNA
VIENNA
VIENNA
VIENNA
218
KUNSTHAUS LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
219
KUTRA GRUNDSTUECKSVERWALTUNGS-
GESELLSCHAFT M.B.H.
Issued capital EUR 36,337
VIENNA
VIENNA
220
LAGERMAX LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
221
222
LAGEV IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
Issued capital EUR 36,500
LARGE CORPORATE ONE SRL
(CARTOLARIZZAZIONE: LARGE CORPORATE
ONE)
VIENNA
VIENNA
VERONA
VERONA
223
LARGO LEASING GESELLSCHAFT M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
224
LEASFINANZ ALPHA ASSETVERMIETUNG GMBH
VIENNA
VIENNA
Issued capital EUR 35,000
TYPE OF
RELATIONSHIP
(1)
1
1
1
4
4
1
1
1
4
1
1
1
1
1
1
1
1
1
1
1
1
4
1
1
OWNERSHIP RELATIONSHIP
HELD BY
HVB VERWA 4 GMBH
PORTIA GRUNDSTUCKS-
VERWALTUNGSGESELLSCHAFT MBH & CO.
OBJEKT KG
VOTING
RIGHTS
%(2)
HOLDING
%
100.00
100.00
HVB GESELLSCHAFT FUR GEBAUDE MBH & CO
KG
100.00
UNICREDIT BANK AG
UNICREDIT SPA
..
..
(3)
(3)
UNICREDIT BANK AUSTRIA AG
100.00
(3)
BANK AUSTRIA REAL INVEST IMMOBILIEN-
MANAGEMENT GMBH
UNICREDIT BANK AUSTRIA AG
UNICREDIT LEASING (AUSTRIA) GMBH
ARNO GRUNDSTUECKSVERWALTUNGS
GESELLSCHAFT M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT SPA
HVB IMMOBILIEN AG
UNICREDIT BANK AG
PROJEKT-LEASE
GRUNDSTUECKSVERWALTUNGS-
GESELLSCHAFT M.B.H.
UNIVERSALE INTERNATIONAL REALITAETEN
GMBH
CAPITAL DEV SPA
UNICREDIT SPA
ISTITUTO IMMOBILIARE DI CATANIA SPA
61.00
19.00
19.00
74.80
0.20
25.00
..
93.85
6.15
100.00
100.00
93.92
1.12
99.90
UNICREDIT LEASING (AUSTRIA) GMBH
100.00
UNICREDIT BANK AUSTRIA AG
99.80
0.00
CARD COMPLETE SERVICE BANK AG
100.00
KUTRA GRUNDSTUECKSVERWALTUNGS-
GESELLSCHAFT M.B.H.
UNICREDIT LEASING (AUSTRIA) GMBH
CALG DELTA GRUNDSTUECKVERWALTUNG
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT SPA
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
VAPE COMMUNA LEASINGGESELLSCHAFT
M.B.H.
5.00
95.00
99.80
0.20
0.20
99.80
0.20
99.80
..
0.20
1.00
98.80
LEASFINANZ GMBH
100.00
(3)
UniCredit ·2019 Annual Report and Accounts 111
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
TYPE OF
RELATIONSHIP
(1)
1
1
1
1
1
1
1
1
4
1
1
1
1
1
4
1
4
4
1
1
1
1
OWNERSHIP RELATIONSHIP
HELD BY
BACA LEASING UND
BETEILIGUNGSMANAGEMENT GMBH
BACA LEASING UND
BETEILIGUNGSMANAGEMENT GMBH
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
GALA GRUNDSTUECKVERWALTUNG
GESELLSCHAFT M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT GARAGEN ERRICHTUNG UND
VERWERTUNG GMBH
ZAGREBACKA BANKA D.D.
UNICREDIT LEASING SPA
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LUNA LEASING GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT BANK AG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT GARAGEN ERRICHTUNG UND
VERWERTUNG GMBH
VOTING
RIGHTS
%(2)
HOLDING
%
100.00
100.00
74.80
0.20
25.00
99.80
0.20
0.20
99.80
74.80
0.20
25.00
0.20
99.80
100.00
..
1.96
98.04
0.20
99.80
0.20
99.80
100.00
0.20
99.80
(3)
HVB PROJEKT GMBH
..
(3)
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT SPA
UNICREDIT SPA
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT GARAGEN ERRICHTUNG UND
VERWERTUNG GMBH
HVB IMMOBILIEN AG
HVB IMMOBILIEN AG
74.80
0.20
25.00
..
..
0.20
99.80
100.00
100.00
UNICREDIT LEASING (AUSTRIA) GMBH
95.00
(3)
(3)
COMPANY NAME
LEASFINANZ BANK GMBH
225
Issued capital EUR 36,500
226
LEASFINANZ GMBH
Issued capital EUR 218,019
MAIN
OFFICE
VIENNA
ADMINISTRATIVE
OFFICE
VIENNA
VIENNA
VIENNA
227
LEGATO LEASING GESELLSCHAFT M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
228
LELEV IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
229
LINO HOTEL-LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
230
LIPARK LEASING GESELLSCHAFT M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
231
LIVA IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
232
LOCAT CROATIA DOO
ZAGREB
ZAGREB
233
234
235
236
237
Issued capital HRK 39,000,000
LOCAT SV SRL (CARTOLARIZZAZIONE: SERIE
2016)
M. A. V. 7., BANK AUSTRIA LEASING
BAUTRAEGER GMBH & CO.OG.
Issued capital EUR 3,707
MBC IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
Issued capital EUR 36,500
MENUETT GRUNDSTUECKSVERWALTUNGS-
GESELLSCHAFT M.B.H.
Issued capital EUR 36,337
MERKURHOF GRUNDSTUCKSGESELLSCHAFT
MIT BESCHRANKTER HAFTUNG
CONEGLIANO
CONEGLIANO
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
MUNICH
MUNICH
Issued capital EUR 5,112,919
238
MM OMEGA PROJEKTENTWICKLUNGS GMBH
VIENNA
VIENNA
Issued capital EUR 35,000
239
MOC VERWALTUNGS GMBH & CO. IMMOBILIEN
KG
MUNICH
MUNICH
240
MOEGRA LEASING GESELLSCHAFT M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
241
242
243
MOMENTUM ALLWEATHER STRATEGIES - LONG
TERM STRATEG
HAMILTON
HAMILTON
MOMENTUM LONG TERM VALUE FUND
HAMILTON
HAMILTON
NAGE LOKALVERMIETUNGSGESELLSCHAFT
M.B.H.
Issued capital EUR 36,500
VIENNA
VIENNA
244
NF OBJEKT FFM GMBH
Issued capital EUR 25,000
MUNICH
MUNICH
245
NF OBJEKTE BERLIN GMBH
MUNICH
MUNICH
Issued capital EUR 25,000
246
NOE HYPO LEASING ASTRICTA
GRUNDSTUECKVERMIETUNGS GESELLSCHAFT
M.B.H.
Issued capital EUR 36,337
VIENNA
VIENNA
112 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
COMPANY NAME
NUOVA COMPAGNIA DI PARTECIPAZIONI SPA
247
MAIN
OFFICE
ROME
ADMINISTRATIVE
OFFICE
ROME
Issued capital EUR 200,000
248
OCT Z IMMOBILIEN LEASING GESELLSCHAFT
M.B.H
VIENNA
VIENNA
Issued capital EUR 36,500
249
250
251
OLG HANDELS- UND
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
M.B.H.
Issued capital EUR 36,336
OMNIA GRUNDSTUCKS-GMBH & CO. OBJEKT
HAIDENAUPLATZ KG
Issued capital EUR 26,000
OMNIA GRUNDSTUECKS-GMBH & CO. OBJEKT
PERLACH KG
Issued capital EUR 5,125,701
VIENNA
VIENNA
MUNICH
MUNICH
MUNICH
MUNICH
252
OOO UNICREDIT GARANT
MOSCOW
MOSCOW
Issued capital RUR 106,998,000
253
OOO UNICREDIT LEASING
MOSCOW
MOSCOW
Issued capital RUR 149,160,248
254
ORBIT PERFORMANCE STRATEGIES - ORBIT US
CLASSE I U
HAMILTON
HAMILTON
255
ORESTOS IMMOBILIEN-VERWALTUNGS GMBH
MUNICH
MUNICH
Issued capital EUR 10,149,150
256
OTHMARSCHEN PARK HAMBURG GMBH & CO.
CENTERPARK KG
MUNICH
MUNICH
Issued capital EUR 51,129
257
OTHMARSCHEN PARK HAMBURG GMBH & CO.
GEWERBEPARK KG
MUNICH
MUNICH
Issued capital EUR 51,129
258
PAI (BERMUDA) LIMITED
Issued capital USD 12,000
259
PAI MANAGEMENT LTD
Issued capital EUR 1,032,000
260
PALAIS ROTHSCHILD VERMIETUNGS GMBH & CO
OG
Issued capital EUR 2,180,185
HAMILTON
HAMILTON
DUBLIN
DUBLIN
VIENNA
VIENNA
261
PARCO DELLE ACACIE DUE S.P.A.
ROME
ROME
Issued capital EUR 90,000
262
PARSEC 6 SPA
Issued capital EUR 90,000
263
PAYTRIA UNTERNEHMENSBETEILIGUNGEN
GMBH
Issued capital EUR 36,336
ROME
ROME
VIENNA
VIENNA
264
PELOPS LEASING GESELLSCHAFT M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,337
265
PENSIONSKASSE DER HYPO VEREINSBANK
VVAG
MUNICH
MUNICH
266
PIANA LEASING GESELLSCHAFT M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
267
PIRTA VERWALTUNGS GMBH
VIENNA
VIENNA
Issued capital EUR 2,067,138
268
PISANA S.P.A.
Issued capital EUR 1,000,000
ROME
ROME
269
POLLUX IMMOBILIEN GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
270
POMINVEST DD
Issued capital HRK 17,434,000
271
PORTIA GRUNDSTUCKS-
VERWALTUNGSGESELLSCHAFT MBH & CO.
OBJEKT KG
Issued capital EUR 500,013,550
SPLIT
SPLIT
MUNICH
MUNICH
TYPE OF
RELATIONSHIP
(1)
1
1
1
1
1
1
1
4
1
1
1
1
1
1
1
1
1
1
4
1
1
1
1
1
1
OWNERSHIP RELATIONSHIP
HELD BY
UNICREDIT SPA
VOTING
RIGHTS
%(2)
HOLDING
%
100.00
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT GARAGEN ERRICHTUNG UND
VERWERTUNG GMBH
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
HVB IMMOBILIEN AG
UNICREDIT BANK AG
ORESTOS IMMOBILIEN-VERWALTUNGS GMBH
WEALTHCAP LEASING GMBH
OOO UNICREDIT LEASING
AO UNICREDIT BANK
UNICREDIT SPA
HVB PROJEKT GMBH
HVB PROJEKT GMBH
T & P FRANKFURT DEVELOPMENT B.V.
T & P VASTGOED STUTTGART B.V.
HVB PROJEKT GMBH
T & P FRANKFURT DEVELOPMENT B.V.
T & P VASTGOED STUTTGART B.V.
UNICREDIT SPA
UNICREDIT SPA
0.20
99.80
100.00
94.00
6.00
94.78
5.22
100.00
100.00
93.87
5.14
..
(3)
100.00
10.00
30.00
60.00
10.00
30.00
60.00
100.00
100.00
SCHOELLERBANK AKTIENGESELLSCHAFT
100.00
CAPITAL DEV SPA
CAPITAL DEV SPA
UNICREDIT BANK AUSTRIA AG
EUROLEASE RAMSES IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT BANK AG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT SPA
CAPITAL DEV SPA
PAYTRIA UNTERNEHMENSBETEILIGUNGEN
GMBH
UNICREDIT BANK AUSTRIA AG
ZAGREBACKA BANKA D.D.
HVB GESELLSCHAFT FUR GEBAUDE MBH & CO
KG
100.00
100.00
100.00
99.80
0.20
..
0.20
99.80
100.00
100.00
0.20
99.80
88.66
100.00
(3)
88.95
UniCredit ·2019 Annual Report and Accounts 113
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
COMPANY NAME
POSATO LEASING GESELLSCHAFT M.B.H.
272
MAIN
OFFICE
VIENNA
ADMINISTRATIVE
OFFICE
VIENNA
Issued capital EUR 36,500
273
PRELUDE GRUNDSTUECKSVERWALTUNGS-
GESELLSCHAFT M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
274
PRO WOHNBAU GMBH
VIENNA
VIENNA
Issued capital EUR 23,621,113
275
PROJEKT-LEASE
GRUNDSTUECKSVERWALTUNGS-
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
VIENNA
VIENNA
276
277
QUADEC Z IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
VIENNA
VIENNA
QUART Z IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
278
QUINT Z IMMOBILIEN LEASING GESELLSCHAFT
M.B.H
VIENNA
VIENNA
Issued capital EUR 36,500
279
RANA-LIEGENSCHAFTSVERWERTUNG GMBH
VIENNA
VIENNA
Issued capital EUR 72,700
280
REAL INVEST EUROPE DER BANK AUSTRIA REAL
INVEST IMMOBILIEN- KAPI
VIENNA
VIENNA
281
REAL INVEST IMMOBILIEN GMBH
VIENNA
VIENNA
Issued capital EUR 36,400
282
REAL INVEST PROPERTY GMBH & CO SPB JOTA
KG
VIENNA
VIENNA
Issued capital EUR 0
283
REAL-LEASE GRUNDSTUECKSVERWALTUNGS-
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
VIENNA
VIENNA
284
REAL-RENT LEASING GESELLSCHAFT M.B.H.
VIENNA
VIENNA
285
286
287
288
289
Issued capital EUR 73,000
REGEV
REALITAETENVERWERTUNGSGESELLSCHAFT
M.B.H.
Issued capital EUR 726,728
ROLIN GRUNDSTUCKSPLANUNGS- UND -
VERWALTUNGSGESELLSCHAFT MBH
Issued capital EUR 30,677
ROSENKAVALIER 2008 GMBH
ROSENKAVALIER 2015 UG
RSB ANLAGENVERMIETUNG GESELLSCHAFT
M.B.H.
Issued capital EUR 36,337
VIENNA
VIENNA
MUNICH
MUNICH
FRANKFURT
FRANKFURT
FRANKFURT
FRANKFURT
VIENNA
VIENNA
290
S. MARIA DELLA GUARDIA S.R.L.
CATANIA
CATANIA
Issued capital EUR 210,000
291
292
SALVATORPLATZ-
GRUNDSTUCKSGESELLSCHAFT MBH & CO. OHG
SAARLAND
Issued capital EUR 1,533,900
SALVATORPLATZ-
GRUNDSTUCKSGESELLSCHAFT MBH & CO. OHG
VERWALTUNGSZENTRUM
Issued capital EUR 2,300,850
MUNICH
MUNICH
MUNICH
MUNICH
114 2019 Annual Report and Accounts · UniCredit
TYPE OF
RELATIONSHIP
(1)
1
1
1
1
1
1
1
1
4
1
1
1
1
1
1
4
4
1
1
1
1
OWNERSHIP RELATIONSHIP
HELD BY
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
BA-CA MARKETS & INVESTMENT BETEILIGUNG
GES.M.B.H.
IMMOBILIEN HOLDING GMBH
ARNO GRUNDSTUECKSVERWALTUNGS
GESELLSCHAFT M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
CALG ANLAGEN LEASING GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNIVERSALE INTERNATIONAL REALITAETEN
GMBH
VOTING
RIGHTS
%(2)
HOLDING
%
74.80
0.20
25.00
98.80
0.20
1.00
0.31
99.69
74.80
0.20
25.00
0.20
99.80
99.80
0.20
0.20
99.80
99.90
UNICREDIT BANK AUSTRIA AG
..
(3)
TREUCONSULT BETEILIGUNGSGESELLSCHAFT
M.B.H.
99.00
BANK AUSTRIA REAL INVEST IMMOBILIEN-
MANAGEMENT GMBH
TREUCONSULT BETEILIGUNGSGESELLSCHAFT
M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT GARAGEN ERRICHTUNG UND
VERWERTUNG GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
WEALTHCAP INVESTMENT SERVICES GMBH
UNICREDIT BANK AG
UNICREDIT BANK AG
UNICREDIT ZEGA LEASING-GESELLSCHAFT
M.B.H.
..
32.07
44.55
0.20
99.80
0.20
99.80
0.20
99.80
100.00
..
..
100.00
(3)
(3)
ISTITUTO IMMOBILIARE DI CATANIA SPA
51.00
HVB GESELLSCHAFT FUR GEBAUDE MBH & CO
KG
100.00
PORTIA GRUNDSTUCKS-
VERWALTUNGSGESELLSCHAFT MBH & CO.
OBJEKT KG
97.78
TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT
2.22
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
COMPANY NAME
SAMAR SPA
293
Issued capital EUR 50,000
MAIN
OFFICE
ROME
ADMINISTRATIVE
OFFICE
ROME
294
SANITA' - S.R.L. IN LIQUIDAZIONE
ROME
ROME
Issued capital EUR 5,164,333
295
SCHOELLERBANK AKTIENGESELLSCHAFT
VIENNA
VIENNA
Issued capital EUR 20,000,000
296
SCHOELLERBANK INVEST AG
SALZBURG
SALZBURG
Issued capital EUR 2,543,549
297
SECA-LEASING GESELLSCHAFT M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
298
SEDEC Z IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
299
SELFOSS BETEILIGUNGSGESELLSCHAFT MBH
GRUENWALD
GRUENWALD
Issued capital EUR 25,000
300
SEXT Z IMMOBILIEN LEASING GESELLSCHAFT
M.B.H
VIENNA
VIENNA
Issued capital EUR 36,500
301
SHOPPING PALACE BRATISLAVA, V.O.S.
BRATISLAVA
BRATISLAVA
Issued capital EUR 0
302
SIA UNICREDIT INSURANCE BROKER
Issued capital EUR 15,080
303
SIA UNICREDIT LEASING
Issued capital EUR 15,569,120
304
SIGMA LEASING GMBH
Issued capital EUR 18,286
RIGA
RIGA
RIGA
RIGA
VIENNA
VIENNA
305
306
307
308
309
SIMON VERWALTUNGS-AKTIENGESELLSCHAFT
I.L.
Issued capital EUR 2,556,459
SIRIUS IMMOBILIEN- UND
PROJEKTENTWICKLUNGS GMBH
Issued capital EUR 30,000
MUNICH
MUNICH
MUNICH
MUNICH
SOCIETA' DI GESTIONI ESATTORIALI IN SICILIA
SO.G.E.SI. S.P.A. IN LIQ.
Issued capital EUR 36,151,500
SOFIGERE SOCIETE PAR ACTIONS SIMPLIFIEE
(IN LIQUIDAZIONE)
Issued capital EUR 40,000
SOLOS IMMOBILIEN- UND
PROJEKTENTWICKLUNGS GMBH & CO. SIRIUS
BETEILIGUNGS KG
Issued capital EUR 12,537,500
PALERMO
PALERMO
PARIS
PARIS
MUNICH
MUNICH
310
SONATA LEASING-GESELLSCHAFT M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,336
311
SPECTRUM GRUNDSTUECKSVERWALTUNGS-
GESELLSCHAFT M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,336
312
SPREE GALERIE
HOTELBETRIEBSGESELLSCHAFT MBH
Issued capital EUR 511,300
313
STEWE GRUNDSTUECKSVERWALTUNGS-
GESELLSCHAFT M.B.H.
Issued capital EUR 36,337
MUNICH
MUNICH
VIENNA
VIENNA
TYPE OF
RELATIONSHIP
(1)
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
OWNERSHIP RELATIONSHIP
HELD BY
CAPITAL DEV SPA
UNICREDIT SPA
VOTING
RIGHTS
%(2)
HOLDING
%
100.00
99.60
PAYTRIA UNTERNEHMENSBETEILIGUNGEN
GMBH
UNICREDIT BANK AUSTRIA AG
SCHOELLERBANK AKTIENGESELLSCHAFT
CALG DELTA GRUNDSTUECKVERWALTUNG
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT GARAGEN ERRICHTUNG UND
VERWERTUNG GMBH
HVB PROJEKT GMBH
CALG DELTA GRUNDSTUECKVERWALTUNG
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
REAL INVEST PROPERTY GMBH & CO SPB
JOTA KG
SIA UNICREDIT LEASING
UNICREDIT SPA
CALG ANLAGEN LEASING GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT BANK AG
HVB PROJEKT GMBH
SOLOS IMMOBILIEN- UND
PROJEKTENTWICKLUNGS GMBH & CO. SIRIUS
BETEILIGUNGS KG
UNICREDIT SPA
UNICREDIT SPA
HVB PROJEKT GMBH
ARNO GRUNDSTUECKSVERWALTUNGS
GESELLSCHAFT M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
WOEM GRUNDSTUECKSVERWALTUNGS-
GESELLSCHAFT M.B.H.
0.01
99.99
100.00
74.80
0.20
25.00
0.20
99.80
100.00
99.80
0.20
100.00
100.00
100.00
99.40
0.20
0.40
99.98
5.00
95.00
80.00
100.00
100.00
1.00
0.20
98.80
100.00
ARGENTAURUS IMMOBILIEN-VERMIETUNGS-
UND VERWALTUNGS GMBH
100.00
PROJEKT-LEASE
GRUNDSTUECKSVERWALTUNGS-
GESELLSCHAFT M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT GARAGEN ERRICHTUNG UND
VERWERTUNG GMBH
24.00
0.20
75.80
UniCredit ·2019 Annual Report and Accounts 115
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
COMPANY NAME
STRUCTURED INVEST SOCIETE ANONYME
314
MAIN
OFFICE
LUXEMBOURG
ADMINISTRATIVE
OFFICE
LUXEMBOURG
315
316
Issued capital EUR 125,500
SUCCESS 2015 B.V.
SVILUPPO IMMOBILIARE PESCACCIO - SOCIETA'
A RESPONSABILITA' LIMITATA
Issued capital EUR 10,000
AMSTERDAM
AMSTERDAM
ROME
ROME
317
T & P FRANKFURT DEVELOPMENT B.V.
AMSTERDAM
MUNICH
Issued capital EUR 4,938,271
318
T & P VASTGOED STUTTGART B.V.
AMSTERDAM
MUNICH
Issued capital EUR 10,769,773
319
TERRENO GRUNDSTUCKSVERWALTUNG GMBH
& CO. ENTWICKLUNGS- UND
FINANZIERUNGSVERMITTLUNGS-KG
Issued capital EUR 920,400
MUNICH
MUNICH
320
TERZ Z IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
321
TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT
MUNICH
MUNICH
Issued capital EUR 6,240,000
322
TREDEC Z IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
323
324
325
326
TREUCONSULT BETEILIGUNGSGESELLSCHAFT
M.B.H.
Issued capital EUR 365,000
TRICASA GRUNDBESITZ GESELLSCHAFT MBH &
CO. 1. VERMIETUNGS KG
Issued capital EUR 6,979,476
TRICASA GRUNDBESITZGESELLSCHAFT DES
BURGERLICHEN RECHTS NR. 1
Issued capital EUR 13,687,272
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
Issued capital EUR 10,000
327
UCTAM BALTICS SIA
Issued capital EUR 4,265,585
VIENNA
VIENNA
MUNICH
MUNICH
MUNICH
MUNICH
VIENNA
VIENNA
RIGA
RIGA
328
UCTAM BH D.O.O.
MOSTAR
MOSTAR
Issued capital BAM 2,000
329
UCTAM BULGARIA EOOD
SOFIA
SOFIA
Issued capital BGN 20,000
330
UCTAM CZECH REPUBLIC SRO
PRAGUE
PRAGUE
Issued capital CZK 45,500,000
331
UCTAM D.O.O. BEOGRAD
BELGRADE
BELGRADE
Issued capital RSD 631,564,325
332
UCTAM HUNGARY KFT
BUDAPEST
BUDAPEST
TYPE OF
RELATIONSHIP
(1)
1
4
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
Issued capital HUF 10,300,000
333
UCTAM RETAIL HUNGARY KFT.
BUDAPEST
BUDAPEST
1
Issued capital HUF 10,000,000
334
UCTAM RO S.R.L.
BUCHAREST
BUCHAREST
Issued capital RON 30,560,080
335
UCTAM RU LIMITED LIABILITY COMPANY
MOSCOW
MOSCOW
Issued capital RUB 4,000,000
336
UCTAM SVK S.R.O.
Issued capital EUR 5,000
BRATISLAVA
BRATISLAVA
1
1
1
OWNERSHIP RELATIONSHIP
HELD BY
UNICREDIT BANK AG
UNICREDIT LEASING (AUSTRIA) GMBH
CAVE NUOVE SPA
HVB PROJEKT GMBH
HVB PROJEKT GMBH
HVB TECTA GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT GARAGEN ERRICHTUNG UND
VERWERTUNG GMBH
PORTIA GRUNDSTUCKS-
VERWALTUNGSGESELLSCHAFT MBH & CO.
OBJEKT KG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT GARAGEN ERRICHTUNG UND
VERWERTUNG GMBH
BANK AUSTRIA REAL INVEST IMMOBILIEN-
MANAGEMENT GMBH
(3)
VOTING
RIGHTS
%(2)
HOLDING
%
100.00
..
100.00
100.00
87.50
75.00
0.20
99.80
100.00
0.20
99.80
100.00
ORESTOS IMMOBILIEN-VERWALTUNGS GMBH
100.00
ORESTOS IMMOBILIEN-VERWALTUNGS GMBH
100.00
BA EUROLEASE BETEILIGUNGSGESELLSCHAFT
M.B.H.
BA-CA ANDANTE LEASING GMBH
UNICREDIT TURN-AROUND MANAGEMENT CEE
GMBH
UNICREDIT TURN-AROUND MANAGEMENT CEE
GMBH
90.00
10.00
100.00
100.00
UNICREDIT TURN-AROUND MANAGEMENT CEE
GMBH
100.00
UNICREDIT TURN-AROUND MANAGEMENT CEE
GMBH
100.00
UNICREDIT TURN-AROUND MANAGEMENT CEE
GMBH
100.00
EUROPA BEFEKTETESI ALAPKEZELOE ZRT
(EUROPA INVESTMENT FUND MANAGEMENT
LTD.)
UNICREDIT TURN-AROUND MANAGEMENT CEE
GMBH
EUROPA BEFEKTETESI ALAPKEZELOE ZRT
(EUROPA INVESTMENT FUND MANAGEMENT
LTD.)
UNICREDIT TURN-AROUND MANAGEMENT CEE
GMBH
UNICREDIT TURN-AROUND MANAGEMENT CEE
GMBH
UCTAM BALTICS SIA
UNICREDIT TURN-AROUND MANAGEMENT CEE
GMBH
UCTAM BALTICS SIA
UNICREDIT TURN-AROUND MANAGEMENT CEE
GMBH
1.00
99.00
1.00
99.00
100.00
..
100.00
15.00
85.00
0.01
99.99
116 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
COMPANY NAME
UCTAM UPRAVLJANJE D.O.O.
337
Issued capital EUR 7,500
MAIN
OFFICE
LJUBLJANA
ADMINISTRATIVE
OFFICE
LJUBLJANA
338
339
UFFICIUM IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,337
UNICOM IMMOBILIEN LEASING GESELLSCHAFT
M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
340
UNICREDIT AURORA LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 219,000
341
UNICREDIT BANK A.D. BANJA LUKA
BANJA LUKA
BANJA LUKA
Issued capital BAM 97,055,000
342
UNICREDIT BANK AG
MUNICH
MUNICH
Issued capital EUR 2,407,151,016
343
UNICREDIT BANK AUSTRIA AG
VIENNA
VIENNA
Issued capital EUR 1,681,033,521
344
UNICREDIT BANK CZECH REPUBLIC AND
SLOVAKIA, A.S.
Issued capital CZK 8,754,617,898
PRAGUE
PRAGUE
345
UNICREDIT BANK D.D.
MOSTAR
MOSTAR
Issued capital BAM 119,195,000
346
UNICREDIT BANK HUNGARY ZRT.
BUDAPEST
BUDAPEST
Issued capital HUF 24,118,220,000
347
UNICREDIT BANK IRELAND PLC
DUBLIN
DUBLIN
Issued capital EUR 1,343,118,650
348
UNICREDIT BANK S.A.
BUCHAREST
BUCHAREST
Issued capital RON 1,177,748,253
349
UNICREDIT BANK SERBIA JSC
BELGRADE
BELGRADE
Issued capital RSD 23,607,620,000
350
UNICREDIT BANKA SLOVENIJA D.D.
LJUBLJANA
LJUBLJANA
Issued capital EUR 20,383,698
351
UNICREDIT BETEILIGUNGS GMBH
MUNICH
MUNICH
Issued capital EUR 1,000,000
352
UNICREDIT BIZTOSITASKOEZVETITO KFT
BUDAPEST
BUDAPEST
Issued capital HUF 5,000,000
353
UNICREDIT BPC MORTAGE SRL (COVERED
BONDS)
VERONA
VERONA
354
UNICREDIT BPC MORTGAGE S.R.L.
VERONA
VERONA
Issued capital EUR 12,000
355
UNICREDIT BROKER S.R.O.
BRATISLAVA
BRATISLAVA
Issued capital EUR 8,266
356
UNICREDIT BULBANK AD
SOFIA
SOFIA
Issued capital BGN 285,776,674
357
UNICREDIT CAPITAL MARKETS LLC
NEW YORK
NEW YORK
Issued capital USD 100,100
358
UNICREDIT CENTER AM KAISERWASSER GMBH
VIENNA
VIENNA
Issued capital EUR 35,000
359
UNICREDIT CONSUMER FINANCING EAD
SOFIA
SOFIA
Issued capital BGN 2,800,000
360
UNICREDIT CONSUMER FINANCING IFN S.A.
BUCHAREST
BUCHAREST
Issued capital RON 103,269,200
361
UNICREDIT DIRECT SERVICES GMBH
MUNICH
MUNICH
Issued capital EUR 767,000
362
UNICREDIT FACTORING CZECH REPUBLIC AND
SLOVAKIA, A.S.
PRAGUE
PRAGUE
Issued capital CZK 222,600,000
363
UNICREDIT FACTORING EAD
SOFIA
SOFIA
Issued capital BGN 1,000,000
364
UNICREDIT FACTORING SPA
MILAN
MILAN
Issued capital EUR 414,348,000
365
UNICREDIT FLEET MANAGEMENT EOOD
SOFIA
SOFIA
Issued capital BGN 100,000
366
UNICREDIT FLEET MANAGEMENT S.R.O.
PRAGUE
PRAGUE
Issued capital CZK 5,000,000
TYPE OF
RELATIONSHIP
(1)
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
4
1
1
1
1
1
1
1
1
1
1
1
1
1
OWNERSHIP RELATIONSHIP
HELD BY
UNICREDIT TURN-AROUND MANAGEMENT CEE
GMBH
KUTRA GRUNDSTUECKSVERWALTUNGS-
GESELLSCHAFT M.B.H.
UNICREDIT LEASING (AUSTRIA) GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT SPA
UNICREDIT SPA
UNICREDIT SPA
UNICREDIT SPA
VOTING
RIGHTS
%(2)
HOLDING
%
100.00
5.00
95.00
0.20
99.80
100.00
99.42
100.00
100.00
100.00
ZAGREBACKA BANKA D.D.
99.35
99.31
UNICREDIT SPA
UNICREDIT SPA
UNICREDIT SPA
UNICREDIT SPA
UNICREDIT SPA
UNICREDIT BANK AG
UNICREDIT BANK HUNGARY ZRT.
UNICREDIT SPA
UNICREDIT SPA
UNICREDIT LEASING SLOVAKIA A.S.
UNICREDIT SPA
UNICREDIT U.S. FINANCE LLC
UNICREDIT BANK AUSTRIA AG
UNICREDIT BULBANK AD
UNICREDIT BANK S.A.
UNICREDIT SPA
UNICREDIT BANK AG
UNICREDIT BANK CZECH REPUBLIC AND
SLOVAKIA, A.S.
UNICREDIT BULBANK AD
UNICREDIT SPA
UNICREDIT BULBANK AD
UNICREDIT LEASING CZ, A.S.
100.00
100.00
98.63
100.00
100.00
100.00
100.00
..
(3)
60.00
100.00
99.45
100.00
100.00
100.00
50.10
49.90
100.00
100.00
100.00
100.00
100.00
100.00
UniCredit ·2019 Annual Report and Accounts 117
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
367
368
COMPANY NAME
UNICREDIT FLEET MANAGEMENT S.R.O.
Issued capital EUR 6,639
UNICREDIT GARAGEN ERRICHTUNG UND
VERWERTUNG GMBH
Issued capital EUR 57,000
MAIN
OFFICE
BRATISLAVA
ADMINISTRATIVE
OFFICE
BRATISLAVA
VIENNA
VIENNA
369
UNICREDIT GLOBAL LEASING EXPORT GMBH
VIENNA
VIENNA
Issued capital EUR 36,336
370
UNICREDIT GLOBAL LEASING PARTICIPATION
MANAGEMENT GMBH
Issued capital EUR 35,000
VIENNA
VIENNA
371
UNICREDIT GUSTRA LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 35,000
372
UNICREDIT HAMRED LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 35,000
373
UNICREDIT INSURANCE BROKER EOOD
SOFIA
SOFIA
Issued capital BGN 5,000
374
UNICREDIT INSURANCE BROKER SRL
BUCHAREST
BUCHAREST
Issued capital RON 150,000
375
376
UNICREDIT INSURANCE MANAGEMENT CEE
GMBH
Issued capital EUR 156,905
UNICREDIT INTERNATIONAL BANK
(LUXEMBOURG) SA
Issued capital EUR 13,406,600
VIENNA
VIENNA
LUXEMBOURG
LUXEMBOURG
377
UNICREDIT JELZALOGBANK ZRT.
BUDAPEST
BUDAPEST
Issued capital HUF 3,000,000,000
378
UNICREDIT KFZ LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 648,000
379
UNICREDIT LEASED ASSET MANAGEMENT SPA
MILAN
MILAN
Issued capital EUR 1,000,000
380
UNICREDIT LEASING (AUSTRIA) GMBH
VIENNA
VIENNA
Issued capital EUR 17,296,134
381
UNICREDIT LEASING ALPHA ASSETVERMIETUNG
GMBH
VIENNA
VIENNA
Issued capital EUR 35,000
382
UNICREDIT LEASING AVIATION GMBH
HAMBURG
HAMBURG
Issued capital EUR 1,600,000
383
UNICREDIT LEASING CORPORATION IFN S.A.
BUCHAREST
BUCHAREST
Issued capital RON 90,989,013
384
UNICREDIT LEASING CROATIA D.O.O. ZA
LEASING
Issued capital HRK 28,741,800
ZAGREB
ZAGREB
385
UNICREDIT LEASING CZ, A.S.
PRAGUE
PRAGUE
Issued capital CZK 981,452,000
386
UNICREDIT LEASING EAD
Issued capital BGN 2,605,000
SOFIA
SOFIA
387
UNICREDIT LEASING FINANCE GMBH
HAMBURG
HAMBURG
Issued capital EUR 17,580,000
388
UNICREDIT LEASING FLEET MANAGEMENT S.R.L.
BUCHAREST
BUCHAREST
Issued capital RON 680,000
389
UNICREDIT LEASING FUHRPARKMANAGEMENT
GMBH
Issued capital EUR 364,000
VIENNA
VIENNA
390
UNICREDIT LEASING GMBH
HAMBURG
HAMBURG
Issued capital EUR 15,000,000
391
UNICREDIT LEASING HUNGARY ZRT
BUDAPEST
BUDAPEST
Issued capital HUF 50,000,000
392
UNICREDIT LEASING IMMOTRUCK ZRT.
BUDAPEST
BUDAPEST
Issued capital HUF 350,000,000
393
UNICREDIT LEASING INSURANCE SERVICES
S.R.O.
Issued capital EUR 5,000
BRATISLAVA
BRATISLAVA
118 2019 Annual Report and Accounts · UniCredit
TYPE OF
RELATIONSHIP
(1)
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
OWNERSHIP RELATIONSHIP
HELD BY
UNICREDIT LEASING SLOVAKIA A.S.
EUROLEASE RAMSES IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT SPA
UNICREDIT LEASING SPA
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT PEGASUS LEASING GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT PEGASUS LEASING GMBH
UNICREDIT LEASING EAD
PIRTA VERWALTUNGS GMBH
UNICREDIT INSURANCE MANAGEMENT CEE
GMBH
PIRTA VERWALTUNGS GMBH
UNICREDIT SPA
UNICREDIT BANK HUNGARY ZRT.
GALA GRUNDSTUECKVERWALTUNG
GESELLSCHAFT M.B.H.
UNICREDIT LEASING SPA
BA-CA MARKETS & INVESTMENT BETEILIGUNG
GES.M.B.H.
PAYTRIA UNTERNEHMENSBETEILIGUNGEN
GMBH
UNICREDIT BANK AUSTRIA AG
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
UNICREDIT LEASING GMBH
UNICREDIT BANK S.A.
UNICREDIT CONSUMER FINANCING IFN S.A.
ZAGREBACKA BANKA D.D.
UNICREDIT BANK CZECH REPUBLIC AND
SLOVAKIA, A.S.
UNICREDIT BULBANK AD
UNICREDIT LEASING GMBH
PIRTA VERWALTUNGS GMBH
UNICREDIT LEASING CORPORATION IFN S.A.
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT BANK AG
UNICREDIT BANK HUNGARY ZRT.
UNIVERSALE INTERNATIONAL REALITAETEN
GMBH
VOTING
RIGHTS
%(2)
HOLDING
%
100.00
99.80
0.20
100.00
100.00
10.00
90.00
10.00
90.00
100.00
0.03
99.97
100.00
100.00
100.00
100.00
100.00
10.00
0.02
89.98
100.00
100.00
99.96
0.04
100.00
100.00
100.00
100.00
90.02
9.98
100.00
100.00
100.00
100.00
UNICREDIT LEASING SLOVAKIA A.S.
100.00
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
COMPANY NAME
UNICREDIT LEASING KFT
394
Issued capital HUF 30,000,000
MAIN
OFFICE
BUDAPEST
ADMINISTRATIVE
OFFICE
BUDAPEST
395
UNICREDIT LEASING SLOVAKIA A.S.
BRATISLAVA
BRATISLAVA
Issued capital EUR 26,560,000
396
UNICREDIT LEASING SPA
MILAN
MILAN
Issued capital EUR 1,106,877,000
397
UNICREDIT LEASING SRBIJA D.O.O. BEOGRAD
BELGRADE
BELGRADE
Issued capital RSD 1,078,133,000
398
UNICREDIT LEASING TECHNIKUM GMBH
VIENNA
VIENNA
Issued capital EUR 35,000
399
UNICREDIT LEASING VERSICHERUNGSSERVICE
GMBH & CO KG
VIENNA
VIENNA
Issued capital EUR 36,500
400
UNICREDIT LEASING, LEASING, D.O.O.
LJUBLJANA
LJUBLJANA
Issued capital EUR 25,039,658
401
UNICREDIT LUNA LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
402
UNICREDIT MOBILIEN UND KFZ LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
403
UNICREDIT OBG S.R.L.
Issued capital EUR 10,000
VERONA
VERONA
404
405
UNICREDIT OBG SRL (COVERED BONDS)
VERONA
VERONA
UNICREDIT OPERATIV LIZING KFT
BUDAPEST
BUDAPEST
Issued capital HUF 3,000,000
406
UNICREDIT PARTNER D.O.O. BEOGRAD
BELGRADE
BELGRADE
Issued capital RSD 2,001,875
407
UNICREDIT PEGASUS LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
408
UNICREDIT POJISTOVACI MAKLERSKA SPOL.S
R.O.
Issued capital CZK 510,000
PRAGUE
PRAGUE
409
UNICREDIT POLARIS LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,500
410
UNICREDIT RENT D.O.O. BEOGRAD
BELGRADE
BELGRADE
Issued capital RSD 3,285,948,900
411
UNICREDIT SERVICES GMBH
VIENNA
VIENNA
Issued capital EUR 1,200,000
412
UNICREDIT SERVICES S.C.P.A.
MILAN
MILAN
Issued capital EUR 194,159,415
413
UNICREDIT SUBITO CASA SPA
MILAN
MILAN
Issued capital EUR 500,000
414
UNICREDIT TECHRENT LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,336
415
UNICREDIT TURN-AROUND MANAGEMENT CEE
GMBH
Issued capital EUR 750,000
VIENNA
VIENNA
416
UNICREDIT U.S. FINANCE LLC
WILMINGTON
NEW YORK
Issued capital USD 130
417
UNICREDIT ZEGA LEASING-GESELLSCHAFT
M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
TYPE OF
RELATIONSHIP
(1)
1
1
1
1
1
1
1
1
1
1
4
1
1
1
1
1
1
1
1
1
1
1
1
1
OWNERSHIP RELATIONSHIP
HELD BY
UNIVERSALE INTERNATIONAL REALITAETEN
GMBH
VOTING
RIGHTS
%(2)
HOLDING
%
100.00
UNICREDIT LEASING CZ, A.S.
UNICREDIT SPA
UNICREDIT BANK SERBIA JSC
LEASFINANZ GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
100.00
100.00
100.00
99.80
0.20
100.00
UNICREDIT BANKA SLOVENIJA D.D.
100.00
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT SPA
UNICREDIT SPA
UNICREDIT BANK HUNGARY ZRT.
UNICREDIT BANK SERBIA JSC
CALG IMMOBILIEN LEASING GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT LEASING CZ, A.S.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UNIVERSALE INTERNATIONAL REALITAETEN
GMBH
UNICREDIT SERVICES S.C.P.A.
CORDUSIO SIM SPA
CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI
UNICREDIT BANK AG
UNICREDIT FACTORING SPA
UNICREDIT SPA
UNICREDIT SPA
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
UNICREDIT LEASING (AUSTRIA) GMBH
UNICREDIT SPA
UNICREDIT BANK AG
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
0.20
99.80
98.80
0.20
1.00
60.00
..
100.00
100.00
74.80
0.20
25.00
100.00
0.20
99.80
100.00
100.00
..
..
..
..
100.00
100.00
99.00
1.00
100.00
100.00
99.80
0.20
(3)
100.00
UniCredit ·2019 Annual Report and Accounts 119
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
418
COMPANY NAME
UNIVERSALE INTERNATIONAL REALITAETEN
GMBH
Issued capital EUR 32,715,000
MAIN
OFFICE
VIENNA
ADMINISTRATIVE
OFFICE
VIENNA
419
V.M.G. VERMIETUNGSGESELLSCHAFT MBH
MUNICH
MUNICH
Issued capital EUR 25,565
420
VAPE COMMUNA LEASINGGESELLSCHAFT M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
421
422
VERMIETUNGSGESELLSCHAFT MBH & CO
OBJEKT MOC KG
Issued capital EUR 48,728,161
VERWALTUNGSGESELLSCHAFT
KATHARINENHOF MBH
Issued capital EUR 511,292
423
VICOVARO RE SRL
Issued capital EUR 10,000
424
VISCONTI SRL
Issued capital EUR 11,000,000
425
WEALTH MANAGEMENT CAPITAL HOLDING
GMBH
Issued capital EUR 26,000
MUNICH
MUNICH
MUNICH
MUNICH
ROME
ROME
MILAN
MILAN
MUNICH
MUNICH
426
WEALTHCAP ENTITY SERVICE GMBH
MUNICH
MUNICH
Issued capital EUR 25,000
427
WEALTHCAP EQUITY GMBH
MUNICH
MUNICH
Issued capital EUR 500,000
428
WEALTHCAP EQUITY MANAGEMENT GMBH
MUNICH
MUNICH
Issued capital EUR 25,000
429
WEALTHCAP FONDS GMBH
MUNICH
MUNICH
Issued capital EUR 512,000
430
WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG
MUNICH
MUNICH
Issued capital EUR 5,000
431
WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG
MUNICH
MUNICH
432
433
Issued capital EUR 10,600
WEALTHCAP IMMOBILIENANKAUF
KOMPLEMENTAER GMBH
Issued capital EUR 25,000
MUNICH
MUNICH
WEALTHCAP IMMOBILIENFONDS DEUTSCHLAND
36 KOMPLEMENTAR GMBH
MUNICH
MUNICH
Issued capital EUR 25,565
434
WEALTHCAP IMMOBILIENFONDS DEUTSCHLAND
38 KOMPLEMENTAR GMBH
MUNICH
MUNICH
Issued capital EUR 25,000
435
WEALTHCAP INITIATOREN GMBH
MUNICH
MUNICH
Issued capital EUR 1,533,876
436
WEALTHCAP INVESTMENT SERVICES GMBH
MUNICH
MUNICH
Issued capital EUR 4,000,000
437
WEALTHCAP INVESTMENTS INC.
WILMINGTON
ATLANTA
Issued capital USD 312,000
438
WEALTHCAP INVESTORENBETREUUNG GMBH
MUNICH
MUNICH
Issued capital EUR 60,000
439
WEALTHCAP
KAPITALVERWALTUNGSGESELLSCHAFT MBH
GRUENWALD
GRUENWALD
Issued capital EUR 125,000
440
WEALTHCAP LEASING GMBH
GRUENWALD
GRUENWALD
Issued capital EUR 25,000
441
WEALTHCAP MANAGEMENT SERVICES GMBH
MUNICH
MUNICH
Issued capital EUR 50,000
TYPE OF
RELATIONSHIP
(1)
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
OWNERSHIP RELATIONSHIP
HELD BY
UNICREDIT BANK AUSTRIA AG
VOTING
RIGHTS
%(2)
HOLDING
%
100.00
WEALTHCAP INVESTMENT SERVICES GMBH
100.00
89.23
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT
DER BANK AUSTRIA CREDITANSTALT LEASING
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
HVB IMMOBILIEN AG
UNICREDIT BANK AG
CAPITAL DEV SPA
UNICREDIT SPA
UNICREDIT BANK AG
WEALTHCAP REAL ESTATE MANAGEMENT
GMBH
WEALTHCAP INITIATOREN GMBH
WEALTHCAP EQUITY GMBH
WEALTHCAP INITIATOREN GMBH
74.80
0.20
25.00
89.28
100.00
100.00
76.00
100.00
100.00
100.00
100.00
100.00
WEALTHCAP REAL ESTATE MANAGEMENT
GMBH
WEALTHCAP VORRATS-2 GMBH
WEALTHCAP REAL ESTATE MANAGEMENT
GMBH
WEALTHCAP VORRATS-2 GMBH
WEALTHCAP ENTITY SERVICE GMBH
H.F.S. LEASINGFONDS GMBH
100.00
50.00
50.00
50.00
50.00
..
94.34
5.66
100.00
100.00
WEALTHCAP ENTITY SERVICE GMBH
100.00
WEALTH MANAGEMENT CAPITAL HOLDING
GMBH
UNICREDIT BANK AG
WEALTH MANAGEMENT CAPITAL HOLDING
GMBH
WEALTHCAP FONDS GMBH
100.00
10.00
90.00
100.00
WEALTHCAP INVESTMENT SERVICES GMBH
100.00
WEALTH MANAGEMENT CAPITAL HOLDING
GMBH
WEALTH MANAGEMENT CAPITAL HOLDING
GMBH
100.00
100.00
WEALTHCAP PEIA MANAGEMENT GMBH
100.00
120 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
COMPANY NAME
WEALTHCAP OBJEKT DRESDEN GMBH & CO. KG
442
Issued capital EUR 10,000
MAIN
OFFICE
MUNICH
ADMINISTRATIVE
OFFICE
MUNICH
443
WEALTHCAP OBJEKT ESSEN II GMBH & CO. KG
MUNICH
MUNICH
Issued capital EUR 10,000
444
WEALTHCAP OBJEKT-VOHNEN 1 GMBH & CO. KG
MUNICH
MUNICH
Issued capital EUR 10,000
445
WEALTHCAP OBJEKT-VORRAT 25 GMBH & CO.
KG
MUNICH
MUNICH
TYPE OF
RELATIONSHIP
(1)
1
1
1
1
OWNERSHIP RELATIONSHIP
HELD BY
WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG
WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG
WEALTHCAP
KAPITALVERWALTUNGSGESELLSCHAFT MBH
WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG
WEALTHCAP
KAPITALVERWALTUNGSGESELLSCHAFT MBH
WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG
WEALTHCAP
KAPITALVERWALTUNGSGESELLSCHAFT MBH
HOLDING
%
VOTING
RIGHTS
%(2)
10.10
10.10
79.80
10.10
89.90
10.10
89.90
25.00
25.00
25.00
33.33
33.33
33.33
33.33
WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG
10.10
25.00
Issued capital EUR 10,000
WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG
10.10
25.00
WEALTHCAP
KAPITALVERWALTUNGSGESELLSCHAFT MBH
79.80
25.00
446
WEALTHCAP OBJEKT-VORRAT 32 GMBH & CO.
KG
Issued capital EUR 10,000
MUNICH
MUNICH
1
WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG
447
WEALTHCAP PEIA KOMPLEMENTAR GMBH
GRUENWALD
GRUENWALD
Issued capital EUR 26,000
448
WEALTHCAP PEIA MANAGEMENT GMBH
MUNICH
MUNICH
Issued capital EUR 1,023,000
449
WEALTHCAP REAL ESTATE MANAGEMENT GMBH
MUNICH
MUNICH
Issued capital EUR 60,000
450
WEALTHCAP VORRATS-2 GMBH
MUNICH
MUNICH
Issued capital EUR 25,000
451
WEALTHCAP WOHNEN 1A GMBH & CO. KG
MUNICH
MUNICH
Issued capital EUR 10,000
452
WEICKER S. A R.L.
LUXEMBOURG
LUXEMBOURG
453
454
455
456
Issued capital EUR 20,658,840
WOEM GRUNDSTUECKSVERWALTUNGS-
GESELLSCHAFT M.B.H.
Issued capital EUR 36,336
Z LEASING ALFA IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
Z LEASING ARKTUR IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
Z LEASING AURIGA IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
457
Z LEASING CORVUS IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
458
Z LEASING DORADO IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
459
Z LEASING DRACO IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
460
461
Z LEASING GAMA IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
Z LEASING GEMINI IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
WEALTHCAP IMMOBILIEN 2 GMBH & CO. KG
WEALTHCAP IMMOBILIENANKAUF
KOMPLEMENTAER GMBH
WEALTHCAP
KAPITALVERWALTUNGSGESELLSCHAFT MBH
WEALTHCAP PEIA MANAGEMENT GMBH
UNICREDIT BANK AG
WEALTH MANAGEMENT CAPITAL HOLDING
GMBH
5.05
5.05
..
25.00
25.00
25.00
89.90
25.00
100.00
6.00
94.00
WEALTHCAP INVESTMENT SERVICES GMBH
100.00
WEALTHCAP FONDS GMBH
100.00
WEALTHCAP IMMOBILIEN 1 GMBH & CO. KG
10.10
33.33
WEALTHCAP
KAPITALVERWALTUNGSGESELLSCHAFT MBH
89.90
33.33
UNICREDIT BANK AG
100.00
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT GARAGEN ERRICHTUNG UND
VERWERTUNG GMBH
BA EUROLEASE BETEILIGUNGSGESELLSCHAFT
M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
CALG GRUNDSTUECKVERWALTUNG GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
GALA GRUNDSTUECKVERWALTUNG
GESELLSCHAFT M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT GARAGEN ERRICHTUNG UND
VERWERTUNG GMBH
0.20
99.80
0.20
99.80
0.20
99.80
0.20
99.80
99.80
0.20
99.80
0.20
99.80
0.20
0.20
99.80
0.20
99.80
UniCredit ·2019 Annual Report and Accounts 121
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
462
COMPANY NAME
Z LEASING HEBE IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
MAIN
OFFICE
VIENNA
ADMINISTRATIVE
OFFICE
VIENNA
463
Z LEASING HERCULES IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
VIENNA
VIENNA
Issued capital EUR 36,500
464
Z LEASING IPSILON IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
465
Z LEASING ITA IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
466
Z LEASING JANUS IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
467
468
Z LEASING KALLISTO IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
Z LEASING KAPA IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
469
Z LEASING LYRA IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
470
471
Z LEASING NEREIDE IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
Z LEASING OMEGA IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
472
Z LEASING PERSEUS IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
VIENNA
VIENNA
473
474
475
476
477
478
Issued capital EUR 36,500
Z LEASING SCORPIUS IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
Z LEASING TAURUS IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 73,000
Z LEASING VENUS IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
Z LEASING VOLANS IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
Issued capital EUR 36,500
ZABA PARTNER D.O.O. ZA BROKERSKE
POSLOVE U OSIGURANJU I REOSIGURANJU
Issued capital HRK 1,500,000
ZAGREB NEKRETNINE D.O.O. ZA POSLOVANJE
NEKRETNINAMA
Issued capital HRK 5,000,000
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
VIENNA
ZAGREB
ZAGREB
ZAGREB
ZAGREB
479
ZAGREBACKA BANKA D.D.
ZAGREB
ZAGREB
Issued capital HRK 6,404,839,100
480
ZANE BH DOO
SARAJEVO
SARAJEVO
Issued capital BAM 131,529
481
ZAPADNI TRGOVACKI CENTAR D.O.O.
RIJEKA
RIJEKA
Issued capital HRK 20,000
482
ZB INVEST D.O.O. ZA UPRAVLJANJE
INVESTICIJSKIM FONDOVIMA
Issued capital HRK 4,000,000
ZAGREB
ZAGREB
TYPE OF
RELATIONSHIP
(1)
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
OWNERSHIP RELATIONSHIP
HELD BY
GEBAEUDELEASING
GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT
M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT GARAGEN ERRICHTUNG UND
VERWERTUNG GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT GARAGEN ERRICHTUNG UND
VERWERTUNG GMBH
GALA GRUNDSTUECKVERWALTUNG
GESELLSCHAFT M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
GALA GRUNDSTUECKVERWALTUNG
GESELLSCHAFT M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
GALA GRUNDSTUECKVERWALTUNG
GESELLSCHAFT M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
GALA GRUNDSTUECKVERWALTUNG
GESELLSCHAFT M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
CALG DELTA GRUNDSTUECKVERWALTUNG
GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT ZEGA LEASING-GESELLSCHAFT
M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
BA EUROLEASE BETEILIGUNGSGESELLSCHAFT
M.B.H.
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT LEASING (AUSTRIA) GMBH
UCLA IMMO-BETEILIGUNGSHOLDUNG GMBH &
CO KG
UNICREDIT PEGASUS LEASING GMBH
ZAGREBACKA BANKA D.D.
ZAGREBACKA BANKA D.D.
UNICREDIT SPA
ZAGREB NEKRETNINE D.O.O. ZA POSLOVANJE
NEKRETNINAMA
UNIVERSALE INTERNATIONAL REALITAETEN
GMBH
ZAGREBACKA BANKA D.D.
VOTING
RIGHTS
%(2)
HOLDING
%
99.80
0.20
0.20
99.80
0.20
99.80
99.80
0.20
99.80
0.20
0.20
99.80
99.80
0.20
99.80
0.20
0.20
99.80
99.80
0.20
10.00
90.00
0.20
99.80
99.80
0.20
0.20
99.80
0.20
99.80
100.00
100.00
84.48
100.00
100.00
100.00
122 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
Notes to the table showing the investments in subsidiaries:
(1) Type of relationship:
1= majority of voting rights at ordinary shareholders’ meeting;
2= dominant influence at ordinary shareholders’ meeting;
3= agreements with other shareholders;
4= other types of control;
5= centralized management pursuant to paragraph 1 of Art.39 of “Legislative decree 136/2015”;
6= centralized management pursuant to paragraph 2 of Art.39 of “Legislative decree 136/2015”;
(2) Voting rights available in general meeting. Voting rights are disclosed only if different from the percentage of ownership.
(3) Companies consolidated line by line under IFRS10 as a result of the simultaneous availability of power to govern the relevant activities and exposures to variability of related returns.
(4) In the Consolidated financial statements the Group’s stake is 100% as the trust company does not share in the profits. The voting rights are held by the grantor, a Group company.
(5) The equity investment in Cordusio SIM S.p.A. is consolidated at 100% by virtue of UniCredit S.p.A.’s 97.123% and its option on minority interests representing 2.877% of the share capital.
Changes in the scope of consolidation
Companies consolidated line by line, including the Parent company and those ones classified as non-current assets and asset disposal groups,
decreased by 23 entities compared with 31 December 2018 (18 inclusions and 41 exclusions as a result of disposals, changes of the consolidation
method and mergers), from 505 as at 31 December 2018 to 482 as at 31 December 2019.
Wholly-owned subsidiaries
The following table shows the changes in equity investments in wholly-owned subsidiaries.
Equity investments in wholly-owned subsidiaries (consolidated line by line): annual changes
A. Opening balance (from previous year)
B. Increased by
B.1 Newly established companies
B.2 Change of the consolidation method
B.3 Entities consolidated for the first time in the year
C. Reduced by
C.1 Disposal/Liquidation
C.2 Change of the consolidation method
C.3 Absorption by other Group entities
D. Closing balance
NUMBER OF COMPANIES
505
18
1
6
11
41
22
13
6
482
The tables below analyse the other increases and decreases occurred during the year by company.
Increases
Newly established companies
During the period there was a newly established company named UniCredit Leased Asset Management S.p.A. based in Milan.
Change of the consolidation method
COMPANY NAME
WEICKER S. A R.L.
WEALTHCAP OBJEKT-VORRAT 24 GMBH & CO. KG
WEALTHCAP OBJEKT-VOHNEN 1 GMBH & CO. KG
MAIN OFFICE
LUXEMBOURG
MUNICH
MUNICH
COMPANY NAME
WEALTHCAP OBJEKT DRESDEN GMBH & CO. KG
WEALTHCAP OBJEKT-VORRAT 25 GMBH & CO. KG
VERWALTUNGSGESELLSCHAFT KATHARINENHOF
MBH
MAIN OFFICE
MUNICH
MUNICH
MUNICH
Entities consolidated for the first time in the year
COMPANY NAME
UNICREDIT GUSTRA LEASING GMBH
WEALTHCAP WOHNEN 1A GMBH & CO. KG
WEALTHCAP IMMOBILIENANKAUF
KOMPLEMENTAER GMBH
WEALTHCAP OBJEKT ESSEN II GMBH & CO. KG
IMPRESA TWO SRL (CARTOLARIZZAZIONE :
IMPRESA TWO)
BAYERISCHE WOHNUNGSGESELLSCHAFT FUER
HANDEL UND INDUSTRIE, GESELLSCHAFT MIT
BESCHRAENKTER HAFTUNG
MAIN OFFICE
VIENNA
MUNICH
MUNICH
MUNICH
CONEGLIANO
MUNICH
COMPANY NAME
ELEKTRA PURCHASE NO. 64 DAC
ICE CREEK POOL No.1 DAC
WEALTHCAP OBJEKT-VORRAT 32 GMBH & CO. KG
WEALTHCAP IMMOBILIEN DEUTSCHLAND 44 GMBH
& CO. GESCHLOSSENE INVESTMENT KG
ELEKTRA PURCHASE NO. 71 DAC
MAIN OFFICE
DUBLIN
DUBLIN
MUNICH
MUNICH
DUBLIN
UniCredit ·2019 Annual Report and Accounts 123
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
Reductions
The above table refers to disposals and liquidations of inactive companies.
Disposal/Liquidation
COMPANY NAME
MCL RE LJUBLJANA, POSLOVNI NAJEM NEPREMI
NIN, D.O.O.
CORIT - CONCESSIONARIA RISCOSSIONE TRIBUTI
S.P.A. IN LIQUIDAZIONE
UNICREDIT LEASING LUNA KFT
UNICREDIT LEASING MARS KFT
FINECO ASSET MANAGEMENT DESIGNATED
ACTIVITY COMPANY
WEALTHCAP LOS GATOS 131 ALBRIGHT WAY L.P.
ELEKTRA PURCHASE NO. 32 S.A. - COMPARTMENT
2
OCEAN BREEZE ASSET GMBH & CO. KG
WEALTHCAP PORTLAND PARK SQUARE, L.P.
OCEAN BREEZE ENERGY GMBH & CO. KG
BA IMMO GEWINNSCHEIN FONDS1
MAIN OFFICE
LJUBLJANA
ROME
BUDAPEST
BUDAPEST
DUBLIN
COMPANY NAME
SOCIETA' ITALIANA GESTIONE ED INCASSO CREDITI
S.P.A. IN LIQUIDAZIONE
BACA LEASING CARMEN GMBH
UNICREDIT LEASING URANUS KFT
ELEKTRA PURCHASE NO. 48 DAC
FINECOBANK SPA
WILMINGTON
LUXEMBOURG
AGROB IMMOBILIEN AG
PERIKLES 20092 VERMOGENSVERWALTUNG GMBH
BREMEN
WILMINGTON
BREMEN
VIENNA
OCEAN BREEZE GMBH
FMC LEASING INGATLANHASZNOSITO KORLATOLT
FELELOESSEGUE TARSASAG
OCEAN BREEZE FINANCE S.A. - COMPARTMENT 1
EUROLEASE AMUN IMMOBILIEN LEASING
GESELLSCHAFT M.B.H.
MAIN OFFICE
ROME
VIENNA
BUDAPEST
DUBLIN
MILAN
ISMANING
BREMEN
BREMEN
BUDAPEST
LUXEMBOURG
VIENNA
On 8 May 2019 UniCredit S.p.A. (UniCredit) sold ordinary shares of FinecoBank S.p.A. (Fineco) of which, at the time, it held 35.3% of the capital for
a share of 17%, through an accelerated bookbuilding (ABB) procedure. Due to this transaction, No.103.5 million ordinary shares have been
disposed at a price of €9.80 per share.
Following the completion of the transaction, settled on 10 May 2019, UniCredit, as at 30 June 2019, held a stake in Fineco equal to 18.3% of the
share capital (corresponding to No.111.6 million shares).
Before the abovementioned announcement, on the same day, UniCredit and Fineco announced a series of actions and procedures aimed at
ensuring Fineco ability to operate independently, also in case of possible exit from the UniCredit group. In this context, the parties entered into a
framework agreement concerning:
the commitment undertaken by the UniCredit Board of Directors to: (i) renounce to any administrative right on the matters referred to in Art.2364 of
the Italian Civil Code, relating to any residual portion held in Fineco, including the appointment or removal of the Board of Directors, the approval of
Fineco annual financial statement, dividends distribution as well as other matters for which the ordinary shareholders' meeting is responsible; (ii)
avoid subscribing any type of agreement aimed at pursuing the same objectives as in the previous point (i);
a financial guarantee contract granted, for free, by UniCredit in favour of Fineco, in order to neutralise the credit risk exposure of Fineco against
UniCredit (mainly deriving from UniCredit bonds subscribed by Fineco in periods prior the transactions);
a contract that allows Fineco to continue to use, for free, certain names and trademarks containing the term "Fineco”, owned by UniCredit,
together with the provision of an American option in favour of Fineco to purchase the brand at an exercise price increasing over time until 2032;
a Master Service Agreement for the supply, at market prices, of certain services for a specific period of time by UniCredit group in favour of Fineco
to allow the latter to continue its usual operations (including access to UniCredit ATMs); these services are provided at market prices.
The actions outlined in the previous points, and in particular, the renounce to any administrative right by UniCredit with the result of not allowing to
influence the strategic and investment choices of Fineco, led to assess that UniCredit had neither control nor significant influence over Fineco. As a
result the stake maintained at 30 June 2019 (18.3%) was classified as a financial instrument in the category "other assets mandatorily at fair value".
In the Consolidated financial statements, following this transaction UniCredit proceeded to recognise, on 30 June 2019 a capital gain for a total
amount of €1,287 million, net of transaction costs directly attributable to the sale and before tax impacts (at the same date UniCredit recognised a
capital gain for €1,722 million net of transaction costs directly attributable to the sale and before tax impacts).
This capital gain included the effects deriving from the revaluation of the portion maintained at the opening price of the trade date (8 May 2019).
In addition to the above, at 30 June 2019 UniCredit proceeded to recognise in its Consolidated financial statements:
a liability of €55 million deriving from the financial guarantee contract; the amount of this liability has been calculated by discounting the
commissions that UniCredit would have received if it had given the same guarantee to third parties at market conditions, determining therefore the
recognition of "other operating expenses" of the same amount;
“Fineco” trademark cancellation, previously recognised for an amount of €93 million, as well as a credit versus Fineco for an amount of €22.5
million as a result of the trademark concession contract (equal to the expected amount to collect due to the exercise of the option to purchase the
brand in the first useful period; taking into account an exercise price increasing over time until 2032.
124 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
On 8 July 2019 UniCredit completed the sale of the residual stake held in FinecoBank, equal to 18.3%, implemented through a new ABB procedure.
This transaction allowed the transfer of No.111.6 million of Fineco’s ordinary shares, at a price of €9.85 per share, with settlement occurred on 11
July 2019. With respect to the fair value of the stake held as at 30 June 2019 (equal to €1,090.9 million), the sale of 18.3% resulted in the
recognition of a profit of €0.1 million on the UniCredit income statement, which was recognised in the third quarter of 2019.
By exercising the option provided by the contract stipulated with UniCredit S.p.A., in November 2019 Fineco purchased the brand “Fineco” at the
price of €22.5 million. The change of ownership at the relevant trademark offices, where the brand “Fineco” is registered, is in progress.
Change of the consolidation method
COMPANY NAME
LIFE MANAGEMENT ERSTE GMBH
UNICREDIT-LEASING NEPTUNUS KFT
PAISL ISRAEL LTD IN VOLUNTARY LIQUIDATION
UNICREDIT-LEASING HOSPES KFT
RE-ST.MARX HOLDING GMBH
MAIN OFFICE
MUNICH
BUDAPEST
RAMAT GAN
BUDAPEST
VIENNA
WEALTHCAP OBJEKTE GRASBRUNN UND ISMANING
GMBH & CO. KG
WEALTHCAP OBJEKT-VORRAT 24 GMBH & CO. KG
MUNICH
MUNICH
COMPANY NAME
VERWALTUNGSGESELLSCHAFT KATHARINENHOF
MBH
PAI (NEW YORK) LIMITED
WEALTHCAP OBJEKT-VORRAT 20 GMBH & CO. KG
TRANSTERRA GESELLSCHAFT FUR
IMMOBILIENVERWALTUNG MBH
DELPHA IMMOBILIEN- UND
PROJEKTENTWICKLUNGS GMBH & CO.
GROSSKUGEL BAUABSCHNITT BETA MANAGEMENT
KG
WEALTHCAP IMMOBILIEN DEUTSCHLAND 44 GMBH
& CO. GESCHLOSSENE INVESTMENT KG
MAIN OFFICE
MUNICH
DOVER
MUNICH
MUNICH
MUNICH
MUNICH
Absorption by other Group entities
COMPANY NAME OF THE MERGERED ENTITY
HVB CAPITAL PARTNERS AG
HVB-LEASING JUPITER INGATLANHASZNOSITO
KORLATOLT FELELOESSEGUE TARSASAG
HVB-LEASING ROCCA INGATLANHASZNOSITO
KORLATOLT FELELOESSEGUE TARSASAG
KLEA ZS-LIEGENSCHAFTSVERMIETUNG G.M.B.H.
RIGEL IMMOBILIEN GMBH
SIRIUS IMMOBILIEN GMBH
MAIN OFFICE
MUNICH
BUDAPEST
COMPANY NAME OF THE TAKING IN ENTITY
UNICREDIT BANK AG
UNICREDIT LEASING KFT
MAIN OFFICE
MUNICH
BUDAPEST
BUDAPEST
BAHBETA INGATLANHASZNOSÍTO KFT.
BUDAPEST
VIENNA
VIENNA
VIENNA
POLLUX IMMOBILIEN GMBH
POLLUX IMMOBILIEN GMBH
POLLUX IMMOBILIEN GMBH
Entities line by line which changed the company name during the the year
COMPANY NAME
ZABA PARTNER D.O.O. ZA BROKERSKE POSLOVE U
OSIGURANJU I REOSIGURANJU (ex. ZABA PARTNER
DOO ZA POSREDOVANJE U OSIGURANJU I
REOSIGURANJU)
MAIN OFFICE
ZAGREB
COMPANY NAME
UNICREDIT HAMRED LEASING GMBH (ex. HAMZO
PROJECT DEVELOPMENT I GMBH)
VIENNA
VIENNA
VIENNA
MAIN OFFICE
VIENNA
MUNICH
BUDAPEST
OOO UNICREDIT GARANT (ex. AO LOCAT LEASING
RUSSIA)
ZAGREB NEKRETNINE D.O.O. ZA POSLOVANJE
NEKRETNINAMA (ex. ZAGREB NEKRETNINE DOO)
PAISL ISRAEL LTD IN VOLUNTARY LIQUIDATION (ex.
PIONEER ALTERNATIVE INVESTMENTS (ISRAEL)
LIMITED IN VOLUNTARY LIQUIDATION)
MOSCOW
ZAGREB
WEALTHCAP OBJEKTE GRASBRUNN UND ISMANING
GMBH & CO. KG (ex. WEALTHCAP OBJEKT-VORRAT
21 GMBH & CO. KG)
BAHBETA INGATLANHASZNOSÍTO KFT. (ex. BANK
AUSTRIA HUNGARIA BETA LEASING KORLATOLT
FELELOSSEGUE TARSASAG)
RAMAT GAN
WEALTHCAP OBJEKT ESSEN II GMBH & CO. KG (ex.
WEALTHCAP OBJEKT-VORRAT 31 GMBH & CO. KG)
MUNICH
UniCredit ·2019 Annual Report and Accounts 125
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
2. Significant assumptions and assessment in determining the consolidation scope
The Group determines the existence of control and, consequently, the consolidation scope, checking, with reference to the entities in which it holds
exposures:
the existence of power over the relevant activities;
the exposure to the variability of returns;
the ability to use the power exercised in order to influence the returns to which it is exposed.
The factors that have been considered for the purposes of this assessment depend on the entity's governance methods, purposes and equity
structure. On this point, the Group differentiates between entities governed through voting rights, i.e. operating entities, and entities not governed
through voting rights, which comprise special purpose entities (SPEs) and investment funds.
In the case of operating entities, the following factors provide evidence of control:
more than half of the company's voting rights are held directly or indirectly through subsidiaries (also when they act as trustee companies) unless,
exceptionally, it can be clearly demonstrated that this ownership does not originate control;
half, or a lower proportion, of the votes exercisable in the shareholders' meeting are held and it is possible to govern the relevant activities
unilaterally through:
- the control of more than half of the voting rights based on an agreement with other investors;
- the power to determine the entity's financial and operating policies based on a contract or a statutory clause;
- the power to appoint or remove the majority of the members of the Board of Directors or the equivalent governing body, and that board or body is
responsible for managing the company;
- the power to exercise the majority of voting rights in meetings of the Board of Directors or the equivalent governing body, and that board or body
is responsible for managing the company.
The existence and effect of potential voting rights, including those incorporated in options, way-out clauses, or instruments convertible into shares,
are taken into consideration when assessing the existence of control, in case they are substantial.
In particular, potential voting rights are considered substantial if all the following conditions are met:
they can be exercised either immediately or at least in good time for the company's shareholders' meeting;
there are no legal or economic barriers to exercise them;
exercising them is economically convenient.
As at 31 December 2019 the Group holds the majority of the voting rights in all the operating entities subject to consolidation, with the exception of
two companies for which the Group, although not holding the majority of voting rights, (i) has signed shareholders' agreements which enable it to
appoint the majority of members of the governing body, or contractual agreements which determine the possibility of managing the company’s
business unilaterally, and (ii) is exposed to the variability of the said company’s returns.
It should also be noted that there are no cases in which control derives from holding potential voting rights.
Special purpose entities are considered controlled if the Group is, at one and the same time:
exposed to a significant extent to the variability of returns, as a result of exposures in securities, of disbursing loans or of providing guarantees.
in this regard it is assumed as a rebuttable presumption that the exposure to variability of returns is significant if the Group has at least 30% of the
most subordinated exposure, and
able to govern the relevant activities, also in a de facto manner. Examples of the power to govern on this point are performing the role of sponsor
or servicer appointed to recover underlying receivables, or managing the company's business.
In particular, consolidated special purpose entities include:
Conduits in which the Group plays the role of sponsor and is exposed to the variability of returns, as a result of subscribing Asset Backed
Commercial Paper issued by them and/or of providing guarantees in the form of letters of credit or liquidity lines;
vehicles used to carry out securitisation transactions in which the Group is the originator as a result of subscribing the subordinated tranches;
vehicles financed by the Group and established for the sole purpose of performing financial or operating leasing in favour of customers which are
financed by the Group;
vehicles in which, as a result of deteriorating market conditions, the Group has found itself holding the majority of the financial exposure and, at
the same time, managing the underlying assets or the related collections.
It should be noted that, in the case of special purpose entities set up as part of securitisation transactions pursuant to Italian Law 130/99, the
segregated assets are analysed separately with respect to the analysis of the SPE. For the latter, control is assessed on the basis of possession of
the voting rights attributed to the company's shares.
126 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
Investment funds managed by Group companies are considered controlled if the Group is significantly exposed to the variability of returns and if the
third-party investors have no rights to remove the management company.
In this regard it is assumed as a rebuttable presumption that the exposure to the variability of returns is significant if the Group has at least 30% as a
result of subscription of the units and commissions received for the management of the fund's assets.
Funds managed by Group companies that are in seed/warehousing phases are not considered controlled.
In this phase, in fact, the aim of the fund is to invest, in accordance with fund’s regulation, in financial and non financial assets with the aim of
allotting the quotas to third party investors. Consequently it has been evaluated that the management company is not able to exercise power due to
its limited decision power
Investment funds managed by third-party companies are considered controlled if the Group is significantly exposed to the variability of returns and at
the same time, has the unilateral right to remove the management company.
In this regard it is assumed as a rebuttable presumption that the exposure to the variability of returns is significant if the Group has subscribed at
least 30% of the fund’s units.
With reference to 31 December 2019, it should be noted that 198 controlled entities (of which 14 belonging to the Banking Group) were not
consolidated pursuant to IFRS10, of which 190 for materiality threshold and/or liquidation procedures.
Among the 8 remaining non consolidated entities it should be noted:
1 investment fund whose the majority of quotas are subscribed by the Group and for which consolidation would not determine neither a significant
increase in Group consolidated assets;
6 operating entities deriving from restructuring procedures or work- out, whose risks are measured as part of the overall credit exposures;
1 entity with total assets less than €10 milion, which does not have an operating structure that may allow them to prepare IAS/IFRS Financial
Statements and that the Group has decided not to consolidate on a cost/benefits basis.
Based on available information, it should be considered that their consolidation would not have impacted significantly the Group shareholders’
equity.
3. Equity investments in wholly-owned subsidiaries with significant non-controlling interests
3.1 Non-controlling interests, availability of votes of NCIs and dividends distributed to NCIs
COMPANY NAME
ZAGREBACKA BANKA D.D.
MINORITIES EQUITY
RATIOS
(%)
15.53
MINORITIES VOTING
RIGHTS
(%)
15.53
DIVIDENDS TO
MINORITIES
(€ million)
39
3. Equity investments in wholly-owned subsidiaries with significant non-controlling interests
3.2 Equity investments with significant non-controlling interests: accounting information
COMPANY NAME
ZAGREBACKA BANKA D.D.
TOTAL
ASSETS
15,822
CASH AND
CASH
EQUIVALENTS
2,899
FINANCIAL
ASSETS
12,701
TANGIBLE
AND
INTANGIBLE
ASSETS
164
FINANCIAL
LIABILITIES
13,285
NET
EQUITY
2,226
(€ million)
NET
INTEREST
MARGIN
370
continued: 3.2 Equity investments with significant non-controlling interests: accounting information
PROFIT
(LOSS)
BEFORE TAX
FROM
CONTINUING
OPERATIONS
PROFIT
(LOSS)
AFTER TAX
FROM
CONTINUING
OPERATIONS
PROFIT (LOSS)
AFTER TAX
FROM
DISCONTINUED
OPERATIONS
OTHER
COMPREHENSIVE
INCOME AFTER
TAX
(2)
PROFIT
(LOSS)
(1)
OTHER
COMPREHENSIVE
INCOME
(3) = (1) + (2)
OPERATING
INCOME
OPERATING
COSTS
623
(309)
241
206
-
206
59
265
COMPANY NAME
ZAGREBACKA BANKA
D.D.
The exposures above refer to the amounts of individual accounts of subsidiary as at 31 December 2019.
UniCredit ·2019 Annual Report and Accounts 127
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
4. Significant restrictions
Shareholder agreements, regulatory requirements and contractual agreements can limit the ability of the Group to access the assets or settle the
liabilities of its subsidiaries or restrict the latter from distribution of capital and/or dividends.
With reference to shareholder agreements, it should be noted that to the consolidated entities UniCredit BPC Mortgages S.r.l. and UniCredit OBG
S.r.l. companies established according to Law 130/99 for the execution of securitisation transactions or the issuance of covered bonds,
shareholders’ agreements allow the distribution of dividends only when the credit claims of guaranteed lenders and bearer of covered bonds are
satisfied.
In the course of the demerger of the CEE Banking Business from UniCredit Bank Austria AG to UniCredit S.p.A. effected in 2016, UniCredit S.p.A.
undertook vis-a-vis its co-shareholders in UniCredit Bank Austria AG and UniCredit Bank Austria AG that until 30 June 2024: (i) it will restrict itself,
as shareholder of UniCredit Bank Austria AG, from resolving on any dividend distributions of the latter in case UniCredit Bank Austria AG’s
consolidated and solo CET1 ratios, as a consequence thereof, fall below (a) 14% or (b) the higher minimum CET1 ratio required at the time by the
applicable regulatory framework, plus any required buffers, and (ii) support any management decision and board resolution of UCBA aimed at
safeguarding such CET1 ratios.
With reference to regulatory requirements, it should be noted that UniCredit group is a banking group subject to the rules provided by Directive
2013/36/EU on the “access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms” (CRD IV) and
by Regulation (EU) No.575/2013 on “prudential requirements for credit institutions and investment firms” (CRR) and which controls financial
institutions subject to the same regulation.
The ability of the controlled banks to distribute capital or dividends may be restricted to the fulfilment of these requirements in terms of both capital
ratios and “Maximum Distributable Amount” as well as further recommendation by competent authorities provided time by time (e.g.
Recommendation of the European Central Bank on dividend distribution policy - ECB/2019/01).
For the disclosure on UniCredit group Capital Requirements and on the outcome of mentioned SREP, process held in 2017 and applicable for 2018,
refer to the chapter “Capital and value management” of the Consolidated report on operations.
With reference to subsidiaries, it should be noted that in some jurisdictions and for some foreign entities of the Group, commitments to maintain local
supervisory capital higher than regulatory thresholds may exist also as a result of SREP performed at local level.
With reference to contractual agreements, UniCredit group has also issued financial liabilities whose callability, redemption, repurchase or
repayment prior to the date of their contractual maturity is subordinated to the consent by the authorisation of competent authority. The value of
these instruments as at 31 December 2019 is equal to €17,979 million.
5. Other information
For information on jointly-controlled companies and companies subject to significant influence that have not been consolidated in accordance with
IFRS10 as at 31 December 2019, in addition to the controlled ones disclosed in previous paragraph 2. Significant assumptions and assessment in
determining the consolidation scope, reference is made to Part B - Assets - Section 7 - Equity investments - Item 70 - paragraph 7.6 Valuation and
significant assumptions to establish the existence of joint control or significant influence of this Notes to the consolidated accounts.
Section 4 - Subsequent events
No material events have occurred after the balance sheet date that would make it necessary to change any of the information given in the
Consolidated financial statements as at 31 December 2019.
For a description of the significant events after year-end refer to the information below.
On 8 January 2020 the parent company UniCredit S.p.A. launched a Tier 2 subordinated benchmark with 12 year maturity, callable after 7 years.
The amount issued is equal to €1.25 billion and represents the first Tier 2 issuance in 2020, reaffirming UniCredit's solid fixed income investors base
and its market access in different formats.
The bond pays a fixed coupon of 2.731% during the first 7 years, and has an issue price of 100%, equivalent to a spread of 280 bps over the 7 year
swap rate. If the issuer does not call the bonds after 7 years, the coupon for the subsequent period until maturity will be reset on the base of the 5
year swap rate at the end of the seventh year, increased by the initial spread.
Barclays, BBVA, Credit Agricole CIB, Mediobanca, Morgan Stanley and UniCredit Bank AG have managed the placement acting as joint
bookrunners.
On 13 January 2020 the parent company UniCredit S.p.A. launched €1.25 billion Senior Non-Preferred with 6 year maturity, callable after 5 years,
and €750 million Senior Non-Preferred with 10 years maturity. The combined amount represents the largest EUR institutional unsecured issuance
ever done by UniCredit.
128 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
The amount issued is part of the 2020 Funding Plan presented at the Capital Market Day last December 3 and will be computed in UniCredit's TLAC
requirement. This further confirms UniCredit's ability to access the market in different formats.
BofA Securities, Commerzbank, HSBC, ING, JP Morgan, Société Générale and UniCredit Bank AG have managed the placement acting as joint
bookrunners.
On 28 January 2020 the parent company UniCredit S.p.A. sold senior notes, related to the PRISMA securitisation transaction, for a nominal value of
€100 million.
On 5 February 2020 the agreements whose signing was announced on 30 November 2019 were completed; such agreements envisaged: (i) the
disposal of the entire UniCredit S.p.A.’s 50% stake in Koç Finansal Hizmetleri A.S. (“KFS”) to the Koç Group, (ii) the disposal of shares of Yapi ve
Kredi Bankasi A.Ş. (“Yapi Kredi”) by KFS to UniCredit S.p.A. and Koç Holding A.Ş., as a result of which UniCredit S.p.A. became a direct
shareholder of Yapi Kredi with a stake equal to 31.93% of the share capital, and (iii) the termination of the shareholders agreement related to KFS.
On the same date, UniCredit S.p.A. completed the Accelerated BookBuild offering for the disposal to institutional investors of the 11.93% of the
share capital of Yapi Kredi; following such transaction UniCredit S.p.A. holds a direct stake in Yapi Kredi equal to 20% of the share capital, which is
accounted among the participations under significant influence.
On 5 February 2020, the Italian Personal Data Protection Authority notified the parent company UniCredit S.p.A. of the start of sanctioning
proceedings regarding a violation of customers' personal data following a Cyber-attack (data breach) occurred in October 2018, communicated
through its Group website on 22 October 2018. As required by the “Italian personal data protection Code (Art.166, c.6 of Legislative Decree 196/03)”
the Bank will present its statement of defence on the matter and will request a hearing with the Authority to explain its arguments. It is currently not
possible to define the timeline and outcome of the proceedings.
For further details refer to Consolidated financial statements - Notes to the consolidated accounts - Part E - Information on risks and hedging policies
- Section 2 - Risks on the prudential consolidated perimeter - 2.6 Other risks - Top end emerging risks - 3. Systemic threats - 3.1 Systemic threats
associated with cybercrime.
Section 5 - Other matters
In 2019 the following standards, amendments or interpretations of existing accounting standards came into force:
Amendments to IAS28: Long-term Interests in Associates and Joint Ventures (Reg. UE 2019/237);
Amendments to IAS19: Plan Amendment, Curtailment or Settlement (Reg. UE 2019/402);
Annual Improvements to IFRS Standards 2015-2017 Cycle (Reg. UE 2019/412);
IFRS16 - Leasing (EU Regulation 2017/1986);
IFRIC23 Uncertainty over Income Tax Treatments (Reg. UE 2018/1595);
Amendments to IFRS9: Prepayment Features with Negative Compensation (EU Regulation 2018/498).
IFRS16, effective starting from 1 January 2019 and subject to the completion of the endorsement process by the European Union on 31 October
2017, modifies the previous set of international accounting principles and interpretations on leases and, in particular, IAS17.
IFRS16 introduces a new definition for leases and confirms the distinction between two types of leases (operating and finance) with reference to the
accounting treatment to be applied by the lessor.
With reference to the accounting treatment to be applied by the lessee, the new accounting standard sets, for all the leasing typologies, the
recognition as an asset, representing the right of use of the underlying asset and, at the same time, a liability for the future payments requested by
the lease contract.
At the initial recognition such asset is measured on the basis of the lease contract cash flows. After the initial recognition the right-of-use will be
measured on the basis of the rules set for the assets by IAS16, IAS38 or by IAS40 and therefore applying the cost model, less any accumulated
depreciation and any accumulated impairment losses, the revaluation model or the fair value model as applicable.
In this context, the Group has performed the activities aimed to ensure compliance with this accounting principle, in particular with reference to the
calculation and accounting for Right of Use and Lease Liability that represent the main discontinuity compared to the current accounting model
required by IAS17.
The activities aimed to the development of rules, principles and IT systems to be used for the proper evaluation of new assets and liabilities and the
subsequent calculation of the related economic effects have been finalised.
For more details on the contents of the standard and on the main accounting choices taken by the Group, see section “A.2 - Main items of the
accounts" of this document.
With reference to the First time adoption of IFRS16 the Group decided, as allowed by the standard, to calculate the lease liability as the present
value of future lease payments as at 1 January 2019 and to determine the right of use on the basis of the value of the lease liability. This present
value has been determined as at 1 January 2019 according to the methodologies reported in section “A.2 - Main items of the accounts" of this
document. As a result comparative information has not been restated.
UniCredit ·2019 Annual Report and Accounts 129
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
On 1 January 2019 the Group has recognised the right of use tangible assets for an amount of €2,486 million relating to lease contracts of buildings
for an amount of €2,404 million; other tangible assets have been also recognised for an amount of 82 million (including land, office furniture and
fitting, electronic systems, other).
At the same date the Group has also recognised lease liabilities for an amount of €2,555 million relating to lease contracts of buildings for an amount
of €2,475 million; other lease liabilities have been also recognised for an amount of 80 million (including land, office furniture and fitting, electronic
systems, other).
The difference between right of use and lease liability arises from the inclusion in the right of use of prepaid and deferred payments, from the
recognition as part of the right of use of the provisions for risks and charges previously recognised for vacancies on rented buildings
and from sublease contracts entered with third parties external to the Group that have been classified as finance lease. Indeed, in case the Group
subleases to third parties assets acquired in lease contracts, it recognizes a finance lease receivable.
The impact accounted for in FTA Reserve amounts to -€6 million and it is mainly due to differences arising from sublease transactions if the terms of
the head leases are not perfectly mirrored by the terms of the associated subleases.
The first application of the accounting standard has determined during the year the recognition of interest expenses on lease liabilities at an average
interest rate of about 1.7%.
It should be finally noted that the Notes to the consolidated accounts - Part B - Consolidated balance sheet of the Consolidated financial statement
as at 31 December 2018 showed future minimum non-cancellable lease payments amounting to €361 million relating to operating leases and lease
payments for €187 million relating to finance lease.
It should be also noted that these amounts cannot be reconciled with the amount of the lease liability recognised on 1 January 2019 as they only
comprise payments arising from leasing contract. Conversely the initial application of IFRS16 has led to recognise a lease liability for both contracts
formally qualified as leases and rental contracts.
Change in the evaluation criterion of tangible assets: properties used in business (IAS16) and properties held for
investment (IAS40)
The UniCredit group, also following the several business combinations holds a significant real estate portfolio including land and buildings (4,250
items) whose book value as at 30 June 2019 amounted to €5,199 million of which €3,055 million for assets used in business (IAS16) and € 2,144
million for assets held for investment (IAS40).
More specifically, on the same date, this real estate assets were divided as follows on a geographical basis:
Italy (3.253 items): €2,643 million (IAS16 for €1,736 million and IAS40 for €907 million);
Austria (119 items): €290 million (IAS16 for €115 million and IAS40for €175 million);
Germany (263 items): €1,853 million (IAS16 for €884 million and IAS40 for €969 million19);
Central Europe (615 items): €413 million (IAS16 for €320 million and IAS40 for €93 million).
In the last years, following a constantly changing market scenario, the Group has launched a series of initiatives to enhance such this real estate
assets through actions which constitute now an integral part of those contained in the strategic plan Team23.
With reference to the properties used in business, these initiatives are aimed at a continuous enhancement of these properties through an "active
management" of the portfolio even beyond the time horizon of Team23, according to a corporate strategy mainly oriented to typical commercial
banking activities, including also the possibility of disposal in case of suitable conditions.
These initiatives result however also influenced by the following strategic choices included in the recently approved strategic plan:
progressive release of the physical workstations assigned to employees as a result of remote work, and this due to the stable use of flexible work
compared to the previous occasional use;
rationalisation of the spaces of the headquarters structures present in the major cities, to be carried out through the progressive merging into
management centers with shared workstations;
digitalisation and progressive focus on remote marketing channels;
further transformation of the "physical" branches, consolidating them in their nature as centers oriented to customer advisory activities;
rationalisation of labor costs also connected to the automation of business processes.
The actions mentioned above will allow a progressive reduction of the occupied areas and the subsequent sale of the vacated spaces.
With reference to properties held for investment, a gradual disposal of the properties in the portfolio is expected by 2025.
Based on the above, for the purposes of preparing the financial statements at 31 December 2019, the Group has decided to change - compared to the
financial statements of previous year - the evaluation criterion of the Group’s real estate portfolio, in particular:
for the properties used in business (ruled by IAS16 "Property, plant and machinery") providing for the transition from the cost model to the revaluation
model for the measurement subsequent to initial recognition;
for the properties held for investment (ruled by IAS40 "Investment property") providing for the transition from the cost model to the fair value model.
19 The values shown include land and buildings classified at the date among “Non-current assets and groups of assets being disposed of” of approximately €773 million.
130 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
This decision was made by the UniCredit S.p.A. Board of Directors during the meeting held on 2 December 2019 which also approved the Team 23
strategic plan.
In this context, the Group has considered that the possibility of measuring real estate assets at current values (and no longer at cost) allows, in line
with the provisions of IAS8 concerning changes in accounting principles, to provide reliable and more relevant information on the effects of business
management as well as the Group's financial position and economic result.
More specifically, it is believed that the change in the valuation criterion of properties, consistently with the initiatives planned by the Team 23
strategic plan previously described, may allow:
a more significant representation of the financial position since the expression at current values allows to represent the value, updated on the
basis of the current appreciation of properties by the market, which the Group expects to achieve as a result of the enhancement and/or disposal
of the properties, accounting for timely at assets and equity level (in the form of valuation reserves or profit of the year), the stock of value that will
be created by the planned initiatives.
This circumstance is verified both in the case of properties to be disposed, for which the representation at current values allows to evidence their
expected realisation values, and for the instrumental properties considering that a significant part of these properties is exposed in the financial
statements at historical values that are less representative of current market conditions due to their not recent acquisition. In addition, the adoption
of a valuation criterion at current values allows a more significant representation of the financial position since it allows to represent the value of
the real estate assets assuming a single reference date (the date of preparation of the financial statements) thus overcoming the time lag due the
adoption of the cost model which implies the enhancement of the real estate assets at different times (the purchase dates) which are not
homogeneous in terms of market conditions;
a more relevant representation of the Group’s economic dynamics since the adoption of a criterion at current values allows to represent the
changes in value at the moment in which they arise, in compliance with the objectives of active management of the initiatives mentioned above. In
this way, the recognition of capital gains and losses is not deferred at the time of sale of the real estate assets and is not influenced by the
difference between market value (embedded in sale price) and cost which, as mentioned, may no longer be meaningful when the acquisition of
real estate assets did not take place recently.
In substance, the change in the valuation criterion of properties determines both a higher alignment of the financial information with the strategies of
the real estate asset management provided by the Team 23 strategic plan and a more reliable, relevant and immediate representation of the
economic substance, and the related accounting impacts, of the actions that will be taken.
The representation of voluntary changes in accounting principles (accounting policies) is regulated by IAS8 which establishes, as a general rule, that
these changes have to be represented retrospectively starting from the most remote date when this is feasible.
This means that, based on the general principle, at the date on which the change takes place, the opening balances of the comparative year and the
data of that year shown in the financial statements and in the notes must be restated.
However, this general rule allows for exceptions. In fact IAS8 (paragraph 17) establishes that for the purposes of the valuation of the property, plant
and machinery, regulated by IAS16, the transition from the cost model to the revaluation model must be represented as a normal application in
continuity of the revaluation mode. As a result the revaluation model has been applied prospectively and not retrospectively as required by the
general principle reported in IAS8 without making any adjustment of the opening balances of the comparative year and of the comparative data, nor
of the interim financial statements prior to the date of the change.
Consequently, for the properties used in business, ruled by IAS16, the transition from a cost valuation to a valuation at current values, required the
determination of the related fair value at 31 December 2019.
The differences between this value and the previous value determined by applying the "cost" criterion are recognised:
if negative, in the income statement,
if positive, in the other comprehensive income statement, and accumulated in equity under the item revaluation reserve, unless impairment was
accounted for on that asset; in this case the positive differences between fair value and book value are recognised in the income statement.
As the change in the evaluation criterion took place at the end of the year, the calculation of the depreciation for the 2019 financial year was made
with the previous cost model.
From 2020 on, properties used in business, measured according to IAS16 revaluation model, will continue to be depreciated over their useful life.
Unlike what is envisaged for used in business properties, IAS8 does not mention investments properties among the assets for which a deviation
from the retroactive application rule for the change in standards is envisaged.
As a result, except for cases where it is not feasible to determine the related effects, it was decided to apply the change in accounting principle
retrospectively.
UniCredit ·2019 Annual Report and Accounts 131
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
This has determined:
the book value of the land and properties held for investment as at 1 January 2018 adjusted to their fair value with the recognition of the difference
in retained earnings (item Reserves), which can be used to cover losses and are included in the calculation of CET1 ratio;
the measurement at fair value, in place of depreciation and impairment recognition, accounting for in the income statement of the positive and
negative differences, both in 2018 and in 2019, a circumstance that led to the restatement of the comparative data as at 31 December 2018.
Starting from 2020, properties held for investment will continue to be measured at fair value with recognition of the differences in the income
statement and will no longer be subject to depreciation and/or impairment.
With reference to the methods for determining the market value (fair value), it should be noted that this value was determined through the use of
independent expert evaluators through the preparation of specific appraisals.
These appraisals, based on the relevance of the single real estate item, consisted of:
"full/on site" appraisals based on a physical inspection of the property by the expert; or
"desktop" appraisals based on an assessment conducted without carrying out a physical inspection of the real estate property and, therefore,
based on reference market values.
For the preparation of the appraisals relating to the properties, the rents, the sale prices, the discount rates and the capitalisation rates of the
properties that compose the Group's portfolio were estimated. More specifically, to determine fair value, the Group alternatively uses, depending on
properties features and appraisal type, the so-called Market Comparable Approach taking into consideration the prices observable in the market for
comparable transactions or the Income Approach based on the present value of the rent.
At the date of initial application of the change in the valuation criterion, 100% of the properties belonging to the Group were appraised with a
percentage of coverage with "full/on site" appraisals of over 75% of their market value.
Impacts deriving from the change in the valuation criterion for tangible assets
In the consolidated financial statements as at 31 December 2019, the change in the valuation criterion of the properties resulted in an overall
positive balance sheet effect of €3.008 million gross of tax effect as detailed below:
for properties used in business, the recognition of a revaluation of €2,090 million gross of tax effect (€1,445 million net of the tax effect). This
value, net of deferred tax, equal to €645 million was attributed to a specific valuation reserve in the equity. In addition to this higher value, net
losses for -€188 million were recognised in the income statement gross of the tax effect;
for properties held for investment an overall revaluation in the equity equal to €837 million gross of the tax effect (€583 million net of the tax effect)
composed as follows:
- recognition of a revaluation of €511 million gross of tax effect (€352 million net of the tax effect) as a re-exposure of the opening balances of
equity as at 1 January 2018 (as a reserve from the first application of the new accounting principle). This value, net of the related tax effect, was
attributed to a specific reserve in the equity as at 1 January 2018;
- restatement of retained earnings reserves relating to 31 December 2018 as a consequence of changes in the fair value of properties during the
previous year and the fact that properties held for investment are no longer subject to depreciation, for an amount equal to €326 million gross of
the tax effect (€231 million net of the tax effect).
still with regard to properties held for investment, during 2019 it has been recognised an income statement result equal to €269 million gross of the
tax effect.
This change in measurement criteria has determined an effect equal to +58bps in CET1.
It should be noted that the amounts exposed above take into account the activities aimed at rationalising and managing the real estate portfolio that
determined an overall result in the Group’s equity as at 31 December 2019 of €703 million (gross of the tax effect); for further information about the
income statement effect of strategic deals, refer to Part C - Consolidated income statement - Section 20 - Gains (Losses) on disposals on
investments - Items 280 of Consolidated income statement of the Notes to the consolidated accounts.
132 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
The following tables summarise the effects on the balance sheet assets and liabilities as at 1 January and 31 December 2018 as well as the
changes in the income statement for the year ended at that date following the retrospective application of the change in the evaluation criterion of
the properties held for investment:
Consolidated balance sheet
ASSETS
10. Cash and cash balances
20. Financial assets at fair value through profit or loss:
a) financial assets held for trading
b) financial assets designated at fair value
c) other financial assets mandatorily at fair value
30. Financial assets at fair value through other comprehensive income
40. Financial assets at amortised cost:
a) loans and advances to banks
b) loans and advances to customers
50. Hedging derivatives
60. Changes in fair value of portfolio hedged items (+/-)
70. Equity investments
80. Insurance reserves charged to reinsurers
90. Property, plant and equipment
100. Intangible assets
of which: goodwill
110. Tax assets:
a) current
b) deferred
120. Non-current assets and disposal groups classified as held for sale
130. Other assets
Total assets
LIABILITIES AND SHAREHOLDERS' EQUITY
10. Financial liabilities at amortised cost:
a) deposits from banks
b) deposits from customers
c) debt securities in issue
20. Financial liabilities held for trading
30. Financial liabilities designated at fair value
40. Hedging derivatives
50. Value adjustment of hedged financial liabilities (+/-)
60. Tax liabilities:
a) current
b) deferred
70. Liabilities associated with assets classified as held for sale
80. Other liabilities
90. Provision for employee severance pay
100. Provisions for risks and charges:
a) committments and guarantees given
b) post-retirement benefit obligations
c) other provisions for risks and charges
110. Technical reserves
120. Valuation reserves
130. Redeemable shares
140. Equity instruments
150. Reserves
160. Share premium
170. Share capital
180. Treasury shares (-)
190. Minority shareholders' equity (+/-)
200. Profit (Loss) of the year (+/-)
Total liabilities and shareholders' equity
Note:
(*) It should be noted that amounts presented take into account effects coming from IFRS9 standard introduction.
01.01.2018(*)
64,493
101,810
74,666
-
27,144
100,636
519,901
71,134
448,766
3,431
2,601
6,212
-
8,624
3,385
1,484
12,849
2,042
10,806
1,111
8,800
833,853
01.01.2018(*)
684,190
123,234
462,895
98,061
51,100
8,302
3,568
3,047
1,108
644
464
185
14,809
917
9,741
1,090
4,522
4,129
-
(4,651)
-
4,610
16,293
13,400
20,881
(3)
884
5,473
833,853
DELTA
-
-
-
-
-
-
-
-
-
-
-
-
-
415
-
-
(88)
-
(88)
96
-
422
DELTA
-
-
-
-
-
-
-
-
71
-
71
-
-
-
-
-
-
-
-
-
-
-
334
-
-
-
18
-
422
(€ million)
01.01.2018
RECASTED
64,493
101,810
74,666
-
27,144
100,636
519,901
71,134
448,766
3,431
2,601
6,212
-
9,038
3,385
1,484
12,761
2,042
10,719
1,206
8,800
834,276
(€ million)
01.01.2018
RECASTED
684,190
123,234
462,895
98,061
51,100
8,302
3,568
3,047
1,179
644
535
185
14,809
917
9,741
1,090
4,522
4,129
-
(4,651)
-
4,610
16,627
13,400
20,881
(3)
902
5,473
834,276
UniCredit ·2019 Annual Report and Accounts 133
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
Consolidated balance sheet
ASSETS
10. Cash and cash balances
20. Financial assets at fair value through profit or loss:
a) financial assets held for trading
b) financial assets designated at fair value
c) other financial assets mandatorily at fair value
30. Financial assets at fair value through other comprehensive income
40. Financial assets at amortised cost:
a) loans and advances to banks
b) loans and advances to customers
50. Hedging derivatives
60. Changes in fair value of portfolio hedged items (+/-)
70. Equity investments
80. Insurance reserves charged to reinsurers
90. Property, plant and equipment
100. Intangible assets
of which: goodwill
110. Tax assets:
a) current
b) deferred
120. Non-current assets and disposal groups classified as held for sale
130. Other assets
Total assets
LIABILITIES AND SHAREHOLDERS' EQUITY
10. Financial liabilities at amortised cost:
a) deposits from banks
b) deposits from customers
c) debt securities in issue
20. Financial liabilities held for trading
30. Financial liabilities designated at fair value
40. Hedging derivatives
50. Value adjustment of hedged financial liabilities (+/-)
60. Tax liabilities:
a) current
b) deferred
70. Liabilities associated with assets classified as held for sale
80. Other liabilities
90. Provision for employee severance pay
100. Provisions for risks and charges:
a) committments and guarantees given
b) post-retirement benefit obligations
c) other provisions for risks and charges
110. Technical reserves
120. Valuation reserves
130. Redeemable shares
140. Equity instruments
150. Reserves
160. Share premium
170. Share capital
180. Treasury shares (-)
190. Minority shareholders' equity (+/-)
200. Profit (Loss) of the year (+/-)
Total liabilities and shareholders' equity
134 2019 Annual Report and Accounts · UniCredit
12.31.2018
30,991
86,137
65,231
-
20,906
88,280
579,311
73,643
505,668
4,682
2,439
5,502
-
8,408
3,507
1,484
13,078
1,032
12,046
1,800
7,334
831,469
12.31.2018
686,036
125,895
478,988
81,153
43,111
9,318
6,032
3,230
825
402
423
540
13,950
698
10,961
1,140
4,767
5,054
-
(7,488)
-
4,610
20,503
13,393
20,940
(9)
927
3,892
831,469
DELTA
-
-
-
-
-
-
-
-
-
-
-
-
-
396
-
-
(133)
-
(133)
441
-
703
DELTA
-
-
-
-
-
-
-
-
121
-
121
-
-
-
-
-
-
-
-
-
-
-
334
-
-
-
34
215
703
(€ million)
12.31.2018
RECASTED
30,991
86,137
65,231
-
20,906
88,280
579,311
73,643
505,668
4,682
2,439
5,502
-
8,804
3,507
1,484
12,944
1,032
11,912
2,241
7,334
832,172
(€ million)
12.31.2018
RECASTED
686,036
125,895
478,988
81,153
43,111
9,318
6,032
3,230
946
402
544
540
13,950
698
10,961
1,140
4,767
5,054
-
(7,488)
-
4,610
20,836
13,393
20,940
(9)
961
4,107
832,172
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
Consolidated income statement
ITEMS
10. Interest income and similar revenues
of which: interest income calculated with the effective interest method
20. Interest expenses and similar charges
30. Net interest margin
40. Fees and commissions income
50. Fees and commissions expenses
60. Net fees and commissions
70. Dividend income and similar revenues
80. Net gains (losses) on trading
90. Net gains (losses) on hedge accounting
100. Gains (Losses) on disposal and repurchase of:
a) financial assets at amortised cost
b) financial assets at fair value through other comprehensive income
c) financial liabilities
110. Net gains (losses) on other financial assets/liabilities at fair value through profit or
loss:
a) financial assets/liabilities designated at fair value
b) other financial assets mandatorily at fair value
120. Operating income
130. Net losses/recoveries on credit impairment relating to:
a) financial assets at amortised cost
b) financial assets at fair value through other comprehensive income
140. Gains/Losses from contractual changes with no cancellations
150. Net profit from financial activities
160. Net premiums
170. Other net insurance income/expenses
180. Net profit from financial and insurance activities
190. Administrative expenses:
a) staff costs
b) other administrative expenses
200. Net provisions for risks and charges:
a) commitments and financial guarantees given
b) other net provisions
210. Net value adjustments/write-backs on property, plant and equipment
220. Net value adjustments/write-backs on intangible assets
230. Other operating expenses/income
240. Operating costs
250. Gains (Losses) of equity investments
260. Net gains (losses) on property, plant and equipment and intangible assets
measured at fair value
270. Goodwill impairment
280. Gains (Losses) on disposals on investments
290. Profit (Loss) before tax from continuing operations
300. Tax expenses (income) of the year from continuing operations
310. Profit (Loss) after tax from continuing operations
320. Profit (Loss) after tax from discontinued operations
330. Profit (Loss) of the year
340. Minority profit (loss) of the year
350. Parent Company's profit (loss) of the year
12.31.2018
15,220
12,989
(4,367)
10,853
8,165
(1,295)
6,870
413
417
17
308
129
176
3
289
411
(122)
19,167
(2,681)
(2,662)
(19)
(3)
16,483
-
-
16,483
(11,489)
(6,437)
(5,052)
(1,523)
(19)
(1,504)
(606)
(425)
1,018
(13,025)
(97)
1
-
231
3,593
502
4,095
14
4,109
(216)
3,892
(€ million)
12.31.2018
RECASTED(*)
15,220
12,989
(4,367)
10,853
8,165
(1,295)
6,870
413
417
17
308
129
176
3
289
411
(122)
19,167
(2,681)
(2,662)
(19)
(3)
16,483
-
-
16,483
(11,489)
(6,437)
(5,052)
(1,523)
(19)
(1,504)
(639)
(425)
1,018
(13,057)
(97)
417
-
174
3,920
407
4,327
14
4,340
(233)
4,107
DELTA
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
(32)
-
-
(32)
-
416
-
(58)
326
(95)
231
-
231
(16)
215
Note:
(*) It should be noted that amounts presented do not take into account recasting of values coming from Fineco disposal and that, as a result, these amounts are different from those exposed in the Consolidated income
statement as at 31 December 2018.
UniCredit ·2019 Annual Report and Accounts 135
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
For sake of completeness, it should be noted that tangible assets other than real estate, real estate items accounted for in accordance with IAS2
(Inventories) and investment properties (IAS40) under construction have not been subject to modification of the evaluation criteria.
Real estate risk and Sensitivity analysis
The change in the valuation criterion of properties at current values implies a possible risk of volatility as well as an increase of the so-called real
estate risk (for the description of which see the Part E of the Notes to the consolidated accounts - Other risk included in the Economic Capital).
By reference to the real estate units held as at 31 December 2019 and their corresponding market value overall equal to €5,973 million, has been
estimated a sensitivity to the increase/decrease in real estate values of +/-1% equal to approximately €59.7 million corresponding to approximately
+/-2 basis point of CET ratio.
As at 31 December 2019, the European Commission endorsed the following changes to the Accounting principles applicable to reporting, which
entered into force on or after 1 January 2020:
Amendments to references to the Conceptual Frameworks in IFRS standards (March 2018).
Strengthening the rundown strategy for Non Core perimeter
It should be noted that, in line with the basis underlying the 2020-2023 Strategic Plan, in December 2019 the Boards of Directors of UniCredit S.p.A.
and of the subsidiary UniCredit Leasing S.p.A. took important decisions by introducing a series of management initiatives and actions for the
implementation and strengthening of the rundown strategy of the Non Core perimeter, with the aim of ensuring the complete runoff of the related
credit exposures within the year 2021. This change led, at 31 December 2019, to a change in the parameters used to estimate the recovery values
of credit exposures to customers, which, pursuant to IAS8, qualifies as "change in accounting estimate", since the measurement basis of the loans
has not been modified.
Detailed information on the effects of this change is provided as required by IAS8 in Part E - Information on risks and hedging policies - Section 1 -
Credit risk, under the table “A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values)”.
Sustainability test for the booking of the Deferred Tax Assets for the carry-forward of unused tax losses - time length
used to assess the future taxable incomes
With reference to the Italian Group Tax perimeter, the sustainability test for both IRES and IRAP has been developed on a 10 years-time length,
lengthening the forecast interval compared to 5 years used in previous years, since it is considered more appropriate based on the following
considerations:
the implementation of 2019 Transform Plan, completed in line with expectations, through which UniCredit has demonstrated its forward-looking
ability, also confirming the underlying assumption of the sustainability of positive long-term results (for a detailed description of the objectives
achieved in the Transform 2019 can be found in the Consolidated report on operations - Group results - Main results and performance for the
period);
the approval of Team23 on 2 December 2019, which including, among others, non-recurring elements such as the updating of the rundown
strategy of the Non-Core portfolio by 2021, as well as the completion of the operational reorganization (including extraordinary operations already
carried out or planned in the plan horizon), allows to assume the stability of future operating results and the definition of a context of greater
reliability of forecasts (for a detailed description of the objectives of Team23, see the Consolidated report on operations - Group Results - Main
Results and performance for the period).
In addition to the reasons outlined above, the choice relating to a 10 years-time length also derives: (i) from the presence of tax legislation that does
not set time limits for recovery but on the other hand (ii) also by the need to limit the uncertainty deriving from an excessive lengthening of the time
period; therefore, based on mentioned explanations, the 10 years-time length is appropriate for assessing the generation of future taxable income
that will allow the recognition of unreported tax losses, which is expected to reduce future tax charges.
This time length includes also a period subsequent to the official forecasts contained in the new Strategic Plan Team 23, therefore, also considering
ESMA recommendation issued on 15 July 2019, the new sustainability test for the determination of future taxable incomes envisages:
a deterministic approach for the years for which official projections are available (i.e. the period 2020-2023);
a statistical approach for the years beyond official projections (2024-2029).
For more information, refer to the Company Financial Statements - Notes to the Accounts - Part B - Information on the Balance sheet assets -
Section 10 Tax assets and tax liabilities.
136 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
Interbank Offered Rates (IBORs) transition
A comprehensive reference rates reform is currently taking place following the concerns raised in recent years about the integrity and reliability of
major financial market benchmarks. In order to assess the relevant risks associated with the global benchmark reforms mandated by the Financial
Stability Board (FSB), and taking appropriate actions to ensure an adequate transition to alternative or reformed benchmark rates ahead of the
deadline of the end of 2021 specified in the revised EU Benchmark Regulation BMR, UniCredit Group launched in October 2018 a Group wide
project in order to manage the IBORs discontinuation.
Accordingly, a multiyear roadmap has been defined based on both Group Exposure (mainly focused on Euro) and transition timeline. The project
governance involves the main internal stakeholders, both at Group and at main Legal Entities level. The program is also monitored by ECB as
Regulator for the Holding Company, and progresses are shared with the Group top management.
In 2019, UniCredit has ensured compliance, for EURIBOR and €STR/Eonia outstanding contracts, to the following main market changes:
discontinuation of some EURIBOR tenors and basis, according to the deadline set by European Money Markets Institute - EMMI (3 December
2018 for tenors and 1 April 2019 for Act/365 and 30/360 basis decommissioning);
changes requested by Euribor administrator (EMMI) on contribution process, following its new methodology;
introduction of the new €STR overnight rate (EONIA substitute), which has been published for the first time on 2 October 2019.
Possible uncertainties, involving other IBORs, with timing and/or fallback rules applied to outstanding stock of assets, liability and derivatives
however cannot be excluded.
On this regard, on 15 January 2020 the “Amendments to IFRS9, IAS39 and IFRS7 Interest Rate Benchmark Reform” (the Amendment) have
been endorsed by the European Commission for use in the European Union (EU).
The Amendment solves a potential source of uncertainty on the effects of the Interbank offered rates (IBOR) reform on existing accounting hedge
relationships that are affected by the IBOR reform, clarifying that the reform does not require to terminate such hedge relationships.
The EU effective start date for Amendment is the annual period beginning on or after 1 January 2020. As the earlier adoption is permitted, UniCredit
group has adopted the Amendment with reference to 2019 Financials for its existing hedge accounting relationships involving other IBORs,
whose volume is presented below:
Hedging contracts: notional amount(*)
HEDGING RELATIONSHIP
Fair value
Cash flows
Total
Note:
(*) Double-entry method when relevant.
HEDGED ITEMS
Assets
Liabilities
Assets
Liabilities
LIBOR USD
1,429
17,078
3,121
3,796
25,424
LIBOR OTHER
CURRENCIES
2,037
871
1,239
-
4,147
INDEX
PRIBOR
178
394
6,033
2,650
9,255
OTHER CEE
COUNTRIES
IBORS
3,013
382
631
133
4,159
(€ million)
OTHERS
-
898
-
1,313
2,211
In order to closely follow the developments on IBORs and to proper manage the transition and the discontinuation impacts, UniCredit group will
continuously monitor the market, also attending the European Working Groups, the industry working groups (e.g. International Swaps and
Derivatives Association ISDA) and participating to the relevant public consultations.
As at 31 December 2019 the IASB issued the following standards, amendments, interpretations or revisions, whose application is subject to
completion of the endorsement process by the competent bodies of the European Commission, which is still ongoing:
IFRS17: Insurance Contracts (May 2017);
Amendments to IFRS3: Business combination (October 2018);
Amendments to IAS1 and IAS8: Definition of Material (October 2018);
Amendments to IFRS9, IAS39 e IFRS7: Interest Rate Benchmark Reform (September 2019).
UniCredit ·2019 Annual Report and Accounts 137
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
Except for the IFRS 9, IAS 39 and IFRS 7 amendments, the Group did not anticipate the application of the new standards, amendments, and
interpretations adopted by the European Union, when the application in 2019 was optional.
***
The Company and the Consolidated financial statements of UniCredit as at 31 December 2019 are audited by Deloitte & Touche S.p.A. pursuant to
Legislative Decree No.39 of 27 January 2010 and to the resolution passed by the Shareholders’ Meeting on 11 May 2012.
UniCredit group prepared and published within the time limits set by law and pursuant to the requirements of Consob, the Consolidated first half
financial report as at 30 June 2019, subject to limited scope audit, as well as the Consolidated interim reports as at 31 March and 30 September
2019, both as press releases.
The Company and the Consolidated Group financial statements as at 31 December 2019 have been approved by the Board of Directors’ Meeting of
5 February 2020, which authorised its disclosure to the public, also pursuant to IAS10.
The whole document is filed in the competent offices and entities as required by law.
A.2 - Main items of the accounts
1 - Financial assets at fair value through profit or loss
a) Financial assets held for trading
A financial asset is s classified as held for trading if it is:
acquired or incurred principally for the purpose of selling or repurchasing it in the short term;
part of a portfolio of identified financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-
term profit-taking;
it is a derivative contract not designated under hedge accounting, including derivatives with positive fair value embedded in financial liabilities
other than those valued at fair value with recognition of income effects through profit or loss.
Like other financial instruments, on initial recognition, at settlement date, a held-for-trading financial asset is measured at its fair value, usually equal
to the amount paid, excluding transaction costs and income, which are recognised in profit and loss even when directly attributable to the financial
assets. Held for Trading are recognised at trade date.
After initial recognition these financial assets are measured at their fair value through profit or loss.
A gain or loss arising from sale or redemption or a change in the fair value of a held for trading financial asset is recognised in income statement in
item “80. Net gains (losses) on trading”, including gains or losses related to derivative contracts that are linked to assets and/or liabilities designated
at fair value and other financial assets mandatorily at fair value. If the fair value of a financial instrument falls below zero, which may happen with
derivative contracts, it is recognised in item “20. Financial liabilities held for trading”.
A derivative is a financial instrument or other contract that has all three of the following characteristics:
its value changes in response to the change in a specified interest rate, financial instrument price, commodity price, foreign exchange rate, index
of prices or rates, credit rating or credit index, or other variable (usually called the “underlying”) provided that in case of non-financial variable, this
is not specific of one of the parties to the contract;
it requires no initial net investment or an initial net investment that is smaller than would be required for other types of contracts that would be
expected to have a similar response to changes in market factors;
it is settled at a future date.
An embedded derivative is a component of a hybrid (combined) instrument that also includes a non-derivative host contract, with the effect that
some of the cash flows of the combined instrument vary in a way similar to a stand-alone derivative.
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An embedded derivative is separated from financial liabilities other than those measured at fair value through profit or loss and from non-financial
instruments, and is recognised as a derivative, if:
the economic characteristics and risks of the embedded derivative are not closely relating to those of the host contract;
a separate instrument with the same terms as the embedded derivative would meet the definition of a derivative; and
the hybrid (combined) instrument is not measured entirely at fair value through profit or loss.
When an embedded derivative is separated, the host contract is accounted for according to its accounting classification.
b) Financial assets designated at fair value through profit or loss
A non-derivative financial asset can be designated at fair value if the abovementioned designation avoids accounting mismatches that arise from
measuring assets and associated liabilities according to different measurement criteria.
These assets are accounted for alike “Financial assets held for trading” however gains and losses, whether realised or unrealised, are recognised in
item “110. Gains (Losses) on financial assets/liabilities at fair value through profit or loss - a) financial assets/liabilities designated at fair value”; such
item also includes changes in fair value on “financial liabilities designated at fair value” linked to own credit risk, if such a designation creates or
increases an accounting mismatch in income statement according to IFRS9.
c) Other financial assets mandatorily at fair value
A financial asset is classified as financial asset mandatorily at fair value if it does not meet the conditions, in terms of business model or cash flow
characteristics, for being measured at amortised cost or at fair value through other comprehensive income.
Specifically, the following assets have been classified in this portfolio:
debt instruments, securities and loans for which the business model is neither held to collect nor held to collect and sell but which are not part of
the Trading book;
debt instruments, securities and loans with cash flows that are not solely payment of principal and interest;
units in investment funds;
equity instruments not held for trading for which the Group does not apply the option granted by the standard of valuing these instruments at fair
value through other comprehensive income.
These assets are accounted for alike “Financial assets held for trading”, however gains and losses, whether realised or unrealised, are recognised in
item “110. Gains (Losses) on financial assets/liabilities at fair value through profit or loss - b) Other financial assets mandatorily at fair value”.
2 - Financial assets at fair value through other comprehensive income
A financial asset is classified at fair value through other comprehensive income if:
its business model is held to collect and sell;
its cash flows are solely the payment of principal and interest.
This category also includes equity instruments not held for trading for which the Group applies the option granted by the standard of valuing the
instruments at fair value through other comprehensive income.
On initial recognition, at settlement date, a financial assets is measured at fair value, which is usually equal to the consideration paid, plus
transaction costs and revenues directly attributable to the instrument.
After initial recognition, the interests accrued on interest-bearing instruments are recorded in the income statement according to the amortised cost
criterion in item “10. Interest income and similar revenues” if positive, or in item “20. Interest expenses and similar charges” if negative.
The gains and losses arising from changes in fair value are recognised in the Statement of other comprehensive income and reported under item
“120. Valuation reserves” in shareholders' equity.
These instruments are tested for impairment as illustrated in the specific section 16 - Other Information - Impairment.
Impairment losses are recorded in the income statement in item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at
fair value through other comprehensive income” with contra-entry in the statement of other comprehensive income and also reported under item
“120. Valuation reserves” in shareholders' equity.
In the event of disposal, the accumulated profits and losses are recorded in the income statement in item “100. Gains (Losses) on disposal and
repurchase of: b) financial assets at fair value through other comprehensive income”.
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Amounts deriving from financial assets carrying amount adjustment, gross of cumulated write-downs, in order to reflect modifications on contractual
cash flows that do not give rise to accounting derecognition, are recognised in Income statement in item “140. Gains/Losses from contractual
changes with no cancellations”; such line does not include the impact of contractual modifications on the amount of expected loss recognised in item
“130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income”.
Such item can also include on-balance credit exposures which are already non-performing on initial recognition. These exposures are qualified as
“Purchased Originated Credit Impaired - POCI”.
The amortised cost and the interest income generated by these assets are calculated by considering, in the estimate of future cash flows, the
expected credit losses over the entire residual duration of the asset.
This expected credit loss is subject to periodic review thus determining the recognition of impairment or write-backs.
For further information on "Purchased Originated Credit Impaired” assets see Part E - Section 1 - Credit risk (Company financial statements). Same
information is also provided in Part E - Section 2 - Risks of the prudential consolidated - 2.1 Credit risk.
With regard to equity instruments, the gains and losses arising from changes in fair value are recognised in the Statement of other comprehensive
income and reported under item “120. Valuation reserves” in shareholders' equity.
In the event of disposal, the accumulated profits and losses are recorded in item “150. Reserves”.
In accordance with the provisions of IFRS9, no impairment losses on equity instruments are recognised in the income statement. Only dividends are
recognised in Income statement within item “70. Dividend income and similar revenues”.
3 - Financial assets at amortised cost
A financial asset, loan or debt securities, is classified as financial asset measured at amortised cost if:
its business model is held to collect;
its cash flows are solely the payment of principal and interest.
These items also include the net value of finance leases of assets under construction or awaiting lease, provided the leases have the characteristics
of contracts entailing the transfer of risk.
On initial recognition, at settlement date, financial assets at amortised cost are measured at fair value, which is usually equal to the consideration
paid, plus transaction costs and income directly attributable to the instrument.
After initial recognition at fair value, these assets are measured at amortised cost which requires the recognition of interest on an accrual basis by
using the effective interest rate method over the term of the loan. Such interest is recognised in item “10. Interest income and similar revenues” if
positive or in item “20. Interest expenses and similar charges” if negative.
The amount of financial assets at amortised cost is adjusted in order to take into account impairment losses arising from valuation process as
illustrated in the specific section 16 - Other information - Impairment.
Impairment losses are recorded in the income statement, in item “130. Net losses/recoveries on credit impairment relating to: a) financial assets at
amortised cost”.
In the event of disposal, the accumulated profits and losses are recorded in the income statement in item “100. Gains (Losses) on disposal and
repurchase of: a) financial assets at amortised cost”.
Amounts deriving from financial assets carrying amount adjustment, gross of cumulated write-downs, in order to reflect modifications on contractual
cash flows that do not give rise to accounting derecognition, are recognised in Income statement in item “140. Gains/Losses from contractual
changes with no cancellations”; such line does not include the impact of contractual modifications on the amount of expected loss recognised in item
“130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost”.
Such item can also include on-balance credit exposures which are already non-performing on initial recognition. These exposures are qualified as
“Purchased Originated Credit Impaired - POCI”.
The amortised cost and the interest income generated by these assets are calculated by considering, in the estimate of future cash flows, the
expected credit losses over the entire residual duration of the asset.
This expected credit loss is subject to periodic review thus determining the recognition of impairment or write-backs.
For further information on "Purchased Originated Credit Impaired” assets see Part E - Section 1 - Credit risk (Company financial statements). Same
information is also provided in Part E - Section 2 - Risks of the prudential consolidated perimeter - 2.1 Credit risk.
Following the decisions taken in December 2019 by the respective Boards of Directors - referring to the introduction of a series of management
initiatives and actions for the implementation and strengthening of the rundown strategy of the Non Core perimeter, with the aim of ensuring the
complete runoff of the related credit exposures within the year 2021 - UniCredit S.p.A. and the subsidiary UniCredit Leasing S.p.A. modified the
parameters used to estimate the recoverable amount of their credit exposures to customers. Accordingly with IAS8, this change qualifies as a
“change in accounting estimates”, since the measurement basis of the loans has not been modified.
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Detailed information on the effects of this change is provided as required by IAS8 in Part E - Information on risks and hedging policies - Section 1 -
Credit risk, under the table “A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values)”.
4 - Hedge accounting
Hedging instruments are created to hedge market (interest-rate, currency and price) and/or credit risk to which the hedged positions are exposed.
They may be described as follows:
fair value hedge: a hedge of the exposure to changes in fair value of a recognised asset or liability, or an identifiable portion of such an asset or
liability;
cash flow hedge: a hedge of the exposure to variability in cash flows that is attributable to a particular risk associated with a recognised asset or
liability or a highly probable forecast transaction which could affect profit or loss in future periods;
hedge of a net investment in a foreign entity, whose operations are based or conducted in a currency other than euro.
It should be noted that the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging
relationships until the IASB completes the project on accounting for macro-hedging.
Hedging derivatives are initially recognised on trade date and are valued at their fair value.
A hedging relationship qualifies for hedge accounting if there is formal designation and documentation of the hedging relationship including the risk
management objective, the strategy for undertaking the hedge, and how the hedging instrument’s prospective and retrospective effectiveness will be
assessed. It is necessary to assess the hedge’s effectiveness, at inception and in subsequent periods, in offsetting the exposure to changes in the
hedged item’s fair value or cash flows attributable to the hedged risk.
Generally a hedge is regarded as highly effective if, at the inception of the hedge and in subsequent periods, it is determined prospectively to remain
highly effective, and retrospectively verified that the hedge ratio (i.e. the changes in fair value of hedged items and hedging instruments) is within a
range of 80-125%. The hedge is assessed on an ongoing basis and thus must prospectively remain highly effective throughout the financial
reporting periods for which the hedge has been designated.
The assessment of effectiveness is made at each balance-sheet date or other reporting date.
If the assessment does not confirm the effectiveness of the hedge, from that time on hedge accounting is discontinued in respect of the hedge and
the hedging derivative is reclassified as a held-for-trading instrument.
In addition, the hedging relationship ceases when (i) the hedging instrument expires or is sold, terminated or exercised, (ii) the hedged item is sold,
expires or is repaid, (iii) it is no longer highly probable that the forecast transaction will occur.
Hedging instruments are so designated when identifiable with an ultimate counterparty outside the Group.
Hedging derivatives are measured at fair value. Specifically:
fair value hedging, an effective fair value hedge is accounted for as follows: the gain or loss from remeasuring the hedging instrument at fair
value is recognised through profit or loss in item “90. Net gains (losses) on hedge accounting”; the gain or loss on the hedged item attributable to
the hedged risk adjusts the carrying amount of the hedged item and is recognised through profit or loss in the same item. Hedging ineffectiveness
is represented by the difference between the change in the fair value of hedging instruments and the change in the fair value of hedged item. If the
hedging relationship is terminated for reasons other than the sale of the hedged item, the difference between the carrying amount of the hedged
item on termination of the hedging and the carrying amount it would have had if the hedge had never existed, is recognised through profit or loss in
interest receivable or payable over the residual life of the original hedge, in the case of interest-bearing instruments; if the financial instrument does
not bear interest, the difference is recognised in profit or loss under item “90. Net gains (losses) on hedge accounting” at once. If the hedged item
is sold or repaid, the portion of fair value which is still unamortised is at once recognised through profit or loss in item “100. Gains (Losses) on
disposal and repurchase”;
cash flow hedging, hedging instruments are valued at fair value. Change in the fair value of a hedging instrument that is considered effective is
recognised in equity item “120. Valuation reserves”. The ineffective portion of the gain or loss is recognised through profit or loss in item “90. Net
gains (losses) on hedge accounting”. If a cash flow hedge is determined to be no longer effective or the hedging relationship is terminated, the
cumulative gain or loss on the hedging instrument that remains recognised in revaluation reserves from the period when the hedge was effective
remains separately recognised in revaluation reserves until the forecast hedged transaction occurs or is determined to be no longer possible; in
the latter case gains or losses are transferred through profit or loss to item “90. Net gains (losses) on hedge accounting “.
The fair value changes are recorded in the Statement of Other Comprehensive Income and disclosed in item “120. Valuation reserves";
hedging a net investment in a foreign entity, hedges of a net investment in a foreign entity whose activities are based or conducted in a country
or currency other than those of the reporting entity are accounted for similarly to cash flow hedges. The gain or loss on the hedging instrument
relating to the effective portion of the hedge that has been recognised directly in equity is recognised through profit or loss on disposal of the
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foreign entity. The fair value changes are recorded in the Statement of comprehensive income and disclosed in item “120. Valuation reserves "; the
ineffective portion of the gain or loss is recognised through profit or loss in item “90. Net gains (losses) on hedge accounting”;
macro-hedges of financial assets (liabilities) - IAS39 allows a fair-value item hedged against interest rate fluctuations to be not only a single
asset or liability but also a monetary position contained in a number of financial assets or liabilities (or parts of them); accordingly, a group of
derivatives can be used to offset fair-value fluctuations in hedged items due to changes in market rates. Macro-hedging may not be used for net
positions resulting from the offsetting of assets and liabilities. As for fair value micro-hedging, macrohedging is considered highly effective if, at the
inception of the hedge and in subsequent periods, changes in the fair value attributable to the hedged position are offset by changes in fair value
of the hedging instrument and if the hedge ratio is retrospectively assessed falling within the range of 80-125%. Net changes, gains or losses, in
the fair value of the macro-hedged assets and liabilities attributable to the hedged risk are recognised in asset item “60. Changes in fair value of
portfolio hedged items (+/-)” or liability item “50. Value adjustment of hedged financial liabilities (+/-)”, respectively and offset the profit and loss
item “90. Net gains (losses) on hedge accounting “.
The ineffectiveness of the hedging arises to the extent that the change in the fair value of the hedging item differs from the change in the fair value
of the hedged monetary position. The extent of hedge ineffectiveness is in any case recognised in profit and loss item “90. Net gains (losses) on
hedge accounting”.
If the hedging relationship is terminated, for reasons other than the sale of the hedged items, cumulative gain or loss in items “60. Changes in fair
value of portfolio hedged items (+/-)” or liability item “50. Value adjustment of hedged financial liabilities (+/-)” is recognised through profit or loss in
items “10. Interest income and similar revenues” or “20. Interest expenses and similar charges”, along the residual life of the hedged financial
assets or liabilities.
If the latter are sold or repaid, unamortised fair value is at once recognised through profit and loss in item “100. Gains (Losses) on disposal and
repurchase”.
5 - Equity investments
The principles governing the recognition and measurement of equity investments under IFRS10 Consolidated financial statements, IAS27 Company
financial statements, IAS28 Investments in associates and joint ventures and IFRS11 Joint Arrangements are provided in detail in Part A.1 -
Section 3 - Consolidation Procedures and Scope, where disclosure on the evaluation processes and key assumptions used to assess the existence
of control, joint control or significant influence in accordance with IFRS12 (paragraphs 7-9) is provided.
The remaining interests other than subsidiaries, associates and joint ventures, and interests recognised in items “120. Non-current assets and
disposal groups classified as held for sale” and “70. Liabilities associated with assets classified as held for sale” are classified as financial assets at
fair value through other comprehensive income or other financial assets mandatorily at fair value and accordingly accounted.
6 - Property, plant and equipment (Tangible assets)
The item includes:
land;
buildings;
furniture and fixtures;
plant and machinery;
other machinery and equipment;
and is divided between:
assets used in the business;
assets held as investments;
inventories in the scope of IAS2 standard.
This item also includes tangible assets arising from collection of collaterals.
Assets used in the business and Assets held as investments
Assets used in the business are held for use in the production or supply of goods or services or for administrative purposes and are expected to be
used for more than one period. This category also (conventionally) includes assets to be let or under construction and to be leased under a finance
lease, only for those finance leases which provide for retention of risk by the lessor until the acceptance of the asset by the lessee and the start of
rentals under the finance lease.
The item “Property, plant and equipment” includes assets used by the Group as lessee under a lease contract (right of use), or let/hired out by the
Group as lessor under an operating lease.
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Property, plant and equipment also include leasehold improvements relating to assets which can be separately identified. They are classified
according to the specific sub-items relating to the asset type (e.g. plants).
Leasehold improvements are usually borne in order to make leased premises fit for the expected use.
Improvements and additional expenses relating to property, plant and equipment identifiable but not separable are recognised in item “130. Other
assets”.
Assets held for investment purposes are properties covered by IAS40, i.e. properties held (owned or under Alease contract) in order to derive rentals
and/or a capital gain.
Property, plant and equipment are initially recognised at cost including all costs directly attributable to bringing the asset into use (transaction costs,
professional fees, direct transport costs incurred in bringing the asset to the desired location, installation costs and dismantling costs).
Subsequent costs are added to the carrying amount or recognised as a separate asset only when it is probable that there will be future economic
benefits in excess of those initially foreseen and the cost can be reliably measured. Other expenses borne at a later time (e.g. normal maintenance
costs) are recognised in the year they are incurred in profit and loss items:
“190. Administrative expenses: b) other administrative expenses”, if they refer to assets used in the business; or
“230. Other operating expenses/income”, if they refer to property held for investment.
After being recognised as an asset:
buildings and lands used in the business are measured according to revaluation model;
tangible assets used in the business, different from lands and buildings, are measured according to cost model;
buildings and lands held as investments are measured according to fair value model.
Revaluation model requires tangible assets to be exposed in Balance sheet at a value not significantly different from fair value. In this respect,
UniCredit Group requests such assets to be revalued on a half year basis through “desktop” or “on site” appraisals, based on the asset relevance,
performed by external appraisers.
Positive changes in Fair Value are booked in Other Comprehensive Income Statement, item “50. Tangible Assets”, and cumulated in item “120.
Valuation reserves”, unless they offset previous negative changes accounted for in income statement in item “260. Net gains (losses) on property,
plant and equipment and intangible assets measured at fair value”.
Negative changes in Fair Value are booked in income statement in item “260. Net gains (losses) on property, plant and equipment and intangible
assets measured at fair value”, unless they offset previous positive changes accounted for in Other Comprehensive Income Statement, item “50.
Tangible Assets”, and cumulated in item “120. Valuation reserves”.
When the tangible asset is revalued at its Fair Value it is required to adjust both gross carrying amount and cumulated depreciation on the basis of
the net carrying amount revaluation.
Cost model requires the gross carrying amount to be depreciated across its useful life.
Both tangible assets measured according to revaluation model and cost model are subject to straight-line depreciation over their useful life to the
extent they have a finite useful life.
Residual useful life is usually assessed as follows:
buildings
furniture and fixtures
electronic equipment
other
leasehold improvements
up to 50 years;
up to 25 years;
up to 15 years;
up to 10 years;
up to 25 years.
Depreciations are accounted for, period by period, in item “210. Net value adjustments/write-backs on property, plant and equipment”.
An item with an indefinite useful life is not depreciated.
Lands and buildings are recognised separately, even if acquired together. Land is not depreciated since it usually has an indefinite useful life.
Buildings have instead a finite useful life and are therefore subject to depreciation.
The estimate of the useful life of an asset is reviewed at least at each accounting period-end on the basis inter alia of the conditions of use of the
asset, of maintenance conditions and expected obsolescence, and, if expectations differ from previous estimates, the depreciation amount for the
current and subsequent financial years is adjusted accordingly.
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If there is clear evidence that an asset measure according to cost model has been impaired the carrying amount of the asset is compared with its
recoverable value, equal to the greater of its fair value less selling cost and its value in use, i.e., the present value of future cash flow expected to
originate from the asset. Any value adjustment is recognised in profit and loss item “210. Net value adjustments/write-backs on property, plant and
equipment”.
If the value of a previously impaired asset is restored, its increased carrying amount cannot exceed the net carrying amount it would have had if
there had been no losses recognised on the prior-year impairment.
Buildings and land held as investments, including right of use on land and buildings classified as held for investment, are measured according to fair
value model which requires to account for in income statement in item “260. Net gains (losses) on property, plant and equipment and intangible
assets measured at fair value”, changes in fair value. Such assets are not subject to depreciation and impairment test.
An item of property, plant and equipment is derecognised (i) on disposal or (ii) when no future economic benefits are expected from its use or sale in
the future and any difference between sale proceeds or recoverable value and carrying value is recognised in profit and loss item “280. Gains
(losses) on disposals on investments”, “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” or
“210. Net value adjustments/write-backs on property, plant and equipment”, respectively. For tangible assets measured according to revalued
amount, any gain from disposal, including amounts cumulated in item “120. Valuation reserves”, is reclassified to item “150 Reserves” with no
impact in income statement.
Inventories in the scope of IAS2 standard
Inventories are assets held for sale in the ordinary course of business. They are accounted for at the lower of their carrying amounts and net
realizable value.
Any value adjustment arising from the application of the aforementioned criterion is recognised under item “210. Net value adjustments/write-backs
on property, plant and equipment”.
7 - Intangible assets
An intangible asset is an identifiable non-monetary asset without physical substance which is expected to be used for more than one period,
controlled by the Group and from which future economic benefits are probable.
Intangible assets are principally goodwill, software, brands and patents.
This item also includes intangible assets used by the Group as lessee under finance leases or as lessor under operating leases (rental/hire).
Intangible assets other than goodwill are recognised at purchase cost, i.e. including cost incurred to bring the asset into use, less accumulated
amortisation and impairment losses.
In case of internally generated software the expenses incurred to develop the project are recognised under intangible assets only if the following
elements are demonstrated: the technical feasibility of the project, the intention to complete the intangible asset, its future usefulness, the availability
of adequate technical, financial and other resources to complete the development and the ability to measure reliably the expenditure attributable to
the intangible asset during its development.
An intangible asset with a finite life is subject to straight-line amortisation over its estimated useful life.
Residual useful life is usually assessed as follows:
software
other intangible assets
up to 10 years;
up to 20 years.
Intangible assets with an indefinite life are not amortised.
If there is clear evidence that an asset has been impaired, the carrying amount of the asset is compared with its recoverable value, equal to the
greater of its fair value less selling costs and its value in use, i.e. the present value of future cash flows expected to originate from the asset.
Any impairment loss is recognised in profit and loss item “220. Net value adjustments/write-backs on intangible assets”.
For an intangible asset with indefinite life even if there are no indications of impairment, the carrying amount is compared annually with its
recoverable value. If the carrying amount is greater than the recoverable value, the difference is recognised in profit and loss item “220. Net value
adjustments/write-backs on intangible assets”.
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If the value of a previously impaired intangible asset, other than goodwill is restored, its increased carrying amount can not exceed the net carrying
amount it would have had if there were no losses recognised on the prior-years impairment.
An intangible asset is derecognised (i) on disposal or (ii) when no further future economic benefits are expected from its use or sale in the future and
any difference between sale proceeds or recoverable value and carrying value is recognised in the profit and loss item “280. Gains (Losses) on
disposals on investments” or “220. Net value adjustments/write-backs on intangible assets”, respectively.
Goodwill
In accordance with IFRS3, goodwill is the excess of the cost of a business combination over the interest acquired in the net fair value of the assets
and liabilities acquired at the acquisition date.
Goodwill arising from the acquisitions of subsidiaries is recognised as an intangible asset, whereas goodwill arising from the acquisition of
associates is included in the carrying amount of the investments in associates.
At a subsequent financial reporting date, goodwill is recognised net of any cumulative impairment losses and is not amortised.
Goodwill is tested for impairment annually, as for other intangible assets with an indefinite useful life. To this end it is allocated to the Group’s
business areas identified as the Cash Generating Units (CGUs). Goodwill is monitored by the CGUs at the lowest level in the Group in line with its
business model.
Impairment losses on goodwill are recognised in profit and loss item “270. Goodwill impairment”. In respect of goodwill, no write-backs are allowed.
See Notes to the consolidated accounts - Part B - Section 10 Intangible Assets - 10.3 Other information for further information on intangibles,
goodwill, the CGUs and impairment testing for these.
8 - Non-current assets and disposal groups classified as held for sale
These categories include individual assets held for disposal (tangible, intangible and financial assets) or groups of assets held for sale, with the
related liabilities, as required by IFRS5.
Individual assets (or groups of assets held for sale) are recognised in item “120. Non-current assets and disposal groups classified as held for sale”
and item “70. Liabilities associated with assets classified as held for sale”, respectively, at the lower of their carrying amounts and fair values less
costs to sell.
The revaluation reserves relating to non-current assets classified as held for sale, which are recorded as a contra item to changes in value relevant
for this purpose, are reported separately in the Statement of other comprehensive income (see Notes to the consolidated accounts - Part D -
Consolidated other comprehensive income).
The net balance of profits (dividends, interest income, etc.) and losses (interest expense, etc.) attributable to discontinued operations are recognised
in the income statement under item “320. Profit (Loss) after tax from discontinued operations”. Profits and losses attributable to individual assets or
disposal groups, that do not constitute discontinued operations, held for disposal are recognised in the income statement under the appropriate item.
9 - Current and deferred tax
Tax assets and tax liabilities are recognised in the Consolidated balance sheet respectively in item “110. Tax assets” and item “60. Tax liabilities”.
In compliance with the “balance sheet method”, current and deferred tax items are:
current tax assets, i.e. amount of tax paid in excess of income tax due in accordance with local tax regulations;
current tax liabilities, i.e. amount of corporate tax due in accordance with local tax regulations;
deferred tax assets, i.e. amounts of income tax recoverable in future fiscal years and attributable to:
- deductible temporary differences;
- the carryforward of unused tax losses; and
- the carryforward of unused tax credits;
deferred tax liabilities, i.e. the amounts of income tax due in future fiscal years in respect of taxable temporary differences.
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Current and deferred tax assets and tax liabilities are calculated in accordance with local tax regulations and are recognised in profit or loss on an
accrual basis.
In general, deferred tax assets and liabilities arise when there is a difference between the accounting treatment and the tax treatment of the carrying
amount of an asset or liability.
Deferred tax assets and liabilities are recognised applying tax rates that at the balance sheet date are expected to apply in the period when the
carrying amount of the asset will be recovered or the liability will be settled on the basis of tax regulations in force, and are periodically reviewed in
order to reflect any changes in regulations.
In addition, under the tax consolidation system adopted by the Bank deferred tax assets are recognised only to the extent that it is probable that
sufficient taxable profit will be generated by the entity. In accordance with the provisions of IAS12, the probability that sufficient future taxable profit
against which the deferred tax assets can be utilised will be available is reviewed periodically. The carrying amount of deferred tax assets should be
reduced to the extent that it is not probable that sufficient taxable profit will be available.
Current and deferred taxes are recognised in profit and loss item “300. Tax expense (income) for the period from continuing operations”, except for
tax referred to items that in the same or in another fiscal year are credited or charged directly to equity, such as those relating to gains or losses on
financial assets at fair value through other comprehensive income and those relating to changes in the fair value of cash flow hedging instruments,
whose changes in value are recognised, net of tax, directly in the Statement of other comprehensive income - Revaluation reserves.
Current tax assets and liabilities are presented on the Balance sheet net of the related current tax liabilities if the following requirements are met:
existence of a legally enforceable right to offset the amounts recognised; and
the intention to extinguish for the remaining net, or realise the asset and at the same time extinguish the liability.
Deferred tax assets are presented on the Balance sheet net of the related deferred tax liabilities if the following requirements are met:
existence of an enforceable right to offset current tax assets with current tax liabilities; and
the deferred tax assets and liabilities must relate to income taxes applied to the same tax authority on the same taxable entity or on different
taxable entities that intend to settle the current tax liabilities and assets on a net basis (normally in presence of a tax consolidation contract).
10 - Provisions for risks and charges
Commitments and guarantees given
Provisions for risks and charges for commitments and guarantees given are recognised against all revocable and irrevocable commitments and
guarantees whether they are in scope of IFRS9 or IAS37.
The item hosts the estimates of expected loss calculated on these instruments resulting from valuation process as described in Section 16 - Other
Information - Impairment.
The provision of the period is accounted under item “200. Net provisions for risks and charges: a) commitments and financial guarantees given”.
Note that all contracts that require the issuer to make specified payments to reimburse the holder for a loss it incurs because a specified debtor fails
to make payment when due in accordance with the terms of a debt instrument are considered financial guarantees.
Retirement payments and similar obligations
Retirement provisions, i.e. provisions for employee benefits payable after the completion of employment, are defined as contribution plans or
defined-benefit plans according to the nature of the plan.
In detail:
Defined-benefit plans provide a series of benefits depending on factors such as age, years of service and compensation policies. Under this type
of plan actuarial and investment risks are borne by the company;
Defined-contribution plans are plans under which the company makes fixed contributions. Benefits are the result of the amount of contributions
paid and return on contributions invested. The employer bears no actuarial and/or investment risks connected with this type of plans as it has no
legal or implicit obligation to make further contributions, should the plan not be sufficient to provide benefits to all employees.
Defined-benefit plans are present-valued by an external actuary using the Unit Credit Projection method.
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This method distributes the cost of benefits uniformly over the employee’s working life. Obligations are the present value of average future benefits
pro rata to the ratio of years of service to theoretical seniority at the time of benefit payment.
More specifically, the amount recognised according to IAS19 Revised as a net liability/asset in item “100. Provisions for risks and charges: b) post-
retirement benefit obligations” is the present value of the obligation at the balance sheet date, less any pension charges relating to benefits already
provided but not yet recognised, less the fair value at the balance sheet date of plan assets other than those due to directly settle the obligations
adjusted for any effect of limiting a net defined benefit asset to the asset ceiling. Actuarial gains or losses are recorded in the Statement of other
comprehensive income and disclosed in item “120. Valuation reserves”.
The discount rate used to discount obligations (whether financed or not) relating to benefits to be provided after retirement varies according to the
currency of denomination and country where the liabilities are allocated and is determined on the basis of market yield at the balance sheet date of
prime issuers’ bonds (HQCB: High quality corporate bonds) with an average life in keeping with that of the relevant liability.
Other provisions
Provisions for risks and charges are recognised when:
the entity has a present obligation (legal or constructive) as a result of a past event;
it is probable that an outflow of resources embodying economic benefits will be required to settle the obligation;
a reliable estimate can be made of the amount of the obligation.
The amounts recognised as provisions are the best estimate of the expenditure required to settle the present obligation. The risks and uncertainties
that inevitably surround the relevant events and circumstances are taken into account in reaching the best estimate of a provision.
In particular, where the effect of the time value of money is significant, the amount of the provision should be the present value of the best estimate
of the cost required to settle the obligation. The discount rate used reflects the current market assessments.
Provisions are reviewed periodically and adjusted to reflect the current best estimate. If it becomes clear that it is no longer probable that an outflow
of resources embodying economic benefits will be required to settle the obligation, the provision is reversed.
Provisions are used only for expenses for which they were originally recognised. Allocations made in the year are recognised in profit and loss item
“200. Net provisions for risks and charges: b) other net provisions” and include increases due to the passage of time; they are also net of any
reversals.
“Other provisions” also include obligations relating to benefits due to agents, specifically supplementary customer portfolio payments, merit
payments, contractual payments and payments under non-competition agreements, which are measured as per defined benefit plans; accordingly
these obligations are calculated using the Unit Credit Projection method (see previous paragraph Retirement Payments and Similar Obligations).
11 - Financial liabilities measured at amortised cost
Financial liabilities measured at amortised cost comprise financial instruments (other than liabilities held for trading or those designated at fair value)
representing the various forms of third-party funding.
These financial liabilities are recognised at settlement date initially at fair value, which is normally the consideration received less transaction costs
directly attributable to the financial liability. Subsequently these instruments are measured at amortised cost using the effective interest method.
Such interest is recognised in item “20. Interest expenses and similar charges” if negative or in item “10. Interest income and similar revenues” if
positive.
Instruments indexed to equity instruments, foreign exchange, credit instruments or indexes, are treated as structured instruments. The embedded
derivative is separated from the host contract and recognised as a derivative, provided that separation requirements are met, and recognised at fair
value. The embedded derivative is recognised at its fair value, classified as financial assets or liabilities held for trading and subsequently measured
at fair value through profit or loss with changes in fair value recognised in income statement in item “80. Net gains (losses) on trading”.
The difference between the total amount received and the initial fair value of the embedded derivative is attributed to the host contract.
Instruments convertible into treasury shares imply recognition, at the issuance date, of a financial liability and of the equity part to be recognised in
item “140. Equity instruments”, if a physical delivery settles the contract.
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The equity part is initially measured at the residual value, i.e. the overall value of the instrument less the separately determined value of a financial
liability with no conversion clause and the same cash flows.
The resulting financial liability is recognised at amortised cost using the effective interest method.
Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change
in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from
significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or
paid for the repurchase is recognised in profit or loss in item “100. Gains (Losses) on disposal and repurchase of: c) financial liabilities”. Subsequent
disposal by the issuer is considered as a new issue which doesn’t produce gains or losses.
12 - Financial liabilities held for trading
Financial liabilities held for trading include:
derivatives that are not designated as hedging instruments;
obligations to deliver financial assets borrowed by a short seller (i.e. an entity that sells financial assets it does not yet own);
financial liabilities issued with an intention to repurchase them in the short term;
financial liabilities that are part of a portfolio of financial instruments considered as a unit and for which there is evidence of a recent pattern of
trading.
Financial liabilities held for trading, including derivatives, are measured at fair value on initial recognition and during the life of the transaction.
A gain or loss arising from change in the fair value of a HfT financial liability is recognised in profit or loss in item “80. Net gains (losses) on trading”.
Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change
in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from
significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or
paid for the repurchase is recognised in profit or loss in item “80. Net gains (losses) on trading”. Subsequent disposal by the issuer is considered as
a new issue which doesn’t produce gains or losses.
13 - Financial liabilities designated at fair value
Financial liabilities, like financial assets may also be designated, according to IFRS9, on initial recognition as measured at fair value, provided that:
this designation eliminates or considerably reduces an accounting or measurement inconsistency that would arise from the application of different
methods of measurement to assets and liabilities and related gains or losses; or
a group of financial assets, financial liabilities or both are managed and measured at fair value under risk management or investment strategy
which is internally documented with the entity’s key management personnel.
This category may also include financial liabilities represented by hybrid (combined) instruments containing embedded derivatives that otherwise
should have been separated from the host contract.
Financial liabilities presented in this category are measured at fair value at initial recognition and for the life of the transaction.
The changes in fair value are recognised in the income statement in item “110. Gains (Losses) on financial assets/liabilities at fair value through
profit or loss a) financial assets/liabilities designated at fair value” except for any changes in fair value arising from changes in their creditworthiness,
which are shown under item “120. Valuation reserves” of shareholders’ equity unless such accounting results in an inconsistency that arises from
the application of different methods of measuring assets and liabilities and related gains or losses, in which case also the changes in fair value
deriving from changes in creditworthiness are recorded in the income statement.
Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change
in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from
significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or
paid for the repurchase is recognised in profit or loss in item “110. Gains (Losses) on financial assets/liabilities at fair value through profit or loss a)
financial assets/liabilities designated at fair value” while the balance of cumulated changes in fair value due to own credit risk booked in item “120.
Valuation reserves” is reclassified in item “150. Reserves”. Subsequent disposal by the issuer is considered as a new issue which doesn’t produce
gains or losses.
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14 - Foreign currency transactions
A foreign currency transaction is recognised at the spot exchange rate of the transaction date.
Foreign currency monetary assets and liabilities are translated at the closing rate of the period.
Exchange differences arising from settlement of monetary items at rates different from those of the transaction date and unrealised exchange rate
differences on foreign currency assets and liabilities not yet settled, other than assets and liabilities designated as measured at fair value and
hedging instruments, are recognised in profit and loss item “80. Net gains (losses) on trading”.
Exchange rate differences arising on a monetary item that is part of an entity’s net investment in a foreign operation whose activities are based or
conducted in a country or currency other than those of the reporting entity are initially recognised in the entity’s equity, and recognised in profit or
loss on disposal of the net investment.
Non-monetary assets and liabilities recognised at historical cost in a foreign currency are translated using the exchange rate at the date of the
transaction. Non-monetary items that are measured at fair value in a foreign currency are translated at the closing rate. In this case the exchange
differences are recognised:
in profit and loss if the financial asset is classified in a portfolio measured at fair value through profit or loss; or
in the Statement of other comprehensive income, and disclosed in the Revaluation reserves, if the financial asset is classified in “Financial assets
at fair value through other comprehensive income”.
Hedges of a net investment in a foreign operation are recognised similarly to cash flow hedges.
The assets and liabilities of fully consolidated foreign entities are translated at the closing exchange rate of each period. Gains and losses are
translated at the average exchange rate for the period. Differences arising from the use of closing exchange rates and from the average exchange
rates and from the remeasurement of the initial net amount of the assets of a foreign company at the closing rate are classified directly in item “120.
Valuation reserves”.
Any goodwill arising on the acquisition of a foreign operation realised after IAS First Time Adoption (i.e., 1 January 2004) whose assets are located
or managed in a currency other than the euro, and any fair value adjustments of the carrying amounts of assets and liabilities are treated as assets
and liabilities of the foreign operation, expressed in the functional currency of the foreign operation and translated at the closing rate.
On the disposal of a foreign operation, the cumulative amount of the exchange rate differences, classified in an equity reserve, is reclassified in profit
or loss.
All exchange differences recorded under revaluation reserves in Shareholders’ equity are also reported in the Statement of other comprehensive
income.
15 - Insurance assets and liabilities
Note that the Group does not conduct such business.
16 - Other information
Impairment
Loans and debt securities classified as financial assets at amortised cost, financial assets at fair value through other comprehensive income and
relevant off-balance sheet exposures are tested for impairment as required by IFRS9.
In this regard, these instruments are classified in Stage 1, Stage 2 or Stage 3 according to their absolute or relative credit quality with respect to
initial disbursement. Specifically:
Stage 1: includes (i) newly issued or acquired credit exposures, (ii) exposures for which credit risk has not significantly deteriorated since initial
recognition, (iii) exposures having low credit risk (low credit risk exemption);
Stage 2: includes credit exposures that, although performing, have seen their credit risk significantly deteriorating since initial recognition;
Stage 3: includes impaired credit exposures.
For exposures in Stage 1, impairment is equal to the expected loss calculated over a time horizon of up to one year.
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For exposures in Stages 2 or 3, impairment is equal to the expected loss calculated over a time horizon corresponding to the entire life of the
exposure.
The allocation of credit exposures in one of the abovementioned stages is done at initial recognition, when the exposures is classified at Stage 1 and
it is periodically reviewed based on “stage allocation” rules as specified in Part E - Section 1 - Credit risk (Company financial statements). Same
information is provided in Part E - Section 2 - Risks of prudential consolidated perimeter - 2.1 Credit risk.
In order to calculate the expected loss and the related loan loss provision, the Bank uses Probability of Default (“PD”), Loss Given Default (“LGD”)
and Exposure at Default (“EAD”) parameters, used for regulatory purposes and adjusted in order to ensure that impairment measurement
represents values which are “point in time”, “forward looking” and inclusive of multiple scenarios. In this respect see Part E - Section 1 - Credit risk
(Company financial statements) for further information on expected loss calculation methodologies. Same information is also provided in Part E -
Section 2 - Risks of the prudential consolidated - 2.1 Credit risk.
With reference to Stage 3, it should be noted that it includes impaired exposures corresponding to the aggregate Non-Performing Exposures as ITS
EBA (EBA/ITS/2013/03/rev1 7/24/2014), in accordance with Banca d’Italia rules, defined in Circular No.272 of 30 July 2008 and subsequent
updates.
In particular EBA has defined as “Non-Performing” the exposures that meet one or both of the following criteria:
material exposures with more than 90 days past due;
exposures for which the bank values that is unlikely that the debtor would pay in full his credit obligations without recurring to enforcement and
realisation of collaterals, regardless of past due exposures and the number of days the exposure is past due.
In addition, the abovementioned Circular No.272 establishes that the aggregate of impaired assets is divided into the following categories:
Bad loans: cash and off-balance exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially
similar situation. The assessment is generally carried out on an analytical basis (also through the comparison with coverage levels statistically
defined for credit portfolios below a predefined threshold) or, in case of non-significant individually amounts, on a flat-rate basis for homogeneous
types of exposures;
Unlikely to pay: cash and off-balance exposures for which conditions for evaluating the debt as bad loan are not met and for which it is unlikely
that without recurring to enforcement of collaterals the debtor is able to pay in full (capital and/or interests) his credit obligations. Such assessment
is made independently of any past due and unpaid amount/instalments. The classification among unlikely to pay is not necessarily linked to
anomalies (non-repayment), rather it is linked to factors that indicate a situation of risk of default of the debtor. Unlikely to pay are generally
accounted analytically (also through the comparison with coverage levels statistically defined for credit portfolios below a predefined threshold) or
on a flat-rate basis for homogeneous types of exposures. The exposures classified among unlikely to pay and qualified as so-called forborne can
be reclassified among non-impaired receivables only after at least one year has elapsed from the time of granting and the conditions indicated in
paragraph 157 of EBA Implementing Technical Standards.
With reference to their evaluation:
- they are generally analytically evaluated and may include the discounted charge deriving from the possible renegotiation of the rate at conditions
below the original contractual rate;
- the renegotiations of loans that require their derecognition in exchange of shares through “debt-to-equity swap” transactions requires the
assessment, before executing the swap, of the credit exposures in accordance with stipulated agreements at the date of preparation of the
financial statements. Any differences between the value of receivables and the value at initial recognition of equity instruments is accounted in
income statement in the impairment losses;
Past due exposures: cash exposures different from those classified as non-performing loans and unlikely to pay that at the reporting date are past
due. Past due exposures can be determined referring alternatively to individual debtor or individual transaction. In particular they represent an
entire exposure to counterparties different from those classified as unlikely to pay and bad loans that at the reporting date show past due
receivables from more than 90 days as well as requirements established by local prudential regulation for the inclusion of these credits into “past
due” (standardised banks) or “default exposures” (IRB banks).
Past due exposures are evaluated on a on a flat-rate basis on historical/statistical basis, applying, if available, the riskiness identified by the risk
factor used for the purposes of EU Regulation No.575/2013 (CRR) relating to prudential requirements for credit institutions and investment firms
(LGD - Loss Given Default).
Allowances for impairment of loans and receivables are based on the present value of expected cash flows of principal and interest. In determining
the present value of future cash flows, the basic requirement is the identification of estimated collections, the timing of payments and the discount
rate used.
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In particular, the amount of the loss on impaired exposures classified as bad loans and unlikely to pay, according to the categories specified above,
is the difference between the carrying amount and the present value of estimated cash flows discounted at the original interest rate of the financial
asset.
For all fixed rate positions, the interest rate thus determined is kept constant in subsequent financial years, while for floating rate positions the
interest rate is updated according to contractual terms.
If the original interest rate cannot be found, or if finding it would be excessively burdensome, the rate that best approximates is applied, also
recurring to “practical expedients” that do not alter the substance, and ensure consistency with the international accounting standards.
Recovery times are estimated on the basis of business plans or forecasts based on historical recovery experience observed for similar classes of
loans, taking into account the customer segment, the type of loan, the type of security and any other factors considered relevant.
Also the impairment on impaired exposures was calculated as required by the new accounting standard to include (i) the adjustments necessary to
reach the calculation of a point-in-time and forward-looking loss; and (ii) multiple scenarios applicable to this type of exposure including any sale
scenarios in case the Bank’s NPL strategy foresees the recovery through sale on the market according to what is specified in Part E - Section 1 -
Credit risk (Company financial statements). Same information is provided in Part E - Section 2 - Risks of the prudential consolidated perimeter - 2.1
Credit risk.
If there are no reasonable expectations to recover a financial assets in its entirety or a portion thereof, the gross exposure is subject to write-off.
Write-off, that may involve either a full or a part of a financial asset, might be accounted for before that the legal actions, activated to recover the
credit exposure, are closed and doesn’t imply the forfeiture of the legal right to recover. In this context the Group has developed a specific guideline
that assess the need to recognise a write-off. For further information see Part E - Section 1 - Credit risk (Company financial statements). Same
information is also provided in Part E - Section 2 - Risks of the prudential consolidated perimeter - 2.1 Credit risk.
Renegotiations
Renegotiations of financial instruments which cause a change in contractual conditions are accounted for depending on the significance of the
contractual change itself.
In particular, when renegotiations are not considered significant the gross exposure is re-determined through the calculation of the present value of
cash flows following the renegotiation at the original effective interest rate.
The difference between the gross exposure before and after renegotiation, adjusted to consider changes in the related loan loss provision, is
recognised in income statement as modification gain or loss.
In this regard, renegotiations achieved both by amending the original contract or by closing a new one, are considered significant when they
determine the expiry of the right to receive cash flows accordingly to the original contract.
In particular, the rights to receive cash flows are considered as expired in case of renegotiations that introduce contractual clauses which determine
a change in the financial instrument classification, which determine a change in the currency or which are carried out at market conditions therefore
without causing credit concession.
Business combinations
A business combination is a transaction through which an entity obtains control of a company or of a business segment, thus bringing together
different businesses into one reporting entity.
A business combination may result in a Parent-subsidiary relationship in which the acquirer is the Parent and the acquiree is a subsidiary of the
acquirer. A business combination may involve the purchase of the net assets of another entity, in which case goodwill can arise, or the purchase of
the equity of the other entity (mergers).
IFRS3 requires that all business combinations shall be accounted for by applying the purchase method, that involves the following steps:
identifying an acquirer;
measuring the cost of the business combination, and:
allocating, at the acquisition date, the cost of the business combination to the assets acquired and liabilities and contingent liabilities assumed.
The cost of a business combination is the aggregate of the fair value, at the date of exchange, of assets given, liabilities incurred or assumed and
equity instruments issued by the acquirer, in exchange for control of the acquiree.
The acquisition date is the date on which the acquirer effectively obtains control of the acquiree. When this is achieved through a single exchange
transaction, the date of exchange coincides with the acquisition date.
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A business combination may involve more than one exchange transaction; nevertheless, the cost of the business combination remains equal to the
fair value of the total shareholding acquired.
This involves the revaluation at fair value, with the recognition of the effects in the income statement - of the equity investments previously held in
the acquired entity.
The cost of a business combination is allocated by recognising the assets, the liabilities and the identifiable contingent liabilities of the acquired
company at their acquisition-date fair value.
Exceptions to this principle are deferred income tax assets and liabilities, employee benefits, indemnification assets, reacquired rights, non-current
assets held for sale, and share-based payment transactions that are subject to review in accordance with the principle applicable to them.
Positive difference between the cost of the business combination and the acquirer’s interest in the net fair value of the identifiable assets, liabilities
and contingent liabilities so recognised is accounted for as goodwill.
After initial recognition, goodwill is tested for impairment at least annually.
If the acquirer’s interest in the net fair value of the identifiable assets, liabilities and contingent liabilities exceeds the cost of the business
combination, the acquirer shall reassess the fair values and recognise immediately any excess remaining after that reassessment in profit or loss.
If the acquisition concerns a percentage less than 100% of the assets of the acquired company, minorities are recognised.
At the acquisition date, minorities are valued:
at fair value, or
as a proportion of minority interests in the assets, liabilities and identifiable contingent liabilities of the acquired company.
Derecognition of financial assets
Derecognition is the removal of a previously recognised financial asset from an entity’s balance sheet.
Before evaluating whether, and to what extent, derecognition is appropriate, under IFRS9 an entity should determine whether the relevant conditions
apply to a financial asset in its entirety or to a part of a financial asset. The standard is applied to a part of financial assets being transferred if, and
only if, the part being considered for derecognition meets one of the following conditions:
the part comprises only specifically identified cash flows from a financial asset, or a group of assets, (e.g. interest cash flows from an asset);
the part comprises a clearly identified percentage of the cash flows from a financial asset, (e.g. a 90% share of all cash flows from an asset);
the part comprises only a fully proportionate (pro rata) share of specifically identified cash flow, (e.g. 90% share of interest cash flows from an
asset).
In all other cases, the standard is applied to the financial asset in its entirety (or to the group of similar financial assets in their entirety).
An entity shall derecognise a financial asset when the contractual rights to the cash flows from the financial asset expire or it transfers the
contractual rights to receive the cash flows of the financial asset to a non-Group counterparty.
Rights to cash flow are considered to be transferred even if contractual rights to receive the asset’s cash flow are retained but there is an obligation
to pay this cash flow to one or more entities and all the following conditions are fulfilled (pass-through agreement):
there is no obligation on the Group to pay amounts not received from the original asset;
sale or pledge of the original asset is not allowed, unless it secures the obligation to pay cash flow;
the Group is obliged to transfer forthwith all cash flows received and may not invest them, except for liquidity invested for the short period between
the date of receipt and that of payment, provided that the interest accrued in that period is paid on.
Recognition is also subject to verification of effective transfer of all the risks and rewards of ownership of the financial asset. If the entity transfers
substantially all the risks and rewards of ownership of the financial asset, the entity shall derecognise the asset (or group of assets) and recognise
separately as assets or liabilities any rights and obligations created or retained in the transfer.
Conversely, if the entity substantially retains all the risks and rewards of ownership of the asset (or group of assets), the entity shall continue to
recognise the transferred asset(s). In this case it is necessary to recognise a liability corresponding to the amount received under the transfer and
subsequently recognise all income accruing on the asset and expense accruing on the liability.
The main transactions that do not allow, under the above rules, total derecognition of a financial asset are securitisations, repurchase (sell and buy-
backs) and stock lending transactions.
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In the case of securitisations the Group does not derecognise the financial asset on purchase of the equity tranche or provision of other types of
support of the structure which result in the Group retaining the credit risk of the securitised portfolio.
In the case of repurchase transactions and stock lending, the assets transacted are not derecognised since the terms of the transaction entail the
retention of all their risks and rewards.
Finally, it should be noted that securities lending transactions collateralised by other securities or not collateralised were recorded as off-balance
sheet items.
Repo transactions and securities lending
Securities received in a transaction that entails a contractual obligation to sell them at a later date or delivered under a contractual obligation to
repurchase are neither recognised nor derecognised. In respect of securities purchased under an agreement to resell, the consideration is
recognised as a loan to customers or banks among financial assets at amortised cost, or as an asset held for trading. In respect of securities held in
a repurchase agreement, the liability is recognised as due to banks or customers among financial liabilities at amortised cost, or as an held for
trading financial liability. Revenue from these loans, being the coupons accrued on the securities and the difference between the sale/purchase and
resale/repurchase prices, is recognised in profit or loss through interest income and expenses on an accruals basis.
These transactions can only be offset if, and only if, they are carried out with the same counterparty and provided that such offset is provided for in
the underlying contracts.
The same rules apply to securities lending transactions collateralised by cash fully available to the lender.
The income statement items connected with these transactions are booked respectively:
in item Interest, with respect to the positive item (borrower) and the negative item (lender) relating to the return on cash paid to the lender;
in item Fees and commissions, with respect to the negative item (borrower) and the positive item (lender) relating to the service provided by the
lender by making the security available.
With reference to securities lending transactions collateralised by other securities, or not collateralised, the security lent or the security put up as
collateral are still recognised as assets in the balance sheet, depending on the role, lender or borrower, respectively, played in the transaction.
Counterparty risk relating to the latter securities lending or borrowing transactions is shown under the off-balance sheet exposures in the tables of
Notes consolidated accounts - Part E - Section 2 - Risks of prudential consolidated perimeter - 2.1 Credit risk - Quantitative information - A. Credit
quality.
Equity instruments
Equity instruments are instruments that represent a residual interest in Group’s assets net of its liabilities.
Classification of an issued instrument as equity is possible only if there are no contractual obligation to make payments in form of capital
redemptions, interest or other kinds of returns.
In particular, instruments having the following features are classified as equity instruments:
the instrument is perpetual or has a maturity equal to duration of the entity;
full discretion of the issuer in coupon payments and redemptions, also advanced, of the principal outstanding.
Additional Tier 1 instruments are included in this category, in line with the provisions of Regulation (EU) No.575/2013 (CRR) on prudential
requirements for credit institutions and investment firms, if, additionally to the characteristics described above:
maintain within the full discretion of the issuer the possibility to perform a write-up of the nominal value after the occurrence of a capital event that
has determined a write-down;
do not incorporate outlook that force the issuer to provide for payments (must-pay clauses) following genuine events under the direct control of the
parties.
Equity instruments, different from common or saving shares, are presented in item “140. Equity instruments” for the consideration received including
transaction costs directly attributable to the instruments.
Any coupon paid, net of related taxes, reduces item “150. Reserves”.
Any difference between the amounts paid for the redemption or repurchase of these instruments and their carrying value is recognised in item “150.
Reserves”.
Treasury Shares
Changes in treasury shares are reported as a direct contra item to shareholders' equity, i.e. as a reduction to the latter in the amount of any
purchases, and as an increase in the amount of any sales proceeds. This entails that, if treasury shares are subsequently sold, the difference
between the sale price and the related post-tax repurchase cost is recognised entirely as a contra item to shareholders' equity.
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Leases
Lease contracts shall be classified by the lessor in finance leases and operating leases.
Finance leases effectively transfer all the risks and benefits of ownership of an asset to the lessee. The lessee acquires the economic benefit of the
use of the leased asset for most of its useful life, in exchange for a commitment to pay to the lessor an amount approximately equivalent to the fair
value of the asset and related finance costs. Recognition in the lessor’s accounts is as follows:
in assets, the value of the loan, less the principal of lease payments due and paid by the lessee;
in profit or loss, interest received.
Operating leases do not transfer all the risks and benefits of ownership of an asset to the lessee which are therefore retained by the lessor.
In case of operating leases, the lessor recognises in the income statement the leases payments on an accrual basis.
The lessee recognises an asset representing the right of use of the underlying asset and, at the same time, a liability for the future payments
requested by the lease contract.
It should be noted that as allowed by the standard, the Group has decided not to recognise any right of use nor lease liability with reference to the
following lease contracts:
leases of intangible assets;
short term leases, lower than 12 months; and
low value assets leases. For this purpose an asset is considered as “low value” when its fair value as new is equal to or lower than €5 thousand.
This category mainly comprises office equipment (PC, monitors, tablets, etc.) and fixed and mobile phones.
Therefore, lease payments concerning these kind of lease assets are recognised in item “190. Administrative expenses” on an accrual basis.
With reference to contracts different from those mentioned above, the lease liability, recognised in Item “10. Financial liabilities at amortised cost”, is
determined by discounting the future lease payments to be due over the lease term at the proper discount rate.
Future lease payments subject to discounting are determined based on contractual provisions and net of VAT, when applicable, as the obligation to
pay this tax starts when the invoice is issued by the lessor and not at the starting date of the lease contract.
In addition, if the lease payments foreseen by the contracts include additional services beside the mere rental of the asset, the right of use and the
associated lease liability are calculated considering also these components.
To perform the mentioned calculation, lease payments have to be discounted at the interest rate implicit in the contract or, if it is not available, at the
incremental borrowing rate. The key assumption followed to calculate this rate is that the lessee incurs a loans, senior secured, having the same
maturity of the lease contract in order to acquire the assets underlying the contract itself. The resulting rate, where necessary, is adjusted in order to
consider the specific features of the lease contract.
In order to determine the lease term it is necessary to consider the non-cancellable period, established in the contract, in which the lessee is entitled
to use the underlying asset taking also into account potential renewal options if the lessee is reasonably certain to renew.
In particular, with reference to those contracts that allow the lessee to tacitly renew the lease contract after a first set of years, the lease term is
determined taking into account factors such as the length of the first period, the existence of dismissal plans for the asset leased and any other
circumstance indicating the reasonably certainty of the renewal.
The right of use is initially recognised in item “90. Property, plant and equipment” on the basis of the initial recognition amount of the associated
lease liability, adjusted to consider, if applicable, lease payments made at or before the commencement of the lease, initial direct costs and
estimates of costs required to restore the assets to the conditions requested by the terms of the lease contract.
Subsequent to the initial recognition, interests accrue on the lease liability at the interest rate implicit in the contract and are recognised in item
“20. Interest expenses and similar charges”.
The amount of the lease liability is reassessed in case of changes in the lease term, also arising from a change in the assessment of an option to
purchase the leased asset, or in the lease payments, either coming from a change in an index or rate used to determine these payments or as a
result of the amount expected to be payable under a residual value guarantees.
In these cases, the carrying value of the lease liability is calculated by discounting lease payments over the lease term using the original or a revised
discount rate as applicable.
Changes in the amount of the lease liability resulting from the reassessment are recognised as an adjustment of the right of use.
In case of modification of a lease contracts, the lessee recognises an additional separate lease if the modification increases the scope of the lease
adding to the right of use one or more assets and the consideration to be paid for such increase is commensurate with the stand-alone price of the
increase.
For other types of modifications the lease liability is recalculated by discounting the lease payments for the revised lease term using a revised
discount rate.
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Changes in the Lease liabilities also adjust the carrying value of the corresponding right of use with the exception of gains/losses relating to the
partial or full termination of the lease that are recognised in the income statement.
Subsequent to the initial recognition the right of use is depreciated over the lease term and subject to impairment if applicable. Depreciation and
impairment, determined using the same criteria used for tangible assets and also considering the actual usage of the leased assets, are recognised
in item “210. Net value adjustments/write-backs on property, plant and equipment”. The useful life used for calculating the depreciation of leasehold
improvements shall not exceed the useful life attributed to the right of use.
Factoring
Loans acquired in factoring transactions with recourse are recognised to the extent of the advances granted to customers on their consideration.
Loans acquired without recourse are recognised as such once it has been established that there are no contractual clauses that would invalidate the
transfer of all risks and benefits to the factor.
Share-based payments
Equity-settled payments made to employees or other staff in consideration of goods received or services rendered, using equity instruments
comprise:
stock options;
performance shares (i.e. awarded on attainment of certain objectives);
restricted shares (i.e. subject to a lock-up period).
Considering the difficulty of reliably measuring the fair value of the services rendered against equity-settled payments, reference is made to the fair
value of the instruments themselves, measured at the date of the allocation.
This fair value is recognised as cost in profit and loss item “190. Administrative expenses: a) staff costs” offsetting the Shareholders’ equity item
“150. Reserves”, on an accruals basis over the period in which the services are rendered.
The fair value of a cash-settled share-based payment, the services acquired and the liability incurred are measured at the fair value of the liability,
recognised in item “80. Other liabilities”. The fair value of the liability, as long as it remains unsettled, is remeasured at each balance sheet date and
all changes in fair value are recognised in profit and loss item “190. Administrative expenses: a) staff costs”.
Other long-term employee benefits
Long-term employee benefits e.g. long-service bonuses, paid on reaching a predefined number of years’ service are recognised in item
“80. Other liabilities” on the basis of the measurement of the liability at the balance sheet date, also in this case determined by an external actuary
using the unit credit projection method (see previous paragraph 10 - Provisions for risks and charges). Actuarial gains (losses) on this type of benefit
are recognised immediately in the income statement.
Guarantees and credit derivatives in the same class
Guarantees and credit derivatives in the same class measured under IFRS9 (i.e. contracts under which the issuer make specified payments to
reimburse the holder for a loss it incurs because a specified debtor fails to make payment when due in accordance with the original or modified
terms of a debt instrument) are initially and subsequently (on remeasurement following impairment losses) recognised in item “100. Provisions for
risks and charges: a) commitments and guarantees given”.
On initial recognition guarantees given are recognised at fair value, which usually corresponds to the amount received when the guarantee is issued.
After the initial recognition, guarantees given are recognised at the higher of the initially recognised value, net of any amortised portion, and the
estimated amount required to meet the obligation.
The effects of valuation, relating to any impairment of the underlying, are recognised in the same balance-sheet item contra item “200. Net
provisions for risks and charges: a)commitments and financial guarantees given” in the income statement.
Offsetting financial assets and liabilities
The accounting offsetting of assets and liabilities items has been performed according to IAS32, assessing the fulfillment of the following
requirements:
current legally enforceable right to set off the recognised amounts;
intention either to settle on a net basis, or to realise the asset and settle the liability simultaneously.
In accordance with IFRS7, further information have been included in the table of Note to the consolidated accounts, in Part B - Other information.
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In these tables, in particular the following information have to be reported:
balance-sheet values, before and after the accounting offsetting effects, relating to the assets and liabilities which meet the criteria for applying
those effects;
values of the exposures which do not meet the above-mentioned criteria, but are included in Master Netting Agreements, or similar agreements,
which create the right to set-off only following specified circumstances (e.g. default events);
amounts of related collaterals.
Amortised cost
The amortised cost of a financial asset or financial liability is the amount at which the financial asset or financial liability is measured at the initial
recognition minus principal repayments, plus or minus the cumulative amortisation using the effective interest method of any difference between that
initial amount and the maturity amount, and minus any reduction (directly or through the use of an allowance account) for impairment or
uncollectability.
The effective interest method is a method of allocating the interest income or interest expense over the life of a financial asset or liability.
The effective interest rate is the rate that exactly discounts estimated future cash payments or receipts through the expected life of the financial
instrument to the net carrying amount of the financial asset or financial liability. The calculation includes all fees and basis points paid or received
between parties to the contract that are an integral part of the effective interest rate, transaction costs, and all other premiums or discounts.
Commissions forming an integral part of the effective interest rate include loan drawdown fees or underwriting fees relating to a financial asset not
designated at fair value, e.g., fees received as compensation for the assessment of the issuer’s or borrower’s financial situation, for valuation and
registration of security, and generally for the completion of the transaction.
Transaction costs include fees and commissions paid to agents (including employees acting as selling agents), advisers, brokers and dealers, levies
by regulatory agencies and securities exchanges, and transfer taxes and duties. Transaction costs do not include financing costs or internal
administrative or holding costs.
Recognition of income and expenses
Interest income and expenses
Interest income and expenses and similar income and expense items relate to monetary items, i.e. liquidity and debt financial instruments (i) held for
trading, (ii) designated at fair value (iii) mandatorily at fair value (iv) at fair value through other comprehensive income (v) at amortised cost and financial liabilities at
amortised cost.
Interest income and expense are recognised through profit or loss with respect to all instruments measured at amortised cost, using the effective
interest method.
Interest also includes the net credit or debit balance of differentials and margins on financial derivatives:
hedging interest-bearing assets and liabilities;
HfT but linked for business purposes to assets and liabilities designated as measured at fair value (fair value option);
linked for business purposes to HfT assets and liabilities paying differentials or margins on different maturities.
Fees and commissions income and other operating income
Fees and commissions income and other operating income are accounted for in income statement as the entity satisfies the performance obligation
embedded in the contract, according to “IFRS15 Revenue from Contracts with Customers” rules.
In particular:
if the performance obligation is satisfied at a specific moment (“point in time”), the related revenue is recognised in income statement when the
service is provided;
if the performance obligation is satisfied over-time, the related revenue is recognised in income statement in order to reflect the progress of
satisfaction of such obligation.
Due to the above mentioned rules, transaction fees coming from trading in securities are typically booked in the moment when the service is
provided while fees related to portfolios management, consulting or fund management are normally recognised during the term of the contract (input
method).
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For this second type of fees, in fact, it is deemed that the input which are necessary to provide the service incorporated in the performance
obligation are evenly distributed during the term of the contract.
If the timing of cash-in is not aligned to the way the performance obligation is satisfied, the Group accounts for a contract asset or a contract liability
for the portion of revenue accrued in the period or to defer in the following periods.
The amount of revenues linked to fees and commissions income and other operating income is measured based on contractual provisions.
If the amount contractually foreseen is subject, totally or partially, to variability, a revenue has to be booked based on the most probable amount that
the Group expects to receive.
Such amount is determined on the basis of all facts and circumstances considered relevant for the evaluation, that depend on the type of service
provided and, in particular, on the presumption that it is not highly probable that the revenue recognised will not be significantly reversed.
Note, nevertheless, that for the services provided by the Group such a variability is not usually foreseen.
Finally, if a contract regards different goods/services whose performance obligations are not satisfied at the same time, the revenue is allocated
among the different obligation proportionally to the stand-alone price of the single item delivered. These amounts will therefore be accounted for in
income statement on the basis of the timing of satisfaction of each obligation.
This circumstance, which is not significant, might happen in case of customer loyalty programs that require to provide goods or services for free, or
by cashing-in a price not at market condition, if the client reaches a specific volume of fees, or in case of programs to acquire new customers that
assign a bonus to the target (in the form of a product or a service) when it becomes a new client.
Dividends
Dividends are recognised in profit and loss in the financial year in which their distribution has been approved.
A.3 - Information on transfers between portfolios of financial assets
There were no transfers between portfolios of financial assets in 2019.
A.4 - Information on fair value
Qualitative information
This section presents a disclosure on fair value as required by IFRS13.
Fair value is the price that would be received to sell an asset or paid to transfer a liability in an ordinary transaction between market participants in
the principal market at the measurement date (i.e. an exit price).
The fair value of a financial liability with a demand feature (e.g. a demand deposit) cannot be lower than the amount payable on demand, discounted
from the first date that the amount could be required to be paid.
For financial instruments listed in active markets, fair value is determined on the basis of official prices in the principal market to which the Group has
access (Mark to Market).
A financial instrument is regarded as quoted in an active market if quoted prices are readily and regularly available from a pricing service; dealer,
broker, agency that determines prices or regulatory agency, and those prices represent actual and regularly occurring market transactions on an
arm’s length basis. If a published price quotation in an active market does not exist for a financial instrument in its entirety, but active markets exist
for its component parts, fair value can be determined on the basis of the relevant market prices for the component parts.
If the observable prices in active market or other observable inputs, such as the quoted price of a similar instrument in an active market, the Group
may use another valuation techniques, such as:
a market approach (e.g. using quoted prices for similar liabilities or equity instruments held by other parties as assets);
cost approach (e.g. it reflects the amount that would be required currently to replace the service capacity of an asset, that is the current
replacement cost);
an income approach (e.g. a present value technique that takes into account the future cash flows that a market participant would expect to receive
from holding the liability or equity instrument as an asset).
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The Group uses valuation models (Mark to Model) in keeping with the methods generally accepted and used by the market. Valuation models
include techniques based on the discounting of future cash flows and on volatility estimates, and they are subject to revision both during their
development and periodically in order to ensure their consistency with the objectives of the valuation.
These methods use inputs based on prices set in recent transactions for the instrument being valued and/or prices/quotations for instruments having
similar characteristics in terms of risk profile. Indeed, these prices/quotations are relevant for determining significant parameters in terms of credit,
liquidity and price risk of the instrument being valued.
Reference to these market parameters allows to limit the discretionary nature of the valuation, and ensures that the resulting fair value can be
verified. If, for one or more risk factors it is not possible to refer to market data, the valuation models employed use estimates based on historical
data as inputs.
As a further guarantee of the objectivity of valuations derived from valuation models, the Group employs:
independent price verifications (IPVs);
fair value adjustments (FVAs).
Independent price verification requires that the prices are verified at least monthly by Risk Management units that are independent from the units
that assume the risk exposure.
This verification calls for comparing and adjusting the price in line with valuations obtained from independent market participants.
For instruments not quoted in active markets, the above verification process uses prices contributed by info providers as a reference, and assigns a
greater weighting to those prices that are considered representative of the instrument being valued.
This valuation can include the possible execution of the transaction at the price observed, the number of contributors, the degree of similarity of the
financial instruments, the consistency of prices from different sources, and the process followed by the info provider to obtain the information.
A.4.1 Fair value Levels 2 and 3: valuation techniques and inputs used
Hereby we provide IFRS13 disclosure requirements about accounting portfolios measured at fair value on a recurring basis, not measured at fair
value, or measured at fair value on a non-recurring basis.
Assets and Liabilities measured at fair value on a recurring basis
Fixed-income securities
Fixed-income securities are priced in a two tier process depending on the liquidity in the respective market. Liquid instruments in active markets are
marked to market and consequently positions in these instruments are disclosed in reference to Fair Value Hierarchy under Level 120. In order to
assess it, within the global bond Independent Price Verification (IPV) process a daily Liquidity Indicator is defined taking into account: the number of
executable bid/ask quotes, their relative sizes and spreads. Such indicator is tracked over a 20 business days time window in order to obtain a
stable monthly indicator.
Instruments not traded in active markets are marked to model based on implied credit spread curves derived from the former Level 1 instruments.
The model maximises the use of observable input and minimises the use of unobservable inputs. With this respect, depending on the proximity of
the credit spread curve applied, the bonds are disclosed as Level 2 or Level 3 respectively; Level 3 is applied in case credit spread curves used are
significantly unobservable. Under fair value accounting, fair value adjustments for liquidity and model deficiencies compensate for the lack of market
observables for the Level 2 and Level 3 positions.
In the global bond IPV process market prices of Level 1 bonds and pricing models for illiquid bonds are regularly verified for accuracy.
Structured financial products
The Group determines the fair value of structured financial products not quoted on active markets using the appropriate derivative valuation
methodology given the nature of the embedded structure (when this is not to be separated). Such instruments are classified as Level 2 or Level 3
depending on the observability of significant inputs to the model.
Asset Backed Securities
UniCredit Group valuation process relies on internal policies centred on two pillars
extension and implementation across all the Group’s Legal Entities of an Independent Price Verification (IPV) process suited to the changed
market conditions for Structured credit bonds;
integration of current Fair Value Adjustments Policy.
20 As far as Italian Government bonds are concerned, it is worth stressing they are typically exchanged on the MTS market which is largely acknowledged as the main liquid platform for this kind of asset.
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According to the IPV process the quality of a price is assessed based upon the availability of quotes of independent market players for identical
assets.
The process relies first on consensus data provider as reliable collector of market quotes.
As a second step, prices are assessed by benchmarking each security to a pool of similar securities with available market quotes. An alternative
approach consists in evaluating the instrument through the use of quantitative pricing models, which are applicable every time that information
regarding market participants assumptions on model parameters are reasonably made available without excessive costs or efforts.
Derivatives
Fair value of derivatives not traded in an active market is determined using a mark-to-model valuation technique.
Where active markets exist for its component parts, then fair value is determined on the basis of the relevant market prices for the component parts.
Valuation techniques that are based on significant inputs that are observable are referred to as Level 2 valuations, while those based on techniques
that use significant unobservable inputs are referred to as Level 3 valuations.
Equity instruments
Equity instruments are assigned to Level 1 when a quoted price is available on a liquid market and to Level 3 when no quotations are available or
quotations have been suspended indefinitely. These instruments are classifies as Level 2 only when trading volume on the market where the
instrument is quoted has decreased significantly.
For equity instruments measured at cost an impairment is given, if the carrying amount exceeds the recoverable amount significantly and/or over a
prolonged period of time.
Investment funds
The Group holds investments in certain investment funds that publish net asset value (NAV) per share, including mutual funds, private equity funds,
hedge funds (including funds of funds) and real estate funds. The Group’s investments include co-investments in funds that are managed by the
Group and investments in funds that are managed by third parties and in particular:
Real estate funds
Real estate funds are mapped to Level 1 when quoted prices are available on an active market; when this condition does not hold, real estate funds
are disclosed as Level 3 and they are evaluated through an adequate credit adjustment of the NAV based on the specific features of each fund.
Other funds
The Group holds investments also in mutual funds, hedge funds and private equity funds.
Funds are usually assigned to Level 1 when a quoted price is available on an active market.
Funds are disclosed as Level 2 or Level 3 depending on NAV availability, portfolio transparency and possible issues relating to position write-off.
Property, plant and equipment measured at fair value
The Group owns property, plant and equipment held for investment purposes, which are valued according to the fair value model for Real Estate
investments linked to liabilities that generate a return on investments themselves.
The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. Given
the current portfolio composition, most of the positions are at Level 3.
Fair Value Adjustments (FVA)
Fair value adjustment is defined as the amount to be added either to the market observed mid-price or to the theoretical price generated by a
valuation model with the aim of obtaining a fair value of the position. Therefore FVA are aimed at insuring that the fair value reflects the actual exit
price of a certain position.
Below a list of adjustments:
Credit/Debit Valuation Adjustment (CVA/DVA);
model risk;
close-out costs;
other adjustments.
Credit/Debit Valuation Adjustment (CVA/DVA)
Credit valuation adjustments (CVAs) and debit valuation adjustments (DVAs) are incorporated into derivative valuations to reflect the impact on fair
value of counterparty credit risk and UniCredit group own credit quality respectively.
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UniCredit group CVA/DVA methodology is based on the following inputs:
EAD derived by simulation techniques. Simulated exposures also take into account Specific Wrong-Way Risk that arises from transactions where
there is a correlation between counterparty credit risk and the underlying derivative risk factors;
PD implied by current market default rates, obtained from Credit Default Swaps;
LGD based on the estimated level of expected recovery should a counterparty default and implied by current market default rates, obtained from
credit default swaps.
As at 31 December 2019, net CVA/DVA cumulative adjustment, relating to performing counterparts, amounts to €141.5 million negative the part
related to own credit spread evolution, which is filtered out from regulatory capital (accordingly to CRDIV), amounts to €51 million positive.
Funding Cost and Benefit Adjustment (FCA/FBA)
Funding Valuation Adjustment (FundVA) is the sum of a Funding Cost Adjustment (FCA) and of a Funding Benefit Adjustment (FBA) that indeed
accounts for the expected future funding costs/benefits for derivatives that are not fully collateralised. Most material contributors are in-the-money
trades with uncollateralised counterparties.
UniCredit group FVA methodology is based on the following inputs:
positive and Negative exposure profiles derived leveraging on a risk-neutral spin-off of the Counterparty credit risk internal model;
PD term structure implied by current market default rates obtained from credit default swaps;
a funding spread curve that is representative of the average funding spread of peer financial groups.
As at 31 December 2019 the Fair Value Adjustment component (FundVA) reflect into P&L amounts to €160.4 million negative.
Model risk
Financial models are used for the valuation of the financial instruments if the direct market quotes are not readily available. In general the model risk
is represented by the possibility that a financial instrument’s evaluation is actually sensitive to the choice of model. It is possible to value the same
financial instrument by using alternative models which could provide different results in term of pricing. The model risk adjustment refers to the risk
that the actual fair value of the instrument differs from the value produced by the model.
Close-out costs
It measures the implicit costs of closing an (aggregated) trading position. The position could be closed by a long position (or purchase in the case of
a short position), or by entering into a new transaction (or several transactions) that offsets (hedges) the open position. The close-out costs are
typically derived from the bid/ask spreads observed on the market. It accounts for the fact that a position is valued at mid but can only be closed at
bid or ask. This adjustment is not needed when the position is marked at bid or ask and already represents an exit price. In addition a close-out
adjustment of the NAV is applied when there are some penalties relating to position write-off in an investment fund.
Other adjustments
Other fair value adjustments, which are not included in the previous categories, could be taken into consideration to align the evaluation to the
current exit price, also according to the level of liquidity of the market and valuation parameters, e.g. adjustment of equity prices whose quotation on
the market are not representative of the effective exit price.
Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis
Financial instrument not carried at fair value, for example retail loans and deposit, and credit facilities extended to corporate clients are not managed
on a fair value basis.
For these instruments fair value is calculated for disclosure purposes only and does not impact the balance sheet or the profit or loss. Additionally,
since these instruments generally do not trade, there is significant management judgment required to determine their fair values as defined by
IFRS13.
Cash and cash balances
Cash and cash balances are carried at amounts that approximate fair value, due to their short-term nature and generally negligible credit risk.
Financial assets at amortised cost
For the assets that are composed by securities, fair value is determined according to what explained in section “Assets and liabilities measured at
fair value on a recurring basis - Fixed income securities”.
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On the other hands, fair value for performing loans to banks and customers is determined using the discounted cash flow model adjusted for credit
risk. Some portfolios are valued according to simplified approaches, which however take into account the financial features of the financial
instruments.
Property, plant and equipment held for investment purposes
The fair value of property, plant and equipment held for investment purposes is determined on the basis of a valuation by an independent appraiser
who holds a recognised and relevant professional qualification which perform its valuation mainly on the basis of an indirect knowledge of the assets
through the information made available by the owner and relating to the localisation, consistency, destination and in consideration of market
analysis.
The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique.
Financial liabilities at amortised cost
Fair value for debt securities in issue is determined using the discounted cash flow model adjusted for UniCredit group credit risk. The Credit Spread
is determined using UCG’s subordinated and non-subordinated risk curves.
On the other hands, Fair value for other financial liabilities is determined using the discounted cash flow model adjusted for UniCredit group credit
risk.
The Credit Spread is determined using UCG’s senior and subordinated risk curves.
Description of the valuation techniques
Specific valuation techniques are used to value positions for which a market price is not directly observable from market sources. The Group uses
well known valuation techniques for determining fair values of financial and non-financial instruments that are not actively traded and quoted. The
valuation techniques used for Level 2 and 3 assets and liabilities are described below.
Option Pricing Model
Option model valuation techniques are generally used for instruments in which the holder has a contingent right or obligation based on the
occurrence of a future event, such as the price of a referenced asset going above or below a predetermined strike price. Option models estimate the
likelihood of the specified event occurring by incorporating assumptions such as volatility estimates, price of the underlying instrument and expected
rate of return.
Discounted cash flow
Discounted cash flow valuation techniques generally consist of developing an estimate of future cash flows that are expected to occur over the life of
an instrument. The model requires the estimation of the cash flow and the adoption of market’s parameters for the discounting: discount rate or
discount margin reflects the credit and/or funding spreads required by the market for instruments with similar risk and liquidity profiles to produce a
“discounted value”. The fair value of the contract is given by the sum of the present values of future cash flows.
Hazard Rate Model
The valuation of CDS instruments requires the knowledge of the entity’s survival probability at future dates. The estimate of this probability curve
uses the standard model for survival probabilities and requires as parameters the credit default swap market quotes on standard future dates in
addition to the risk free curve and the expected recovery rate. The hazard rate is part of the described process and it indicates the instantaneous
probability of default at different future instants.
Market Approach
A valuation technique that uses prices generated by market transactions involving identical or comparable (i.e. similar) assets, liabilities or a group of
assets and liabilities.
Gordon Growth Model
This is the model used to determine the intrinsic value of an equity investment, based on a series of future dividends which grow at a constant rate.
Given a dividend to be paid in a specific year and the hypothesis that the dividend grows at a constant rate, the model computes the present value
of future dividends.
Dividend Discount Model
This model is used to determine the value of an equity investment, based on the series of predicted future dividends. Given a dividend to be paid in
a specific year and the hypothesis that the dividend grows at a constant rate, the model computes the fair value of an equity share as the sum of the
present value of all future dividends.
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Adjusted NAV
Net asset value is the total value of a fund’s assets less liabilities. An increase in net asset value would result in an increase in a fair value measure.
Usually for funds classified as Level 3, NAV represents a risk free valuation, therefore in this case the NAV is adjusted so as to consider the issuer’s
default risk.
Description of the inputs used to measure the fair value of items categorised in Level 2 and 3
Hereby a description of the main significant inputs used to measure the fair value of items categorised in Level 2 and 3 of the fair value hierarchy.
Volatility
Volatility is a measure for variation of price of a financial instrument over time. In particular, volatility measures the speed and severity of market
price changes for an instrument, parameter or market index given the particular instrument, parameter or index changes in value over time,
expressed as a percentage of relative change in price. The higher the volatility of the underlying, the riskier the instrument. In general, long option
positions benefit from increases in volatility, whereas short option positions will suffer losses.
There are different types of volatility:
volatility of interest rate;
inflation volatility;
volatility of foreign exchange;
volatility of equity stocks, equity or other indexes/prices.
Correlation
Correlation is a measure of the relationship between the movements of two variables. When parameters are positively correlated, an increase in
correlation results in a higher fair value measure. On the contrary, given a short correlation position, an increase in correlation, in isolation, would
generally result in a decrease in a fair value measure. Therefore changes in correlation levels can have a major impact, favourable or unfavourable,
on the fair value of an instrument, depending on the type of correlation.
Correlation is a pricing input for a derivative product where the payoff is driven by multiple underlying risks. The level of correlation used in the
valuation of derivatives with multiple underlying risks depends on a number of factors including the nature of those risks.
Dividends
The derivation of a forward price for an individual stock or index is important both for measuring fair value for forward or swap contracts and for
measuring fair value using option pricing models. The relationship between the current stock price and the forward price is based on a combination
of expected future dividend levels and payment timings and, to a lesser extent, the relevant funding rates applicable to the stock in question.
The dividend yield and timing represents the most significant parameter in determining fair value for instruments that are sensitive to an equity
forward price.
Interest rate curve
The calculation of the interest rate curve is based on standard bootstrapping techniques relying on the set of quotes of appropriate financial
instruments, for each currency, which turns interest rates in zero-coupon.
Less liquid currencies interest curve refer to the rates in currencies for which a market liquidity doesn’t exist in terms of tightness, depth and
resiliency. The illiquidity of these input data impacts directly the valuation of securities or derivatives expressed in illiquid currencies.
Inflation swap rate
The determination of forward levels for inflation indexes is based on swap quote over inflation indexes. Swap over inflation may present a low
liquidity level whether there is no liquid market in terms of rigidity, deepness and resistance. The illiquidity of those inputs has an indirect impact on
the valuation of a debt instrument linked to inflation (inflation-linked note) or in case of a derivative over inflation.
Credit spreads
Different valuation models, especially for credit derivatives require an input for the credit spread which reflects the credit quality of the associated
credit name.
The credit spread of a particular security is quoted in relation to the yield on a benchmark security or reference rate (typically either U.S. Treasury or
LIBOR/EURIBOR) and is generally expressed in terms of basis points.
The ranges for credit spreads cover a variety of underlings (index and single names), regions, sectors, maturities and credit qualities (high-yield and
investment-grade). The broad range of this population gives rise to the width of the ranges of unobservable inputs.
162 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
Loss Given Default (LGD)/Recovery Rate
LGD also known as loss severity (the inverse concept is the recovery rate) represents the percentage of contractual cash flows lost in the event of a
default, expressed as the net amount of loss relating to the outstanding balance. An increase in the loss severity, in isolation, would result in a
decrease in a fair value measure. Loss given default is facility-specific because such losses are generally understood to be influenced by key
transaction characteristics such as the presence of collateral and the degree of subordination.
Price
Where market prices are not observable, comparison via proxy is used to measure a fair value.
Prepayment Rate (PR)
The PR is the estimated rate at which forecasted prepayments of principal of the related debt instrument are expected to occur. Voluntary
unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security.
In general as prepayment speeds change, the weighted average life of the security changes, which impacts the valuation either positively or
negatively, depending upon the nature of the security and the direction of the change in the weighted average life.
Probability of Default (PD)
The probability of default is an estimate of the likelihood of not collecting contractual amounts. It provides an estimate of the likelihood that a client of
a financial institution will be unable to meet its debt obligations over a particular time horizon. The PD of an obligor not only depends on the risk
characteristics of that particular obligor but also the economic environment and the degree to which it affects the obligor.
Early conversion
The early conversion is the estimate of the probability that the liability would be converted into equity earlier than the terms stated.
EBITDA
EBITDA is an indicator of the current operating profitability of the business, that is the income generated by the use of the company’s assets and the
commercialisation of the products manufactured.
Ke
The Ke (cost of capital) represents the minimum rate that the company has to offer to its shareholders as remuneration for the funds received.
Growth rate
It is the constant growth rate used for the future dividends estimate.
UniCredit ·2019 Annual Report and Accounts 163
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
Quantitative information on significant unobservable inputs used in the fair value measurement: accounting
portfolios measured at fair value categorised as Level 3
The following table shows the relevant unobservable parameters for the valuation of financial instruments classified at fair value level 3 according to
the IFRS 13 definition.
FAIR
VALUE
ASSETS
FAIR
VALUE
LIABILITIES
VALUATION
TECHNIQUES
UNOBSERVABLE
PARAMETERS
UNCERTAINTY
RANGES
(€ million)
PRODUCT CATEGORIES
Derivatives
Financial
Equity &
Commodities
151.29
299.99 Option Pricing Model
Volatility
Option Pricing Model/
Discounted Cash Flows
Foreign Exchange
58.38
38.91 Option Pricing Model
Interest Rate
248.47
Discounted Cash Flows
129.75 Discounted Cash Flows
Option Pricing Model
Credit
2.71
6.51 Hazard Rate Model
Debt Securities and
Loans
Corporate/
Government/Other
Mortgage & Asset
Backed Securities
1,947.53
811.73 Market Approach
1,510.50
- Discounted Cash Flows
Equity Securities
Unlisted Equity &
Holdings
1,241.61
- Market Approach
Gordon Growth Model
Units in Investment
Funds
Real Estate &
Other Funds
1,074.50
-
Adjusted Nav
Correlation
Dividends Yield
Volatility
Interest rate (bps)
Swap Rate (bps)
Inflation Swap
Rate (bps)
Inflation Volatility
Interest Rate
Volatility
Correlation
Credit Spread
(bps)
Recovery rate
Credit Spread
(bps)
Credit Spread
(bps)
LGD
Default Rate
Prepayment Rate
Price
(% of used value)
Ke
Growth Rate
2%
2%
0%
0%
0.3
0.3
2.9
0%
2%
0%
1.3
0%
0.7
10
0%
0%
0%
0%
7%
2%
1%
11%
20%
20%
7%
37.6
37.6
6.3
2%
35%
20%
329.3
5%
76.5
416
28%
1%
9%
37%
16%
3%
11%
A.4.2 Valuations processes and sensitivities
The Group verifies that the value attributed to each position reflects the current fair value in an appropriate way. Assets and liabilities subject to fair
value measurements are determined using different techniques, among which (but not only) models such as discounted cash flow and internal
models. On the basis of the observability of the input used, all the measurements are classified as Level 1, Level 2 or Level 3 of the fair value
hierarchy.
When a financial instrument, measured at fair value, is valued through the use of one or more significant inputs not directly observable on the
market, a further procedure for the price verification is implemented. These procedures include the revision of relevant historical data, the analysis of
profits and losses, the individual valuation of each component for structural products and benchmarking. This approach uses subjective opinions and
judgments based on experience and, therefore, it could require valuation adjustments which take into account the bid/ask spread, liquidity and
counterparty risk, in addition to the valuation model type adopted.
According to Group Market Risk Governance guidelines, in order to ensure the right separateness of the functions in charge of the model
development and those in charge of the validation processes, all valuation models developed by Group companies’ front offices are independently
tested centrally and validated by the Group Internal Validation functions. The aim of this independent control structure is evaluating the model risk
from a theoretical solidity, calibration techniques eventually applied and appropriateness of the model for a specific product in a defined market point
of views.
In addition to the daily mark-to-market or mark-to-model valuation, the Independent Price Verification (IPV) is applied by from Market Risk function
with the aim of guaranteeing a fair value provided by an independent structure for all instruments, illiquid included.
164 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
Fair value sensitivity to variations in unobservable input used in the fair value computation for instruments categorised as
Level 3
The sensitivities to change in the unobservable parameter for the different financial instrument categories of level 3 valued at fair value are
presented in the table below where: for derivatives on equities, commodities and foreign exchanges is shown the change in value for a 1% shift of
underlying volatility; for interest rate derivatives is indicated the change in value for a 1 basis point shift of underlying curves; for credit derivatives is
reported either the change in value to a 1 basis point shift of credit spread or the CVA impact of a 5% shift of the recovery rate, for debt securities is
presented the change in value to a 1 basis point shift in credit spread, for equities is shown the change in value to a 1% shift in the underlying, for
CIU quotes is indicated the change in value to a 1% shift in NAV.
PRODUCT CATEGORIES
Derivatives
Debt Securities and Loans
Equity Securities
Units in Investment Funds
Financial
Credit
Equities & Commodities
Foreign Exchange
Interest Rate
Corporate/Government/Other
Mortgage & Asset Backed
Securities
Unlisted Equity & Holdings
Real Estate & Other Funds
+/-
+/-
+/-
+/-
+/-
+/-
+/-
+/-
(€ million)
FAIR VALUE MOVEMENTS
18.59
0.02
0.13
11.52
0.46
0.47
12.45
0.26
Within the unlisted Level 3 Units in Investment Funds, measured using a model, the shares in Atlante and Italian Recovery Fund, former Atlante II,
(€352 million at 31 December 2019) are classified and, within Equity Securities, the investments in the Voluntary Scheme (as at 31 December 2019
equal to €16,3 million). For further information, refer to Part B - Section 2 - Financial assets at fair value through profit or loss: c) other financial
assets mandatorily at fair value.
Amongst the financial instruments subject of valuation methods and sensitivity analysis, there are also included ABS issued by securitisation
vehicles as per Italian law 130/99 where the Bank is both originator and underwriter of some issues and quotes of open investment funds acquired
through credit disposal.
A.4.3 Fair value hierarchy
IFRS13 establishes a fair value hierarchy according to the observability of the input used in the valuation techniques adopted for valuations.
The fair value hierarchy level associated to assets and liabilities is set as the minimum level among all significant valuation inputs used.
A valuation input is not considered significant for the fair value of an instrument if the remaining inputs are able to explain the major part of the fair
value variance itself over a period of three months.
In some specific cases, the significance limit is assessed in relation to the fair value of the instrument at the measurement date.
In particular, three levels are considered:
Level 1: fair value for instruments classified within this level is determined according to the quoted prices on active markets;
Level 2: fair value for instruments classified within this level is determined according to the valuation models which use observable inputs on active
markets;
Level 3: fair value for instruments classified within this level is determined according to the valuation models which prevalently use significant
unobservable input on active markets.
Financial instruments are classified to a certain fair value level according to the observability of the input used for the valuation.
Level 1 (quoted prices in active markets): quoted prices (unadjusted) in active markets are available for identical assets or liabilities that the entity
has the ability to access at the measurement date. An active market is a market in which orderly transactions for the asset or liability take place with
sufficient frequency and volume for pricing information to be provided on an on-going basis (e.g. MTS market about prices for most of the
government bonds therein traded).
UniCredit ·2019 Annual Report and Accounts 165
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
Level 2 (observable inputs): inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or
indirectly. Inputs are observable if they are developed on the basis of publicly available information about actual events or transactions and reflect
the assumptions that market participants would use when pricing the asset or liability.
Level 3 (unobservable inputs): inputs other than the ones included in Level 1 and Level 2, not directly observable on the market for the evaluation
of asset and liability, or used for the definition of significant adjustments to fair value. Unobservable inputs shall reflect the assumptions that market
participants would use when pricing the asset or liability, including assumptions about risk.
When fair value is measured directly taking into consideration an observable price and quoted on an active market, the hierarchy attribution process
will assign Level 1. When fair value has to be measured either via Comparable approach or via Mark-to-Model approach, the hierarchy attribution
process will assign Level 2 or Level 3, depending on the observability of all the significant input parameters.
Within the choice among various valuation techniques the Group employs the one which maximises the use of observable inputs.
Transfers between hierarchy levels
The main drivers to transfers in and out the fair value levels (both between L1 and L2 and in/out L3) include changes in market conditions (among
which liquidity parameter) and enhancements to valuation techniques and weights for unobservable inputs used for the valuation itself.
Quantitative and qualitative details about transfers between fair value levels occurred in the period is presented in Part A.4.5 - Fair Value Hierarchy.
A.4.4 Other information
The Group uses the IFRS13 exception for fair value measurements on a net basis with reference to financial assets and liabilities with offsetting
positions of market risk or counterparty credit risk.
166 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
Quantitative information
A.4.5 Fair Value Hierarchy
A.4.5 Fair value hierarchy
The following tables show the portfolios breakdown in terms of (i) financial assets and liabilities valued at fair value as well as (ii) assets and
liabilities not measured at fair value or measured at fair value on a non-recurring basis, according to the above-mentioned levels.
A.4.5.1 Assets and liabilities measured at fair value on a recurring basis: breakdown by fair value levels
FINANCIAL ASSETS/LIABILITIES MEASURED AT FAIR
VALUE
1. Financial assets at fair value through profit or loss
a) Financial assets held for trading
b) Financial assets designated at fair value
c) Other financial assets mandatorily at fair value
2. Financial assets at fair value through other
comprehensive income
3. Hedging derivatives
4. Property, plant and equipment
5. Intangible assets
Total
1. Financial liabilities held for trading
2. Financial liabilities designated at fair value
3. Hedging derivatives
Total
AMOUNTS AS AT 12.31.2019
AMOUNTS AS AT 12.31.2018
(€ million)
LEVEL 1
30,864
23,040
-
7,824
64,341
146
-
-
95,351
11,937
-
166
12,103
LEVEL 2
47,005
39,034
-
7,971
13,124
5,785
-
-
65,914
28,740
9,197
7,020
44,957
LEVEL 3
4,011
1,206
-
2,805
2,237
3
5,983
-
12,234
806
481
-
1,287
LEVEL 1
32,823
25,215
-
7,608
76,844
99
-
-
109,766
13,515
427
100
14,042
LEVEL 2
48,509
37,940
-
10,569
10,392
4,579
-
-
63,480
28,236
8,664
5,907
42,807
LEVEL 3
4,805
2,076
-
2,729
1,044
4
1,413
-
7,266
1,360
227
25
1,612
The item “1. c) Financial assets mandatorily at fair value” at Level 3 as at 31 December 2019 includes the investments in Atlante and Italian
Recovery Fund, former Atlante II (carrying value €352 million) and in “Schema Volontario” (carrying value €16 million).
Since no market valuations or prices of comparable securities are available for “Schema Volontario”, at 31 December 2019 the fair value of such
instrument was determined using internal models (Discounted Cash Flow and Market Multiples) also having as reference the valuation of the
financial assets of the “Schema Volontario” (supported by the advisor in charge) contained in the Rendiconto 2019 of the “Schema Volontario” itself,
while concerning Atlante and Italian Recovery Fund, former Atlante II, the Fair Value was determined having as reference the valuation of the
financial assets provided from the fund itself, supplemented, if appropriate, using internal models (Discounted Cash Flow and Market Multiples).
See Part B - Section 2.5 - Financial assets mandatorily at fair value income for further information.
Transfers between level of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes
for fair value level attribution in some Group entities.
Besides the transfers related to financial assets and liabilities carried at Level 3 detailed in the sections below during the year the following transfers
occurred:
from Level 1 to Level 2 owing to a worsening of the liquidity and price reliability indicators (based on the bid-ask spread, relative size and
applicability of the published prices) collected by third parties as calculated and recorded in the context of the Global Bond IPV process:
- of financial assets measured at fair value through profit or loss (financial assets held for trading, designed at fair value and mandatorily at fair
value) for approximately €653 million.
from Level 2 to Level 1 owing to an improvement of the liquidity and price reliability indicators (based on the bid-ask spread, relative size and
applicability of the published prices) collected by third parties as calculated and recorded in the context of the Global Bond IPV process:
- of financial assets measured at fair value through profit or loss (financial assets held for trading, designed at fair value and mandatorily at fair
value) for approximately €2,230 million;
- of financial assets measured at fair value through reserves (financial assets at fair value through other comprehensive income) for approximately
€2,051 million;
- of financial liabilities measured at fair value through profit or loss (financial liabilities held for trading and designed at fair value) for approximately
€2 million.
UniCredit ·2019 Annual Report and Accounts 167
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
A.4.5.2 Annual changes in assets measured at fair value on a recurring basis (Level 3)
FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS
CHANGES IN 2019
(€ million)
1. Opening balances
2. Increases
2.1 Purchases
2.2 Profits recognised in
2.2.1 Income statement
- of which unrealised gains
2.2.2 Equity
2.3 Transfers from other levels
2.4 Other increases
3. Decreases
3.1 Sales
3.2 Redemptions
3.3 Losses recognised in
3.3.1 Income statement
- of which unrealised losses
3.3.2 Equity
3.4 Transfers to other levels
3.5 Other decreases
of which: business combinations
4. Closing balances
OF WHICH: A)
FINANCIAL
ASSETS HELD
FOR TRADING
2,077
OF WHICH: B)
FINANCIAL
ASSETS
DESIGNATED
AT FAIR
VALUE
-
743
397
263
263
65
X
20
63
1,614
854
-
518
518
202
X
226
16
-
1,206
-
-
-
-
-
X
-
-
-
-
-
-
-
-
X
-
-
-
-
OF WHICH: C)
FINANCIAL
ASSETS
MANDATORILY
AT FAIR
VALUE
2,729
1,254
798
222
222
136
X
39
195
1,178
60
612
146
146
61
X
328
32
-
2,805
FINANCIAL
ASSETS AT FAIR
VALUE THROUGH
OTHER
COMPREHENSIVE
INCOME
1,043
1,437
1,268
95
2
-
93
-
74
243
17
52
131
27
-
104
-
43
-
2,237
TOTAL
4,806
1,997
1,195
485
485
201
X
59
258
2,792
914
612
664
664
263
X
554
48
-
4,011
HEDGING
DERIVATIVES
4
PROPERTY,
PLANT AND
EQUIPMENT
1,413
INTANGIBLE
ASSETS
-
5
-
-
-
-
-
-
5
6
-
-
1
1
-
-
4
1
-
3
5,623
94
2,398
147
26
2,251
-
3,131
1,053
58
-
451
415
141
36
-
544
-
5,983
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
The sub-items “2.2.1 Profits recognised in Income statement” and “3.3.1 Losses recognised in Income statement” in financial assets are included in
the profit and loss in the following items:
Item 80: Net gains (losses) on trading;
Item 90: Net gains (losses) on hedge accounting;
Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss.
The sub-item “2.2.2 Profits recognised in Equity” and the sub-item “3.3.2 Losses recognised in Equity” on fair value on financial assets at fair value
through other comprehensive income are accounted in item “120. Valuation reserves” of shareholder’s equity until the financial assets is not sold,
instant in which cumulative gains and losses are reported: i) if referred to debt securities in income statement under item “100. Gains (Losses) on
disposal and repurchase of: b) financial assets at fair value through other comprehensive income” and ii) if referred to equity instruments in the
shareholder’s equity under item “150. Reserves”; the exception regards the case of impairment and gains and losses on exchange rates on
monetary assets (debt securities) which are reported respectively under item “130. Net losses/recoveries on credit impairment relating to: b) financial
assets at fair value through other comprehensive income” and item “80. Net gains (losses) on trading”.
Transfers between levels of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes
for fair value level attribution in some Group entities and mostly refer to exposure held by UniCredit S.p.A. and UniCredit Bank AG.
168 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
A.4.5.3 Annual changes in liabilities measured at fair value on a recurring basis (Level 3)
1. Opening balances
2. Increases
2.1 Issuance
2.2 Losses recognised in
2.2.1 Income statement
- of which unrealised losses
2.2.2 Equity
2.3 Transfers from other levels
2.4 Other increases
3. Decreases
3.1 Redemptions
3.2 Purchases
3.3 Profits recognised in
3.3.1 Income statement
- of which unrealised gains
3.3.2 Equity
3.4 Transfers to other levels
3.5 Other decreases
of which: business combinations
4. Closing balances
CHANGES IN 2019
FINANCIAL LIABILITIES
DESIGNATED AT FAIR
VALUE
226
620
485
34
13
5
21
97
4
365
9
197
26
6
6
20
127
6
-
481
(€ million)
HEDGING DERIVATIVES
25
25
-
-
-
-
-
-
25
50
-
-
16
16
-
-
12
22
-
-
FINANCIAL LIABILITIES
HELD FOR TRADING
1,360
914
517
313
313
101
X
48
36
1,468
791
24
273
273
156
X
352
28
-
806
The sub-items “2.2.1 Losses recognised in Income statement” and “3.3.1 Profits recognised in Income statement” in financial liabilities are included
in the profit and loss in the following items:
Item 80: Net gains (losses) on trading;
Item 90: Net gains (losses) on hedge accounting;
Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss.
Transfers between levels of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes
for fair value level attribution in some Group entities and mostly refer to exposure held by UniCredit S.p.A. and UniCredit Bank AG.
A.4.5.4 Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis: breakdown by fair value
levels
ASSETS/LIABILITIES NOT MEASURED AT
FAIR VALUE OR MEASURED AT FAIR
VALUE ON A NON-RECURRING BASIS
1. Financial assets at amortised cost
2. Property, plant and equipment held for
investment
3. Non-current assets and disposal groups
classified as held for sale
Total
1. Financial liabilities at amortised cost
2. Liabilities associated with assets
classified as held for sale
Total
AMOUNTS AS AT 12.31.2019
BOOK
VALUE
626,463
LEVEL 1
35,334
FAIR VALUE
LEVEL 2
247,226
LEVEL 3
353,830
AMOUNTS AS AT 12.31.2018
BOOK
VALUE
579,311
LEVEL 1
30,468
FAIR VALUE
LEVEL 2
204,524
(€ million)
LEVEL 3
350,140
324
-
-
324
524
-
-
524
2,512
629,299
704,840
725
705,565
-
35,334
45,688
-
45,688
1,143
248,369
303,979
177
354,331
361,403
2,241
582,076
686,036
151
304,130
44
361,447
540
686,576
9
30,477
39,645
-
39,645
478
205,002
269,214
883
351,547
379,395
-
269,214
35
379,430
The changes occurred between 31 December 2018 and 31 December 2019 in the ratio between fair value and book value for financial assets at
amortised cost reflect the enhancement of the methodology and the parameters adopted for the fair value calculation for disclosure and the
evolution in the benchmark interest rate, in the risk premium and in the probability of default depending on or deriving from markets trend.
UniCredit ·2019 Annual Report and Accounts 169
Consolidated financial statements | Notes to the consolidated accounts
Part A - Accounting policies
These events together with the evolution of the approach to identify the significance of non-observable inputs have been reflected in fair value
hierarchy level distribution.
The book value of items “3. Non-current assets and disposal groups classified as held for sale” (Assets) and “2. Liabilities associated with assets
classified as held for sale” (Liabilities) includes amounts referred to assets and liabilities measured on Balance Sheet on the basis of their cost,
respectively for €1,192 million and €530 million. For further details on these two sub-items see Part B - Section 12 - table 12.1.
A.5 - Information on “day one profit/loss"
The value at which financial instruments are recognised is equal to their fair value on the same date.
The fair value of financial instruments, different from those designated at fair value through profit or loss, at their recognition date is usually assumed
to be equal to the amount collected or paid.
For financial instruments held for trading (see Sections 1.a) and 12 of Part A.2 above) and instruments designated at fair value (see Sections 1.b)
and 13 of Part A.2 above), any difference from the amount collected or paid is posted under the appropriate items of the income statement.
The use of conservative valuation models, the processes described above for revising the models used and related parameters and value
adjustments to reflect model risk ensure that the amount recognised in the income statement is not derived from the use of valuation parameters
that cannot be observed.
More specifically, the calculation of fair value adjustments to reflect model risk ensures that the fair value portion of these instruments relating to the
use of subjective parameters is not recognised in the profit and loss account, but changes the balance sheet value of these instruments.
The presence of further “day one profit” leads to the recognition of a distinct asset component that is the object of linear competition.
Recognition of these portions in the profit and loss account is then made only when objective parameters are applied and therefore the adjustments
are derecognised.
The overall fair value adjustments to reflect these adjustments (amount not recognised in the Income Statement) amounts to +€52 million at 31
December 2019 (+€45 million in 2018).
170 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
Part B - Consolidated balance sheet
Assets
Section 1 - Cash and cash balances - Item 10
1.1 Cash and cash balances: breakdown
a) Cash
b) Demand deposits with Central Banks
Total
AMOUNTS AS AT
12.31.2019
9,163
8,142
17,305
(€ million)
12.31.2018
9,006
21,985
30,991
Section 2 - Financial assets at fair value through profit or loss - Item 20
2.1 Financial assets held for trading: breakdown by product
ITEMS/VALUES
A. Financial assets (non-derivatives)
1. Debt securities
1.1 Structured securities
1.2 Other debt securities
2. Equity instruments
3. Units in investment funds
4. Loans
4.1 Reverse Repos
4.2 Other
Total (A)
B. Derivative instruments
1. Financial derivatives
1.1 Trading
1.2 Linked to fair value option
1.3 Other
2. Credit derivatives
2.1 Trading
2.2 Linked to fair value option
2.3 Other
Total (B)
Total (A+B)
Total Level 1, Level 2 and Level 3
AMOUNTS AS AT
LEVEL 2
LEVEL 1
12.31.2019
LEVEL 3
LEVEL 1
AMOUNTS AS AT
LEVEL 2
(€ million)
12.31.2018
LEVEL 3
11,034
1
11,033
5,618
1,568
2,346
-
2,346
20,566
2,470
2,470
-
-
4
4
-
-
2,474
23,040
2,643
1,752
891
15
1,177
3,780
1,469
2,311
7,615
31,355
31,289
32
34
64
64
-
-
31,419
39,034
713
-
713
-
35
-
-
-
748
429
429
-
-
29
29
-
-
458
1,206
63,280
12,375
85
12,290
7,490
1,340
1,759
-
1,759
22,964
2,237
2,237
-
-
14
14
-
-
2,251
25,215
2,553
1,585
968
27
486
6,311
2,659
3,652
9,377
28,376
27,016
35
1,325
187
185
-
2
28,563
37,940
651
1
650
1
47
39
-
39
738
1,328
1,326
-
2
10
10
-
-
1,338
2,076
65,231
Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information
see Part A - Accounting Policies - A.4 Information on fair value of the notes to the consolidated accounts.
The financial assets and liabilities relating to OTC Derivatives and Reverse repos managed through Central Counterparty Clearing Houses (CCPs)
are offset when (i) the clearing systems of CCPs guarantee the elimination or reduce to immaterial the credit and liquidity risks of these contracts
and (ii) the entity intends to settle these contracts on a net basis, in accordance with IAS32 - Offsetting, in order to improve the presentation of the
liquidity profile and counterparty risk connected with them.
The offset effect as at 31 December 2019, already included in the net presentation of these transactions, totaled €25,101 million (€13,533 million as
at 31 December 2018).
UniCredit ·2019 Annual Report and Accounts 171
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
Item “1. Debt securities" includes securities related to securitisation transactions shown in the following table.
Exposures to securities related to Securitisation transactions
TRANCHING
Senior
Mezzanine
Junior
Total
2.2 Financial assets held for trading: breakdown by borrowers/issuers/counterparties
ITEMS/VALUES
A. Financial assets (non-derivatives)
1. Debt securities
a) Central Banks
b) Governments and other Public Sector Entities
c) Banks
d) Other financial companies
of which: insurance companies
e) Non-financial companies
2. Equity instruments
a) Banks
b) Other financial companies
of which: insurance companies
c) Non-financial companies
d) Other issuers
3. Units in investment funds
4. Loans
a) Central Banks
b) Governments and other Public Sector Entities
c) Banks
d) Other financial companies
of which: insurance companies
e) Non-financial companies
f) Households
Total A
B. Derivative instruments
a) Central counterparties
d) Other
Total B
Total (A+B)
(€ million)
AMOUNTS AS AT
12.31.2019
73
-
-
73
AMOUNTS AS AT
12.31.2019
12.31.2018
(€ million)
14,390
-
8,914
2,629
1,935
4
912
5,633
620
370
156
4,643
-
2,780
6,126
50
2,047
153
1,308
-
2,568
-
28,929
2,724
31,627
34,351
63,280
15,579
-
9,841
3,201
1,512
11
1,025
7,518
707
507
279
6,304
-
1,873
8,109
590
1,485
536
1,505
-
3,993
-
33,079
2,220
29,932
32,152
65,231
2.3 Financial assets designated at fair value: breakdown by product
No data to be disclosed.
Assets are recognised in this item to reduce the accounting mismatch arising from financial instruments measured with changes in fair value in the
income statement in order to manage the risk profile.
Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input.
For further information see Part A - Accounting policies - A.4 Information on fair value of the notes to the consolidated accounts.
2.4 Financial assets designated at fair value: breakdown by borrowers/issuers
No data to be disclosed.
172 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
2.5 Other financial assets mandatorily at fair value: breakdown by product
ITEMS/VALUES
1. Debt securities
1.1 Structured securities
1.2 Other debt securities
2. Equity instruments
3. Units in investment funds
4. Loans
4.1 Structured
4.2 Other
Total
Total Level 1, Level 2 and Level 3
AMOUNTS AS AT
LEVEL 2
5,971
-
5,971
16
51
1,933
-
1,933
7,971
LEVEL 1
7,719
-
7,719
76
29
-
-
-
7,824
12.31.2019
LEVEL 3
259
-
259
450
1,055
1,041
-
1,041
2,805
18,600
AMOUNTS AS AT
LEVEL 2
8,762
5
8,757
44
30
1,733
-
1,733
10,569
LEVEL 1
7,154
-
7,154
417
37
-
-
-
7,608
(€ million)
12.31.2018
LEVEL 3
640
29
611
398
903
788
-
788
2,729
20,906
A financial asset is classified as financial asset mandatorily at fair value if it does not meet the conditions, in terms of business model or cash flow
characteristics, for being measured at amortised cost or at fair value through other comprehensive income.
The item “1. Debt securities” includes investments in FINO Project’s Mezzanine and Junior Notes with a value of €51 million as at 31 December
2019 and Mezzanine and Junior bonds of Prisma securitisation for €3 million.
The item “2. Equity instruments” includes the investment in a “Schema Volontario” (presented among Level 3 instruments) with a value of about €16
million. In 2018 the item included also the residual shares of Bank Pekao S.A. with a value of €416 million, reclassified into such category after the
sale of the 32.8% stake to Powszechny Zakład Ubezpieczeń S.A. and Polish Development Fund S.A. (with subsequent loss of control) occurred in
first half of 2017 and the IFRS9 adoption starting from 2018.
The item “3. Units in investment funds” includes the investments in Atlante and Italian Recovery Fund, former Atlante II, presented among Level 3
instruments, with a value of €352 million as at 31 December 2019.
Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input.
For further information see Part A - Accounting Policies - A.4 Information on fair value of the notes to the consolidated accounts.
Exposures to securities related to Securitisation transactions
TRANCHING
Senior
Mezzanine
Junior
Total
(€ million)
AMOUNTS AS AT
12.31.2019
17
86
63
166
Information about the units of Atlante Fund and Italian Recovery Fund
Refer to Part B Balance sheet - Assets - Section 2 Financial assets at fair value through profit and loss - Item 20 - Information about the units of
Atlante Fund and Italian Recovery Fund of the Company financial statements’ Notes to the accounts that here are intended as completely reported.
Information about the investments in the “Schema Volontario” (Voluntary Scheme)
Following FinecoBank S.p.A. exit from UniCredit group occurred in May 2019, the disclosure of participation in “Schema Volontario” at 31 December
2019 only referred to UniCredit S.p.A.
Refer to Part B Balance sheet - Assets - Section 2 Financial assets at fair value through profit and loss - Item 20 - Information about investment in
the Schema Volontario of the Company financial statements’ Notes to the accounts that here are intended as completely reported.
UniCredit ·2019 Annual Report and Accounts 173
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
2.6 Other Financial assets mandatorily at fair value:breakdown by borrowers/issuers
ITEMS/VALUES
1. Equity instruments
of which: banks
of which: other financial companies
of which: non-financial companies
2. Debt securities
a) Central banks
b) Governments and other Public Sector Entities
c) Banks
d) Other financial companies
of which: insurance companies
e) Non-financial companies
3. Units in investment funds
4. Loans and advances
a) Central banks
b) Governments and other Public Sector Entities
c) Banks
d) Other financial companies
of which: insurance companies
e) Non-financial companies
f) Households
Total
AMOUNTS AS AT
12.31.2019
542
23
308
210
13,949
3
8,221
5,008
656
58
61
1,135
2,974
-
1,130
45
495
-
923
381
18,600
(€ million)
12.31.2018
859
440
317
102
16,556
-
10,547
4,862
1,018
419
129
970
2,521
-
994
47
3
-
1,039
438
20,906
Section 3 - Financial assets at fair value through other comprehensive income - Item 30
3.1 Financial assets at fair value through other comprehensive income: breakdown by product
ITEMS/VALUES
1. Debt securities
1.1 Structured securities
1.2 Other
2. Equity instruments
3. Loans
Total
Total Level 1, Level 2 and Level 3
AMOUNTS AS AT
LEVEL 2
12,164
-
12,164
960
-
13,124
LEVEL 1
64,340
-
64,340
1
-
64,341
12.31.2019
LEVEL 3
1,445
-
1,445
792
-
2,237
79,702
AMOUNTS AS AT
LEVEL 2
9,337
-
9,337
1,055
-
10,392
LEVEL 1
76,843
-
76,843
1
-
76,844
(€ million)
12.31.2018
LEVEL 3
269
-
269
775
-
1,044
88,280
Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input.
For further information see Part A - Accounting Policies - A.4 Information on fair value of the notes to the consolidated accounts.
The Item “1. Debt Securities” includes investments FINO Project’s in instrument Senior and in one part of instrument Mezzanine notes with a value
of €164 million and Senior bonds of Prisma securitisation for €1,215 million.
The Item “2. Equity instruments” includes (i) Banca d’Italia stake (presented among Level 2 instruments), with a value of €913 million and (ii) ABH
Holding SA investments (presented among Level 3 instruments) acquired in contemplation of the sale of PJSC Ukrsotbank to Alfa Group, with a
value of €316 million at 31 December 2019.
174 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
Exposures to securities related to Securitisation transactions
TRANCHING
Senior
Mezzanine
Junior
Total
(€ million)
AMOUNTS AS AT
12.31.2019
1,366
13
-
1,379
Information about the shareholding in Banca d'Italia
Reference is made to the paragraph “Information about the shareholding in Banca d’Italia” - Part B - Balance sheet - Assets - Section 3 - Financial
assets at fair value through other comprehensive income of the parent company UniCredit S.p.A.’s Notes to the accounts, which is herewith quoted
entirely.
3.2 Financial assets at fair value through other comprehensive income: breakdown by borrowers/issuers
ITEMS/VALUES
1. Debt securities
a) Central Banks
b) Governments and other Public Sector Entities
c) Banks
d) Other financial companies
of which: insurance companies
e) Non-financial companies
2. Equity instruments
a) Banks
b) Other issuers
- Other financial companies
of which: insurance companies
- Non-financial companies
- Other
3. Loans and advances
a) Central Banks
b) Governments and other Public Sector Entities
c) Banks
d) Other financial companies
of which: insurance companies
e) Non-financial companies
f) Households
Total
AMOUNTS AS AT
12.31.2019
77,949
1,366
62,692
10,098
2,267
-
1,526
1,753
1,000
753
546
24
205
2
-
-
-
-
-
-
-
-
79,702
The item “2.Equity instruments a) Banks” includes Banca d’Italia stake with a value of €913 million.
3.3 Financial assets at fair value through other comprehensive income: gross value and total accumulated impairments
GROSS VALUE
TOTAL ACCUMULATED IMPAIRMENTS
(€ million)
12.31.2018
86,449
-
78,170
5,830
792
-
1,657
1,831
1,116
715
519
20
194
2
-
-
-
-
-
-
-
-
88,280
(€ million)
STAGE 1
OF WHICH:
INSTRUMENTS
WITH LOW
CREDIT RISK
EXEMPTION
75,306
-
75,306
-
66,031
77,592
-
77,592
-
86,054
X
X
STAGE 2
403
-
403
-
436
-
STAGE 3
-
-
-
STAGE 1
41
-
41
STAGE 2
5
-
5
PARTIAL
ACCUMULATED
WRITE-OFFS(*)
-
-
-
STAGE 3
-
-
-
-
-
-
-
33
X
-
8
-
-
-
-
-
-
-
Debt securities
Loans and advances
12.31.2019
Total
of which: purchased or originated credit-
impaired financial assets
Total
12.31.2018
of which: purchased or originated credit-
impaired financial assets
Note:
(*) Value shown for information purposes
UniCredit ·2019 Annual Report and Accounts 175
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
Section 4 - Financial assets at amortised cost - Item 40
4.1 Financial assets at amortised cost: breakdown by product of loans and advances to banks
AMOUNTS AS AT
12.31.2019
AMOUNTS AS AT
12.31.2018
BOOK VALUE
FAIR VALUE
BOOK VALUE
FAIR VALUE
(€ million)
OF WHICH:
PURCHASED
OR
ORIGINATED
CREDIT-
IMPAIRED
FINANCIAL
ASSETS
STAGE 1
AND
STAGE 2
STAGE 3
LEVEL 1
LEVEL 2
LEVEL 3
STAGE 1
AND
STAGE 2
STAGE 3
OF WHICH:
PURCHASED
OR
ORIGINATED
CREDIT-
IMPAIRED
FINANCIAL
ASSETS
TYPE OF TRANSACTIONS/VALUES
A. Loans and advances to
Central Banks
1. Time deposits
2. Compulsory reserves
3. Reverse repos
4. Other
B. Loans and advances to
banks
1. Loans
1.1 Current accounts and
demand deposits
1.2 Time deposits
1.3 Other loans
- Reverse repos
- Lease Loans
- Other
2. Debt securities
2.1 Structured
2.2 Other
Total
Total Level 1, Level 2 and Level 3
46,583
835
37,363
7,471
914
55,086
51,262
13,539
9,091
28,632
22,799
3
5,830
3,824
1
3,823
101,669
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
9,185
37,268
19,274
-
X
X
X
X
X
X
X
X
X
X
X
X
2,148
16
43,936
42,168
8,931
8,922
X
X
X
X
X
X
X
X
X
X
X
X
2,132
1,768
-
2,132
2,148
-
1,768
53,121
X
X
X
X
X
X
9
-
9
46,199
101,468
120
10,877
7,741
536
54,369
50,529
11,669
8,741
30,119
22,869
1
7,249
3,840
2
3,838
73,643
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
LEVEL 1
LEVEL 2
LEVEL 3
-
X
X
X
X
804
18,490
X
X
X
X
X
X
X
X
1,983
123
42,752
40,588
10,012
10,003
X
X
X
X
X
X
X
X
X
X
X
X
1,860
2,164
-
1,860
1,983
-
2,164
43,556
X
X
X
X
X
X
9
-
9
28,502
74,041
Increase in item “A. Loans and advance to Central Banks” is mostly due to the Compulsory Reserve held toward Central Bank as result of the need
to minimise the effects of negative interest rate.
Loans and advances to banks are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements.
Fair value measurements are classified according to a three level hierarchy that reflects the observability of the inputs used in the measurements.
For further information see Part A - Accounting Policies - A.4 Information on fair value of the Notes to the consolidated accounts.
This table do not include security lending transactions collateralized by securities or not collateralized. These transactions were classified under "off-
balance sheet" exposures of table A.1.4 of Part E - Section 2.1 - Risks of the prudential consolidated perimeter - Quantitative information - A. Credit
Quality. See also the section "Other Information" of Part B of these Consolidated notes to the accounts.
176 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
4.2 Financial assets at amortised cost: breakdown by product of loans and advances to customers
AMOUNTS AS AT
12.31.2019
AMOUNTS AS AT
12.31.2018
BOOK VALUE
FAIR VALUE
BOOK VALUE
FAIR VALUE
(€ million)
TYPE OF TRANSACTIONS/VALUES
1. Loans
1.1 Current accounts
1.2 Reverse repos
1.3 Mortgages
1.4 Credit cards and personal
loans, including wage
assignment
1.5 Lease loans
1.6 Factoring
1.7 Other loans
2. Debt securities
2.1 Structured securities
2.2 Other debt securities
STAGE 1
AND
STAGE 2
470,947
31,857
58,222
STAGE 3
8,754
1,073
-
166,004
3,099
17,824
17,314
13,554
166,172
45,054
19
45,035
307
1,320
176
2,779
39
-
39
OF WHICH:
PURCHASED
OR
ORIGINATED
CREDIT-
IMPAIRED
FINANCIAL
ASSETS
LEVEL 1
LEVEL 2
LEVEL 3
STAGE 1
AND
STAGE 2
18
156
182,040
306,539
454,500
OF WHICH:
PURCHASED
OR
ORIGINATED
CREDIT-
IMPAIRED
FINANCIAL
ASSETS
LEVEL 1
LEVEL 2
LEVEL 3
17
182
152,256
320,590
5
-
4
-
-
-
9
-
-
-
X
X
X
X
X
X
X
33,030
13
33,017
33,186
X
X
X
X
X
X
X
X
X
X
X
X
X
X
12,065
-
12,065
1,092
7
1,085
STAGE 3
14,865
1,555
-
32,763
38,263
162,155
5,890
17,653
18,453
14,001
171,212
36,258
21
36,237
281
2,275
188
4,676
45
-
45
8
-
7
-
-
-
2
-
-
-
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
28,303
13
28,290
28,485
8,712
-
8,712
1,048
9
1,039
160,968
321,638
Total
516,001
8,793
18
194,105
307,631
490,758
14,910
17
Total Level 1, Level 2 and Level 3
534,922
511,091
The column “of which: purchased or originated credit-impaired financial assets” includes impaired loans purchased as part of transactions other than
business combinations.
The sub-items “1.2. Reverse repos" and “1.7 Other loans” do not include security lending transactions collateralized by securities or not
collateralised. These transactions were classified under "off-balance sheet" exposures of table A.1.5 of Part E - Section 2.1 - Risks of the prudential
consolidated perimeter - Quantitative information - A. Credit Quality. See also the section "Other Information" of Part B.
The sub-item “1.7 Other loans” includes:
€7,321 million for trade receivables;
€31,926 million for other non-current account loans;
€23,822 million for pooled transactions;
€17,818 million advances to customers for import/export;
€16,223 million for loans with amortised plan.
The increase in item 2. Debt securities - 2.2. Other debt securities is mainly due to the adoption, from second half of 2018, of a business model held
to collect for new purchases of Italian Government securities that have been consequently classified in item 40. Financial assets at amortized cost.
It should be noted that during the period the sales performed financial assets classified in item “40. Financial assets at amortised cost” have been
non significant being below the threshold established internally.
Loans to customers are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair value
measurements are classified according to a three level hierarchy that reflects the observability of the inputs used in the measurements. For further
information see Part A - Accounting Policies - A.4 Information on fair value of the notes to the consolidated accounts.
The fair value of demand items was estimated to be equal to their net book value by exercising the option provided for by IFRS7.29. According to
this assumption, demand items were classified as Level 3 in the fair value hierarchy.
The fair value of impaired loans was estimated by considering that the realizable value expressed by the net book value is the best estimate of the
future expected cash flows discounted at the valuation date, further adjusted to incorporate, when available, a premium derived from significant
market’s transaction for similar instruments. According to this assumption, impaired loans were classified as Level 3 in the fair value hierarchy.
UniCredit ·2019 Annual Report and Accounts 177
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
It should be noted that the decreases in loans and advances to customers impaired (Stage 3) is mainly attributable to the disposal transactions
(among which Prisma transaction) performed during the period and the strengthening of the rundown of the Non Core perimeter. With regard to the
latter, it should be noted that, in line with the bases underlying the 2020-2023 Strategic Plan, in December 2019 the Boards of Directors of UniCredit
S.p.A. and of the subsidiary UniCredit Leasing S.p.A. took important decisions by introducing a series of management initiatives and actions for the
implementation and strengthening of the rundown strategy of the Non Core perimeter, with the aim of ensuring the complete runoff of the related
credit exposures within the year 2021. This change led, at 31 December 2019, to a change in the parameters used to estimate the recovery values
of credit exposures to customers, which, pursuant to IAS8, qualifies as "change in accounting estimate", since the measurement basis of the loans
has not been modified.
Detailed information on the effects of this change is provided as required by IAS8 in Part E - Information on risks and hedging policies - Section 1 -
Credit risk, under the table “A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values).
For further details see also the Consolidated report on operations and the chapter “Credit quality” in Part E - Information on risks and hedging
policies.
The item “2.2 Other debt securities" include securities related to securitisation transactions shown in the following table.
Exposures to securities related to Securitisation transactions
TRANCHING
Senior
Mezzanine
Junior
Total
4.3 Financial assets at amortised cost: breakdown by borrowers/issuers of loans and advances to customers
(€ million)
AMOUNTS AS AT
12.31.2019
8,414
82
-
8,496
(€ million)
AMOUNTS AS AT
12.31.2019
AMOUNTS AS AT
12.31.2018
TYPE OF TRANSACTIONS/VALUES
1. Debt securities
a) Governments and other Public Sector Entities
b) Other financial companies
of which: insurance companies
c) Non-financial companies
2. Loans
a) Governments and other Public Sector Entities
b) Other financial companies
of which: insurance companies
c) Non-financial companies
d) Households
Total
OF WHICH:
PURCHASED OR
ORIGINATED
CREDIT-
IMPAIRED
FINANCIAL
ASSETS
-
-
-
-
-
18
-
-
-
13
5
18
STAGE 3
39
-
39
-
-
8,754
163
412
3
6,350
1,829
8,793
STAGE 1 OR
STAGE 2
45,054
34,120
9,097
51
1,837
470,947
20,835
89,878
2,615
236,152
124,082
516,001
STAGE 1 OR
STAGE 2
36,258
27,620
7,452
52
1,186
454,500
21,771
70,573
3,131
239,662
122,494
490,758
STAGE 3
45
7
38
-
-
14,865
260
769
6
10,205
3,631
14,910
4.4 Financial assets at amortised cost: gross value and total accumulated impairments
GROSS VALUE
TOTAL ACCUMULATED IMPAIRMENTS
STAGE 1
OF WHICH:
INSTRUMENTS
WITH LOW
CREDIT RISK
EXEMPTION
33,987
-
33,987
X
25,833
48,339
527,231
575,570
X
521,631
STAGE 2
570
44,143
44,713
19
45,374
STAGE 3
51
25,154
25,205
37
38,163
X
X
22
43
STAGE 1
8
1,000
1,008
X
1,029
X
STAGE 2
22
1,583
1,605
-
1,575
STAGE 3
12
16,400
16,412
19
23,253
-
26
12.31.2019
1. Debt securities
2. Loans
Total
of which: purchased or originated credit-
impaired financial assets
Total
of which: purchased or originated credit-
impaired financial assets
12.31.2018
OF WHICH:
PURCHASED OR
ORIGINATED
CREDIT-
IMPAIRED
FINANCIAL
ASSETS
-
-
-
-
-
17
-
-
-
12
5
17
(€ million)
PARTIAL
ACCUMULATED
WRITE-OFFS(*)
-
2,353
2,353
26
2,768
25
Note:
(*) Value shown for information purposes.
178 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
Section 5 - Hedging derivatives - Item 50
5.1 Hedging derivatives: breakdown by hedged risk and fair value hierarchy
A. Financial derivatives
1) Fair value
2) Cash flows
3) Net investment in foreign
subsidiaries
B. Credit derivatives
1) Fair value
2) Cash flows
Total
Total Level 1, Level 2 and Level 3
AMOUNTS AS AT
FAIR VALUE
LEVEL 2
5,785
5,657
128
LEVEL 1
146
146
-
12.31.2019
LEVEL 3
3
3
-
-
-
-
-
146
-
-
-
-
5,785
-
-
-
-
3
5,934
NOTIONAL
AMOUNT
198,909
193,335
5,574
-
-
-
-
198,909
AMOUNTS AS AT
FAIR VALUE
LEVEL 2
4,579
4,433
146
LEVEL 1
99
99
-
12.31.2018
LEVEL 3
4
4
-
-
-
-
-
99
-
-
-
-
4,579
-
-
-
-
4
4,682
(€ million)
NOTIONAL
AMOUNT
199,826
191,898
7,928
-
-
-
-
199,826
Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurement. For
further information see Part A - Accounting policies - A.4 Information on fair value of the notes to the consolidated account.
5.2 Hedging derivatives: composition for covered portfolios and by type of hedging
FAIR VALUE
MICRO-HEDGE
AMOUNTS AS AT
12.31.2019
CASH FLOW
(€ million)
DEBT
SECURITIES
AND
INTEREST
RATES
RISK
EQUITY
INSTRUMENTS
AND EQUITY
INDICES RISK
CURRENCY
AND GOLD
CREDIT
RISK
COMMODITIES
OTHERS
MACRO-
HEDGE
MICRO-
HEDGE
MACRO-
HEDGE
FOREIGN
INVESTMENTS
7
4
X
-
11
2,550
X
2,550
X
X
-
X
X
-
-
X
X
-
X
X
-
-
X
-
-
4
X
4
X
X
-
-
X
-
-
-
X
-
X
X
X
X
X
-
-
-
X
-
X
X
X
X
X
-
-
-
X
-
X
X
X
X
22
X
22
X
152
152
X
3,067
-
-
X
-
-
11
X
11
-
X
X
X
117
X
117
X
-
-
X
-
X
X
X
-
-
X
X
-
X
-
TRANSACTIONS/TYPE OF
HEDGES
1. Financial assets at fair
value through other
comprehensive income
2. Financial assets at
amortised cost
3. Portfolio
4. Other transactions
Total assets
1. Financial liabilities
2. Portfolio
Total liabilities
1. Expected transactions
2. Financial assets and
liabilities portfolio
UniCredit ·2019 Annual Report and Accounts 179
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
Section 6 - Changes in fair value of portfolio hedged items - Item 60
6.1 Changes to macro-hedged financial assets: breakdown by hedged portfolio
CHANGES TO HEDGED ASSETS/GROUP COMPONENTS
1. Positive changes
1.1 Of specific portfolios
a) Financial assets at amortised cost
b) Financial assets at fair value through other comprehensive income
1.2 Overall
2. Negative changes
2.1 Of specific portfolios
a) Financial assets at amortised cost
b) Financial assets at fair value through other comprehensive income
2.2 Overall
Total
Section 7 - Equity investments - Item 70
7.1 Equity investments: information on shareholders’ equity
AMOUNTS AS AT
12.31.2019
5,219
1,931
1,931
-
3,288
1,923
724
724
-
1,199
3,296
(€ million)
12.31.2018
4,304
1,396
1,396
-
2,908
1,865
645
645
-
1,220
2,439
COMPANY NAME
MAIN
OFFICE
ADMINISTRATIVE
OFFICE
TYPE OF
RELATIONSHIP
(1)
NATURE OF
RELATIONSHIP
(5)
HELD BY
HOLDING
%
VOTING
RIGHTS
%(2)
OWNERSHIP RELATIONSHIP
1
2
3
4
5
6
7
8
9
VALUED AT EQUITY METHOD
A.2 INVESTMENTS IN JOINT VENTURES
FIDES LEASING GMBH
VIENNA
VIENNA
Issued capital EUR 36,000
HETA BA LEASING SUED GMBH
Issued capital EUR 36,500
KLAGENFURT
KLAGENFURT
KOC FINANSAL HIZMETLER AS
ISTANBUL
ISTANBUL
Issued capital TRY 6,483,066,144
PALATIN
GRUNDSTUECKVERWALTUNGS
GESELLSCHAFT M.B.H.
Issued capital EUR 36,336
STOCKERAU
STOCKERAU
STICHTING CUSTODY SERVICES YKB
AMSTERDAM
AMSTERDAM
Issued capital EUR 125,000
YAPI KREDI BANK MALTA LTD.
ST. JULIAN'S
ST. JULIAN'S
Issued capital EUR 60,000,000
YAPI KREDI BANK AZERBAIJAN
CLOSED JOINT STOCK COMPANY
Issued capital AZN 55,895,904
BAKU
BAKU
YAPI KREDI BANK NEDERLAND N.V.
AMSTERDAM
AMSTERDAM
Issued capital EUR 48,589,110
YAPI KREDI DIVERSIFIED PAYMENT
RIGHTS FINANCE COMPANY
Issued capital USD 1,000
GEORGE
TOWN
GEORGE
TOWN
10
YAPI KREDI FAKTORING AS
ISTANBUL
ISTANBUL
Issued capital TRY 75,183,837
11
YAPI KREDI FINANSAL KIRALAMA AO
ISTANBUL
ISTANBUL
Issued capital TRY 389,927,705
12
YAPI KREDI HOLDING BV
AMSTERDAM
AMSTERDAM
Issued capital EUR 102,000,000
13
YAPI KREDI PORTFOEY YOENETIMI AS
ISTANBUL
ISTANBUL
Issued capital TRY 8,510,688
14
YAPI KREDI YATIRIM MENKUL
DEGERLER AS
Issued capital TRY 197,682,787
ISTANBUL
ISTANBUL
7
7
7
7
7
7
7
7
7
7
7
7
7
7
180 2019 Annual Report and Accounts · UniCredit
2
2
2
2
2
1
1
1
2
2
2
2
2
2
CALG ANLAGEN LEASING GMBH
UNIVERSALE INTERNATIONAL
REALITAETEN GMBH
UNICREDIT SPA
50.00
50.00
50.00
UNICREDIT LEASING (AUSTRIA) GMBH
50.00
YAPI KREDI BANK NEDERLAND N.V.
40.95
KOC FINANSAL HIZMETLER AS
YAPI KREDI HOLDING BV
YAPI KREDI FINANSAL KIRALAMA AO
YAPI KREDI YATIRIM MENKUL
DEGERLER AS
YAPI VE KREDI BANKASI AS
YAPI KREDI HOLDING BV
YAPI VE KREDI BANKASI AS
YAPI VE KREDI BANKASI AS
ENTERNASYONAL TURIZM YATIRIM
A.S.
YAPI KREDI FINANSAL KIRALAMA AO
YAPI VE KREDI BANKASI AS
YAPI VE KREDI BANKASI AS
YAPI VE KREDI BANKASI AS
YAPI KREDI YATIRIM MENKUL
DEGERLER AS
YAPI VE KREDI BANKASI AS
YAPI KREDI FINANSAL KIRALAMA AO
YAPI VE KREDI BANKASI AS
..
40.95
0.04
0.04
40.87
13.42
27.53
40.95
..
..
40.93
40.95
40.95
35.76
5.18
..
40.94
(4)
87.32
12.65
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
15
COMPANY NAME
YAPI VE KREDI BANKASI AS
Issued capital TRY 8,398,165,828
MAIN
OFFICE
ISTANBUL
ADMINISTRATIVE
OFFICE
ISTANBUL
TYPE OF
RELATIONSHIP
(1)
7
NATURE OF
RELATIONSHIP
(5)
1
HELD BY
KOC FINANSAL HIZMETLER AS
VOTING
RIGHTS
%(2)
HOLDING
%
40.95
OWNERSHIP RELATIONSHIP
A.3 COMPANIES UNDER SIGNIFICANT INFLUENCE
16
ADLER FUNDING LLC
DOVER
NEW YORK
Issued capital USD 2,142,857
17
ALLIANZ YASAM VE EMEKLILIK AS
ISTANBUL
ISTANBUL
Issued capital TRY 139,037,203
18
19
ALLIANZ ZB D.O.O. DRUSTVO ZA
UPRAVLJANJE OBVEZNIM I
DOBROVOLJNIM MIROVINSKIM
FONDOVIMA
Issued capital HRK 105,000,000
ARWAG HOLDING-
AKTIENGESELLSCHAFT
Issued capital EUR 3,000,000
ZAGREB
ZAGREB
VIENNA
VIENNA
20
ASSET BANCARI II
MILAN
MILAN
Issued capital EUR 25,050,203
21
AVIVA SPA
MILAN
MILAN
22
23
24
25
26
Issued capital EUR 247,000,000
BANK FUER TIROL UND VORARLBERG
AKTIENGESELLSCHAFT
Issued capital EUR 68,062,500
BANQUE DE COMMERCE ET DE
PLACEMENTS SA
Issued capital CHF 75,000,000
BARN BV
Issued capital EUR 237,890,000
BKS BANK AG
Issued capital EUR 85,886,000
CAMFIN S.P.A.
Issued capital EUR 1,080,000
INNSBRUCK
INNSBRUCK
GENEVA
GENEVA
AMSTERDAM
AMSTERDAM
KLAGENFURT
KLAGENFURT
MILAN
MILAN
27
CASH SERVICE COMPANY AD
SOFIA
SOFIA
Issued capital BGN 12,500,000
CBD INTERNATIONAL SP.ZO.O.
28
Issued capital PLN 100,500
WARSAW
WARSAW
29
CNP UNICREDIT VITA S.P.A.
MILAN
MILAN
Issued capital EUR 381,698,529
30
COMPAGNIA AEREA ITALIANA S.P.A.
Issued capital EUR 352,940
FIUMICINO
(ROME)
FIUMICINO
(ROME)
31
COMTRADE GROUP B.V.
ROTTERDAM
AMSTERDAM
Issued capital EUR 4,522,000
32
CREDITRAS ASSICURAZIONI SPA
MILAN
MILAN
Issued capital EUR 52,000,000
33
CREDITRAS VITA SPA
MILAN
MILAN
Issued capital EUR 112,200,000
34
DA VINCI S.R.L.
ROME
ROME
35
36
37
38
39
40
41
Issued capital EUR 100,000
INCONTRA ASSICURAZIONI S.P.A.
MILAN
MILAN
Issued capital EUR 5,200,000
MULTIPLUS CARD D.O.O. ZA
PROMIDZBU I USLUGE
Issued capital HRK 5,000,000
NOTARTREUHANDBANK AG
Issued capital EUR 8,030,000
OBERBANK AG
Issued capital EUR 105,768,000
OESTERREICHISCHE KONTROLLBANK
AKTIENGESELLSCHAFT
Issued capital EUR 130,000,000
ZAGREB
ZAGREB
VIENNA
VIENNA
LINZ
LINZ
VIENNA
VIENNA
OESTERREICHISCHE
WERTPAPIERDATEN SERVICE GMBH
Issued capital EUR 100,000
PSA PAYMENT SERVICES AUSTRIA
GMBH
Issued capital EUR 285,000
VIENNA
VIENNA
VIENNA
VIENNA
8
8
8
8
8
8
8
8
8
8
8
8
8
8
8
8
8
8
8
8
8
8
8
8
8
8
5
2
5
5
2
4
1
1
2
1
5
5
2
4
5
5
4
4
5
4
2
2
1
1
2
2
UNICREDIT BANK AG
YAPI KREDI FAKTORING AS
YAPI KREDI FINANSAL KIRALAMA AO
YAPI KREDI YATIRIM MENKUL
DEGERLER AS
YAPI VE KREDI BANKASI AS
ZAGREBACKA BANKA D.D.
IMMOBILIEN HOLDING GMBH
UNICREDIT SPA
UNICREDIT SPA
CABO BETEILIGUNGSGESELLSCHAFT
M.B.H.
UNICREDIT BANK AUSTRIA AG
YAPI VE KREDI BANKASI AS
AO UNICREDIT BANK
CABO BETEILIGUNGSGESELLSCHAFT
M.B.H.
UNICREDIT BANK AUSTRIA AG
UNICREDIT SPA
UNICREDIT BULBANK AD
ISB UNIVERSALE BAU GMBH
UNICREDIT SPA
UNICREDIT SPA
UNICREDIT BANK AG
UNICREDIT SPA
UNICREDIT SPA
IDEA FIMIT SGR FONDO SIGMA
IMMOBILIARE
UNICREDIT SPA
ZAGREB NEKRETNINE DOO
UNICREDIT BANK AUSTRIA AG
CABO BETEILIGUNGSGESELLSCHAFT
M.B.H.
UNICREDIT BANK AUSTRIA AG
CABET-HOLDING GMBH
SCHOELLERBANK
AKTIENGESELLSCHAFT
UNICREDIT BANK AUSTRIA AG
UNICREDIT BANK AUSTRIA AG
32.81
0.04
19.93
0.04
..
49.00
34.38
21.55
49.00
37.53
9.85
30.67
40.00
23.15
6.63
12.70
25.00
49.75
38.80
36.59
21.05
50.00
50.00
37.50
49.00
75.00
25.00
23.76
3.41
24.75
8.26
16.14
29.30
UNICREDIT BANK AUSTRIA AG
24.00
40.51
6.34
24.16
6.14
19.84
25.00
25.97
1.32
UniCredit ·2019 Annual Report and Accounts 181
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
ADMINISTRATIVE
OFFICE
PRAGUE
TYPE OF
RELATIONSHIP
(1)
8
NATURE OF
RELATIONSHIP
(5)
2
HELD BY
UNICREDIT LEASING CZ, A.S.
VOTING
RIGHTS
%(2)
HOLDING
%
50.00
49.86
OWNERSHIP RELATIONSHIP
8
8
8
8
8
5
2
2
2
2
UNICREDIT SPA
UNICREDIT SPA
BA GVG-HOLDING GMBH
UNICREDIT BANK AUSTRIA AG
22.23
37.50
50.00
21.54
YAPI VE KREDI BANKASI AS
30.45
42
43
44
COMPANY NAME
RCI FINANCIAL SERVICES S.R.O.
Issued capital CZK 70,000,000
RISANAMENTO SPA
Issued capital EUR 197,951,784
TORRE SGR S.P.A.
Issued capital EUR 3,200,000
MAIN
OFFICE
PRAGUE
MILAN
ROME
MILAN
ROME
45
UNI GEBAEUDEMANAGEMENT GMBH
LINZ
LINZ
VIENNA
VIENNA
ISTANBUL
ISTANBUL
46
47
Issued capital EUR 18,168
WKBG WIENER
KREDITBUERGSCHAFTS- UND
BETEILIGUNGSBANK AG
Issued capital EUR 15,550,309
YAPI KREDI KORAY GAYRIMENKUL
YATIRIM ORTAKLIGI AS
Issued capital TRY 40,000,000
Notes:
(1) Type of relationship:
7 = joint control;
8 = associates.
(2) Voting rights available at the general meeting. Voting rights are disclosed only if different from the percentage of ownership;
(3) Company owned by an entity fully consolidated under IFRS10;
(4) SPV consolidated IFRS11;
(5) Nature of relationship:
1= Banks;
2= Financial entities
3= Ancillary banking entities services;
4= Insurance enterprises;
5= Non-financial enterprises;
6= Other equity investments.
See Section 3 of Part A - Accounting Policies for a description of the consolidation procedures and scope.
Companies consolidated at equity, including those ones classified as non-current assets and asset disposal groups, decreased from 54 as at 31
December 2018 to 47 as at 31 December 2019 due to 7 disposals, changes of the consolidation method and mergers.
We remind that after the application of IFRS11, starting from 1 January 2014, the option to consolidate joint controlled entities proportionally has
been eliminated, imposing the net equity method for those companies that fall in the scope of the aforementioned IFRS11.
The following table shows changes in equity investments in Joint Ventures and in companies under significant influence (consolidated at Net Equity).
Equity investments in joint ventures and in companies under significant influence (consolidated at net equity): annual changes
A. Opening balance (from previous year)
B. Increased by
B.1 Newly established companies
B.2 Change of the consolidation method
B.3 Entities consolidated for the first time in the year
C. Reduced by
C.1 Disposal/Liquidation
C.2 Change of the consolidation method
C.3 Absorption by other entities
C.4 Other changes
D. Closing balance
NUMBER OF COMPANIES
54
-
-
-
-
7
5
2
-
-
47
Increases
During the period there were no changes in newly established companies, change of the consolidation method and entities consolidated for the first
time in the year.
182 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
Reductions
Disposal/Liquidation
COMPANY NAME
OESTERREICHISCHE HOTEL - UND
TOURISMUSBANK GESELLSCHAFT M.B.H.
MAIN OFFICE
VIENNA
COMPANY NAME
SWANCAP PARTNERS GMBH
NAUTILUS TANKERS LIMITED
LA VALLETTA
PURGE GRUNDSTUECKSVERWALTUNGS-
GESELLSCHAFT M.B.H. IN LIQ.
MEDIOBANCA BANCA DI CREDITO FINANZIARIO SPA
MILAN
MAIN OFFICE
MUNICH
VIENNA
Change of the consolidation method
COMPANY NAME
EUROPROGETTI & FINANZA S.R.L. IN LIQUIDAZIONE
MAIN OFFICE
ROME
COMPANY NAME
PAYDIREKT BETEILIGUNGSGESELLSCHAFT
PRIVATER BANKEN MBH
MAIN OFFICE
BERLIN
Joint ventures and the companies under significant influence that changed their names during the year
COMPANY NAME
ALLIANZ ZB D.O.O. DRUSTVO ZA UPRAVLJANJE
OBVEZNIM I DOBROVOLJNIM MIROVINSKIM
FONDOVIMA (ex. ALLIANZ ZB D.O.O. DRUSTVO ZA
UPRAVLJANJIE OBVEZNIM MIROVINSKIM FONDOM)
MAIN OFFICE
ZAGREB
The following table shows the breakdown of item “70.Equity investments”, reporting the adopted accounting method, held either directly or through
consolidated subsidiaries.
Joint ventures accounted for under equity method
Associates accounted for under equity method
Entities controlled either directly or through consolidated subsidiaries held at cost
Joint Venture held either directly or through consolidated subsidiaries held at cost
Associates held either directly or through consolidated subsidiaries held at cost
Total
NUMBER OF ENTITY
14
31
196
8
14
263
(€ million)
CARRYING VALUE
1,003
3,698
81
-
5
4,787
Reduction of UniCredit stake in Yapi Kredi Bank below 32%
On 30 November 2019, UniCredit S.p.A. and Koç Group entered into a set of agreements related to certain shares transfers (as better described
below) and to the termination of the exisiting shareholders agreement related to Koç Finansal Hizmetleri A.S. (“KFS”), the Turkish joint venture
vehicle through which Koç Group and UniCredit have run a commercial banking operation in Turkey since 2002 and which currently owns a
controlling stake in Yapı ve Kredi Bankası A.Ş. (“YKB”), listed on the Istanbul Stock Exchange.
In particular, the agreements envisage that upon completion of the transaction, which is subject to regulatory approvals:
Koç Group will acquire UniCredit’s entire 50% shareholding in KFS, thereby becoming the sole owner of KFS,
KFS will simultaneously sell 31.93% and 9.02% stakes in YKB to UniCredit and Koç Holding A.Ş. (“Koç Holding”), respectively,
and
simultaneously, the shareholders agreement related to KFS will be terminated.
As a result, at closing of transaction, UniCredit will own a direct 31.93% stake in YKB, reducing the current participation by 9.02% (from an indirect
40.95% stake, to a direct 31.93% stake) also losing Joint Control on YKB but keeping significant influence.
The completion of the transaction is subject to regulatory approvals in all relevant jurisdictions and is expected to take place in the first half 2020.
In consolidated financial statements as of 31 December 2019 the 9.02% stake in YKB has been reclassified in item “120. Non current assets and
disposal groups classified as held for sale”, as, at the same date, disposal is highly probable.
UniCredit ·2019 Annual Report and Accounts 183
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
The classification in item “120. Non current assets and disposal groups classified as held for sale” of 9.02% stake in YKB, rather than the full 50% of
the stake directly held in KFS stems from:
IAS 28 which requires that the change from joint control to significance influence shall be accounted for by derecognizing the pro-rata share of the
net equity (i.e. 9.02%), corresponding to the investment being sold without re-measuring at fair value the retained portion;
the observation that, being KFS the purpose entity for holding Yapi stake, and considering that at UniCredit consolidated level the 50% stake in
KFS is substantially represented as 40.95% stake in Yapi, the application of the equity method to KFS effectively results in recognizing the pro-rata
share of the net equity of Yapi; therefore the current transaction, should be accounted for through the proportional derecognition of the stake sold
(9.02%).
Consistently with such classification, the 9.02% stake in YKB has been measured at its fair value less costs to sell being this value below its carrying
amount.
Thus, in consolidated financial statements as of 31 December 2019 the re-measurement process of the stake (from 40.95% to 31.93%) determined
the recognition of a loss equal to -€314 million.
With reference to the remaining 31.93% stake, no change is envisaged in its accounting treatment, still continuing to be accounted for through equity
method and subject to impairment test. With reference to the latter please note that the recoverable amount has been assumed to be equal to fair
value resulting from Yapi market quotation, in light of the stated non-strategic nature of the investment, as well as the expectation about its gradual
disposal; as a result, an impairment for -€51 million has been recognized on the retained 31.93% investment as of 31 December 2019.
Finally please note that the valuation reserves, also including the Foreign exchange Reserve, recognized for such investments, (i.e. both the 9,02%
component being classified as “Held for sale” and the retained component of 31,93%) will be derecognized and recycled in Income statement or
retained earnings, as per type of reserve, at closing.
In light of the circumstance that the transaction foresees the full disposal of the stake held in KFS, in separate financial statements of UniCredit
S.p.A. the overall investment held has been classified in item “110. Non current assets and disposal groups classified as held for sale” and
measured at fair value less costs of disposal. Therefore on 31 December 2019 the transaction generates a negative Profit & Loss effect equal to
approx. €510 million related to the need to adjust the carrying value to the sale price of KFS.
Accelerated bookbuilding of 8.4% of Mediobanca
As at 31 December 2018, UniCredit S.p.A. was the major shareholder of Mediobanca Banca di Credito Finanziario S.p.A. (“Mediobanca”) with a
stake of 8.4% in its shareholders equity. Despite the previous shareholders agreement ceased at the end of 2018, the subscription of a new
agreement, starting from 1 January 2019, allowed the Group to continue to exercise a significant influence on Mediobanca and, as a result, to carry
on classifying the stake owned as an investment in associates. In particular the new agreement allowed UniCredit to be still represented in the
Board of Director and to participate to financial and managerial decisions of Mediobanca.
On 6 November 2019, UniCredit S.p.A. announced the launch of a placement of its total stake held in Mediobanca - Banca di Credito Finanziario
S.p.A., equal to 8.4% of the issued share capital. On the same day, the successful completion of the operation was announced, following the
placement to institutional investors of No.74.5 million of ordinary shares at a price of €10.53 per share. The price represents a discount of 2.3% to
the last pre-announcement closing price of Mediobanca. Gross proceeds of the placement amount to €785 million determining a loss for €16mn in
consolidated financial statements (gain of €31 million for UniCredit S.p.A.).
The shares sold represented UniCredit S.p.A.'s entire shareholdings in Mediobanca.
184 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
7.2 Significant Shareholdings: book value, fair value and dividends received
COMPANY NAME
A. Companies under joint control
YAPI VE KREDI BANKASI AS
B. Companies subject to significant influence
AVIVA S.P.A.
BANK FUER TIROL UND VORARLBERG
AKTIENGESELLSCHAFT
BKS BANK AG
CNP UNICREDIT VITA S.P.A.
CREDITRAS VITA S.P.A.
OBERBANK AG
OESTERREICHISCHE KONTROLLBANK
AKTIENGESELLSCHAFT
Total
BALANCE SHEET
VALUE
1,001
220
754
350
352
490
786
401
4,354
FAIR
VALUE(*)
1,001
464
204
914
2,583
DIVIDENDS
RECEVED(**)
(€ million)
NOTE(***)
-
-
5
3
-
-
11
16
35
(1)
(2)
(1)
(1)
(2)
(2)
(1)
(2)
Notes:
(*) It should be noted that all investments in listed associates show a fair value at Level 1 (L1).
(**) Dividends received by the investor company.
(***) In the present table and in the following relating to significant shareholdings the values of Yapi Ve Kredi Bankasi AS are referred to 2019 financial statements approved; for the other companies the values are in line with
IAS28 requirements.
(1) It should be noted that on the basis of the international accounting standards, equity investments in associates listed on regulated markets with a fair value (quotation) lower than consolidated book value are impairment
tested by calculating recoverable value, stated as the greater of fair value net of costs to sell and value in use, and an impairment loss is recognised when the recoverable value is lower than the book value.
As at 31 December 2019 for Bank Fuer Tirol un Vorarlberg Aktiengesellschaft the recoverable value of the equity investments in associates listed on regulated markets was higher than the book value and it was recognised
a write-back; for Bks Bank AG for which the recoverable value was lower a write-down was recognised (for further details see the information provided in Part C - Section 17).
It should be noted that Koc Finansal Hizmetler AS and 9.02% of the shareholding in the subsidiary Yapi Ve Kredi Bankasi AS has been reclassified in item “Non-current assets and disposal groups classified as held for sale”;
for more details see Section 7.1.The residual stake of 31.93% remained in this item has a fair value (quotation) pro rata equal to €1,001 million; please note that a write-down was recognised (for more details see Part C -
Section 17).
For Oberbank AG no write-downs or wrirte-back were recognized during the year.
(2) Note that on the basis of the international accounting standards, equity investments in associates for which there is clear evidence of occurrence of events that may reduce their value, are impairment tested by
calculating recoverable value, stated as the greater of fair value net of costs to sell and value in use, and an impairment loss is recognised when the said recoverable value is lower than the book value. Note that none
additional write-downs were recognised for these companies.
Financial information of the investee companies used for the purposes of measurement with the net equity method is presented below. These
figures include any adjustments made in line with IFRS12 requirements. As regards the Yapi Ve Kredi Bankasi AS equity investment the figures
refer to the data of the related sub-group for the stake of 31.93% held in the equity.
UniCredit ·2019 Annual Report and Accounts 185
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
7.3 Significant Shareholdings: accounting information
COMPANY NAME
A. Companies under joint control
YAPI VE KREDI BANKASI AS
B. Companies subject to significant influence
AVIVA S.P.A.
BANK FUER TIROL UND VORARLBERG
AKTIENGESELLSCHAFT
BKS BANK AG
CNP UNICREDIT VITA S.P.A.
CREDITRAS VITA S.P.A.
OBERBANK AG
OESTERREICHISCHE KONTROLLBANK
AKTIENGESELLSCHAFT
continued: 7.3 Significant Shareholdings: accounting information
CASH AND
LIQUID
ASSETS
FINANCIAL
ASSET
NON-
FINANCIAL
ASSET
FINANCIAL
LIABILIES
NON-
FINANCIAL
LIABILITIES
TOTAL
REVENUES
(€ million)
THE
INTEREST
MARGIN
254
18,363
16,555
1,128
2,418
650
899
504
480
148
1,053
1,635
451
-
14,162
10,100
7,328
491
20,490
19,334
356
242
14,419
9,511
696
4,342
393
275
3,225
775
733
32,191
128
30,082
1,616
442
13,888
10,618
8,058
14,765
29,237
21,799
X
X
X
X
X
X
X
X
X
X
X
X
X
X
COMPANY NAME
A. Companies under joint control
YAPI VE KREDI BANKASI AS
B. Companies subject to significant influence
AVIVA S.P.A.
BANK FUER TIROL UND VORARLBERG
AKTIENGESELLSCHAFT
BKS BANK AG
CNP UNICREDIT VITA S.P.A.
CREDITRAS VITA S.P.A.
OBERBANK AG
OESTERREICHISCHE KONTROLLBANK
AKTIENGESELLSCHAFT
ADJUSTMENTS
TO THE BACKS
ON TANGIBLE
AND
INTAGIBLE
ASSETS
PROFIT (LOSS)
FROM
CONTINUING
OPERATIONS
BEFORE
TAXES
PROFIT (LOSS)
FROM
CONTINUING
OPERATIONS
NET OF TAX
PROFIT
(LOSS) FROM
GROUP OF
ASSETS HELD
FOR SALE
NET OF TAX
OTHER
COMPREHENSIVE
INCOME,
NET OF TAX
(2)
NET PROFIT
(LOSS)
(1)
OTHER
COMPREHENSIVE
INCOME
(3)=(1)+(2)
(29)
X
X
X
X
X
X
X
216
112
151
95
75
147
293
62
172
82
118
85
50
102
236
48
-
-
-
-
-
-
-
-
172
82
118
85
50
102
236
48
(77)
-
(8)
(3)
14
147
(13)
(12)
95
82
110
82
65
249
223
35
For each significant equity investments the reconciliation between the book value of the equity investment and summarised financial information of
the companies is reported below.
COMPANY NAME
A. Companies under joint control
YAPI VE KREDI BANKASI AS
B. Companies subject to significant influence
AVIVA S.P.A.
BANK FUER TIROL UND VORARLBERG AKTIENGESELLSCHAFT
BKS BANK AG
CNP UNICREDIT VITA S.P.A.
CREDITRAS VITA S.P.A.
OBERBANK AG
OESTERREICHISCHE KONTROLLBANK AKTIENGESELLSCHAFT
With reference to the nature of the relationships see Section 7.1.
BALANCE SHEET
VALUE
EQUITY
PROQUOTA
GOODWILL ON
CONSOLIDATION
(€ million)
1,001
1,832
220
754
350
352
490
786
401
220
797
365
352
490
786
401
-
-
-
-
-
-
-
-
The carrying amount of the investments in Yapi Ve Kredi Bankasi AS, in Bank Fuer Tirol und Vorarlberg Aktiengesellschaft and in Bks Bank AG is
affected by write-downs and the related exchange rate effect made in previous and current years.
186 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
Summarised financial information are disclosed for the related stake in the equity held.
7.4 Non-significant equity investments: accounting information
(€ million)
BALANCE
SHEET VALUE
OF
SHAREHOLDING
TOTAL
ASSET
TOTAL
LIABILITIES
TOTAL
REVENUES
PROFIT
(LOSS) FROM
CONTINUING
OPERATIONS
NET OF TAX
PROFIT (LOSS)
FROM
DISCONTINUED
OPERATIONS,
NET OF TAX
NET
PROFIT
(LOSS)
(1)
OTHER
COMPREHENSIVE
INCOME, NET OF
TAX
(2)
COMPREHENSIVE
INCOME
(3) = (1) + (2)
Companies under joint
control
Companies subject to
significant influence
2
21
19
343
2,919
2,472
0
273
0
55
-
-
0
55
-
37
0
92
Notes:
For the following the companies Compagnia Aerea Italiana S.p.A. and Risanamento S.p.A. included in Companies subject to significant influence the book value in the consolidated financial statements reflects the results of
a valuation at individual level made by UniCredit S.p.A.
Note that on the basis of the international accounting standards, equity investments in associates for which there is objective evidence of occurrence of events that may reduce their value, are impairment tested by
calculating recoverable value, understood as the greater of fair value net of costs to sell and value in use, and an impairment loss is recognised when the said recoverable value is lower than the book value. Note that a
write-back was recognised for Risanamento S.p.A. and Camfin S.p.A. (for more details see Part C - Section 17).
7.5 Equity investments: annual changes
A. Opening balance
B. Increases
of which: business combinations
B.1 Purchases
B.2 Write-backs
B.3 Revaluation
B.4 Other changes
C. Decreases
of which: business combinations
C.1 Sales
C.2 Write-downs
C.3 Impairment
C.4 Other changes
D. Closing balance
E. Total revaluation
F. Total write-downs
CHANGES IN
2019
5,502
828
-
20
25
-
783
1,543
790
790
382
-
371
4,787
-
2,455
(€ million)
2018
6,212
1,324
1
485
27
-
812
2,034
-
2
897
-
1,135
5,502
-
2,205
7.6 Valuation and significant assumptions to establish the existence of joint control or significant influence
The Group has classified among associates the entities governed through voting rights with reference to which it can participate in defining the
operating or financial policies through possession of at least 20% of the voting rights or the possibility of appointing members of the governing body.
In particular, as shown in Table “7.1 Equity investments: information on shareholding relationships”, it should be noted that the investee CAMFIN
S.p.A. is classified among associates, although the Group does not have more than 20% of the voting rights, in virtue of the possibility of appointing
members of the governing body.
The Group has classified its investees among jointly-controlled equity investments in the presence of agreements that state that decisions on
significant activities are taken with the unanimous consent of all parties that share control.
These agreements, in particular, attribute to the Group rights related only to the net assets and not rights to the assets and obligations on the
liabilities of the investee.
As at 31 December 2019 the following were carried at cost:
14 equity investments (all held either directly or through consolidated subsidiaries) in associates;
8 equity investments (of which 2 held either directly or through consolidated subsidiaries) in jointly-controlled companies.
Based on available information, it should be considered that their consolidation at equity would not have impacted significantly the Group
Shareholders’ equity.
UniCredit ·2019 Annual Report and Accounts 187
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
7.7 Commitments related to equity investments in jointly-controlled companies
There are no commitments related to jointly-controlled companies.
7.8 Commitments related to equity investments in companies subject to significant influence
There are no commitments related to companies subject to significant influence.
7.9 Significant restrictions
As at 31 December 2019, we note, with reference to Value Transformation Services S.p.A., the existence of a shareholders' agreement which limits
the Group's possibility to participate in the profits, in the form of dividend distribution, and in the losses to a maximum amount of €300,000.
Even though not directly concluded by UniCredit S.p.A. or one of its subsidiaries, we disclose the existence of contractual agreements between
Compagnia Area Italiana (CAI) and its subsidiary Alitalia SAI, company that is into special administration, that limit the ability of the latter to distribute
dividends to the achievement of certain parameters in terms of liquidity and income margins.
Finally the ability to receive dividends or capital distributions from associates is subordinated to the majority, also qualified, or unanimous decision of
the relevant corporate body as provided by the law or by specific shareholder agreements.
7.10 Other information
With reference to significant equity investments in associates and jointly-controlled companies, the net equity method was applied starting from the
2019 draft financial statements approved by the competent corporate bodies or from the reports approved in the three previous months.
With reference to non-significant equity investments in associates and jointly-controlled companies, in limited cases financial statements or reports
with a date prior to 3 months from 31 December 2019 were used, if no more up-to-date reports were available.
However, if financial statements or reports with a date other than 31 December 2019 were used, no subsequent transactions or events emerged
such as to require an adjustment of the results contained therein.
It should be noted that for the associated companies Risanamento S.p.A. and Compagnia Aerea Italiana S.p.A., the book value in the consolidated
financial statements reflects the valuation of the investments, carried out by UniCredit S.p.A. at individual level.
Section 8 - Insurance reserves charged to reinsurers - Item 80
No data to be disclosed.
Section 9 - Property, plant and equipment - Item 90
Property, plant and equipment, which include land, buildings used in the business, real estate investments, technical furniture and fittings,
inventories of tangibles assets ruled by IAS2 amount to €11,097 million at the end of 2019, compared to €8,804 million at the end of 2018.
It should be noted that as result of the retrospective application, starting from 1 January 2018, of the change in measurement criteria of real estate
held for investment, the amounts presented for 31 December 2018 are different from those published.
Furthermore, starting from 1 January 2019, IFRS16 has become effective; therefore the tables below have been modified in compliance with the 6th
update to the Circular 262 of Banca d’Italia with the introduction of specific items dedicated to the right of use.
Refer to Part A - Section 5 - Other Matters, for further details on these topics.
188 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
9.1 Property, plant and equipment used in the business: breakdown of assets carried at cost
ASSETS/VALUES
1. Owned assets
a) Land
b) Buildings
c) Office furniture and fitting
d) Electronic systems
e) Other
2. Right of use of Leased Assets
a) Land
b) Buildings
c) Office furniture and fitting
d) Electronic systems
e) Other
Total
of which: obtained by the enforcement of collateral
AMOUNTS AS AT
12.31.2019
1,590
-
-
216
468
906
2,167
1
2,125
1
1
39
3,757
-
(€ million)
12.31.2018
6,207
1,238
2,161
232
464
2,112
-
-
-
-
-
-
6,207
1
The decrease in item 1. Owned assets - e) Other is mainly due to the sale of Ocean Breeze Energy GmbH and the consequent derecognition of the
associated windmill park. These assets were classified as non current assets held for sale in June 2019 and disposed in December determining a
write-down equal to -€315 million. It should be noted that the overall effect of the disposal of Ocean Breeze Energy GmbH was a loss of -€339
million; this amount includes the loss on disposal recognized at the time of the sale.
9.2 Property, plant and equipment held for investment: breakdown of assets carried at cost
ASSETS/VALUES
1. Owned assets
a) Land
b) Buildings
2. Right of use of Leased Assets
a) Land
b) Buildings
Total
AMOUNTS AS AT
BOOK
VALUE
324
289
35
-
-
-
324
LEVEL 1
-
-
-
-
-
-
-
12.31.2019
FAIR VALUE
LEVEL 2
-
-
-
-
-
-
-
of which: obtained by the enforcement of
collateral
-
-
-
Total Level 1, Level 2 and Level 3
LEVEL 3
324
289
35
-
-
-
324
-
324
AMOUNTS AS AT
BOOK
VALUE
524
288
236
-
-
-
524
LEVEL 1
-
-
-
-
-
-
-
12.31.2018
FAIR VALUE
LEVEL 2
-
-
-
-
-
-
-
-
-
-
(€ million)
LEVEL 3
524
288
236
-
-
-
524
-
524
Fair value measurements solely for the purpose of fulfilling disclosure requirements were classified according to a hierarchy of levels reflecting the
significance of the valuation inputs. For further information see Part A - Accounting Policies - A.4 Information on fair value.
It should be noted that the amount presented for land and buildings refers to asset under construction out of scope of the change in measurement
criteria.
As at 31 December 2019, a write-down equal to €228 million has been recognized, in compliance with IAS36 requirements and with reference to
item “1. Owned assets - b) Building”, on real estate held by Capital Dev S.p.A. and its subsidiaries, fully consolidated by UniCredit group; this write-
down has been recognized in order to align their carrying amount value to the economic conditions defined in the pre-agreements, closed with a
counterparty external to the Group, that foresee, inter alia, the sale by UniCredit of (i) the shares of Capital Dev S.p.A.; (ii) the credit exposures
toward Capital Dev S.p.A. and its subsidiaries.
UniCredit ·2019 Annual Report and Accounts 189
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
9.3 Property, plant and equipment used in the business: breakdown of revalued assets
ASSETS/VALUES
1. Owned assets
a) Land
b) Buildings
c) Office furniture and fitting
d) Electronic systems
e) Other
2. Right of use of Leased Assets
a) Land
b) Buildings
c) Office furniture and fitting
d) Electronic systems
e) Other
Total
of which: obtained by the enforcement of collateral
Total Level 1, Level 2 and Level 3
AMOUNTS AS AT
LEVEL 2
-
-
-
-
-
-
-
-
-
-
-
-
-
-
LEVEL 1
-
-
-
-
-
-
-
-
-
-
-
-
-
-
12.31.2019
LEVEL 3
5,003
1,921
3,082
-
-
-
-
-
-
-
-
-
5,003
-
5,003
AMOUNTS AS AT
LEVEL 2
-
-
-
-
-
-
-
-
-
-
-
-
-
-
LEVEL 1
-
-
-
-
-
-
-
-
-
-
-
-
-
-
9.4 Property, plant and equipment held for investment: breakdown of assets designated at fair value
ASSETS/VALUES
1. Owned assets
a) Land
b) Buildings
2. Right of use of Leased Assets
a) Land
b) Buildings
Total
of which: obtained by the enforcement of collateral
Total Level 1, Level 2 and Level 3
AMOUNTS AS AT
LEVEL 2
-
-
-
-
-
-
-
-
LEVEL 1
-
-
-
-
-
-
-
-
12.31.2019
LEVEL 3
919
413
506
61
39
22
980
11
980
AMOUNTS AS AT
LEVEL 2
-
-
-
-
-
-
-
-
LEVEL 1
-
-
-
-
-
-
-
-
(€ million)
12.31.2018
LEVEL 3
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
(€ million)
12.31.2018
-
LEVEL 3
1,413
603
810
-
-
1,413
18
1,413
9.5 Inventories of property, plant and equipment regulated by IAS2: breakdown
ASSETS/VALUES
1. Inventories of property, plant and equipment obtained through the enforcement of guarantees
received
a) Land
b) Buildings
c) Office furniture and fitting
d) Electronic systems
e) Other
2. Other inventories of property, plant and equipment
Total
of which: measured at fair value less costs to sell
AMOUNTS AS AT
12.31.2019
12.31.2018
(€ million)
625
40
572
-
-
13
408
1,033
12
334
43
273
-
-
18
326
660
12
It should be noted that the increase of €299 million in item “1. Inventories of property, plant and equipment - b) Buildings” is attributable to the
enforcement of guarantees underlying credit exposure.
190 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
9.6 Property, plant and equipment used in the business: annual changes
A. Gross opening balance
A.1 Total net reduction in value
A.2 Net opening balance
B. Increases
B.1 Purchases
of which: business combinations
B.2 Capitalised expenditure on improvements
B.3 Write-backs
B.4 Increases in fair value
a) In equity
b) Through profit or loss
B.5 Positive exchange differences
B.6 Transfer from properties held for investment
B.7 Other changes
C. Reductions
C.1 Disposals
of which: business combinations
C.2 Depreciation
C.3 Impairment losses
a) In equity
b) Through profit or loss
C.4 Reduction of fair value
a) In equity
b) Through profit or loss
C.5 Negative exchange differences
C.6 Transfer to
a) Property, plant and equipment held for
investment
b) Non-current assets and disposal groups
classified as held for sale
C.7 Other changes
D. Net final balance
D.1 Total net reduction in value
D.2 Gross closing balance
E. Carried at cost
CHANGES IN 2019
OFFICE
FURNITURE
AND FITTINGS
1,295
(1,063)
232
35
31
-
-
-
-
-
-
-
X
4
50
5
2
39
4
-
4
-
-
-
-
-
ELECTRONIC
SYSTEMS
2,713
(2,249)
464
180
166
-
-
-
-
-
-
2
X
12
175
12
11
151
5
-
5
-
-
-
-
1
(€ million)
TOTAL
12,983
(6,776)
6,207
5,806
1,011
-
70
32
2,090
2,088
2
13
5
2,585
3,253
450
138
855
299
-
299
210
1
209
9
1,289
OTHER
3,422
(1,310)
2,112
488
373
-
-
4
-
-
-
1
X
110
1,655
134
2
251
260
-
260
-
-
-
4
943
X
X
X
35
-
2
217
(1,008)
1,225
-
1
6
469
(2,260)
2,729
-
943
63
945
(848)
1,793
-
1,254
141
8,760
(4,345)
13,105
3,124
LANDS
1,238
-
1,238
953
51
-
-
2
889
889
-
-
5
6
269
28
24
2
3
-
3
95
-
95
1
124
2
122
16
1,922
-
1,922
1,128
BUILDINGS
4,315
(2,154)
2,161
4,150
390
-
70
26
1,201
1,199
2
10
-
2,453
1,104
271
99
412
27
-
27
115
1
114
4
221
33
188
54
5,207
(229)
5,436
1,996
It should be noted that the amount reported under item “B. Increases - B.7 Other changes” also include the opening balances of the right of use
recognized as a result of IFRS16 introduction. For additional information, refer to Part A - Section 5 - Other matters of the Notes to the consolidated
accounts.
Furthermore, Item “E. Carried at cost” also include the carrying amount of right of use measured according to the cost model.
UniCredit ·2019 Annual Report and Accounts 191
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
9.7 Property, plant and equipment held for investment: annual changes
A. Opening balances
B. Increases
B.1 Purchases
of which: business combinations
B.2 Capitalised expenditure on improvements
B.3 Increases in fair value
B.4 Write-backs
B.5 Positive exchange differences
B.6 Transfer from properties used in the business
B.7 Other changes
C. Reductions
C.1 Disposals
of which: business combinations
C.2 Depreciation
C.3 Reductions in fair value
C.4 Impairment losses
C.5 Negative exchange differences
C.6 Transfer to
a) Properties used in the business
b) Non-current assets and disposal groups classified as held for sale
C.7 Other changes
D. Closing balances
E. Measured at fair value
LANDS
891
134
1
-
-
106
-
-
2
25
284
19
-
-
99
4
-
129
5
124
33
741
289
CHANGES IN 2019
BUILDINGS
1,046
223
1
-
61
58
-
1
33
69
706
218
181
-
150
228
1
34
-
34
75
563
35
(€ million)
TOTAL
1,937
357
2
-
61
164
-
1
35
94
990
237
181
-
249
232
1
163
5
158
108
1,304
324
It should be noted that the amount reported under item “B. Increases - B.7 Other changes” also include the opening balances of the right of use
recognized as a result of IFRS16 introduction. For additional information, refer to Part A - Section 5 - Other matters.
9.8 Inventories of property, plant and equipment regulated by IAS2: annual changes
CHANGES IN 2019
INVENTORIES OF PROPERTY,
PLANT AND EQUIPMENT
OBTAINED BY
ENFORCEMENT OF
COLLATERAL
OFFICE
FURNITURE
AND
FITTINGS
-
-
-
-
-
-
-
-
-
-
-
-
-
-
ELECTRONIC
SYSTEMS
-
-
-
-
-
-
-
-
-
-
-
-
-
-
OTHER
INVENTORIES
OF
PROPERTY,
PLANT AND
EQUIPMENT
326
405
391
239
3
3
8
323
317
-
2
-
4
408
OTHER
18
54
-
-
-
-
54
59
57
-
-
-
2
13
(€ million)
TOTAL
660
834
397
239
3
5
429
461
418
-
10
-
33
1,033
LANDS
43
3
-
-
-
-
3
6
2
-
-
-
4
40
BUILDINGS
273
372
6
-
-
2
364
73
42
-
8
-
23
572
A. Opening balances
B. Increases
B.1 Purchases
of which: business combinations
B.2 Write-backs
B.3 Positive exchange differences
B.4 Other changes
C. Reductions
C.1 Disposals
of which: business combinations
C.2 Impairment losses
C.3 Negative exchange differences
C.4 Other changes
D. Closing balances
192 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
9.9 Commitments to purchase property, plant and equipment
A. Contractual commitments
Outstanding commitments refer to the purchase of property, plant and equipment.
AMOUNTS AS AT
12.31.2019
2
(€ million)
12.31.2018
3
Section 10 - Intangible assets - Item 100
An intangible asset is an identifiable non-monetary asset without physical substance, to be used for several years.
Intangible assets include goodwill and, among “other intangible assets”, brands, customer relationships and software.
Goodwill is the excess of the cost of a business combination over the net fair value of the assets and liabilities of companies or businesses at the
acquisition date.
As at 31 December 2019 intangible assets amounted to €2,800 million, decreased in comparison to €3,507 million as at 31 December 2018.
The decrease mainly relates to the deconsolidation of FinecoBank S.p.A.
10.1 Intangible assets: breakdown by asset type
ASSETS/VALUES
A.1 Goodwill
A.1.1 Attributable to the Group
A.1.2 Attributable to minorities
A.2 Other intangible assets
A.2.1 Assets carried at cost
a) Intangible assets generated internally
b) Other assets
A.2.2 Assets measured at fair value
a) Intangible assets generated internally
b) Other assets
Total
Total finite and indefinite life
AMOUNTS AS AT
FINITE LIFE
X
X
X
1,914
1,914
1,455
459
-
-
-
1,914
12.31.2019
INDEFINITE LIFE
886
886
-
-
-
-
-
-
-
-
886
2,800
AMOUNTS AS AT
FINITE LIFE
X
X
X
1,930
1,930
1,499
431
-
-
-
1,930
(€ million)
12.31.2018
INDEFINITE LIFE
1,484
1,484
-
93
93
-
93
-
-
-
1,577
3,507
The Group does not use the revaluation model (fair value) to measure intangible assets.
Other intangible assets - finite life mainly includes Software.
Other intangible assets - Other assets - Indefinite life as at 31 December 2018 included trademarks (brands) referred to FinecoBank S.p.A.
UniCredit ·2019 Annual Report and Accounts 193
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
10.2 Intangible assets: annual changes
A. Gross opening balance
A.1 Total net reduction in value
A.2 Net opening balance
B. Increases
B.1 Purchases
B.2 Increases in intangible assets generated
internally
B.3 Write-backs
B.4 Increases in fair value
- In equity
- Through profit or loss
B.5 Positive exchange differences
B.6 Other changes
of which: business combinations
C. Reduction
C.1 Disposals
C.2 Write-downs
- Amortisation
- Write-downs
+ In equity
+ Through profit or loss
C.3 Reduction in fair value
- In equity
- Through profit or loss
C.4 Transfer to non-current assets held for sale
C.5 Negative exchange differences
C.6 Other changes
of which: business combinations
D. Net closing balance
D.1 Total net write-down
E. Gross closing balance
F. Carried at cost
CHANGES IN 2019
OTHER INTANGIBLE ASSETS
GENERATED INTERNALLY
OTHER
GOODWILL
16,791
(15,307)
1,484
-
-
FINITE LIFE
3,678
(2,179)
1,499
503
45
INDEFINITE
LIFE
-
-
-
-
-
FINITE LIFE
5,115
(4,684)
431
180
155
INDEFINITE
LIFE
995
(902)
93
-
-
X
X
-
X
X
-
-
-
598
598
-
X
-
X
-
-
X
X
-
-
-
598
886
(14,932)
15,818
-
439
-
-
-
-
6
13
-
547
-
526
319
207
-
207
-
-
-
-
1
20
-
1,455
(2,698)
4,153
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
14
11
-
152
10
127
126
1
-
1
-
-
-
1
6
8
8
459
(4,675)
5,134
-
-
-
-
-
-
-
-
-
93
-
93
-
93
-
93
-
-
-
-
-
-
-
-
(902)
902
-
(€ million)
TOTAL
26,579
(23,072)
3,507
683
200
439
-
-
-
-
20
24
-
1,390
608
746
445
301
-
301
-
-
-
1
7
28
606
2,800
(23,207)
26,007
-
The net book value of goodwill as at 31 December 2019, equal to €886 million, decreased by €598 million in comparison to 31 December 2018 due
to the deconsolidation of FinecoBank S.p.A.
The goodwill refers to subsidiaries belonging to the Euro area. In addition to the deconsolidation of FinecoBank S.p.A., the annual changes in gross
closing balance and total net write-down, compared to the values as at 31 December 2018, are due to goodwill of legal entities which reporting
currency is different to Euro, completely impaired in the previous periods.
For further details of impairment test on goodwill and other intangible assets, recognised during business combinations, refer to the following pages.
The decrease in amount of €93 million in the item Other intangible assets - Other assets - Indefinite life is due to the impairment of the trademarks
(brands) referring to FinecoBank S.p.A.
As at 31 December 2019, UniCredit Services Scpa and its subsidiary UniCredit Services GmbH booked write-downs and value adjustments an
overall amount of €195 million on intangible assets, referred: (i) for €187 million to intangible assets produced internally; (ii) for €8 million to the
review of the useful life of some assets.
Specifically, with the new 2020-2023 multiyear plan approval and the new ICT strategies, UniCredit Services Scpa and its subsidiary UniCredit
Services GmbH assessed the existence of a significant impact on landscape of banking business applications, as well as and on ICT Platforms
technology. Consequently, the companies executed an extraordinary impairment test campaign on self-created software, in order to verify the
existence of benefits associated to the assets in production from some years; as a result, the afore mentioned write-backs were recognised,
especially with reference to projects started before 2016 and ICT applications and platforms which turned into obsolescence.
194 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
10.3 Intangible assets: other information
Information on intangible assets noted during business combinations
The application of IFRS3 to the accounting for business combinations revealed in the course of time significant amounts of intangible assets and
goodwill. The following table shows the change in the values posted for the various intangible assets identified during the period, including the
valuation effects described below.
INTANGIBLE ASSETS
(EXCEPT SOFTWARE)
Trademarks
Core deposits and customer relationships
Goodwill
TOTAL
TOTAL
12.31.2018
93
1
1,484
1,578
AMORTISATION
-
(1)
-
(1)
IMPAIRMENT
(93)
-
-
(93)
OTHER
CHANGES(*)
-
-
(598)
(598)
(€ million)
TOTAL
12.31.2019
-
-
886
886
Note:
(*)The variation in the item Other changes refers to the sale of FinecoBank S.p.A.
Trademarks and goodwill are considered indefinite-life intangible assets. They are expected to contribute indefinitely to income flows.
The other intangible assets have finite useful lives, originally valued by discounting the financial flows over the residual lifetime of the relationships in
place on the date of the business combination from which they derive. Finite-life intangible assets are subject to amortisation based on the
associated useful life.
The types of intangible assets noted as a result of business combinations still present at 31 December 2019 is entirely related to Goodwill; the
Customer Relationship was completely amortised during the year and the trademark of FinecoBank S.p.A. was impaired.
The Group does not hold intangible assets acquired through public grants or intangible assets pledged against liabilities.
Impairment test of intangible assets noted during business combinations
In accordance with IAS36, impairment testing of all indefinite-useful-life intangible assets, including goodwill must be performed at least annually
and, in any case, whenever there is objective evidence of the occurrence of events that may have reduced their value (trigger events). For UniCredit
the trigger event is a market capitalisation lower than Shareholders’ Equity.
Recoverable value is the greater of the value in use (present value of future cash flows generated by the asset being valued) and the associated fair
value, less costs to sell.
The recoverable value of intangible assets subject to impairment testing must be determined for the individual assets, unless both the following
conditions exist:
the value in use of the asset is not estimated to be close to the fair value, net of sales costs;
the asset does not generate incoming cash flows largely independent of those coming from other assets.
If these conditions exist, the impairment test is conducted at the level of the Cash Generating Unit (CGU), as required by the cited accounting
principle.
It should be noted that the impairment testing performed by the UniCredit group by way of the determination of the value in use of the Cash
Generating Units (CGU), as described below, includes as at 31 December 2019 only goodwill because Trademarks are completely write off during
the period and Costumer Relationship is completely amortized.
It should be noted that intangible assets and Cash Generating Units are subjected to impairment testing with reference to their current state, without
taking account of the effects of restructuring plans/programmes not yet approved by the competent bodies.
For the purposes of the impairment testing the value in use of the so-called Cash Generating Units (CGUs) to which these intangible assets are
allocated must be calculated taking into account the cash flows for all assets and liabilities included in the CGUs and not only those for which
goodwill and/or the intangible asset were recorded when applying IFRS3.
Finally, impairment test performed by the UniCredit group is made by the comparison of the carrying value and the recoverable amount of each
single CGU on which was allocated the value contributed by the Corporate Centre.
UniCredit ·2019 Annual Report and Accounts 195
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
Definition of Cash Generating Units (CGU)
Estimating the value in use for the purposes of any impairment testing of intangible assets, including goodwill, which does not generate cash flows
except in conjunction with other business assets, requires that these assets are first attributed to operating units that are relatively autonomous in
the business context (from the points of view of independent cash flows generated and of internal planning and reporting). These operating units are
defined as Cash Generating Units (CGU).
In accordance with the provisions of IFRS3 and IAS36, for the purposes of impairment testing, goodwill has been allocated to the following
operational Divisions of the Group, identified as CGUs.
The CGU is the lowest level at which goodwill is monitored at Group level. The CGUs identified correspond to the organisational business units
through which the Group develops its activity.
For a detailed description of the Group’s CGU refer to Part L - Segment Reporting of this Notes to the consolidated accounts.
The book value of the CGUs
The book value of the CGUs is determined in accordance with the criterion used to determine their recoverable value. The recoverable value of the
CGUs includes flows from their respective assets and liabilities, so the book value must also include the assets and liabilities generating those flows.
Since it would be excessively complex to determine the carrying amount of the CGUs on the basis of book values, it was necessary to use
operational factors to break them down correctly. Specifically, the operational driver that is used is allocated capital, which is based on the Risk-
Weighted Assets absorption of the single CGU. In any case, intangible assets are attributed to the CGUs in accordance with the available
accounting information.
The carrying amounts of the CGUs as at 31 December 2019, determined as described above, and the portions of goodwill and other intangible
assets allocated to each of them are shown below.
CASH GENERATING UNIT (CGU)
Commercial Banking Italy
Commercial Banking Germany
Commercial Banking Austria
CIB
CEE
Group Corporate Centre
Non Core
Total
VALUE AS AT 12.31.2019
12,137
4,386
2,982
11,898
8,462
4,751
1,339
45,955
OF WHICH GOODWILL
(GROUP SHARE)
8
-
-
878
-
-
-
886
Note:
The Goodwill teste in the impairment test process is reported as 100% and it is equal to €887 million.
Estimating cash flows to determine the value in use of the CGUs
In accordance with IAS36, the impairment test for indefinite-life intangible assets must be performed at least annually and whenever there is any
indication that their value may be impaired. The referenced accounting principle requires the impairment test to be carried out by comparing the
book value of each CGU with its recoverable value. When the recoverable value of a CGU proves to be lower than its book value, a write-down must
be recorded in the financial statement. The recoverable amount of the CGU is the greater of its fair value (net of costs to sell) and the related value
in use.
Projections
The impairment test as at 31 December 2019 was performed on the basis of the financial projections (Net Profit and RWA) included in the Strategic
Plan “Team 23” approved by UniCredit S.p.A. Board of Directors on 2 December 2019.
The scope of the impairment test mirrors the organisational structure of the Cash Generating Units and excludes from CEE CGU the contribution of
Baltics (following IFRS5 classification of the legal entity Sia UniCredit Leasing and therefore autonomously measured at the lower between costs
and Fair Value) and of Turkey (already tested for impairment purposes at equity participation level due to the transaction signed with Koç Group for
further details refer to Part B - Consolidated balance sheets - Assets - Section 7 - Equity investments of the these Notes to the consolidated
accounts).
196 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
Macroeconomic scenario
The following table shows the forecasts concerning the main macroeconomic indicators, related to the markets in which the Group operates, which
are underlying the projections considered in the impairment test.
Interest rates and yield environment, EoP, %
Euribor 3M
Mid Swap 10Y
Real GDP growth y/y, %
Western Europe(*)
CEE (excluding Turkey)
2019
-0.5
-0.1
0.5
2.0
2020
-0.5
0.1
0.6
1.4
2023
-0.4
0.5
1.2
2.1
Note:
(*) Western Europe calculated as weighted average considering Nominal GDP of relevant countries for UniCredit (Italy, Germany and Austria)
Impairment test model
The calculation of the value in use for impairment testing purposes was conducted using a Discounted Cash Flow model (DCF). The free cash flows
to equity were determined by subtracting from Net Profit (gross of minority interests) the annual capital requirement generated by changes in risk-
weighted assets (RWA). The capital requirement is defined as the level of capitalisation that the Group aims to achieve in the long term, also in light
of the minimum regulatory capital requirements.
The Discounted Cash Flow model used by the Group is based on three stages:
first period from 2020 to 2023, which relies on the Strategic Plan “Team 23” approved by the UniCredit S.p.A. Board of Directors on 02 December
2019;
intermediate period from 2024 to 2028, for which the cash-flow projections are extrapolated by applying, from the explicit forecast period (2023),
growth rates decreasing to that of the “terminal value”;
“terminal value” determined with a nominal growth rate of 2%. The average growth rate of real GDP in the Eurozone from 1998 to 2018 was 1.5%.
The nominal rate of 2%, corresponding to approximately 0% in real terms, was chosen for prudential reasons.
The application of an intermediate period is aimed to allow a normalisation in the nominal growth rate of Net Profit and RWA before the terminal
value definition, since the Group operates in different regions and business segments characterised by different risk profiles and growth prospects;
for the Western Europe CGUs the growth rates for the intermediated period are defined considering a conservative cap.
Group assets or shared assets (corporate assets) are allocated to the CGUs to which they refer, where applicable. For the portion not allocable of
these assets, the recoverable amount is assessed at overall Group level (so-called “corporate centre”).
Strategic Plan 2020-2023 “Team 23”
The Strategic Plan “Team 23”, approved by the UniCredit S.p.A. Board of Directors on 2 December 2019 and subsequently presented to the
financial community, is based on four pillars:
1. Grow and strengthen client franchise;
2. Transform and maximize productivity;
3. Disciplined risk management & controls;
4. Capital and balance sheet management.
1. Grow and strenghten client franchise
The Strategic Plan Team 23’s key priority is to grow and strengthen the pan European franchise, both by widening and deepening relationships with
customers. Examples of initiatives underway include: i) building on UniCredit’s position as the “go-to” bank for European SMEs, thanks to local
presence in its markets, a single group-wide service model across the Group’s unique pan European network, and the full range of corporate
products and services delivered by a fully plugged-in CIB; ii) redesigning the product and service offering for individuals through enhancements to
the service and distribution models, including a continued migration of transactions towards direct channels; iii) fully exploiting the CEE leadership
position and economic potential with a strengthened commercial strategy, driven by a clear customer focus and leveraging on the enhanced digital
processes and international franchise; iv) delivering the fully plugged-in CIB’s complete product offering to all customers across the Group’s pan
European network including SMEs, Corporates, Private Banking, Wealth Management and Financial Institutions. Complementing this clear
commitment is a strong focus on improving the customer experience including: digitalisation to streamline processes and simplify the customer
journey, leverage on customer insights (via net promoter scores) to better prioritise initiatives to enhance dedicated customer journeys and new
flexible ways of working to reduce the time to market.
UniCredit ·2019 Annual Report and Accounts 197
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
2. Transform and maximise productivity
Controlling costs, combined with improving the customer experience, remains a key committment of Team 23. The bank is launching a permanent
optimisation of work processes across six customer journeys: current accounts, investment products, residential mortgages, consumer finance,
cards and SME banking. Teams drawn from different functions within the Group, including business, IT and support, will work together in so called
“end-to-end rooms” in order to deliver new products and services to our customers in a faster and leaner manner. Through this continuous
transformation and simplification of processes, the Group will achieve three key objectives: i) enhanced customer experience; ii) improved
productivity across the value chain; iii) reduced operational risks. Paperless retail bank to be rolled out in Italy in mid 2020, Germany and Austria in
2021 and CEE by 2023.
3. Disciplined risk management & controls
A strict focus on credit risk and asset quality remains a strategic goal of Team 23. The Group will maintain its discipline in origination, targeting the
best rated clients. The monitoring and management of credit risk will be further strengthened through the use of new technologies and data sources.
Automatic risk approval will be used for selected segments and products using enhanced data analytics during the pre-evaluation phase. The bank
will continue to manage NPEs proactively to optimise value and capital. The full rundown of the Non Core by end 2021 is confirmed. Operational risk
remains a key priority for the Group, with reinforced controls of business and governance processes across all legal entities. An enhanced focus on
Anti Financial Crime controls and KYC includes improving oversight through strengthened, centralised compliance requirements, as well as rotating
people between business and control functions.
4. Capital and balance sheet management
A CET1 MDA buffer of 200-250bps will be maintained in every year of the Team 23 plan, independently from the external environment while the
TLAC/MREL MDA buffers are targeted at the upper end of the 50-100bps range. Capital allocation is an important enabler of the management of the
Group balance sheet and is proactively performed based on financial performance at a country and segment (in terms of Return On Allocated
Capital versus Cost of equity) and invidividual client level (in terms of Economic Value Added). The strengthening of the balance sheet will continue
with the ongoing, gradual alignment of the domestic sovereign bond portfolio with those of Italian and European peers, and the reduction in
intragroup exposures. With a significantly strengthened balance sheet and continued disciplined risk management, the new plan will deliver
enhanced capital returns for shareholders.
Discount rates of cash flows and regulatory capital targets
The following main discount rates were used in the calculation of the CGUs’ recoverable amount.
CGU
Commercial Banking Italy
Commercial Banking Germany
Commercial Banking Austria
CIB
CEE(1)
Group Corporate Centre
Non Core
INITIAL DISCOUNT
RATE NET OF TAX (KE)
9.7%
8.0%
8.2%
9.8%
13.4%
10.4%
9.7%
FINAL DISCOUNT RATE
NET OF TAX (KE)
8.9%
7.3%
7.5%
9.1%
12.8%
9.7%
n.m.
NOMINAL GROWTH
RATE USED TO
CALCULATE TERMINAL
VALUE
2.0%
2.0%
2.0%
2.0%
2.0%
0.0%
2.0%
Note:
(1) The discount rate presented for CEE CGUs are the weighted average of the discount rates in local currency used for individual countries.
198 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
As shown in the above table, future financial flows were discounted using a conservative estimate of the discount rate, incorporating the various risk
factors linked to the business sector into the cost of equity. The discount rate is a nominal rate, net of taxes.
In particular, the cost of equity for the CGUs is assessed on a through the cycle approach (i.e. six years average) as the sum of the following:
Risk Free Rate: set equal to the yield of benchmark government bond of the reference Country (local currency approach, maturity: 10 years);
Equity Risk Premium: calculated using the Capital Asset Pricing Model according to which the Equity Risk Premium is equal to the product of:
- UniCredit Beta (β): the measure of the sensitivity of UniCredit share’s return to variation in the market return;
- Market Risk Premium: the price of risk in equity markets, estimated by Professor Damodaran as the difference of the return of US stock vs. bond
market since 1928 (geometric mean).
It is worth mentioning that the β used for CIB division has been conservatively increased (based on peers’ analysis) to reflect the higher intrinsic
risk of the CIB business vis à vis the standard commercial banking activity.
Another parameter used in the model to determine the initial allocated capital and its evolution over time is the Common Equity Tier 1 ratio target.
For all the CGUs the target Common Equity Tier 1 ratio is 12.25% consistently with the CET 1 MDA Buffer of 200-250bps set in the Strategic Plan
Team 23.
Results of the impairment test
The impairment test as at 31 December 2019 confirms the sustainability of the goodwill with no need for an impairment on the consolidated
accounts of the UniCredit group.
It must be underlined that the parameters and information used to verify the recoverability of goodwill (in particular the expected cash flows for the
various CGU, and the discount rates applied) are significantly influenced by the macroeconomic and market situation, which may be subject to
changes currently unpredictable. In the coming reporting periods, the effect of such changes, and of those in the corporate strategies, could
therefore lead to a review of the estimated cash flows of the various CGUs and of the assumptions about the main financial variables (discount
rates, expected growth rates, Common Equity Tier 1 ratio, etc.) that could impact the results of the future impairment tests.
Sensitivity analysis
Since the valuation exercise is affected by the macroeconomic and market environment and given the intrinsic complexity of forecasting future long-
term profitability, sensitivity analyses were conducted, assuming changes to the main parameters used in the impairment test.
The table below summarises for the CGUs which still have goodwill, the percentage deviations of the initial assumptions (cost of equity, capital ratio,
long-term growth rate and streams of income used for the estimation of cash flows) adopted for the different CGUs, that drive the recoverable
amount of each CGU equal to its book value.
CGUs
%
CIB
Commercial Banking Italy
PARALLEL SHIFT IN
THE DISCOUNT RATE
AFTER TAX (KE)(1)
1.0%
0.3%
INCREASE IN THE
CET 1 RATIO
TARGET(2)
4.7%
2.0%
DECREASE IN THE
NOMINAL GROWTH
RATE FOR THE
CALCULATION
OF TERMINAL
VALUE(2)
-14.2%
-2.3%
DECREASE IN
ANNUAL EARNINGS(3)
-9.5%
-4.1%
Notes:
(1) The increase of 1% in the discount rate is applied to the whole stream from 2019 to Terminal Value.
(2) Delta expressed in absolute amount.
(3) Delta expressed in percentage terms.
The table below shows the change of the total value in use of the Group resulting from a variation of the main parameters used in the valuation
model.
GROUP LEVEL
%
SENSITIVITY FACTOR [%]
Change of Group value in use
PARALLEL SHIFT IN
THE DISCOUNT RATE
AFTER TAX (KE)(1)
1%
-13%
INCREASE IN THE
CET 1 RATIO
TARGET(2)
1%
-9%
DECREASE IN THE
NOMINAL GROWTH
RATE FOR THE
CALCULATION
OF TERMINAL
VALUE(2)
1%
-3%
DECREASE IN
ANNUAL EARNINGS(3)
1%
-6%
Notes:
(1) The increase of 1% in the discount rate is applied to the whole stream from 2019 to Terminal Value.
(2) Delta expressed in absolute amount.
(3) Delta expressed in percentage terms.
UniCredit ·2019 Annual Report and Accounts 199
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
The parameters and information used to verify the sustainability of goodwill (in particular the financial projections used) are significantly influenced
by the macroeconomic environment and the market conditions. Should the macroeconomic environment deteriorate in the future, the results of the
next sustainability tests on goodwill could show a recoverable amount lower than the carrying value and therefore highlight the need to perform a
goodwill impairment.
Comparison with market capitalisation
The Group's total value in use resulting from the impairment test is higher than the current market capitalisation of the Parent company.
The difference could be largely explained by: i) the upside potential embedded in Analysts' consensus; ii) the cost of equity used in the impairment
test and iii) market expectations on long term return and its distribution.
Section 11 - Tax assets and tax liabilities - Item 110 (Assets) and Item 60 (Liabilities)
It should be noted that as result of the retrospective application, starting from 1 January 2018, of the change in measurement criteria of real estate
held for investment, the amounts presented for 31 December 2018 for tax assets and tax liabilities are different from those published.
11.1 Deferred tax assets: breakdown
Deferred tax assets arising from Italian law 214/2011
Deferred tax assets arising from tax losses
Deferred tax assets arising from temporary differences
Financial assets and liabilities (different from loans and deposits)
Loans and deposits to/from banks and customers
Hedging and hedged item revaluation
Property, plant and equipment and intangible assets different from goodwill
Goodwill and equity investments
Current assets and liabilities held for sale
Other assets and Other liabilities
Provisions, pension funds and similar
Other
Accounting offsetting
Total
11.2 Deferred tax liabilities: breakdown
Deferred tax liabilities arising from temporary differences
Financial assets and liabilities (different from loans and deposits)
Loans and deposits to/from banks and customers
Hedging and hedged item revaluation
Property, plant and equipment and intangible assets different from goodwill
Goodwill and equity investments
Assets and liabilities held for sale
Other assets and Other liabilities
Other
Accounting offsetting
Total
AMOUNTS AS AT
12.31.2019
8,302
907
4,546
354
992
445
246
1
-
414
2,094
-
(1,626)
12,129
AMOUNTS AS AT
12.31.2019
2,316
595
101
438
1,011
-
-
164
7
(1,623)
693
(€ million)
12.31.2018
8,310
387
4,624
536
1,071
511
153
1
-
363
1,989
-
(1,409)
11,912
(€ million)
12.31.2018
1,953
545
136
461
566
24
-
186
35
(1,409)
544
Deferred Tax Assets (DTAs) totally amount to €12,129 million (compared with €11,912 million as at 31 December 2018), of which €8,302 million
(compared with €8,310 million as at 31 December 2018) can be, under certain circumstances, converted into tax credits pursuant to Law
No.214/2011 (i.e., DTA convertible into tax credits). The remaining Deferred Tax Assets (i.e., DTAs non-convertible into tax credits) are related to
costs and write-offs deductible in future years, for €2,920 million (net of related deferred tax liabilities), and to tax losses carried forward (TLCF) for
€907 million. DTAs are mainly related to UniCredit S.p.A., also as Italian Tax Group parent company, for €546 million, to UniCredit Bank Austria AG
for €210 million, and to UniCredit Bank AG for €108 million.
200 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
The above mentioned amounts are the ones resulting from the sustainability test provided for by IAS12, that takes into account the economic
projections foreseeable for future years and the peculiarities of the fiscal legislations of each country, in order to check whether there are future
taxable incomes against which TLCF can be offset. UniCredit Bank Austria AG has considered the official projections contained in the new Strategic
Plan Team23 (i.e. the period 2020-2023), approved on 2 December 2019 (MYP), as the basis for determining future taxable incomes, usable for the
recognition of TLCF This determined the recognition of DTA TLCF for €210 million equal to the amount previously highlighted.
At Group level total not recognised DTAs TLCF are equal to €3,786 mainly referred to UniCredit S.p.A., also as Italian Tax Group parent company
for €3,129 million, to sub-group UniCredit Bank AG for €349 million and to UniCredit Bank Austria for €213 million.
For deferred tax assets and liabilities of UniCredit S.p.A., also as Italian Tax Group parent company, refer to paragraph of Part B - Notes to the
accounts of UniCredit S.p.A. - Section 10 Tax assets and liabilities - Item 100 (Assets) and Item 60 (Liabilities) which is herewith quoted entirely.
11.3 Deferred tax assets: annual changes (balancing P&L)
1. Opening balance
2. Increases
2.1 Deferred tax assets arisen during the year
a) Relating to previous years
b) Due to change in accounting criteria
c) Write-backs
d) Other
2.2 New taxes or increases in tax rates
2.3 Other increases
3. Decreases
3.1 Deferred tax assets derecognised during the year
a) Reversals of temporary differences
b) Write-downs of non-recoverable items
c) Change in accounting criteria
d) Other
3.2 Reduction in tax rates
3.3 Other decreases
a) Conversion into tax credit under Italian Law 214/2011
b) Other
4. Closing balance
11.4 Deferred tax assets (Italian Law 214/2011): annual changes
1. Opening balance
2. Increases
3. Decreases
3.1 Reversals of temporary differences
3.2 Conversion into tax credits
a) Due to loss positions arisen from P&L
b) Due to tax losses
3.3 Other decreases
4. Closing balance
CHANGES IN
2019
10,487
2,454
1,050
199
-
40
811
-
1,404
2,763
1,195
293
348
-
554
4
1,564
-
1,564
10,178
CHANGES IN
2019
8,310
3
11
1
-
-
-
10
8,302
(€ million)
2018
9,542
3,627
2,227
83
-
561
1,583
1
1,399
2,682
1,252
984
62
-
206
-
1,430
-
1,430
10,487
(€ million)
2018
8,316
-
6
-
-
-
-
6
8,310
UniCredit ·2019 Annual Report and Accounts 201
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
CHANGES IN
2019
533
1,273
121
(5)
1
125
-
1,152
1,486
440
296
-
144
3
1,043
320
CHANGES IN
2019
1,425
1,022
383
4
-
379
-
639
496
245
237
2
-
6
-
251
1,951
(€ million)
2018
518
1,605
382
2
2
378
-
1,223
1,590
333
304
1
28
-
1,257
533
(€ million)
2018
1,177
812
437
-
2
435
29
346
564
346
152
169
-
25
-
218
1,425
11.5 Deferred tax liabilities: annual changes (balancing P&L)
1. Opening balance
2. Increases
2.1 Deferred tax liabilities arisen during the year
a) Relating to previous years
b) Due to change in accounting criteria
c) Other
2.2 New taxes or increases in tax rates
2.3 Other increases
3. Decreases
3.1 Deferred tax liabilities derecognised during the year
a) Reversals of temporary differences
b) Due to change in accounting criteria
c) Other
3.2 Reduction in tax rates
3.3 Other decreases
4. Closing balance
11.6 Deferred tax assets: annual changes (balancing Net Equity)
1. Opening balance
2. Increases
2.1 Deferred tax assets arisen during the year
a) Relating to previous years
b) Due to change in accounting criteria
c) Other
2.2 New taxes or increase in tax rates
2.3 Other increases
3. Decreases
3.1 Deferred tax assets derecognised during the year
a) Reversals of temporary differences
b) Write-downs of non-recoverable items
c) Due to change in accounting criteria
d) Other
3.2 Reduction in tax rates
3.3 Other decreases
4. Closing balance
202 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
11.7 Deferred tax liabilities: annual changes (balancing Net Equity)
1. Opening balance
2. Increases
2.1 Deferred tax liabilities arisen during the year
a) Relating to previous years
b) Due to change in accounting criteria
c) Other
2.2 New taxes or increase in tax rates
2.3 Other increases
3. Decreases
3.1 Deferred tax liabilities derecognised during the year
a) Reversal of temporary differences
b) Due to change in accounting criteria
c) Other
3.2 Reduction in tax rates
3.3 Other decreases
4. Closing balance
CHANGES IN
2019
11
1,111
806
5
280
521
1
304
749
44
44
-
-
-
705
373
(€ million)
2018
17
684
129
-
-
129
-
555
690
385
144
4
237
-
305
11
11.8 Other informations
With reference to financial year 2018, the conditions for a new conversion of Deferred Tax Assets (DTA) into tax credits (pursuant to Art.2,
paragraph 55, of Law Decree No.225/2010), were not verified, since the Group legal entities having a stock of Convertible DTAs registered a net
profit in their separate financial statements.
Section 12 - Non-current assets and disposal groups classified as held for sale and
Liabilities associated with assets classified as held for sale - Item 120 (Assets) and Item
70 (Liabilities)
Non-current assets or directly connected groups of assets and liabilities, which constitute a set of cash flow generating assets, the sale of which is
highly likely, are recognised under these items. They are measured at the lower value between the book value and the fair value less costs to sell
according to IFRS5.
In the balance sheet as at 31 December 2019, compared with 31 December 2018, the associated companies Oesterreichische Hotel-und
TourismusBank Gesellschaft M.B.H. and Swancap Partners GmbH have been sold and the following has been attributed to the non-current assets
and asset disposal groups pursuant to IFRS5: the subsidiary Cards & Systems EDV-Dienstleistungs GmbH, the companies of SIA UniCredit Leasing
groups, the 9.02% of Yapi ve Kredi Bankasi A.S., the joint venture KOC Finansal Hizmetler AS and the non-performing loans related to sale
initiatives of portfolios.
As at 31 December 2019 in the same item are also included the tangible assets and real-estate properties held by some Group’s companies, mainly
in Germany.
As regards the data for asset related to discontinued operations, and associated liabilities, the figure at 31 December 2019 refers to the companies
of the Immobilien Holding group.
UniCredit ·2019 Annual Report and Accounts 203
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
12.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type
AMOUNTS AS AT
12.31.2019
12.31.2018
(€ million)
1,736
-
673
12
10
64
2,483
1,192
-
1,143
148
-
-
-
-
-
-
23
-
-
-
6
29
-
-
-
29
274
-
433
707
530
-
151
26
-
-
-
-
18
18
-
-
-
18
711
25
1,381
1
7
78
2,202
871
9
478
844
-
-
-
-
-
-
23
-
-
-
16
39
-
-
-
39
158
-
347
505
505
-
-
-
-
-
-
-
35
35
-
-
-
35
A. Assets held for sale
A.1 Financial assets
A.2 Equity investments
A.3 Property, plant and equipment
of which: obtained by the enforcement of collateral
A.4 Intangible assets
A.5 Other non-current assets
Total (A)
of which: carried at cost
of which: designated at fair value - level 1
of which: designated at fair value - level 2
of which: designated at fair value - level 3
B. Discontinued operations
B.1 Financial assets at fair value through profit or loss
- Financial assets held for trading
- Financial assets designated at fair value
- Other financial assets mandatorily at fair value
B.2 Financial assets at fair value through other comprehensive income
B.3 Financial assets at amortised cost
B.4 Equity investments
B.5 Property, plant and equipment
of which: obtained by the enforcement of collateral
B.6 Intangible assets
B.7 Other assets
Total (B)
of which: carried at cost
of which: designated at fair value - level 1
of which: designated at fair value - level 2
of which: designated at fair value - level 3
C. Liabilities associated with assets classified as held for sale
C.1 Deposits
C.2 Securities
C.3 Other liabilities
Total (C)
of which: carried at cost
of which: designated at fair value - level 1
of which: designated at fair value - level 2
of which: designated at fair value - level 3
D. Liabilities associated with discontinued operations
D.1 Financial liabilities at amortised cost
D.2 Financial liabilities held for trading
D.3 Financial liabilities designated at fair value
D.4 Provisions
D.5 Other liabilities
Total (D)
of which: carried at cost
of which: designated at fair value - level 1
of which: designated at fair value - level 2
of which: designated at fair value - level 3
204 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
Fair value measurements, made for disclosure purposes only, are classified into a fair value hierarchy that reflects the significance of inputs used in
the valuations. For further information see Part A - Accounting policies - A.4 Information on fair value.
With reference to the fair value levels we must specify that the figures referred to companies of the Immobilien Holding group are presented at 31
December 2019 among Level 3 assets and liabilities (the same as at 31 December 2018) reflecting their measurement using a valuation model.
12.2 Other information
There is no significant information to be reported.
Section 13 - Other assets - Item 130
13.1 Other assets: breakdown
ITEMS/VALUES
Margin with derivatives clearers (non-interest bearing)
Gold, silver and precious metals
Accrued income and prepaid expenses other than capitalised income
Positive value of management agreements (so-called servicing assets)
Cash and other valuables held by cashier
- Current account cheques being settled, drawn on third parties
- Current account cheques payable by group banks, cleared and in the process of being debited
- Money orders, bank drafts and equivalent securities
- Coupons, securities due on demand, revenue stamps and miscellaneous valuables
Interest and changes to be debited to
- Customers
- Banks
Items in transit between branches not yet allocated to destination accounts
Items in processing
Items deemed definitive but not-attributable to other items
- Securities and coupons to be settled
- Other transactions
Adjustments for unpaid bills and notes
Tax items other than those included in item 110
Commercial credits pursuant to IFRS15
Other items
Total
AMOUNTS AS AT
12.31.2019
12.31.2018
(€ million)
-
33
548
3
188
188
-
-
-
197
191
6
-
336
2,759
34
2,725
39
1,588
23
1,235
6,949
-
19
545
4
278
278
-
-
-
199
170
29
-
462
2,670
48
2,622
40
1,912
15
1,190
7,334
Item “Accrued income and prepaid expenses other than capitalised income” includes the contract assets recognised in accordance with IFRS15.
In this context accrued income represents the portion of the performance obligation already satisfied through the services provided by the Group and
that will be settled in the future periods in accordance with contractual provisions.
The aggregate amount of revenues from services to customers related to the portion of performance obligations not yet satisfied, and therefore not
represented in the table above, is equal to €13.6 million. The majority of this amount relates to performance obligations expected to be satisfied by
the following year end reporting date.
It should be noted that during the period there have not been significant changes in the accrued income and prepaid expenses not included in the
carrying amount of the relevant financial assets.
UniCredit ·2019 Annual Report and Accounts 205
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Assets
Periodic change of accrued income/expenses and prepaid expenses/income
Opening balance
Increases
a) Changes due to business combinations
b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract
liability, including adjustments arising from a change in the measure of progress, a change in an
estimate of the transaction price (including any changes in the assessment of whether an estimate of
variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b)
c) Reversal of impairment of a contract asset (IFRS15 Par. 118.c)
d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset
to be reclassified to a receivable) (IFRS15 Par. 118.d)
e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue
arising from a contract liability (IFRS15 Par. 118.e)
f) Other
Decreases
a) Changes due to business combinations
b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract
liability, including adjustments arising from a change in the measure of progress, a change in an
estimate of the transaction price (including any changes in the assessment of whether an estimate of
variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b)
c) Impairment of a contract asset (IFRS15 Par. 118.c)
d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset
to be reclassified to a receivable) (IFRS15 Par. 118.d)
e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue
arising from a contract liability (IFRS15 Par. 118.e)
f) Other
Closing balance
(€ million)
AMOUNTS AS AT
12.31.2019
ACCURRED INCOME AND
PREPAID EXPENSES
537
90
-
ACCURRED INCOME AND
DEFERRED EXPENSES
534
204
-
-
-
-
-
90
79
12
-
-
5
-
62
548
-
X
-
-
204
163
6
-
X
-
-
157
575
206 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Liabilities
Liabilities
Section 1 - Financial liabilities at amortised cost - Item 10
1.1 Financial liabilities at amortised cost: breakdown by product of deposits from banks
TYPE OF TRANSACTIONS/VALUES
1. Deposits from central banks
2. Deposits from banks
2.1 Current accounts and demand
deposits
2.2 Time deposits
2.3 Loans
2.3.1 Repos
2.3.2 Other
2.4 Liabilities relating to commitments
to repurchase treasury shares
2.5 Lease deposits
2.6 Other deposits
Total
Total Level 1, Level 2 and Level 3
AMOUNTS AS AT
BOOK
VALUE
56,163
79,409
12,120
18,062
47,758
32,289
15,469
-
9
1,460
135,572
LEVEL 1
X
X
X
X
X
X
X
X
X
X
247
12.31.2019
FAIR VALUE
LEVEL 2
X
X
X
X
X
X
X
X
X
X
72,264
LEVEL 3
X
X
X
X
X
X
X
X
X
X
63,224
135,735
AMOUNTS AS AT
BOOK
VALUE
56,678
69,217
11,597
14,757
41,864
25,774
16,090
-
-
999
125,895
LEVEL 1
X
X
X
X
X
X
X
X
X
X
208
12.31.2018
FAIR VALUE
LEVEL 2
X
X
X
X
X
X
X
X
X
X
80,675
(€ million)
LEVEL 3
X
X
X
X
X
X
X
X
X
X
44,261
125,144
The sub-item “2.3 Loans” includes repos executed using proprietary securities issued by Group companies, which were eliminated from assets on
consolidation; the same sub-item do not include the type of bond lending transactions collateralised by securities or not collateralised.
Refer also to section “Other information” of Part B for additional information.
Deposits from banks are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Valuations
at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurements.
For further information see Part A - Accounting Policies - A.4 Information on fair value of the notes to the consolidated accounts.
1.2 Financial liabilities at amortised cost: breakdown by product of deposits from customers
AMOUNTS AS AT
12.31.2019
FAIR VALUE
LEVEL 2
LEVEL 3
LEVEL 1
AMOUNTS AS AT
LEVEL 1
12.31.2018
FAIR VALUE
LEVEL 2
(€ million)
LEVEL 3
TYPE OF TRANSACTION/VALUES
1. Current accounts and demand
deposits
2. Time deposits
3. Loans
3.1 Repos
3.2 Other
4. Liabilities relating to commitments to
repurchase treasury shares
5. Lease deposits
6. Other deposits
Total
Total Level 1, Level 2 and Level 3
BOOK
VALUE
348,060
64,923
52,957
50,122
2,835
-
2,397
4,630
472,967
BOOK
VALUE
350,492
63,267
60,169
56,964
3,205
-
-
5,060
478,988
X
X
X
X
X
X
X
X
4
X
X
X
X
X
X
X
X
194,359
X
X
X
X
X
X
X
X
279,456
473,819
X
X
X
X
X
X
X
X
-
X
X
X
X
X
X
X
X
162,545
X
X
X
X
X
X
X
X
316,734
479,279
The item “3. Loans” also include liabilities relating to repos executed using proprietary securities issued by Group companies, which were eliminated
from assets on consolidation; the same sub-item do not include the type of bond lending transactions collateralised by securities or not
collateralised. For further information see section “Other information” of Part B of the notes to the consolidated accounts.
UniCredit ·2019 Annual Report and Accounts 207
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Liabilities
Deposits from customers are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements. Fair
value measurements are classified according to a three level hierarchy that reflects the observability of the inputs used in the measurements.
The fair value of demand items was estimated to be equal to their net book value by exercising the option provided for by IFRS7.29. According to
this assumption, demand items were classified as Level 3 in the fair value hierarchy.
For further information see Part A - Accounting Policies - A.4 Information on fair value of the notes to the consolidated accounts.
1.3 Financial liabilities at amortised cost: breakdown by product of debt securities in issue
TYPE OF SECURITIES/VALUES
A. Debt securities
1. Bonds
1.1 Structured
1.2 Other
2. Other securities
2.1 Structured
2.2 Other
Total
Total Level 1, Level 2 and Level 3
AMOUNTS AS AT
BOOK
VALUE
88,563
1,382
87,181
7,738
99
7,639
96,301
LEVEL 1
45,437
-
45,437
-
-
-
45,437
12.31.2019
FAIR VALUE
LEVEL 2
35,421
1,215
34,206
1,935
106
1,829
37,356
LEVEL 3
12,928
176
12,752
5,795
-
5,795
18,723
101,516
AMOUNTS AS AT
BOOK
VALUE
73,353
1,673
71,680
7,800
110
7,690
81,153
LEVEL 1
39,437
178
39,259
-
-
-
39,437
12.31.2018
FAIR VALUE
LEVEL 2
24,152
1,450
22,702
1,842
114
1,728
25,994
(€ million)
LEVEL 3
12,441
-
12,441
5,959
-
5,959
18,400
83,831
Fair value measurements, solely for the purpose of fulfilling financial disclosure requirements, are classified according to a hierarchy of levels
reflecting the observability of the valuations input. For further information see Part A - Accounting Policies - A.4. Information on fair value of the
notes to the consolidated accounts.
The sum of the sub-items “1.1 Bonds - Structured” and “2.1 Other securities -structured” was equal to €1,481 million and accounted for 1,5% of total
debt securities. They mainly refer to interest-rate linked instruments with closely related embedded derivatives identified according to the
classification rules of Mifid.
The fair value of derivatives embedded in structured securities, presented in item 20 of Assets and item 20 of Liabilities and included in Trading
derivatives - Others, amounted to a net balance of €40 million negative.
1.4 Breakdown of subordinated debts/securities
AMOUNTS AS AT
12.31.2019
-
90
12,699
12,789
AMOUNTS AS AT
12.31.2019
2
-
2
(€ million)
12.31.2018
-
87
9,873
9,960
(€ million)
12.31.2018
1
-
1
Deposits from banks
Deposits from customers
Debt securities
Total
1.5 Breakdown of structured debts
Deposits from banks
Deposits from customers
Total
208 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Liabilities
1.6 Amounts payable under finance leases
TIME BUCKET
Up to 1 year
1 year to 2 years
2 year to 3 years
3 year to 4 years
4 year to 5 years
Over 5 years
Total Lease Payments to be made
RECONCILIATION WITH DEPOSITS
Unearned finance expenses (-) (Discounting effect)
Lease deposits
12.31.2019
CASH OUTFLOWS
FINANCE LEASES
33
51
51
52
54
377
618
OPERATING LEASES
320
300
276
248
226
623
1,993
(€ million)
12.31.2018
CASH OUTFLOWS
FINANCE LEASES
-
-
-
-
-
-
-
OPERATING LEASES
-
-
-
-
-
-
-
44
574
161
1,832
-
-
-
-
It should be noted that table 1.6 Amounts payable under finance leases reports the maturity analysis based on time bucket of the lease liability as
requested by IFRS16 and the concurrent update to Circular 262 of Banca d’Italia.
Section 2 - Financial liabilities held for trading - Item 20
2.1 Financial liabilities held for trading: breakdown by product
NOMINAL
VALUE
AMOUNTS AS AT
FAIR VALUE
LEVEL 2
LEVEL 1
12.31.2019
LEVEL 3
FAIR
VALUE*
NOMINAL
VALUE
AMOUNTS AS AT
FAIR VALUE
LEVEL 2
LEVEL 1
12.31.2018
LEVEL 3
TYPE OF TRANSACTIONS/VALUES
A. Cash liabilities
1. Deposits from banks
2. Deposits from customers
3. Debt securities
3.1 Bonds
3.1.1 Structured
3.1.2 Other
3.2 Other securities
3.2.1 Structured
3.2.2 Other
Total (A)
B. Derivatives instruments
1. Financial derivatives
1.1 Trading derivatives
1.2 Linked to fair value
option
1.3 Other
2. Credit derivatives
2.1 Trading derivatives
2.2 Linked to fair value
option
2.3 Other
Total (B)
Total (A+B)
331
154
3,067
1,513
1,513
-
1,554
1,554
-
3,552
X
X
X
X
X
X
X
X
X
X
447
8,691
-
-
-
-
-
-
-
9,138
2,795
2,795
-
-
4
4
-
-
2,799
11,937
332
204
2,786
1,369
1,369
-
1,417
1,417
-
3,322
25,334
25,000
92
242
84
73
-
11
25,418
28,740
-
87
244
131
131
-
113
113
-
331
333
293
-
40
142
142
-
-
475
806
779
8,982
3,027
1,499
X
X
1,528
X
X
12,788
X
X
X
X
X
X
X
X
X
X
-
1,400
3,375
1,770
1,770
-
1,605
1,605
-
4,775
X
X
X
X
X
X
X
X
X
X
1,624
9,637
-
-
-
-
-
-
-
11,261
2
1,547
2,525
1,194
1,194
-
1,331
1,331
-
4,074
2,243
2,243
23,965
23,775
-
-
11
11
-
-
2,254
13,515
49
141
197
189
-
8
24,162
28,236
Total Level 1, Level 2 and Level 3
41,483
Note:
Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date.
(€ million)
FAIR
VALUE*
1,625
11,184
2,840
1,378
X
X
1,462
X
X
15,649
X
X
X
X
X
X
X
X
X
X
-
-
310
178
178
-
132
132
-
310
929
894
-
35
121
121
-
-
1,050
1,360
43,111
Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information
see Part A - Accounting Policies - A.4 Information on fair value of the notes to the consolidated accounts.
The financial assets and liabilities relating to OTC Derivatives and Repos managed through Central Counterparty Clearing Houses (CCPs) are offset
when (i) the clearing systems of CCPs guarantee the elimination or reduce to immaterial the credit and liquidity risks of these contracts and (ii) the
entity intends to settle these contracts on a net basis, in accordance with IAS32 - Offsetting, in order to better present the liquidity profile and
counterparty risk connected with them.
UniCredit ·2019 Annual Report and Accounts 209
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Liabilities
The offset effect as at 31 December 2019, already included in the net presentation of these transactions, totaled €29,569 million (€17,198 million as
at 31 December 2018).
The sub-item “Deposits from banks” and “Deposits from customers” include short selling totaling €9,245 million as at 31 December 2019 (€11,416
million as at 31 December 2018), in respect of which no nominal amount was attributed.
2.2 Breakdown of “Financial liabilities held for trading”: subordinated liabilities
No data to be disclosed.
2.3 Breakdown of "Financial liabilities held for trading": structured debts
Deposits from banks
Deposits from customers
Debt securities
Total
AMOUNTS AS AT
12.31.2019
22
-
3,067
3,089
(€ million)
12.31.2018
22
-
3,375
3,397
Section 3 - Financial liabilities designated at fair value - Item 30
3.1 Financial liabilities designated at fair value: breakdown by product
TYPE OF TRANSACTIONS/VALUES
1. Deposits from banks
1.1 Structured
1.2 Other
of which:
- loan commitments given
- financial guarantees given
2. Deposits from customers
2.1 Structured
2.2 Other
of which:
- loan commitments given
- financial guarantees given
3. Debt securities
3.1 Structured
3.2 Other
Total
Total Level 1, Level 2 and Level 3
NOMINAL
VALUE
5
AMOUNTS AS AT
12.31.2019
FAIR VALUE
LEVEL 1
-
LEVEL 2
4
LEVEL 3
1
FAIR
VALUE*
5
NOMINAL
VALUE
5
AMOUNTS AS AT
12.31.2018
FAIR VALUE
LEVEL 1
-
LEVEL 2
4
LEVEL 3
1
-
5
-
-
581
-
581
-
-
8,768
8,220
548
9,354
-
-
X
X
-
-
-
X
X
-
-
-
-
-
4
X
X
573
-
573
X
X
8,620
8,196
424
9,197
-
1
X
X
51
-
51
X
X
429
339
90
481
9,678
X
X
X
X
626
X
X
X
X
8,922
X
X
9,553
-
5
-
-
566
-
566
-
-
9,099
8,356
743
9,670
-
-
X
X
-
-
-
X
X
427
-
427
427
-
4
X
X
534
-
534
X
X
8,126
7,797
329
8,664
-
1
X
X
45
-
45
X
X
181
160
21
227
9,318
Note:
Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date.
(€ million)
FAIR
VALUE*
5
X
X
X
X
583
X
X
X
X
8,781
X
X
9,369
Liabilities are recognised in this item to reduce the accounting mismatch arising from financial instruments measured with changes in fair value in
the income statement in order to manage the risk profile.
Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information
see Part A - Accounting policies - A.4 Information on fair value of the notes to the consolidated accounts.
The sub-item “3.1 Debt securities - Structured” includes “Certificates”, structured debt securities, issued by UniCredit S.p.A. and by other Group’s
legal entities. These instruments are designated at fair value as the embedded derivatives cannot be bifurcated.
The “Secured mandatorily exchangeable equity-linked certificate” referred to the residual shares in Bank Pekao S.A. after the sale of the 32.8%
stake to Powszechny Zakład Ubezpieczeń S.A. and Polish Development Fund S.A. occurred in June 2017, included in December 2018 amount for
€396 million, has expired at the end of 2019.
210 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Liabilities
3.2 Breakdown of "Financial liabilities designated at fair value": subordinated liabilities
Deposits from banks
Deposits from customers
Debt securities
Total
Section 4 - Hedging derivatives - Item 40
4.1 Hedging derivatives: breakdown by type of hedging and by levels
AMOUNTS AS AT
12.31.2019
-
-
-
-
(€ million)
12.31.2018
-
-
472
472
A. Financial derivatives
1) Fair value
2) Cash flows
3) Net investment in foreign
subsidiaries
B. Credit derivatives
1) Fair value
2) Cash flows
Total
Total Level 1, Level 2 and Level 3
AMOUNTS AS AT
NOTIONAL
AMOUNT
192,077
183,644
8,433
-
-
-
-
192,077
LEVEL 1
166
166
-
-
-
-
-
166
12.31.2019
FAIR VALUE
LEVEL 2
7,020
6,722
298
-
-
-
-
7,020
AMOUNTS AS AT
NOTIONAL
AMOUNT
200,237
189,840
10,397
-
-
-
-
200,237
LEVEL 1
100
100
-
-
-
-
-
100
12.31.2018
FAIR VALUE
LEVEL 2
5,907
5,607
300
-
-
-
-
5,907
LEVEL 3
-
-
-
-
-
-
-
-
7,186
Valuations at fair value were classified according to a hierarchy of levels reflecting the significance of the valuations input.
For further information see Part A - Accounting policies.
4.2 Hedging derivatives: breakdown by hedged portfolios and type of hedging
(€ million)
LEVEL 3
25
17
8
-
-
-
-
25
6,032
(€ million)
FAIR VALUE
MICRO-HEDGE
AMOUNTS AS AT
12.31.2019
CASH FLOW
DEBT
SECURITIES
AND
INTEREST
RATES
RISK
EQUITY
INSTRUMENTS
AND EQUITY
INDICES RISK
CURRENCY
AND GOLD
CREDIT
RISK
COMMODITIES
OTHER
MACRO-
HEDGE
MICRO-
HEDGE
MACRO-
HEDGE
FOREIGN
INVESTMENTS
431
-
X
-
431
3,430
X
3,430
X
X
-
X
X
-
-
X
X
-
X
X
-
-
X
-
-
-
X
-
X
X
-
-
X
-
-
-
X
-
X
X
X
X
X
-
-
-
X
-
X
X
X
X
X
-
-
-
X
-
X
X
X
X
5
X
5
X
2,529
2,529
X
493
-
-
X
-
-
89
X
89
-
X
X
X
96
X
96
X
110
110
X
3
X
X
X
-
-
X
X
-
X
-
TRANSACTIONS/HEDGE TYPES
1. Financial assets at fair
value through other
comprehensive income
2. Financial assets at
amortised cost
3. Portfolio
4. Other transactions
Total assets
1. Financial liabilities
2. Portfolio
Total liabilities
1. Expected transactions
2. Financial assets and
liabilities portfolio
UniCredit ·2019 Annual Report and Accounts 211
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Liabilities
Section 5 - Value adjustment of hedged financial liabilities - Item 50
5.1 Changes to hedged financial liabilities
CHANGES TO HEDGED LIABILITIES/GROUP COMPONENTS
1. Positive changes to financial liabilities
2. Negative changes to financial liabilities
Total
Section 6 - Tax liabilities - Item 60
See Section 11 of Assets.
AMOUNTS AS AT
12.31.2019
8,442
(3,478)
4,964
(€ million)
12.31.2018
5,848
(2,618)
3,230
Section 7 - Liabilities associated with assets classified as held for sale - Item 70
See Section 12 of Assets.
Section 8 - Other liabilities - Item 80
8.1 Other liabilities: breakdown
ITEMS/VALUES
Liabilities in respect of financial guarantees issued
Accrued expenses and deferred income other than those to be capitalised for the financial liabilities
concerned
Negative value of management agreements (so-called servicing assets)
Payment agreements based on the value of own capital instruments classified as deposits pursuant to
IFRS2
Other liabilities due to employees
Other liabilities due to other staff
Other liabilities due to Directors and Statutory Auditors
Interest and amounts to be credited to
- Customers
- Banks
Items in transit between branches and not yet allocated to destination accounts
Available amounts to be paid to others
Items in processing
Entries relating to securities transactions
Definitive items but not attributable to other lines
- Accounts payable - suppliers
- Provisions for tax withholding on accrued interest, bond coupon payments or dividends
- Other entries
Liabilities for miscellaneous entries related to tax collection service
Adjustments for unpaid portfolio entries
Tax items different from those included in item 60
Other entries
Total
AMOUNTS AS AT
12.31.2019
3
575
-
(€ million)
12.31.2018
5
534
-
4
1,901
45
5
181
129
52
22
386
805
123
3,362
1,270
5
2,087
-
975
1,031
3,131
12,549
3
2,495
40
14
271
221
50
40
371
974
99
4,251
1,127
3
3,121
-
955
1,167
2,731
13,950
Item “Accrued expenses and deferred income other than those to be capitalised for the financial liabilities” includes the contract liabilities recognised
in accordance with IFRS15.
In this context, deferred income represents the portion of performance obligations not yet satisfied through the services provided by the Group but
already settled during the period or in previous periods.
The majority of this amount relates to performance obligations expected to be satisfied by the following year end reporting date.
Refer to Section 13 - Other assets for information about the changes in deferred income and accrued expenses occurred in the period.
212 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Liabilities
Section 9 - Provision for employee severance pay - Item 90
The “TFR” provision for Italy-based employee benefits is to be construed as a “post-retirement defined benefit”. It is therefore recognised on the
basis of an actuarial estimate of the amount of benefit accrued by employees discounted to present value. This benefit is calculated by an external
actuary using the “projected unit credit” method (see Part A.2 - Main items of the accounts).
9.1 Provisions for employee severance pay: annual changes
A. Opening balance
B. Increases
B.1 Provisions for the year
B.2 Other increases
of which: business combinations
C. Reductions
C.1 Severance payments
C.2 Other decreases
of which: business combinations
D. Closing Balance
9.2 Other information
Cost Recognised in P&L:
- Current Service Cost
- Interest Cost on the DBO
- Settlement (gains)/losses
- Past Service Cost
Remeasurement Effects (Gains) Losses Recognised in OCI
Annual weighted average assumptions
- Discount rate
- Price inflation
CHANGES IN
2019
698
63
11
52
-
100
80
20
5
661
CHANGES IN
2019
12
1
11
-
-
36
0.75%
0.95%
(€ million)
2018
917
16
13
3
-
235
214
21
3
698
(€ million)
2018
13
1
12
-
-
(16)
1.60%
1.20%
Duration of defined benefit obligation equals to 10.6 years; Valuation Reserve negative balance (net of tax) move from -€126 million as at 31
December 2018 to -€152 million as at 31 December 2019.
A change of -25 basis points of Discount Rate would result in an increase of the liability of €18 million (+2.67%); a correspondent increase would
result in a reduction in the liability of €17 million (-2.59%). A change of -25 basis points of Price Inflation rate would result in a reduction of the liability
of €11 million (-1.61%); a correspondent increase would result in an increase of the liability of €11 million (+1.63%).
Section 10 - Provisions for risks and charges - Item 100
10.1 Provisions for risks and charges: breakdown
ITEMS/COMPONENTS
1. Provisions for credit risk on commitments and financial guarantees given
2. Provisions for other commitments and other guarantees given
3. Pensions and other post-retirement benefit obligations
4. Other provisions for risks and charges
4.1 Legal and tax disputes
4.2 Staff expenses
4.3 Other
Total
AMOUNTS AS AT
12.31.2019
985
104
5,619
3,690
884
1,253
1,553
10,398
(€ million)
12.31.2018
1,083
57
4,767
5,054
2,476
946
1,632
10,961
UniCredit ·2019 Annual Report and Accounts 213
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Liabilities
The item "4. Other provisions for risks and charges" consists of:
legal disputes: cases in which the Group is a defendant, and post-insolvency clawback petitions (more information on litigation is set out in Part E -
section 2 “Risks of the prudential consolidated perimeter” - 1.5 Operational risks - B. Legal risks).
In this context it is specified that since 2012 Zagrebačka banka dd and seven other major banks in the Republic of Croatia are subject to collective
and individual lawsuits in relation to Swiss Franc loans. The local consumer’s association and individuals raised their claims asserting that
consumers’ rights have been violated by the challenged contractual clauses of the loans pegged to swiss franc currency clause.
A significant development on the matter was Swiss Franc loan conversion, imposed in 2015 by the changes in local regulations. In that context,
the banks recognised significant loan conversion expenses at the time, by placing borrowers of swiss franc loans in the same position they would
have been if their loans were from inception denominated in euros.
As a result of, among other, rulings by Croatian Courts, during the second half of 2019 further claims have been raised by the customers. As a
result, even though the Group is protecting its rights, currently it is not possible to fully determine the outcome of ongoing litigations. Based on the
most recent developments and available information, the provision recognised in the financial statements is the adequate best estimate of the
obligation;
staff expenses including also the expenses related to the implementation of the Strategic Plan;
other: provisions for risks and charges not attributable to the above items, whose details are illustrated in the table 10.6 below.
10.2 Provisions for risks and charges: annual changes
A. Opening balance
B. Increases
B.1 Provisions for the year
B.2 Changes due to the passing time
B.3 Differences due to discount-rate changes
B.4 Other changes
of which: business combinations
C. Decreases
C.1 Use during the year
C.2 Differences due to discount-rate changes
C.3 Other changes
of which: business combinations
D. Closing balance
PROVISIONS FOR
OTHER OFF-
BALANCE SHEET
COMMITMENTS AND
OTHER
GUARANTEES GIVEN
57
48
46
1
-
1
-
1
-
-
1
-
104
CHANGES IN
2019
PENSION AND POST-
RETIREMENT
BENEFIT
OBLIGATIONS
4,767
1,464
57
86
-
1,321
-
612
307
-
305
-
5,619
OTHER PROVISIONS
FOR RISKS AND
CHARGES
5,054
960
715
9
3
233
-
2,324
1,941
-
383
154
3,690
10.3 Provisions for credit risk on commitments and financial guarantees given
(€ million)
TOTAL
9,878
2,472
818
96
3
1,555
-
2,937
2,248
-
689
154
9,413
(€ million)
PROVISIONS FOR CREDIT RISK ON COMMITMENTS AND FINANCIAL GUARANTEES GIVEN
AMOUNTS AS AT
12.31.2019
Loan commitments given
Financial guarantees given
Total
STAGE 1
106
56
162
STAGE 2
58
29
87
STAGE 3
154
582
736
10.4 Provisions on other commitments and other issued guarantees
1. Other issued guarantees
2. Other commitments
Total
AMOUNTS AS AT
12.31.2019
104
-
104
TOTAL
318
667
985
(€ million)
12.31.2018
57
-
57
214 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Liabilities
10.5 Pensions and other post-retirement defined-benefit obligations
1. Pensions and other post-retirement benefit obligations
There are several defined-benefit plans within the Group, i.e., plans whose benefit is linked to salary and employee length of service both in Italy and
abroad. The Austrian, German and Italian plans account for over 90% of the Group’s pension obligations.
The 45% of the total obligations for defined benefit plans are financed with segregated assets. These plans are established in (i) Germany, among
others "Direct Pension Plan" (i.e. an external fund managed by independent trustees), the "HVB Trust Pensionfonds AG" and the "Pensionkasse der
Hypovereinsbank WaG", all created by UniCredit Bank AG (UCB AG), and (ii) in the United Kingdom, Italy and Luxembourg created by UCB AG and
UniCredit S.p.A.
The Group’s defined-benefit plans are mainly closed to new recruits where most new recruits join defined-contribution plans instead and the related
contributions are charged to the income statement.
According to IAS19, obligations arising from defined-benefit plans are determined using the “projected unit credit” method, while segregated assets
are measured at fair value. The balance sheet obligation is the result of the deficit/surplus (i.e., the difference between obligations and assets) net of
any impacts of the asset ceiling; actuarial gains and losses are recognized in shareholders’ equity and shown in a specific item of revaluation
reserves in the financial year in which they are recorded.
The actuarial assumptions used to determine obligations vary from country to country and from plan to plan; the discount rate is determined,
depending on the currency of denomination of the commitments and the maturity of the liability, by reference to market yields at the balance sheet
date on a basket of “ high quality corporate bonds”.
In light of evolving common interpretation about “high quality corporate bonds” identification and persisting interest rates decreasing trend, UCG
refined its Discount Rate setting methodology by referencing AA rated corporate bonds basket. In addition, a Nelson Siegel methodology has been
applied in modelling the yield-curve expressed by the basket of securities ( adjusted above the last liquid point - defined as the average maturity of
the last 5 available bonds - relying on the slope of a Treasury curve build with AA Govies).
The remeasurement of commitments as at 31 December 2019 leads to an increase in the negative balance of the valuation reserve relating to
actuarial gains/losses on defined benefit plans of €836 million, net of taxes (for a negative balance which move from -€2,584 million as at 31
December 2018 to -€3,420 million as at 31 December 2019).
2. Changes of net defined benefit liability/asset and any reimbursement rights
2.1 Breakdown of defined benefit net obligation
Current value of the defined benefit obligation
Current value of the plan assets
Deficit/(Surplus)
Irrecoverable surplus (effect of asset ceiling)
Net defined benefit liability/(asset) as of the period end date
2.2 Changes in defined benefit obligations
Initial defined benefit obligation
Current service cost
Settlement (gain)/loss
Past service cost
Interest expense on the defined benefit obligation
Write-downs for actuarial (gains)/losses on defined benefit plans
Employees' contributions for defined benefit plans
Disbursements from plan assets
Disbursements directly paid by the fund
Settlements
Other increases (decreases)
Net defined benefit liability/(asset) as of the period end date
12.31.2019
10,425
(4,833)
5,592
-
5,592
12.31.2019
9,356
84
(30)
-
182
1,292
8
(133)
(53)
(283)
(2)
10,421
(€ million)
12.31.2018
9,356
(4,609)
4,747
-
4,747
(€ million)
12.31.2018
9,173
89
1
3
179
318
8
(171)
(234)
(5)
(5)
9,356
UniCredit ·2019 Annual Report and Accounts 215
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Liabilities
2.3 Changes to plan assets
Initial fair value of plan assets
Interest income on plan assets
Administrative expenses paid from plan assets
Write-downs on the fair value of plan assets for actuarial gains (losses) on the discount rate
Employer contributions
Disbursements from plan assets
Settlements
Other increases (decreases)
Final fair value of plan assets
3. Main plan asset classes
1. Shares
2. Bonds
3. Units in investment funds
4. Real estate properties
5. Derivative instruments
6. Other assets
Total
12.31.2019
4,609
95
-
122
160
(133)
-
(20)
4,833
12.31.2019
90
392
3,918
239
-
194
4,833
(€ million)
12.31.2018
4,671
98
-
(101)
117
(171)
(5)
-
4,609
(€ million)
12.31.2018
97
448
3,718
235
-
111
4,609
4. Significant actuarial assumptions used to determine the current value of defined benefit obligation
12.31.2019
12.31.2018
Discount rate
Expected return on plan assets
Expected compensation increase rate
Future increases relating to pension treatments
Expected inflation rate
%
1.12
1.12
2.04
1.72
1.36
5. Impact of changes in financial/demographic assumptions on DBOs and financial duration
- Impact of changes in financial/demographic assumptions on DBOs
A. Discount rate
A1. -25 basis points
A2. +25 basis points
B. Future increase rate relating to pension treatments
B1. -25 basis points
B2. +25 basis points
C. Mortality
C.1 Life expectancy + 1 year
- Financial duration (years)
216 2019 Annual Report and Accounts · UniCredit
%
1.99
1.99
2.05
1.84
1.59
(€ million)
12.31.2019
439
4.21%
(412)
-3.95%
(303)
-2.90%
318
3.05%
361
3.46%
16.3
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Liabilities
10.6 Provisions for risks and charges - other provisions
4.3 Other provisions for risks and charges - other
Real estate risks/charges
Restructuring costs
Allowances payable to agents
Disputes regarding financial instruments and derivatives
Costs for liabilities arising from equity investment disposals
Other
Total
It should be noted that the following sub item:
“Others” includes provisions:
AMOUNTS AS AT
12.31.2019
12.31.2018
(€ million)
103
50
89
61
221
1,029
1,553
158
74
162
85
184
969
1,632
- posted in order to cope with the probable risks of loss relating to the purchases of diamonds, that could be carried out under the “customer care”
initiative promoted by UniCredit S.p.A. Further information is reported in the related paragraph of Part E - Information on risks and hedging
policies - 2.5 Operational risks - Qualitative information - E. Other claims by customers - Diamond offer;
- referring to cover the risks related to certain standard contractual terms contained in the documentary frameworks (i.e. reps & warranties),
including securitisation transactions signed with the SPVs, of which UniCredit S.p.A. is Originator, pending the analysis and assessments to be
completed within the deadlines established.
Section 11 - Technical reserves - Item 110
No data to be disclosed.
Section 12 - Redeemable Shares - Item 130
No data to be disclosed.
Section 13 - Group shareholders’ equity - Items 120, 130, 140, 150, 160, 170 and 180
At 31 December 2019 the Group shareholders’ equity, including the profit for the period of €3,373 million, amounted to €61,416 million, against
€56,389 million at the end of 2018 restated.
The table below shows a breakdown of Group equity and the changes over the previous year.
Group shareholders' equity: breakdown
1. Share capital
2. Share premium reserve
3. Reserves
4. Treasury shares
a. Parent Company
b. Subsidiaries
5. Valuation reserve
6. Equity instruments
7. Net profit (loss)
Total
AMOUNTS AS AT
CHANGES
12.31.2019
20,995
13,225
24,344
(3)
(2)
(1)
(6,120)
5,602
3,373
61,416
12.31.2018
20,940
13,393
20,836
(9)
(2)
(7)
(7,488)
4,610
4,107
56,389
AMOUNT
55
-168
3,508
6
-
6
1,368
992
-734
5,027
(€ million)
%
0.3%
-1.3%
16.8%
-66.7%
-
-85.7%
-18.3%
21.5%
-17.9%
8.9%
UniCredit ·2019 Annual Report and Accounts 217
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Liabilities
The €5,027 million increase in Group Equity resulted from:
Change in capital:
withdrawal from the specifically constituted reserve for the issue of the shares connected to the medium term incentive plan
for Group personnel following the resolution of the Board of Directors of 6 February 2019
Use of share premium reserve:
for the coverage of the negative reserves for the component related to the payment of AT1 coupons in 2017
Change in reserves, including those one in treasury shares arising from:
· attribution to the reserve of the result of the previous year, net of dividends and other allocations
· coverage of the negative reserves, using share premium reserve and statutory reserve
· reserve for the unsustainable amount of Deferred Tax Assets relating to tax losses carried forward linked to shareholders'
equity items
· change in reserves connected to Share Based Payments
· withdrawal from reserves, for the capital increase connected to the medium term incentive plan for Group personnel
following the resolution of the Board of Directors of 6 February 2019
· recognition in reserves from allocation of profit of the cumulated gains (losses) arising from the disposal of equities
measured at fair value through Other Comprehensive Income and from the repurchase of financial liabilities designated at fair
value occurred during the period. This amount includes also the recycling to reserves from allocation of profit of the eventual
amount previously reported in revaluation reserve
· the charge to reserves for the disbursements made in connection with the usufruct contract signed with Mediobanca S.p.A.
on UniCredit shares supporting the issuance of convertible securities denominated “Cashes”
· use of the statutory reserve to cover the negative reserve arising from the payment of usufruct contract signed with
Mediobanca S.p.A. on UniCredit shares supporting the issuance of convertible securities denominated “Cashes”
· allocation to the reserve of the coupon paid to subscribers of the Additional Tier 1 instruments, net of the related taxes and
fees paid to legal entities belonging to UniCredit group
· other changes
Change in valuation reserves due to:
· variation in the value of the revaluation reserve tangible assets
· variation of valuation reserves related to financial assets and liabilities valued at fair value
· variation in the value of the valuation reserve of companies carried at equity
· variation in exchange rate differences
· variation in the value of hedging for financial risks
· variation in the value of the reserve on non-current assets classified held-for-sale
· variation in the value of the reserve on actuarial gains (losses) on defined-benefit plans
Issue of Additional Tier1 recognised net of the related transaction costs and placement fees
Change of the profit for the period compared with that of 31 December 2018
13.1 "Share capital" and "treasury shares": breakdown
(€ million)
55
(168)
3,514
3,503
293
269
69
(55)
(93)
(124)
(125)
(285)
62
1,368
1,442
709
501
294
(55)
(660)
(863)
992
(734)
(€ million)
A. Share Capital
A.1 Ordinary shares
A.2 Savings shares
Total A
B. Treasury Shares
AMOUNT AS AT
12.31.2019
AMOUNT AS AT
12.31.2018
ISSUED SHARES
UNDERWRITTEN AND
NOT YET FULLY PAID
SHARES
ISSUED SHARES
UNDERWRITTEN AND
NOT YET FULLY PAID
SHARES
20,995
-
20,995
(3)
-
-
-
-
20,940
-
20,940
(9)
-
-
-
-
Reference is made to the paragraph of Part B - Notes to the accounts of the parent company UniCredit S.p.A. - Section 12 - Shareholders’ equity -
Item 110, 130, 140, 150, 160, 170 and 180 - “12.1 Share capital and treasury shares: breakdown” which is herewith quoted entirely.
218 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Liabilities
13.2 Share capital - Number of shares: annual changes
ITEMS/TYPES
A. Issued shares as at the beginning of the year
- Fully paid
- Not fully paid
A.1 Treasury shares (-)
A.2 Shares outstanding: opening balance
B. Increases
B.1 New issues
- Against payment
- Business combinations
- Bonds converted
- Warrants exercised
- Other
- Free
- To employees
- To directors
- Other
B.2 Sales of treasury shares
B.3 Other changes
C. Decreases
C.1 Cancellation
C.2 Purchase of treasury shares
C.3 Business tranferred
C.4 Other changes
of which: business combinations
D. Shares outstanding: closing balance
D.1 Treasury shares (+)
D.2 Shares outstanding as at the end of the year
- Fully paid
- Not fully paid
CHANGES IN 2019
ORDINARY
2,230,176,665
2,230,176,665
-
(4,760)
2,230,171,905
3,200,177
3,200,177
-
-
-
-
-
3,200,177
3,200,177
-
-
-
-
-
-
-
-
-
-
2,233,372,082
4,760
2,233,376,842
2,233,376,842
-
SAVINGS
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
Reference is made to the paragraph of Part B - Notes to the accounts of the parent company UniCredit S.p.A. - Section 12 - Shareholders’ equity -
Item 110, 130, 140, 150, 160, 170 and 180 - “12.2 Share capital - number of shares: annual changes” which is herewith quoted entirely.
13.3 Share capital: other information
Reference is made to the paragraph of Part B - Notes to the accounts of the parent company UniCredit S.p.A. - Section 12 - Shareholders’ equity -
Item 110, 130, 140, 150, 160, 170 and 180 - “12.3 Capital: other information” which is herewith quoted entirely.
13.4 Reserves form profits: other information
Legal reserve
Statutory reserve
Other reserves
Total
AMOUNTS AS AT
12.31.2019
1,518
7,504
7,816
16,838
(€ million)
12.31.2018
1,518
6,161
5,876
13,555
The legal reserve in overall includes, in addition to the amount of €1,518 million, also the amount of €2,683 million classified among Other reserves
(not from profits) through a withdrawal from the “Share premium reserve” as resolved by the Shareholders’ Meeting of 11 May 2013, 13 May 2014
and 14 April 2016.
13.5 Equity instruments: breakdown and annual changes
Reference is made to the paragraph of Part B - Notes to the accounts of the parent company UniCredit S.p.A. - Section 12 - Shareholders’ equity -
Item 110, 130, 140, 150, 160, 170 and 180 - “12.5 Equity instruments: breakdown and annual changes” which is herewith quoted entirely.
UniCredit ·2019 Annual Report and Accounts 219
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Liabilities
13.6 Other Information
Valuation reserves: breakdown
ITEM/TYPES
1. Equity instruments designated at fair value through other comprehensive income
2. Financial assets (other than equity instruments) at fair value through other comprehensive income
3. Hedging of equity instruments at fair value through other comprehensive income
4. Financial liabilities at fair value through profit or loss (changes in own credit risk)
5. Hedging instruments (non-designated elements)
6. Property, plant and equipment
7. Intangible assets
8. Hedges of foreign investments
9. Cash-flow hedges
10. Exchange differences
11. Non-current assets classified as held for sale
12. Actuarial gains (losses) on defined-benefit plans
13. Part of valuation reserves of investments valued at net equity
14. Special revaluation laws
Total
AMOUNTS AS AT
12.31.2019
(227)
(€ million)
12.31.2018
(265)
980
-
(84)
-
1,442
-
-
18
(2,032)
(660)
(3,573)
(2,261)
277
(6,120)
184
-
41
-
-
-
-
73
(2,326)
-
(2,710)
(2,762)
277
(7,488)
The FX currency reserves as at 31 December 2019 mainly refer to the following currencies:
Turkish Lira: - €2,918 million, of which -€2,275 million included in the item “Revaluation reserves of investments valued at net equity” and -€643
million included in the item “Non-current assets classified as held for sale”;
Russian Ruble: -€1,800 million of which -€1,794 million included in the item “Exchange differences”, -€22 million included in the item “Revaluation
reserves of investments valued at net equity” and +€17 million in item “Non-current assets classified as held for sale”.
The main variations in comparison to 31 December 2018 refer to:
variation of “Property, plan and equipment” item for +€1,442 million due to the transition from the cost model to the revaluation model for the
measurement subsequent to initial recognition for the properties used in business, ruled by IAS16 "Property, plant and machinery" (for further
details refer to Part A - Accounting policies - A.1 - General - Section 5 - Other matters);
variation of item “Financial assets (other than equity instruments) at fair value through other comprehensive income” for +€796 million mainly due
to Government securities;
variation of the item “Exchange differences” for +€294 million manly refers to change of Russian Ruble for +€324 million;
variation of the item “Revaluation reserves of investments valued at net equity” for +€501 million mainly due to the change of Turkish Lira for -€110
million and for +€677 million due to the reclassification of 9.02% of the valuation reserve of Yapi Ve Kredi Bankasi AS in the reserve of “Non-
current assets classified as held for sale” (mainly referred to Turkish Lira for -€643 million);
variation of the item “Actuarial gains (losses) on defined-benefit plans” for -€863 million referred to widespread drop in Euro yield curve reducing
DBO discount rate partially offset by plan assets performance.
220 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Liabilities
Section 14 - Minority shareholders‘ equity - Item 190
The table below shows a breakdown of minorities as at 31 December 2019.
14.1 Breakdown of item 190 "Shareholders' equity: minorities"
Equity investments in consolidated companies with minority interests
Zagrebacka Banka D.D.
UniCredit Bank D.D.
UniCredit Bank Austria AG Sub-Group
FinecoBank S.p.A.
Fineco Asset Management Designated Activity Company
Other equity investments and other consolidation adjustments
Total
2019
464
346
70
48
-
-
(95)
369
(€ million)
2018
1,002
346
65
64
517
10
(41)
961
The shareholders' equity attributable to minority interests for 2019 amounted to €369 million.
The main contributions are attributable to the minority shareholders of Zagrebacka Banka D.D. and its subsidiary UniCredit Bank D.D. and UniCredit
Bank Austria AG Sub-Group, mainly referring to Card Complete Service Bank AG.
The deviation from the previous year mainly refers to the sale of FinecoBank S.p.A. and its subsidiary.
14.2 Capital instruments:breakdown and annual changes
There are no equity instruments.
UniCredit ·2019 Annual Report and Accounts 221
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Liabilities
Other information
1. Commitments and financial guarantees given (different from those designated at fair value)
1. Loan commitments given
a) Central Banks
b) Governments and other Public Sector Entities
c) Banks
d) Other financial companies
e) Non-financial companies
f) Households
2. Financial guarantees given
a) Central Banks
b) Governments and other Public Sector Entities
c) Banks
d) Other financial companies
e) Non-financial companies
f) Households
AMOUNTS AS AT
NOTIONAL AMOUNTS OF COMMITMENTS AND FINANCIAL
GUARANTEES GIVEN
12.31.2019
STAGE 1
150,270
24
5,628
4,972
24,420
106,616
8,610
49,855
64
349
9,139
4,830
35,049
424
STAGE 2
11,926
-
1,139
29
907
6,624
3,227
3,684
-
8
363
98
3,178
37
STAGE 3
510
-
-
-
26
467
17
1,346
-
1
-
10
1,327
8
2. Others commitments and others guarantees given
TOTAL
162,706
24
6,767
5,001
25,353
113,707
11,854
54,885
64
358
9,502
4,938
39,554
469
(€ million)
AMOUNTS AS AT
12.31.2018
TOTAL
155,908
-
7,668
2,504
26,097
106,950
12,689
52,879
6
333
9,168
6,225
36,710
437
(€ million)
1. Others guarantees given
of which: non-performing loans
a) Central Banks
b) Governments and other Public Sector Entities
c) Banks
d) Other financial companies
e) Non-financial companies
f) Households
2. Others commitments
of which: non-performing loans
a) Central Banks
b) Governments and other Public Sector Entities
c) Banks
d) Other financial companies
e) Non-financial companies
f) Households
AMOUNTS AS AT
12.31.2019
NOTIONAL AMOUNTS
19,988
186
-
6
1,948
2,269
15,748
17
94,235
1,514
747
1,148
13,799
16,870
57,099
4,572
12.31.2018
NOTIONAL AMOUNTS
20,801
177
-
4
1,934
4,622
14,212
29
93,435
1,799
1,582
1,361
17,593
9,138
58,362
5,399
Table “1. Commitments and financial guarantees given” shows commitments and guarantees evaluated according to the IFRS9 requirements.
Table “2. Others commitments and others guarantees given” shows commitments and guarantees that are not evaluated according to the IFRS9
requirements. Note that starting from 31 December 2018, according of the 5th update of Banca d’Italia Circular 262, the tables also include the
revocable commitments and the item “financial guarantees” also includes the commercial ones.
222 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Liabilities
3. Assets used to guarantee own liabilities and commitments
PORTFOLIOS
1. Financial assets at fair value through profit or loss
2. Financial assets at fair value through other comprehensive income
3. Financial assets at amortised cost
4. Property, plant and equipment
of which: inventories of property, plant and equipment
AMOUNTS AS AT
12.31.2019
16,817
33,242
110,917
51
2
(€ million)
12.31.2018
18,937
39,910
115,325
44
2
Deposits from Banks include €55,424 million related to Central Banks' refinancing operations collateralised by securities and loans respectively
amounting to nominal €43,638 million and €22,812 million.
Regarding collateral securities, those not recognised on balance-sheet since they represent repurchased or retained Group's financial liabilities
amount to nominal €22,317 million.
4. Breakdown of investments relating to unit-linked and index-linked policies
There were no transactions concerning unit-linked and index-linked policies.
5. Asset management and trading on behalf of third parties
TYPE OF SERVICES
1. Execution of orders on behalf of customers
a) Purchases
1. Settled
2. Unsettled
b) Sales
1. Settled
2. Unsettled
2. Portfolio management
a) Individual
b) Collective
3. Custody and administration of securities
a) Third party securities on deposits: relating to depositary bank activities (excluding portfolio
management)
1. Securities issued by companies included in consolidation
2. Other securities
b) Third party securities held in deposits (excluding portfolio management): other
1. Securities issued by companies included in consolidation
2. Other securities
c) Third party securities deposited with third parties
d) Property securities deposited with third parties
4. Other transactions
AMOUNTS AS AT
12.31.2019
(€ million)
12.31.2018
106,837
106,826
11
107,215
107,206
9
44,924
71,982
24,595
15,025
9,570
223,121
8,899
214,222
183,118
99,462
8,330
262,633
262,083
550
242,724
242,144
580
39,377
59,197
13,387
9,030
4,357
235,430
10,287
225,143
195,124
101,048
9,776
UniCredit ·2019 Annual Report and Accounts 223
Consolidated financial statements | Notes to the consolidated accounts
Part B - Consolidated balance sheet - Liabilities
6. Financial assets subject to accounting offsetting or under master netting agreements and similar agreements
RELATED AMOUNTS NOT
SUBJECT TO ACCOUNTING
OFFSETTING
(€ million)
GROSS
AMOUNTS OF
FINANCIAL
ASSETS
FINANCIAL
LIABILITIES
OFFSET IN
BALANCE
SHEET
NET BALANCE
SHEET
VALUES OF
FINANCIAL
ASSETS
(A)
64,175
87,220
-
132,950
284,345
245,429
(B)
28,891
3,875
-
3,639
36,405
24,268
(C=A-B)
35,284
83,345
-
129,311
247,940
221,161
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED
NET AMOUNT
NET AMOUNT
12.31.2019
12.31.2018
(D)
20,840
65,829
-
-
86,669
66,488
(E)
8,148
130
-
-
8,278
6,544
(F=C-D-E)
6,296
17,386
-
129,311
152,993
X
7,197
16,974
-
123,958
X
148,129
INSTRUMENT TYPE
1. Derivatives
2. Reverse repos
3. Securities lending
4. Others
Total
Total
12.31.2019
12.31.2018
Financial derivative assets offset in balance sheet by financial liabilities (column “B” item 1. Derivatives) mainly refers to derivative contracts settled
with Central Clearing Counterparts (CCPs).
7. Financial liabilities subject to accounting offsetting or under master netting agreements and similar agreements
RELATED AMOUNTS NOT
SUBJECT TO ACCOUNTING
OFFSETTING
(€ million)
GROSS
AMOUNTS OF
FINANCIAL
LIABILITIES
FINANCIAL
ASSETS
OFFSET IN
BALANCE
SHEET
NET BALANCE
SHEET
VALUES OF
FINANCIAL
LIABILITIES
(A)
63,422
87,533
-
176,336
327,291
307,175
(B)
30,679
3,875
-
1,850
36,404
24,268
(C=A-B)
32,743
83,658
-
174,486
290,887
282,907
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED
NET AMOUNT
NET AMOUNT
12.31.2019
12.31.2018
(D)
21,183
70,970
-
-
92,153
66,671
(E)
10,033
201
-
-
10,234
9,149
(F=C-D-E)
1,527
12,487
-
174,486
188,500
X
4,773
37,614
9
164,691
X
207,087
INSTRUMENT TYPE
1. Derivatives
2. Reverse repos
3. Securities lending
4. Others
Total
Total
12.31.2019
12.31.2018
Financial derivative liabilities offset in balance sheet by financial assets (column “B” item 1. Derivatives) mainly refers to derivative contracts settled
with Central Clearing Counterparts (CCPs).
8. Security borrowing transactions
TYPE OF LENDER
A. Banks
B. Financial companies
C. Insurance companies
D. Non-financial companies
E. Others
Total
AMOUNTS AS AT
12.31.2019
AMOUNTS OF THE SECURITIES BORROWED/TRANSACTION PURPOSES
(€ million)
GIVEN AS
COLLATERAL IN
OWN FUNDING
TRANSACTIONS
180
1
-
-
-
181
SOLD
1,737
117
-
65
-
1,919
SOLD IN REPO
TRANSACTIONS
4,393
558
36
599
306
5,892
OTHER PURPOSES
4,489
270
74
54
653
5,540
224 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
Part C - Consolidated income statement
Section 1 - Interests - Items 10 and 20
1.1 Interest income and similar revenues: breakdown
ITEMS/TYPES
1. Financial assets at fair value through profit or
loss
1.1 Financial assets held for trading
1.2 Financial assets designated at fair value
1.3 Other financial assets mandatorily at fair
value
2. Financial assets at fair value through other
comprehensive income
3. Financial assets at amortised cost
3.1 Loans and advances to banks
3.2 Loans and advances to customers
4. Hedging derivatives
5. Other assets
6. Financial liabilities
Total
of which: interest income on impaired financial
assets
of which: interest income on financial lease
DEBT SECURITIES
LOANS
OTHER
TRANSACTIONS
YEAR 2019
219
112
-
107
1,256
544
38
506
X
X
X
2,019
5
-
102
4
-
98
-
11,386
713
10,673
X
X
X
11,488
535
600
713
713
-
-
X
X
X
X
(180)
155
X
688
-
-
1.2 Interest income and similar revenues: other information
1.2.1 Interest income from financial assets denominated in currency
ITEMS
a) Assets denominated in currency
1.3 Interest expenses and similar charges: breakdown
(€ million)
YEAR
2018
TOTAL
982
733
-
249
1,146
11,721
681
11,040
394
190
673
15,106
653
594
TOTAL
1,034
829
-
205
1,256
11,930
751
11,179
(180)
155
598
14,793
540
600
YEAR 2019
4,805
(€ million)
YEAR 2018
4,189
ITEMS/TYPES
1. Financial liabilities at amortised cost
1.1 Deposits from central banks
1.2 Deposits from banks
1.3 Deposits from customers
1.4 Debt securities in issue
2. Financial liabilities held for trading
3. Financial liabilities designated at fair value
4. Other liabilities and funds
5. Hedging derivatives
6. Financial assets
Total
of which: interest expenses on lease deposits
YEAR 2019
SECURITIES
(2,314)
X
X
X
(2,314)
(40)
(94)
X
X
X
(2,448)
X
OTHER
TRANSACTIONS
X
X
X
X
X
(850)
-
(52)
896
X
(6)
X
DEBTS
(1,712)
(99)
(489)
(1,124)
X
(2)
(10)
X
X
X
(1,724)
(42)
TOTAL
(4,026)
(99)
(489)
(1,124)
(2,314)
(892)
(104)
(52)
896
(343)
(4,521)
(42)
(€ million)
YEAR
2018
TOTAL
(3,500)
(71)
(374)
(960)
(2,095)
(907)
(111)
(20)
527
(344)
(4,355)
(3)
1.4 Interest expenses and similar charges: other information
1.4.1 Interest expenses on liabilities denominated in currency
ITEMS
a) Liabilities denominated in currency
YEAR 2019
(2,536)
(€ million)
YEAR 2018
(1,565)
UniCredit ·2019 Annual Report and Accounts 225
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
1.5 Differentials relating to hedging operations
ITEMS
A. Positive differentials relating to hedging operations
B. Negative differentials relating to hedging operations
C. Net differential (A-B)
Section 2 - Fees and commissions - Items 40 and 50
2.1 Fees and commissions income: breakdown
TYPE OF SERVICES/VALUES
a) Guarantees given
b) Credit derivatives
c) Management, brokerage and consultancy services
1. Securities trading
2. Currencies trading
3. Portfolios management
3.1 Individual
3.2 Collective
4. Custody and administration of securities
5. Custodian bank
6. Placement of securities
7. Reception and transmission of orders
8. Advisory services
8.1 Relating to investments
8.2 Relating to financial structure
9. Distribution of third parties services
9.1 Portfolios management
9.1.1 Individual
9.1.2 Collective
9.2 Insurance products
9.3 Other products
d) Collection and payment services
e) Securitisation servicing
f) Factoring
g) Tax collection services
h) Management of multilateral trading facilities
i) Management of current accounts
j) Other services
k) Security lending
Total
YEAR 2019
4,272
(3,556)
716
YEAR 2019
491
1
3,332
173
114
403
165
238
254
1
611
97
115
85
30
1,564
589
2
587
951
24
1,392
4
83
-
-
1,290
979
34
7,606
(€ million)
YEAR 2018
4,019
(3,098)
921
(€ million)
YEAR 2018
488
2
3,217
157
93
385
161
224
209
33
539
93
129
92
37
1,579
585
3
582
969
25
1,391
4
82
-
-
1,302
1,067
36
7,589
Starting from 2019 some revenues from recovery of financial transaction tax collected from customers are not any longer included in sub-item “d)
Collection and payment services” (47 million as at 31 December 2018) being addressed to Item “230. Other Operating expenses/income”.
Item “j) other services” mainly comprise:
fees on loans granted: €332 million in 2019, €410 million in 2018 (-19.0%);
fees for foreign transactions and services of €76 million in 2019, €76 million in 2018 (+0.0%);
fees for various services provided to customers (e.g. treasury, merchant banking, etc.) of €54 million in 2019, €67 million in 2018 (-19.4%);
fees for ATM and credit card services not included in collection and payment services, amounting to €308 million in 2019, €300 million in 2018
(+2.7%).
226 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
2.2 Fees and commissions expenses: breakdown
SERVICES/VALUES
a) Guarantees received
b) Credit derivatives
c) Management, brokerage and consultancy services
1. Financial instruments trading
2. Currencies trading
3. Portfolios management
3.1 Own portfolios
3.2 Third party portfolios
4. Custody and administration of securities
5. Placement of financial instruments
6. Off-site distribution of financial instruments, products and services
d) Collection and payment services
e) Other services
f) Security lending
Total
YEAR 2019
(127)
-
(328)
(59)
(12)
(42)
(21)
(21)
(151)
(18)
(46)
(689)
(121)
(23)
(1,288)
(€ million)
YEAR 2018
(136)
-
(306)
(54)
(11)
(29)
(14)
(15)
(158)
(17)
(37)
(459)
(111)
(26)
(1,038)
Starting from 2019 some expenses for payment services and cards previously addressed to Item “190. b) Other administrative expenses” (164
million as at 31 December 2018) are included in item “d) Collection and payment services”.
Section 3 - Dividend income and similar revenue - Item 70
Dividends are recognised in the income statement when distribution is approved.
In 2019 dividend income and similar revenues totaled €295 million, as against overall €413 million for the previous period.
3.1 Dividend income and similar revenues: breakdown
ITEMS/REVENUES
A. Financial assets held for trading
B. Other financial assets mandatorily at fair value
C. Financial assets at fair value through other comprehensive
income
D. Equity investments
Total
Total dividends and similar revenues
YEAR 2019
YEAR 2018
DIVIDENDS
187
SIMILAR REVENUES
-
DIVIDENDS
319
SIMILAR REVENUES
-
(€ million)
62
17
4
270
25
-
-
25
295
55
23
5
402
11
-
-
11
413
The item “A. Financial assets held for trading” includes mainly the dividends received relating to the following equity securities: Intesa Sanpaolo (€18
million), Eni S.p.A. (€15 million), Siemens Ag. NA O.N. (€11 million), Daimler Ag. NA O.N. (€10 million).
In 2018 the item includes mainly the dividends received relating to the following equity securities: Daimler Ag. NA O.N. (€35 million), Allianz SE NA
O.N. (€19 million), Siemens Ag. NA (€17 million), BASF SE NA O.N. (€16 million), DT. Telekom AG NA (€14 million), Bayer AG NA O.N. (€13
million).
The item “B. Oher financial assets mandatorily at fair value” includes dividends received relating to the shareholding in Bank Pekao SA for €25
million (€30 million in 2018), reimbursement received by “Schema Volontario” in relation to its investments into subordinated bond issued by Banca
Carige S.p.A. (€9 million) and “similar revenues” deriving from CIU quotes (€25 million).
The item “C. Financial assets at fair value through other comprehensive income” includes €10 million in dividends received relating to the
shareholding in Banca d’Italia (€10 million in 2018).
UniCredit ·2019 Annual Report and Accounts 227
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80
4.1 Net gains (losses) on trading: breakdown
TRANSACTIONS/INCOME ITEMS
1. Financial assets held for trading
1.1 Debt securities
1.2 Equity instruments
1.3 Units in investment funds
1.4 Loans
1.5 Other
2. Financial liabilities held for trading
2.1 Debt securities
2.2 Deposits
2.3 Other
3. Financial assets and liabilities: exchange
differences
4. Derivatives
4.1 Financial derivatives
- On debt securities and interest rates
- On equity securities and share indices
- On currencies and gold
- Other
4.2 Credit derivatives
of which: economic hedges linked to the fair
value option
Total
CAPITAL GAINS
(A)
4,605
345
560
182
2,093
1,425
118
92
-
26
X
99,584
99,305
89,473
5,488
X
4,344
279
X
104,307
REALISED
PROFITS (B)
3,712
920
953
170
1,177
492
318
217
-
101
X
124,382
123,950
112,449
8,065
X
3,436
432
X
128,412
YEAR 2019
CAPITAL LOSSES
(C)
(2,904)
(361)
(75)
(44)
(1,024)
(1,400)
(525)
(470)
-
(55)
X
(102,137)
(101,848)
(91,168)
(6,470)
X
(4,210)
(289)
X
(105,566)
REALISED
LOSSES (D)
(1,322)
(611)
(342)
(60)
-
(309)
(218)
(134)
(3)
(81)
X
(124,705)
(124,228)
(110,490)
(7,957)
X
(5,781)
(477)
X
(126,245)
(€ million)
NET PROFIT
[(A+B)-(C+D)]
4,091
293
1,096
248
2,246
208
(307)
(295)
(3)
(9)
(30)
(2,456)
(2,401)
264
(874)
420
(2,211)
(55)
-
1,298
Section 5 - Fair value adjustments in hedge accounting - Item 90
YEAR 2019
(€ million)
YEAR 2018
8,620
1,076
100
12
-
9,808
(7,905)
(351)
(1,506)
(4)
-
(9,766)
42
-
4,983
679
195
4
-
5,861
(5,097)
(562)
(181)
(4)
-
(5,844)
17
-
5.1 Net gains (losses) on hedge accounting: breakdown
INCOME ITEMS/VALUES
A. Gains on
A.1 Fair value hedging instruments
A.2 Hedged financial assets (in fair value hedge relationship)
A.3 Hedged financial liabilities (in fair value hedge relationship)
A.4 Cash-flow hedging derivatives
A.5 Assets and liabilities denominated in currency
Total gains on hedging activities (A)
B. Losses on
B.1 Fair value hedging instruments
B.2 Hedged financial assets (in fair value hedge relationship)
B.3 Hedged financial liabilities (in fair value hedge relationship)
B.4 Cash-flow hedging derivatives
B.5 Assets and liabilities denominated in currency
Total losses on hedging activities (B)
C. Net hedging result (A-B)
of which: net gains (losses) of hedge accounting on net positions
228 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
Section 6 - Gains (Losses) on disposals/repurchases - Item 100
As at 31 December 2019 the disposal/repurchase of financial assets/liabilities generates net gains in the amount of +€287 million (+€298 million in
2018), of which +€298 million on financial assets and -€11 million on financial liabilities.
In 2019 net result recognised under sub-item “1. Financial assets at amortised cost” equal to +€138 million, is mainly due to loan and advances to
customers of which UniCredit S.p.A for +€91 million principally attributable to disposal of bonds and of non performing loans done during the year.
The sub-item “2. Financial assets at fair value through other comprehensive income - 2.1 Debt securities” is equal to +€160 million and includes
gains on disposal of UniCredit S.p.A. (+€57 million, mainly due to disposal of Italian and Spanish Government securities), AO UniCredit Bank (+€19
million, mainly due to disposal of Russian Government securities), UniCredit Bulbank Ad (+€17 million, mainly due to disposal of Bulgarian and
Romanian Government securities), UniCredit Bank Cech Republic and Slovakia A.s. (+€13 million, mainly due to Czech and Slovak Government
securities), UniCredit Bank Austria AG (+€13 million, mainly due to disposal of Spanish Government securities), UniCredit Bank Ireland Plc (+€10
million, mainly due to disposal of Spanish and Italian Government securities).
6.1 Gains (Losses) on disposal/repurchase: breakdown
ITEMS/INCOME ITEMS
A. Financial assets
1. Financial assets at amortised cost
1.1 Loans and advances to banks
1.2 Loans and advances to customers
2. Financial assets at fair value through other
comprehensive income
2.1 Debt securities
2.2 Loans
Total assets (A)
B. Financial liabilities at amortised cost
1. Deposits from banks
2. Deposits from customers
3. Debt securities in issue
Total liabilities (B)
Total financial assets/liabilities
YEAR 2019
YEAR 2018
(€ million)
GAINS
LOSSES
NET PROFIT
GAINS
LOSSES
NET PROFIT
301
4
297
517
517
-
818
-
-
5
5
(163)
(11)
(152)
(357)
(357)
-
(520)
-
-
(16)
(16)
138
(7)
145
160
160
-
298
-
-
(11)
(11)
287
330
4
326
456
456
-
786
-
-
14
14
(201)
(8)
(193)
(282)
(282)
-
(483)
-
-
(19)
(19)
129
(4)
133
174
174
-
303
-
-
(5)
(5)
298
As at 31 December 2018 the disposal/repurchase of financial assets/liabilities generates net gains in the amount of +€298 million, of which +€303
million on financial assets and -€5 million on financial liabilities.
In 2018 net result recognised under sub-item “1. Financial assets at amortised cost” equal to +€129 million, is mainly due to disposal of loan and
advances to customers carried out by UniCredit Bank AG (+€73 million), Zagrebacka Banka D.d. (+€29 million), UniCredit Bulbank Ad (€27 million),
UniCredit Bank Serbia Jsc (+€18 million), partially rectified by losses carried out by UniCredit S.p.A. (-€30 million).
The sub-item “2. Financial assets at fair value through other comprehensive income - 2.1 Debt securities” is equal to +€174 million and includes
gains on disposal of UniCredit S.p.A. (+€89 million, mainly due to disposal of Italian Government securities), AO UniCredit Bank (+€20 million,
mainly due to disposal of Russian Government securities), UniCredit Bank Ireland Plc (+€16 million, mainly due to disposal of Italian and Spanish
Government securities), UniCredit Bank Austria AG (+€14 million, mainly due to disposal of Spanish and Austrian Government securities), UniCredit
Bulbank Ad (+€13 million, mainly due to disposal of Bulgarian Government securities).
UniCredit ·2019 Annual Report and Accounts 229
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through
profit or loss - Item 110
7.1 Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: breakdown of financial assets and
liabilities designated at fair value
CAPITAL GAINS
TRANSACTIONS/INCOME ITEMS
1. Financial assets
1.1 Debt securities
1.2 Loans
2. Financial liabilities
2.1 Debt securities
2.2 Deposits from banks
2.3 Deposits from customers
3. Financial assets and liabilities in foreign
currency: exchange differences
Total
(A)
-
-
-
251
231
15
5
X
251
REALISED
PROFITS (B)
-
-
-
177
177
-
-
X
177
YEAR 2019
CAPITAL LOSSES
(C)
-
-
-
(587)
(499)
(50)
(38)
X
(587)
(€ million)
NET PROFIT
[(A+B)-(C+D)]
-
-
-
(530)
(460)
(35)
(35)
REALISED
LOSSES (D)
-
-
-
(371)
(369)
-
(2)
X
(371)
-
(530)
Debt securities into financial liabilities include the bond “Secured mandatorily exchangeable equity-linked certificate” issued in the contest of the sale
of Bank Pekao S.A. and expired at the end of 2019 which has contributed for €15 million to the result for the period.
Some financial derivatives entered into for economic hedge purposes are linked to financial liabilities represented by debt securities and their
economic results are included into table 4.1 Trading result in Part C - Section 4.
7.2 Net change in other financial assets/liabilities at fair value through profit or loss: breakdown of other financial assets mandatorily
at fair value
CAPITAL GAINS
TRANSACTIONS/INCOME ITEMS
1. Financial assets
1.1 Debt securities
1.2 Equity securities
1.3 Units in investment funds
1.4 Loans
2. Financial assets: exchange differences
Total
(A)
452
220
81
46
105
X
452
REALISED
PROFITS (B)
60
47
1
11
1
X
60
YEAR 2019
CAPITAL LOSSES
(C)
(202)
(98)
(42)
(30)
(32)
X
(202)
(€ million)
NET PROFIT
[(A+B)-(C+D)]
160
103
(32)
18
71
REALISED
LOSSES (D)
(150)
(66)
(72)
(9)
(3)
X
(150)
-
160
CIU quotes include economic effects from Atlante fund and Italian Recovery Fund, for which refer to specific comment in table 2.5 Financial assets
mandatory at fair value in Part B - Assets - Section 2.
230 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
Section 8 - Net losses/recoveries on credit impairment - Item 130
8.1 Net impairment losses for credit risk relating to financial assets at amortised cost: breakdown
TRANSACTIONS/INCOME ITEMS
A. Loans and advances to banks
- Loans
- Debt securities
of which: acquired or originated impaired
loans
B. Loans and advances to customers
- Loans
- Debt securities
of which: acquired or originated impaired
loans
Total
WRITE-DOWNS
WRITE-BACKS
YEAR 2019
STAGE 1
AND
STAGE 2
(19)
(18)
(1)
-
(1,303)
(1,294)
(9)
(5)
(1,322)
STAGE 3
WRITE-OFF
-
-
-
-
(400)
(400)
-
(33)
(400)
STAGE 1
AND
STAGE 2
14
14
-
-
1,346
1,328
18
5
1,360
STAGE 3
-
-
-
-
3,105
3,104
1
12
3,105
OTHER
-
-
-
-
(6,221)
(6,221)
-
(22)
(6,221)
TOTAL
(5)
(4)
(1)
-
(3,473)
(3,483)
10
(43)
(3,478)
8.2 Net change for credit risk relating to financial assets at fair value through other comprehensive income: breakdown
TRANSACTIONS/INCOME ITEMS
A. Debt securities
B. Loans
- Loans and advances to customers
- Loans and advances to banks
of which: acquired or originated impaired
financial assets
Total
WRITE-DOWNS
WRITE-BACKS
YEAR 2019
STAGE 1
AND
STAGE 2
(28)
-
-
-
STAGE 3
WRITE-OFF
-
-
-
-
-
(28)
-
-
OTHER
-
-
-
-
-
-
STAGE 1
AND
STAGE 2
17
-
-
-
-
17
STAGE 3
-
-
-
-
-
-
TOTAL
(11)
-
-
-
-
(11)
(€ million)
YEAR
2018
TOTAL
2
3
(1)
-
(2,657)
(2,675)
18
(12)
(2,655)
(€ million)
YEAR
2018
TOTAL
(19)
-
-
-
-
(19)
For additional information on this section refer to Part E - Information on risks and hedging policies - A. Credit quality.
Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140
9.1 Gains (Losses) from contractual changes: breakdown
A. Financial assets at amortised costs
A.1 Debt securities
A.2 Loans to banks
A.3 Loans to customers
Total (A)
B. Financial assets at fair value through other
comprehensive income
B.1 Debt securities
B.2 Loans to banks
B.3 Loans to customers
Total (B)
Total (A+B)
YEAR 2019
GAINS
LOSSES
TOTAL
-
-
3
3
-
-
-
-
3
-
-
(23)
(23)
-
-
-
-
(23)
-
-
(20)
(20)
-
-
-
-
(20)
(€ million)
YEAR
2018
TOTAL
-
-
(3)
(3)
-
-
-
-
(3)
UniCredit ·2019 Annual Report and Accounts 231
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
Section 10 - Net premiums - Item 160
There are no amounts to be shown.
Section 11 - Other net insurance income/expenses - Item 170
There are no amounts to be shown.
Section 12 - Administrative expenses - Item 190
12.1 Staff expenses: breakdown
TYPE OF EXPENSES/VALUES
1) Employees
a) Wages and salaries
b) Social charges
c) Severance pay
d) Social security costs
e) Allocation to employee severance pay provision
f) Provision for retirements and similar provisions
- Defined contribution
- Defined benefit
g) Payments to external pension funds
- Defined contribution
- Defined benefit
h) Costs arising from share-based payments
i) Other employee benefits
2) Other non-retired staff
3) Directors and Statutory Auditors
4) Early retirement costs
5) Recoveries of payments for seconded employees to other companies
6) Refund of expenses for secunded employees to the company
Total
12.2 Average number of employees by category
Employees
a) Senior managers
b) Managers
c) Remaining employees staff
Other non-retired staff
Total
Employees by category at year end
Employees
a) Senior managers
b) Managers
c) Remaining employees staff
Other non-retired staff
Total
232 2019 Annual Report and Accounts · UniCredit
YEAR 2019
(6,547)
(4,384)
(1,002)
(29)
-
(11)
(143)
(3)
(140)
(221)
(220)
(1)
(69)
(688)
(16)
(7)
-
21
(39)
(6,588)
YEAR 2019
94,711
1,046
26,761
66,904
1,434
96,145
AMOUNTS AS AT
12.31.2019
93,073
998
26,489
65,586
1,441
94,514
(€ million)
YEAR 2018
(6,319)
(4,487)
(1,057)
(30)
-
(17)
(177)
(3)
(174)
(230)
(229)
(1)
(73)
(248)
(17)
(8)
-
24
(30)
(6,350)
YEAR 2018
99,332
1,152
28,024
70,156
1,442
100,774
12.31.2018
96,348
1,094
27,032
68,222
1,427
97,775
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
12.3 Defined benefit company retirement funds: costs and revenues
Current service cost
Settlement gains (losses)
Past service cost
Interest cost on the DBO
Interest income on plan assets
Other costs/revenues
Administrative expenses paid through plan assets
Total recognised in profit or loss
12.4 Other employee benefits
- Seniority premiums
- Leaving incentives
- Other
Total
YEAR 2019
(84)
30
-
(181)
95
-
-
(140)
YEAR 2019
(10)
(443)
(235)
(688)
(€ million)
YEAR 2018
(88)
(1)
(3)
(180)
98
-
-
(174)
(€ million)
YEAR 2018
(6)
(14)
(228)
(248)
The net balance in the sub-item Leaving Incentives for 2019 is mainly determined by the effects envisaged by the Strategic Plan Team 23 related to
Germany and Austria, based on the agreements with the workers' representatives (Works Councils). In Germany the exits will be realized mainly on
individual basis, while in Austria also by an early retirement plan.
Regarding Italy, no provision has been recognized as at 31 December 2019 since the recognition requirements according to IAS37 hasn’t been
filled.
12.5 Other administrative expenses: breakdown
TYPE OF EXPENSES/SECTORS
1) Indirect taxes and duties
1a. Settled
1b. Unsettled
2) Contributions to Resolution Funds and Deposit Guarantee Schemes (DGS)
3) Guarantee fee for DTA conversion
4) Miscellaneous costs and expenses
a) Advertising marketing and communication
b) Expenses relating to credit risk
c) Indirect expenses relating to personnel
d) Information & Communication Technology expenses
Lease of ICT equipment and software
Software expenses: lease and maintenance
ICT communication systems
Services ICT in outsourcing
Financial information providers
e) Consulting and professionals services
Consulting
Legal expenses
f) Real estate expenses
Premises rentals
Utilities
Other real estate expenses
g) Operating costs
Surveillance and security services
Money counting services and transport
Printing and stationery
Postage and transport of documents
Administrative and logistic services
Insurance
Association dues and fees and contributions to the administrative expenses deposit guarantee
funds
Other administrative expenses - other
Total (1+2+3+4)
YEAR 2019
(646)
(644)
(2)
(623)
(114)
(2,713)
(155)
(238)
(118)
(1,043)
(74)
(224)
(72)
(551)
(122)
(209)
(166)
(43)
(406)
(59)
(142)
(205)
(544)
(46)
(52)
(35)
(80)
(139)
(70)
(62)
(60)
(4,096)
(€ million)
YEAR 2018
(645)
(643)
(2)
(600)
(116)
(3,446)
(190)
(296)
(145)
(1,201)
(72)
(213)
(68)
(731)
(117)
(254)
(206)
(48)
(773)
(407)
(149)
(217)
(587)
(49)
(55)
(35)
(80)
(206)
(71)
(54)
(37)
(4,807)
UniCredit ·2019 Annual Report and Accounts 233
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
Starting from 2019:
some expenses for local tax on corporate revenues (i.e. Municipality and Innovation Tax in Hungary) are not any longer included in sub-item “1)
Indirect taxes and duties - 1a. Settled” (12 million as at 31 December 2018) being addressed to Item “300. Tax (expenses) income of the year from
continuing operations”;
some expenses for payment services and cards are not any longer included in sub-item “4. d) Information & Communication Technology
expenses” (164 million as at 31 December 2018) being addressed to Item “50. Fees and commissions expenses”.
The decrease in sub-item "f) Real estate expenses - Premises rentals" is mainly due to the first application of the IFRS16 principle. For further
information about the effects of the introduction of this accounting standard, refer to Part A - Accounting policies - Section 5 - Other matters.
Contributions to Resolution and Guarantee funds
Item “Other administrative expenses” includes the Group contributions to resolution funds (“SRF”) and guarantee funds (“DGS”), harmonised and
non-harmonised, respectively equal to €401 million (of which €185 million from UniCredit S.p.A.) and €222 million (of which €92 million from
UniCredit S.p.A.).
With reference to the harmonised funds, the ordinary annual contributions due pursuant to the Directives No.49 and No.59 of 2014 are accounted for
in full when the legal condition of the obligation to make payment occurs and the application of IFRIC21 does not allow the pro-rata attribution to the
interim periods.
In relation to the contribution obligations described below, such schemes have led to expenses during the period and they will lead to expenses in
future periods both for ordinary contribution scheme and potential extraordinary contributions.
With the introduction of the European Directive 2014/59/EU, the Regulation on the Single Resolution Mechanism (“BRRD Directive” Regulation
(EU) No.806/2014 of the European Parliament and of the Council dated 15 July 2014) established a framework for the recovery and resolution of
crises in credit institutions, by setting up a single resolution committee and a single resolution fund for banks (Single Resolution Fund, “SRF”). The
Directive provides for the launch of a compulsory contribution mechanism that entails the collection of the target level of resources by 31
December 2023, equal at least to 1% of the amount of the covered deposits of all the authorised institutions in the States of the European Union.
The accumulation period may be extended for further four years if the funding mechanisms have made cumulative disbursements for a percentage
higher than 0.5% of the covered deposits. If the available financial resources fall below the target level after the accumulation period, the collection
of contributions shall resume until that level has been recovered. Additionally, after having reached the target level for the first time and, in the
event that the available financial resources fall to less than two thirds of the target level, these contributions are set at that level which allows to
reach the target level within a period of six years. The contribution mechanism provides for ordinary annual contributions, with the aim of
distributing the costs evenly over time for the contributing banks, and extraordinary additional contributions, of up to three times the expected
annual contributions, when the available financial resources are not sufficient to cover losses and costs of interventions. A transitional phase of
contributions to the national compartments of the SRF and a progressive mutualisation of these are expected.
The Directive 2014/49/EU of 16 April 2014, in relation to the DGS - Deposit Guarantee Schemes, aims to enhance the protection of depositors
through the harmonisation of the related national legislation. The Directive provides for the launch of a mandatory national contribution mechanism
that will allow a target level of at least 0.8% of the amount of its members' covered deposits to be collected by 2024. The contribution resumes
when the financing capacity is below the target level, at least until the target level is reached. If the available financial resources have been
reduced to below two thirds of the target level after it has been reached for the first time, the regular contribution shall be set at that level which
allows to reach the target level within six years. The national contribution mechanism provides for ordinary annual contribution instalments, with
the aim of distributing the costs evenly over time for the contributing banks, and also extraordinary contributions, if the available financial resources
are insufficient to repay depositors; the extraordinary contributions cannot exceed 0.5% of covered deposits per calendar year, but in exceptional
cases and with the consent of the competent authority, the DGS may demand even higher contributions.
The Directives No.49 and No.59 specify the possibility of introducing irrevocable payment commitments as an alternative to collection of fund
contributions lost through cash, up to a maximum of 30% of the total resources target.
With reference to Directive No.59 (SRF contributions), Group contributions posted into income statement and paid in 2019 sum up to €401 million, of
which: i) ordinary contribution for to €351 million (of which €135 million payed by UniCredit S.p.A. in 2019), ii) extraordinary contributions for €50
million (entirely referred to UniCredit S.p.A.).
Specifically referring to UniCredit S.p.A.:
further to contribution for 2019 equal to €135 million, ordinary contribution for years 2015, 2016, 2017 and 2018 have been respectively €73
million, €107 million, €109 million and €140 million.
referring to extraordinary contributions:
- referring to 2015, Banca d’Italia (National Resolution Authority) realised a resolution programme of four banks (Banca delle Marche, Banca
Popolare dell'Etruria e del Lazio, Cassa di Risparmio di Ferrara, Cassa di Risparmio della Provincia di Chieti); resolution has been pursued by
the separation of the non-performing assets (which flowed into a “bad bank”) from the rest of the assets and liabilities that flowed into four new
“bridge banks”, then sold to BPER Banca S.p.A. (Cassa di Risparmio di Ferrara) and UBI Banca S.p.A. (the other tree banks). As a result of this
intervention, the ministerial measures led to a request for extraordinary contributions, established at the maximum rate of three times the ordinary
234 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
yearly contribution (€219 million vs €73 million ordinary contribution), whose amount has been paid by UniCredit S.p.A. and recognised in the
income statement in the same year.
- referring to 2016, Italian Legislative Decree 183/2015 (converted into Law 208/2015) also introduced an additional payment commitment, due to
the National Resolution Fund (“NRF”), for the payment of contributions of up to twice the ordinary contribution quotas to the SRF ( €214 million
for UniCredit S.p.A. vs €107 million ordinary contribution), entirely requested in December 2016; due to this payment, UniCredit S.p.A.
recognised in the income statement €214 million. The liquidity needed to fund this intervention was provided through pool loans in favour of FRN
in which UniCredit participated, in particular: (i) 2,350 million and €1,550 million fully repaid (to which UniCredit S.p.A. participated respectively
for €783 million and €516 million); (ii) €1,240 million actually outstanding and maturing in 2021 (to which UniCredit S.p.A. participate for €210
million). For facing the reimbursement commitments of capital and interests’ payment, in 2018 and 2019 respectively €52 million and €50 million
were required to UniCredit S.p.A. as extraordinary contributions.
The instrument of the irrevocable payment commitments has been used: (i) in respect of 15% of ordinary contributions paid in May 2016 by
UniCredit S.p.A and its subsidiary UniCredit Bank AG, resulting in the payment of guarantees in the form of cash amounting respectively to €16
million (voluntary converted into effective contribution in first half 2019) and €12 million; (ii) referring to ordinary contribution for 2017, 2018 and
2019, by UniCredit Bank AG for an amount of respectively €14 million, €16 million and €18 million. The cash collateral has been recognised in the
balance sheet as an asset and its contractual characteristics have been taken into account in its measurement.
With reference to Directive No.49 (DGS contribution), the entire amount of €222 million refers to ordinary contribution.
Referring to ordinary contribution for 2019, UniCredit Bank AG has adopted irrevocable payment commitments for €17 million for which the collateral
has been recognised in the balance sheet as an asset and its contractual characteristics have been taken into account in its measurement.
Guarantee fees for DTA conversion
Guarantee fee for DTA conversion, introduced by Art.11 of Law Decree No.59/2016, converted into Law No.119/2016 (as modified by Law Decree
No.237/2016, converted in to Law No.15/2017), allows, under certain conditions, the possibility to convert into tax credits certain deferred tax assets
(“Convertible DTAs”) provided that an irrevocable election for such regime is exercised via the payment of an annual fee (“DTA fee”). The DTA fee
has to be corresponded annually for the period 2016-2030.
In respect of financial year 2019 the fee was paid on 28 June 2019 for an amount of €114.2 million for the whole Italian Tax Group, of which €109.5
million for UniCredit S.p.A., €4.4 million for UniCredit Leasing S.p.A. and €0.3 million for UniCredit Factoring S.p.A.
Fees paid to the auditing firm
Pursuant to article 2427, first paragraph of the Italian Civil Code, the fees paid to the auditing firm Deloitte & Touche S.p.A. (and firms in its network)
by UniCredit S.p.A and the Italian entities of the UniCredit group relating to financial year 2019 were as follows:
legal audit of annual accounts (including the audit of the first half financial report): €4.8 million;
other checks: €2.5 million;
other non-audit services: €4.3 million.
The above amounts are net of VAT and expenses.
Section 13 - Net provisions for risks and charges - Item 200
13.1 Net provisions for credit risk from loans commitments and financial guarantees given: breakdown
Loan committments
Financial guarantees given
13.2 Net provisions for other commitments and guarantees given: breakdown
Other committments
Other guarantees given
PROVISIONS
(178)
(302)
YEAR 2019
SURPLUS
REALLOCATIONS
249
323
PROVISIONS
(22)
(93)
YEAR 2019
SURPLUS
REALLOCATIONS
5
63
(€ million)
TOTAL
71
21
(€ million)
TOTAL
(17)
(30)
UniCredit ·2019 Annual Report and Accounts 235
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
13.3 Net provisions for risks and charges: breakdown
ASSETS/INCOME ITEMS
1. Other provisions
1.1 Legal disputes
1.2 Staff costs
1.3 Other
Total
PROVISIONS
(395)
(1)
(656)
(1,052)
YEAR 2019
SURPLUS
REALLOCATIONS
665
1
238
904
TOTAL
270
-
(418)
(148)
(€ million)
YEAR
2018
TOTAL
(1,243)
(1)
(253)
(1,497)
Net provisions for risks and charges are referred to revocatory action, claims for compensation, legal and other disputes, and are updated on the
basis of the evolution of cases in progress and to the assessment of their foreseen outcomes.
The item “1.1 Legal disputes” is mainly contributed by provisions made by the parent company UniCredit S.p.A. and its subsidiary UniCredit Bank
AG (see Part E - Section 2 - Risks of the prudential consolidated perimeter - 1.5 Operational risks - B. Legal risks for further information).
The item “1.3 Other” is mainly contributed by provisions made by the parent company UniCredit S.p.A. for various types of risks for which refer to
Part E - Section 5 - Operational risks - E. Other claims by customers of the Notes to accounts of Company financial statements.
Section 14 - Net value adjustments/write-backs on property, plant and equipment - Item
210
In 2019 impairment/write-backs on property, plant and equipment amount to -€1,425 million (-€633 million in 2018, amount that is different from the
one published last year according to the retrospective application, starting from 1 January 2018, of the changes in the valuation criteria of the
Property plant and equipment held for investment). The amount of 2019 includes (i) -€344 million related to impairment losses/write-backs of right of
use of leased assets recognised in this item following the application of 6th update of the Banca d’Italia Circular 262, (ii) -€315 million write-downs
related to the classification as non current assets held for sale of Ocean Breeze Energy Gmbh that has been subsequently disposed and (iii) -€228
million write-downs related to tangible assets Capital Dev S.p.A. in order to align its carrying amount to the economic conditions defined in the pre-
agreements closed with a counterparty external to the Group.
The breakdown is provided in the table below:
DEPRECIATION
IMPAIRMENT LOSSES
WRITE-BACKS
(C)
14.1 Net value adjustments/write-backs on property, plant and equipment: breakdown
YEAR 2019
ASSETS/INCOME ITEMS
A. Property, plant and equipment
A.1 Used in the business
- Owned
- Right of use of Leased Assets
A.2 Held for investment
- Owned
- Right of use of Leased Assets
A.3 Inventories
Total A
B. Non-current assets and groups of assets held for sale
- Used in the business
- Held for investments
- Inventories
Total (A+B)
(A)
(850)
(519)
(331)
-
-
-
-
(850)
X
X
X
X
(850)
(B)
(299)
(273)
(26)
(232)
(232)
-
(10)
(541)
(69)
(69)
-
-
(610)
(€ million)
NET PROFIT
(A+B-C)
(1,117)
(773)
(344)
(232)
(232)
-
(7)
(1,356)
(69)
(69)
-
-
(1,425)
32
19
13
-
-
-
3
35
-
-
-
-
35
Section 15 - Net value adjustments/write-backs on intangible assets - Item 220
In 2019 impairments/write-backs on intangible assets were -€746 million.
The impairment of the other intangible assets is mainly related to the impairment of the trademarks (brands) of FinecoBank S.p.A. while for the
Intangible asset generated internally by the company the impairment is mainly referred to the subsidiary UniCredit Services S.C.p.A. For further
details see Part B - Consolidated Balance Sheet - Asset - Section 10 - Intangible Assets.
236 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
15.1 Net value adjustments/write-backs on intangible assets: breakdown
YEAR 2019
AMORTISATION
IMPAIRMENT LOSSES
WRITE-BACKS
(C)
ASSETS/INCOME ITEMS
A. Intangible assets
A.1 Owned
- Generated internally by the company
- Other
A.2 Right of use of Leased Assets
B. Non-current assets and disposal group classified as
held for sale
Total
(A)
(445)
(319)
(126)
-
X
(445)
(B)
(301)
(207)
(94)
-
-
(301)
Section 16 - Other operating expenses/income - Item 230
Other net operating income: breakdown
INCOME ITEMS/VALUE
Total of other operating expenses
Total of other operating income
Other operating expenses/income
16.1 Other operating expenses: breakdown
TYPE OF EXPENSE/VALUES
Costs for operating leases
Non-deductible tax and other fiscal charges
Write-downs on leasehold improvements
Costs relating to the specific service of financial leasing
Other
Total other operating expenses
The item “Other” includes:
various settlements and indemnities of €149 million, €151 million in 2018;
additional costs for the leasing business of €93 million, €19 million in 2018;
non-banking business costs €164 million, €224 million in 2018;
charges relating to Group property of €3 million, €4 million in 2018;
additional costs relating to customer accounts of €142 million, €32 million in 2018.
16.2 Other operating income: breakdown
TYPE OF REVENUE/VALUES
A) Recovery of costs
B) Other revenues
Revenues from administrative services
Revenues from operating leases
Recovery of miscellaneous costs paid in previous years
Revenues on financial leases activities
Other
Total other operating income (A+B)
-
-
-
-
-
-
YEAR 2019
(913)
1,810
897
YEAR 2019
(5)
(2)
(56)
(91)
(759)
(913)
YEAR 2019
557
1,253
43
271
22
95
822
1,810
(€ million)
NET PROFIT
(A+B-C)
(746)
(526)
(220)
-
-
(746)
(€ million)
YEAR 2018
(723)
1,630
907
(€ million)
YEAR 2018
(4)
(1)
(60)
(93)
(565)
(723)
(€ million)
YEAR 2018
542
1,088
54
299
12
97
626
1,630
The item “A. Recovery of costs” includes revenues from recovery of financial transaction tax collected from customers already included, until
December 2018, in item “40. Fees and commissions income” (47 million as at 31 December 2018).
The sub-item “Others” includes:
additional income received from leasing business of €94 million, €44 million in 2018;
income from non-banking business of €408 million, €364 million in 2018;
various income from Group property of €24 million, €3 million in 2018;
payments of indemnities and compensation of €96 million, €21 million in 2018.
UniCredit ·2019 Annual Report and Accounts 237
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
Section 17 - Gains (Losses) of equity investments - Item 250
In 2019 profit (loss) of associates amounts to -€316 million (+€97 million in 2018), attributable to jointly owned companies for -€138 million and to
companies subject to significant influence for +€454 million.
This result consists of “A. Income” of +€718 million and “B. Expense” of -€402 million. In more detail:
sub-item “A. Income” includes:
- +€621 million gains related to gains on companies valued at Equity method: Koc Finansal Hizmetler As (+€226 million),Mediobanca Banca Di
Credito Finanziario S.p.A. (+€73 million), Oberbank Ag (+€64 million), Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (+€56 million),
Creditras Vita S.p.A. (+€51 million), Aviva S.p.A. (+€40 million), Bks Bank Ag (+€25 million), Oesterreichische Kontrollbank Aktiengesellschaft
(+€23 million), Cnp UniCredit Vita S.p.A. (+€19 million), Barn Bv (+€17 million), Creditras Assicurazioni S.p.A. (+€7 million), Incontra
Assicurazioni S.p.A. (+€5 million);
- +€72 million of gain on disposal attributable Swancap Partners Gmbh (+€16 million) and Eurotlx Sim S.p.A. (+€4 million), in addition to other
transactions including the agreement with the B&C Privatstiftung Foundation for the disposal of its ultimate beneficiary position and for the
definition of former rights in the foundation;
- +€25 million of write-backs mainly due Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (+€10 million), Camfin S.p.A. (+€9 million) and
Risanamento S.p.A. (+€6 million).
sub-item “B. Expense” includes:
- -€5 million of write-downs mainly referred to losses on companies valued at Equity method: Da Vinci S.r.l. (-€4 million);
- -€381 million of impairment losses, mainly attributable to write-downs on investments valued at Equity method, as Koc Finansal Hizmetler As (-
€365 million, of which -€51 million referred to the stake of 31.93% classified in item “Equity investments” and -€314 million to the stake of 9.02%
classified in item “Non-current assets and disposal groups classified as held for sale”), Bks Bank Ag (-€11 million);
- -€16 million of loss on disposal, mainly due to the impact arising from the disposal of holding percentage of Mediobanca Banca Di Credito
Finanziario S.p.A. (-€16 million).
In September 2019 UniCredit S.p.A. signed an agreement with B&C Foundation for (i) the disposal of its ultimate beneficiary position and (ii) an
agreement regarding all former rights in the foundation.
UniCredit acknowledged that the Foundation has undertaken to establish an independent nomination board to define the selection criteria for the
appointment of future board members.
The transaction encompasses considerations spread over a time-length. The first payment has been accounted for in the fourth quarter 2019 while
the payment of any subsequent further payments depends on the fulfillment of the respective conditions precedent.
UniCredit S.p.A. acquired the ultimate beneficiary rights in B&C as a result of the acquisition of UniCredit Bank AG group in 2005. Such acquisition
was accounted for through the “purchase method” in accordance with IFRS3, which requires to recognize assets and liabilities of the acquired
companies at their fair value at acquisition date.
The ultimate beneficiary rights were attributed a fair value equal to zero considering that:
no enforceable rights to receive dividends/contributions are granted (according to B&C’s deed of foundation and the Austrian juridical system, the
B&C Board may decide to distribute dividends if justified by exceptional circumstances);
there were no prospects for liquidation or dissolution of B&C (UniCredit had no rights or possibilities to ask for B&C’s dissolution and the purpose
of the foundation was unlikely to become impossible or finally accomplished).
238 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
During 2019 no transactions were carried out that would have entailed significant recognitions of gains and losses attributable to measurement at
fair value of any equity interests retained at the date of losing control.
17.1 Gains (Losses) of equity investments: breakdown
INCOME ITEMS/SECTORS
1) Jointly owned companies - Equity
YEAR 2019
(€ million)
YEAR 2018
A. Income
1. Revaluations
2. Gains on disposal
3. Write-backs
4. Other gains
B. Expenses
1. Write-downs
2. Impairment losses
3. Losses on disposal
4. Other expenses
Net profit
2) Companies under significant influence
A. Income
1. Revaluations
2. Gains on disposal
3. Write-backs
4. Other gains
B. Expenses
1. Write-downs
2. Impairment losses
3. Losses on disposal
4. Other expenses
Net profit
Total
227
227
-
-
-
(365)
-
(365)
-
-
(138)
491
394
72
25
-
(37)
(5)
(16)
(16)
-
454
316
306
299
7
-
-
(851)
-
(851)
-
-
(545)
501
351
123
27
-
(53)
(5)
(46)
(2)
-
448
(97)
In 2018 profit (loss) of associates amounts to -€97 million, attributable to jointly owned companies for -€545 million and to companies subject to
significant influence for +€448 million.
This result consists of “A. Income” of +€807 million and “B. Expense” of -€904 million. In more detail:
sub-item “A. Income” includes:
- +€650 million gains related to gains on companies valued at Equity method: Koc Finansal Hizmetler As (+€299 million),Mediobanca Banca Di
Credito Finanziario S.p.A. (+€68 million), Oberbank Ag (+€61 million), Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (+€44 million),
Creditras Vita S.p.A. (+€42 million), Camfin S.p.A. (+€29 million), Bks Bank Ag (+€21 million), Oesterreichische Kontrollbank Aktiengesellschaft
(+€20 million), Aviva S.p.A. (+€18 million), Barn Bv (+€14 million), Cnp UniCredit Vita S.p.A. (+€10 million);
- +€130 million of gain on disposal mainly attributable to Custodia Valore - Credito su Pegno S.r.l. (+€114 million), Megapark Ood. (+€8 million),
Marina Tower Holding Gmbh (+€5 million);
- +€27 million of write-backs mainly due to Bks Bank Ag (+€27 million).
sub-item “B. Expense” includes:
- -€5 million of write-downs mainly referred to losses on companies valued at Equity method: Da Vinci S.r.l. (-€2 million), Cbd International
Sp.Zo.O. (-€1 million), Paydirekt Beteiligungsgesellschaft Privater Banken Mbh (-€1 million);
- -€897 million of impairment losses, mainly attributable to write-downs on investments valued at Equity method, as Koc Finansal Hizmetler As (-
€851 million), Bank Fuer Tirol Und Vorarlberg Aktiengesellschaft (-€28 million), Risanamento S.p.A. (-€6 million) and to permanent write-downs
on positive differences in net equity, related to Cbd International Sp.Zo.O. (-€4 million);
- -€2 million of loss on disposal, mainly due to the impact arising from the dilution of holding percentage of Mediobanca Banca Di Credito
Finanziario S.p.A. (-€2 million).
During 2018 no transactions were carried out that would have entailed significant recognitions of gains and losses attributable to measurement at
fair value of any equity interests retained at the date of losing control.
UniCredit ·2019 Annual Report and Accounts 239
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
Section 18 - Net gains (losses) on property, plant and equipment and intangible assets
measured at fair value - Item 260
18.1 Net gains (losses) on property, plant and equipment and intangible assets measured at fair value: breakdown
ASSETS/INCOME ITEMS
A. Property, plant and equipment
A.1 Used in the business
- Owned
- Right of use of Leased Assets
A.2 Held for investment
- Owned
- Right of use of Leased Assets
A.3 Inventories
B. Intangible assets
B.1 Owned
- Generated internally by the company
- Other
B.2 Right of use of Leased Assets
Total (A+B)
REVALUATIONS
WRITEDOWNS
(A)
461
2
2
-
459
436
23
-
-
-
-
-
-
461
(B)
(458)
(209)
(209)
-
(249)
(231)
(18)
-
-
-
-
-
-
(458)
YEAR 2019
EXCHANGE DIFFERENCES
POSITIVE
(C)
1
-
-
-
1
1
-
-
-
-
-
-
-
1
NEGATIVE
(D)
-
-
-
-
-
-
-
-
-
-
-
-
-
-
(€ million)
NET PROFIT
(A-B+C-D)
4
(207)
(207)
-
211
206
5
-
-
-
-
-
-
4
Gains (losses) on disposals of investments comprises strategic transactions aimed at management and rationalizing Group real estate portfolio.
These deals have determined:
the recognition of a gain on sale for €96 million in item “280. Gain (losses) on disposal of investments” for those transactions that have been
closed in 2019;
the recognition of a gain for €294 million in item “260. Net gains (losses) on property, plant and equipment and intangible assets measured at fair
value”, referred to properties classified as held for sale during the fourth quarter 2018 and second quarter 2019; the gain related to these assets,
previously classified as investment properties21, comes from the adjustment of the carrying value to fair value, determined on the basis of the
disposal price.
The overall gain and the split between item “280. Gain (losses) on disposal of investments” and item “260. Net gains (losses on property, plant and
equipment and intangible assets” measured at fair value is provided in the following table:
280. GAIN( LOSSES) ON
DISPOSAL OF INVESTMENTS
260. NET GAINS (LOSSES ON
PROPERTY, PLANT AND EQUIPMENT
AND INTANGIBLE ASSETS MEASURED
AT FAIR VALUE
40
56
-
-
-
96
-
96
80
105
13
294
(€ million)
TOTAL
40
152
80
105
13
390
LEGAL ENTITY
Argentaurus Immobilien
Vermietungs und Verwaltungs
Gmbh
European Office Fonds
H.F.S. Leasingfonds
Deutschland 1 Gmbh & Co. Kg
(immobilienleasing)
Tivoli Grundstucks
Aktiengesellschaft
Hawa Grundstucks Gmbh & Co.
Ohg Hotelverwaltung
Total
21 Assets classified in IFRS5 before 31 December 2019, previously classified as “Used in the Business”, were not subject to revaluation.
240 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
Section 19 - Goodwill impairment - Item 270
There is no impairment of goodwill in 2019.
See Part A - Accounting Policies for a description of the methods used to measure impairment of goodwill.
See Part B - Consolidated Balance Sheet for a description of goodwill impairment testing procedures and results.
Section 20 - Gains (Losses) on disposals on investments - Item 280
20.1 Gains and losses on disposal of investments: breakdown
INCOME ITEMS/SECTORS
A. Property
- Gains on disposal
- Losses on disposal
B. Other assets
- Gains on disposal
- Losses on disposal
Net profit
YEAR 2019
(€ million)
YEAR 2018
139
(7)
38
(41)
129
88
(9)
116
(21)
174
At 31 December 2019 gains (losses) on disposals of investments are +€129 million (+€174 million in 2018) and refer to:
A. Property
Net gains of +€132 million (+€79 million in 2018). This item includes the results of the property rationalisation carried out by the following companies:
European Office Fonds (+€56 million), Argentaurus Immobilien Vermietungs und Verwaltungs Gmbh (+€40 million), Hvb Leasing Czech Republic
S.r.o. (+€9 million) and Universale International Realitaeten Gmbh (+€6 million).
For the effects on gains on disposals of investments deriving from strategic transactions aimed at management and rationalising Group real estate
portfolio, see also notes to previous Section 18 - Net gains (losses) on property, plant and equipment and intangible assets measured at fair value.
B. Other assets
Net loss of -€3 million (+€95 million in 2018). This item mainly includes loss from disposal of some equity investments as Ocean Breeze Energy
Gmbh & Co. Kg (-€24 million) and Agrob Immobilien Ag (-8€ million).
During 2019 no transactions were carried out that would have entailed significant recognitions of gains and losses attributable to measurement at
fair value of any equity interests retained at the date of losing control.
At 31 December 2018 gains (losses) on disposals of investments are +€174 million and refer to:
A. Property
Net gains of +€79 million. This item includes the results of the property rationalisation carried out by the following companies: Visconti Srl (+€30
million), Ba Betriebsobjekte Gmbh (+€10 million), Wealthcap Objekt Vorrat 20 Gmbh & Co Kg (+€10 million), Nuova Compagnia di Partecipazioni
S.p.A. (+€6 million) and UniCredit Bulbank Ad (+€5 million).
B. Other assets
Net gains of +€95 million. This item mainly includes gains from disposal of some equity investments as Mobility Concept Gmbh (+€28 million) and
Ramses Immobilien Gesellschaft Mbh & Co Og (+€14 million).
During 2018 no transactions were carried out that would have entailed significant recognitions of gains and losses attributable to measurement at
fair value of any equity interests retained at the date of losing control.
UniCredit ·2019 Annual Report and Accounts 241
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
Section 21 - Tax expenses (income) for the period from continuing operations - Item 300
Each Country has an autonomous tax system where the determination of the tax base, the level of tax rates, nature, type and timing of tax
obligations might differ, even significantly. Such differences also exist amongst EU Member States.
In respect of the main Countries where UniCredit Group operates, Italy, Germany, Austria and the United States, all have domestic income tax
consolidation regimes. While the United Kingdom does not have a domestic income tax consolidation regime, tax losses can nonetheless be
transferred between entities of the same Group.
Tax consolidation rules also differ from Country to Country, sometimes markedly. Generally speaking, the main and common benefit of a domestic
tax consolidation regime is the offsetting of profits and losses of companies and entities belonging to the same tax consolidation perimeter.
The requirements to be included in a domestic tax consolidation regime can be very different from those set for the purpose of accounting
consolidation for a banking group according to the international IAS/IFRS or local accounting standards.
As for tax rates, and with reference to the Group’s key Countries, the nominal corporate income tax rate is 31.4% in Germany (also taking into
account the “solidarity surcharge” and the municipal trade tax), 25% in Austria, 10% in Bulgaria, 16% in Romania, 22% in Turkey, 19% in the Czech
Republic, 20% in Russia, 9% in Hungary.
In addition, the corporate income tax rate is 27% in the United Kingdom (also taking into account the 8% surcharge provided for Banks), 12.5% in
Ireland, 24.94% in Luxembourg, 21% of federal tax in the United States and 25% in China.
In Italy the standard corporate income tax rate is equal to 24%, which is increased by a 3.5% surcharge applicable to banks and other financial
entities only. Therefore, for UniCredit S.p.A. and for the other Group banks and financial entities, the applicable tax rate is equal to 27.5%.
Further to the corporate income tax (IRES), the Italian Regional Tax on Productive Activities (IRAP) levied at a rate of 4.65% for the banking sector
must be considered (each Region is entitled to autonomously increase the rate by a surcharge of 0.92% up to a maximum nominal rate of 5.57%,
plus an additional surcharge of 0.15% provided for Regions that have a healthcare deficit status); IRAP has a slightly different taxable base from the
one provided for in respect of IRES, obviously it has different rules, among which no tax loss carried forward.
For Tax expenses (income) for the period of the Parent company refer to paragraph of Part C - Notes to the accounts of UniCredit S.p.A. - Section
19 -Tax expenses (income) for the period from continuing operations - Item 270 which is herewith quoted entirely.
21.1 Tax expense (income) relating to profit or loss from continuing operations: breakdown
INCOME ITEMS/SECTORS
Current taxes (-)
1.
Change of current taxes of previous years (+/-)
2.
3.
Reduction of current taxes for the year (+)
3.bis Reduction of current taxes for the year due tax credit under Law 214/2011 (+)
4.
5.
6.
Change of deferred tax assets (+/-)
Change of deferred tax liabilities (+/-)
Tax expenses for the year (-) (-1+/-2+3+3bis+/-4+/-5)
YEAR 2019
(1,032)
(37)
32
-
(147)
322
(862)
(€ million)
YEAR 2018
(707)
260
43
-
976
(49)
523
242 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
21.2 Reconciliation of theoretical tax charge to actual tax charge
Profit (Loss) before tax from continuing operations (income statement item)
Theoretical tax rate
Theoretical computed taxes on income
1. Different tax rates
2. Non-taxable income - permanent differences
3. Non-deductible expenses - permanent differences
4. Different fiscal laws/IRAP
a) IRAP (italian companies)
b) Other taxes (foreign companies)
5. Previous years and changes in tax rates
a) Effects on current taxes
- Tax loss carryforward/unused Tax credit
- Other effects of previous periods
b) Effects on deferred taxes
- Changes in tax rates
- New taxes incurred (+) previous taxes revocation (-)
- True-ups/adjustments of the calculated deferred taxes
6. Valuation adjustments and non-recognition of deferred taxes
a) Deferred tax assets write-down
b) Deferred tax assets recognition
c) Deferred tax assets non-recognition
d) Deferred tax assets non-recognition according to IAS12.39 and 12.44
e) Other
7. Amortisation of goodwill
8. Non-taxable foreign income
9. Other differences
Recognised taxes on income
YEAR 2019
3,021
27.5%
(831)
284
5
(432)
(157)
(127)
(30)
84
19
32
(13)
65
(1)
-
66
164
(271)
803
-
(68)
(300)
(7)
24
4
(862)
Section 22 - Profit (Loss) after tax from discontinued operations - Item 320
22.1 Profit (Loss) after tax from discontinued operations: breakdown
INCOME ITEMS/SECTORS
1. Income
2. Expenses
3. Valuation of discontinued operations and related liabilities
4. Profit (Loss) on disposal
5. Tax
Profit (Loss)
YEAR 2019
323
(237)
-
1,287
(41)
1,332
(€ million)
YEAR 2018
3,691
27.5%
(1,015)
204
210
(385)
(25)
59
(84)
263
287
43
244
(24)
-
-
(24)
1,102
(156)
761
37
9
451
1
5
163
523
(€ million)
YEAR 2018
884
(661)
-
20
(117)
126
The item "Profit (Loss) after tax from discontinued operations" as at 31 December 2019, equal to €1,332 million, includes mainly the net result of the
company FinecoBank S.p.A. and its subsidiary Fineco Asset Management Designated Activity Company in amount of €30 million. The
aforementioned one decreased in comparison to €112 million of the same period of the last year, since it includes the profit generated until the
disposal date, which consequently produced a realized gain equal to €1,287 million.
22.2 Breakdown of tax on discontinued operations
1. Current taxes (-)
2. Changes in deferred tax assets (+/-)
3. Changes in deferred tax liabilities (+/-)
4. Income tax (-1+/-2+/-3)
YEAR 2019
(38)
(2)
(1)
(41)
(€ million)
YEAR 2018
(120)
-
3
(117)
UniCredit ·2019 Annual Report and Accounts 243
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
Section 23 - Minority profit (loss) of the year - Item 340
The profit for 2019 attributable to minority interests amounted to €118 million.
The main contributions are attributable to the minority shareholders of FinecoBank S.p.A. and its subsidiary till the date of disposal, Zagrebacka
Banka D.D. and its subsidiary UniCredit Bank D.D. and UniCredit Bank Austria AG group, mainly referring to the minority shareholders of Card
Complete Service Bank AG.
The profit for 2018 attributable to minority interests was equal to €233 million.
23.1 Breakdown of item 340 "Minority gains (losses)"
Consolidated equity investments with significant minority interests
FinecoBank S.p.A.
Fineco Asset Management Designated Activity Company
Zagrebacka Banka D.D.
UniCredit Bank D.D.
UniCredit Bank Austria AG Group
Other equity investments and consolidation adjustments
Total
Section 24 - Other information
2019
106
45
10
32
8
11
12
118
(€ million)
2018
217
145
14
34
8
16
16
233
Disclosure regarding the transparency of public funding required by article 1, paragraph 125 of the Law 124/2017
Pursuant to Art.1, paragraph 125 of Law 124/2017, during 2019 the UniCredit group collected the following public contributions granted by Italian
entities:
Reduction of the extraordinary contribution pursuant to Art.1, paragraph 235 of Law 232 of 11 December 2016 charged to the
management of welfare interventions and pension support
LENDING ENTITY
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Total
LEGAL ENTITY
BENEFICIARY
UNICREDIT S.P.A.
UNICREDIT SERVICES
S.C.P.A.
UNICREDIT LEASING
S.P.A.
CORDUSIO SIM S.P.A.
UNICREDIT
FACTORING S.P.A.
CORDUSIO SOCIETA'
FIDUCIARIA PER
AZIONI
UNICREDIT BANK AG
(Milan Branch)
FINECOBANK S.P.A.
(€ million)
PUBLIC CONTRIBUTION
AMOUNT
44.93
4.16
0.20
0.09
0.14
0.03
0.03
0.06
49.65
244 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
Contributions for the recruitment/stabilisation of personnel deriving from the application of the CCNL of the Credit in force from time
to time
LENDING ENTITY
Fondo Nazionale per il sostegno dell'occupazione nel settore del credito
Fondo Nazionale per il sostegno dell'occupazione nel settore del credito
Fondo Nazionale per il sostegno dell'occupazione nel settore del credito
Fondo Nazionale per il sostegno dell'occupazione nel settore del credito
Fondo Nazionale per il sostegno dell'occupazione nel settore del credito
Fondo Nazionale per il sostegno dell'occupazione nel settore del credito
Total
LEGAL ENTITY
BENEFICIARY
UNICREDIT S.P.A.
UNICREDIT SERVICES
S.C.P.A.
UNICREDIT LEASING
S.P.A.
UNICREDIT
FACTORING S.P.A.
UNICREDIT BANK AG
(Milan Branch)
FINECOBANK S.P.A.
(€ million)
PUBLIC CONTRIBUTION
AMOUNT
1.56
0.20
-
0.01
0.02
0.04
1.83
Contributions for new recruits/stabilisations, introduced by the stability law 2018 (Law No.205/2017)
LENDING ENTITY
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Total
LEGAL ENTITY
BENEFICIARY
UNICREDIT S.P.A.
UNICREDIT SERVICES
S.C.P.A.
UNICREDIT LEASING
S.P.A.
CORDUSIO SIM S.P.A.
UNICREDIT BANK AG
(Milan Branch)
FINECOBANK S.P.A.
(€ million)
PUBLIC CONTRIBUTION
AMOUNT
0.40
0.08
-
-
0.03
0.07
0.57
UniCredit ·2019 Annual Report and Accounts 245
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
Article 8 of Legislative Decree 9/30/2005, No.203 converted, with modifications, from the Law 2 December 2005, No..248.
Compensatory measures for companies that assign the TFR to supplementary pension schemes and/or to the Fund for the payment
of the TFR
(€ million)
PUBLIC CONTRIBUTION
AMOUNT
8.78
0.69
0.13
0.14
0.08
0.01
0.14
0.12
10.09
(€ million)
PUBLIC CONTRIBUTION
AMOUNT
5.75
0.57
0.10
0.05
0.05
0.02
0.05
-
6.58
LENDING ENTITY
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Total
Work-life balance – Legislative Decree 09/12/2017 and Inps Circular No.91 of 8/03/2018
LENDING ENTITY
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Total
LEGAL ENTITY
BENEFICIARY
UNICREDIT S.P.A.
UNICREDIT SERVICES
S.C.P.A.
UNICREDIT LEASING
S.P.A.
CORDUSIO SIM S.P.A.
UNICREDIT
FACTORING S.P.A.
CORDUSIO SOCIETA'
FIDUCIARIA PER
AZIONI
UNICREDIT BANK AG
(Milan Branch)
FINECOBANK S.P.A.
LEGAL ENTITY
BENEFICIARY
UNICREDIT S.P.A.
UNICREDIT SERVICES
S.C.P.A.
UNICREDIT LEASING
S.P.A.
CORDUSIO SIM S.P.A.
UNICREDIT
FACTORING S.P.A.
CORDUSIO SOCIETA'
FIDUCIARIA PER
AZIONI
UNICREDIT BANK AG
(Milan Branch)
S.I.G.RE.C S.P.A.
246 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part C - Consolidated income statement
Result awards decontribution for year 2018 - Legislative Decree No.50 of 4/24/2017 - Art.55; converted into Law No.96 of 6/21/2017
LENDING ENTITY
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Total
LEGAL ENTITY
BENEFICIARY
UNICREDIT S.P.A.
UNICREDIT SERVICES
S.C.P.A.
CORDUSIO SIM S.P.A.
UNICREDIT
FACTORING S.P.A.
UNICREDIT BANK AG
(Milan Branch)
(€ million)
PUBLIC CONTRIBUTION
AMOUNT
3.36
0.33
0.01
0.03
0.01
3.74
Result awards decontribution for year 2019 - Legislative Decree No.50 of 4/24/2017 - Art.55; converted into Law No.96 of 6/21/2017
LENDING ENTITY
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Istituto Nazionale della Previdenza Sociale
Total
For further information, refer to the National State Aid Register "Transparency”.
Section 25 - Earnings per share
25.1 and 25.2 Average number of diluted shares and other information
Net profit (loss) attributable to the Group(1) (€ million)
Average number of outstanding shares
Average number of potential dilutive shares
Average number of diluted shares
Earnings per share (€)
Diluted earnings per share (€)
LEGAL ENTITY
BENEFICIARY
UNICREDIT S.P.A.
UNICREDIT SERVICES
S.C.P.A.
UNICREDIT LEASING
S.P.A.
CORDUSIO SIM S.P.A.
UNICREDIT
FACTORING S.P.A.
CORDUSIO SOCIETA'
FIDUCIARIA PER
AZIONI
UNICREDIT BANK AG
(Milan Branch)
FINECOBANK S.P.A.
(€ million)
PUBLIC CONTRIBUTION
AMOUNT
3.14
0.31
0.04
0.01
0.02
-
0.01
0.09
3.62
YEAR 2019
3,249
2,222,881,054
13,958,453
2,236,839,506
1.462
1.453
YEAR 2018
4,014
2,219,405,841
9,835,058
2,229,240,899
1.809
1.801
Note:
(1) €124 million has been deducted from 2019 net profit attributable to the Group of €3,373 million due to disbursements, charged to equity, made in connection with the usufruct contract signed with Mediobanca S.p.A. on
UniCredit shares supporting the issuance of convertible securities denominated “Cashes” (€93 million was deducted from 2018 net profit attributable to the Group).
Net of the average number of treasury shares and of further No.9,675,641 shares held under a contract of usufruct.
UniCredit ·2019 Annual Report and Accounts 247
Consolidated financial statements | Notes to the consolidated accounts
Part D - Consolidated other comprehensive income
Part D - Consolidated comprehensive income
Consolidated analytical statement of other comprehensive income
ITEMS
10. Profit (Loss) for the year
Other comprehensive income not reclassified to profit or loss
20. Equity instruments designated at fair value through other comprehensive income:
a) fair value changes
b) tranfers to other shareholders' equity items
30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes):
a) fair value changes
b) tranfers to other shareholders' equity items
40. Hedge accounting of equity instruments measured at fair value through other comprehensive income:
a) fair value change (hedged instrument)
b) fair value change (hedging instrument)
50. Property, plant and equipment
60. Intangible assets
70. Defined benefit plans
80. Non-current assets and disposal groups classified as held for sale
90. Part of valuation reserves from investments valued at equity method
100. Tax expenses (income) relating to items not reclassified to profit or loss
Other comprehensive income reclassified to profit or loss
110. Foreign investments hedging:
a) fair value changes
b) reclassification to profit or loss
c) other changes
120. Foreign exchange differences:
a) value changes
b) reclassification to profit or loss
c) other changes
130. Cash flow hedging:
a) fair value changes
b) reclassification to profit or loss
c) other changes
of which: net position
140. Hedging instruments (non-designated items):
a) value changes
b) reclassification to profit or loss
c) other changes
150. Financial assets (different from equity instruments) at fair value through other comprehensive income:
a) fair value changes
b) reclassification to profit or loss:
- impairment losses
- gains/losses on disposals
c) other changes
160. Non-current assets and disposal groups classified as held for sale:
a) fair value changes
b) reclassification to profit or loss
c) other changes
170. Part of valuation reserves from investments valued at equity method:
a) fair value changes
b) reclassification to profit or loss:
- impairment losses
- gains/losses on disposals
c) other changes
180. Tax expenses (income) relating to items reclassified to profit or loss
190. Total other comprehensive income
200. Other comprehensive income (Item 10+190)
210. Minority consolidated other comprehensive income
220. Parent Company's consolidated other comprehensive income
248 2019 Annual Report and Accounts · UniCredit
AS AT
12.31.2019
3,491
(€ million)
12.31.2018
4,340
46
14
32
(181)
(289)
108
-
-
-
2,090
-
(1,210)
-
(26)
(250)
-
-
-
-
309
309
-
-
(69)
(65)
5
(9)
-
-
-
-
-
1,083
1,067
17
(2)
19
(1)
-
-
-
-
(174)
28
1
-
1
(203)
(250)
1,368
4,859
(127)
4,732
8
(41)
49
145
135
10
-
-
-
-
-
(392)
-
(3)
78
-
-
-
-
(386)
-
-
(386)
(174)
(148)
(2)
(24)
-
-
-
-
-
(1,705)
(1,527)
(173)
12
(185)
(5)
-
-
-
-
(855)
(118)
(8)
-
(8)
(729)
485
(2,799)
1,541
(231)
1,310
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Part E - Information on risks and hedging policies
Introduction
UniCredit group monitors and manages its risks through tight methodologies and procedures proving to be effective through all phases of the
economic cycle.
The steering, coordination and control role of the Group’s risks is performed by the Parent company’s Group Risk Management function.
The Group Lending Office, established on 2 February 2018, is responsible for the credit activities, following Group Risk Management strategies,
policies and guidelines.
The structure’s “Group Risk Management” mission, under the responsibility of the Group Chief Risk Officer (Group CRO) and coordinated
functionally by the Head of Finance & Controls, is to:
optimize the quality of the Group's assets, minimizing the risk cost in accordance with the risk/profitability goals set for the business areas;
ensure the strategic steering and definition of the Group's risk management policies;
define and supply the Heads of the Business Functions and Entities with the criteria for assessing, managing, measuring, monitoring and
communicating risk. It also ensures that the procedures and systems designed to control risk at Group and individual Entity level are coherent;
help build a risk culture across the Group by training and developing highly qualified staff, in conjunction with the competent COOs functions;
help to find ways to rectify asset imbalances, where needed in conjunction with Group CFO;
help the Business Functions achieve their goals, including by assisting in the development of products and businesses (e.g. innovation of credit
products, competitive opportunities linked to Basel accords, etc.);
support the CEO in defining the Group Risk Appetite proposal, to be shared in the Group Risk & Internal Control Committee and submitted for
approval to the Board of Directors, as preliminary and preparatory step for the yearly and multi-yearly budget plan pertaining to the Group CFO.
The Group Risk Appetite will include a series of parameters defined by the CRO, with the contribution of Group CFO and other relevant functions;
each parameter can be complemented by limits and triggers proposed by the CRO22 and targets proposed by the Group CFO and/or by the
relevant Group functions, each respecting their mission and internal regulations. The Group CRO is responsible for ensuring the overall coherence
of the proposed parameters and values. Furthermore, Group CRO is responsible for ensuring the CEO and the Board of Directors the coherence
of the Group Risk Appetite with the Group strategic guidelines, as well as the coherence of the budget goals with the Group Risk Appetite setting
and the periodical monitoring of the RAF. Group CFO remains responsible for monitoring the performances of the Group and of the business
functions, in order to identify possible underperforming areas and the related corrective measures.
Such mission is accomplished by coordinating the Group's risk management as a whole. More specifically, it involves carrying out the following
macro-functions23:
governing and checking credit, cross-border, market, balance sheet, liquidity, operational and reputational risks for the Group as well as any other
risks relating to Basel 2 Pillar II (e.g. strategic, real estate, financial investment, business risks), by defining risk strategies and limits, developing
risk measurement methodologies24,performing stress tests and portfolio analysis;
supervising, on a Group level and for UniCredit S.p.A., Basel accords related activities;
coordinating the internal capital measurement process within the “Internal Capital Adequacy Assessment Process” (“ICAAP”) and coordinating
activities for drawing up the “ICAAP Regulatory Report”;
assigning ratings for banks and for the Group's major exposures, carrying out the relevant mapping, at Group level, and managing the "rating
override" process with regard to Group-wide rating systems as well as those for measuring the credit risk of UniCredit SpA’s counterparts;
defining the minimum standards and guidelines for validating IT infrastructures and data quality, credit risks, operating risks and Pillar II risks, for
feeding Group and Holding Company reports on credit risk and for feeding credit risk measurement models;
performing internal validation activities, at Group level25, on systems for measuring, credit, operating and market risks, or Pillar II risks26 on related
processes and data quality and IT components, as well as on models for pricing financial instruments, in order to check that they conform to
regulatory requirements and in-house standards, overseeing consequently the non-compliance risk regarding to such regulatory requirements;
coordinating and managing restructuring and workout files of UniCredit S.p.A. related to the non performing “Non Core” portfolio;
ensuring that the competent Bodies/ Functions get adequate reports;
developing the strategy and oversee the management, process, targets and disposals of Non-Performing Exposures/ NPE, repossessed assets
and any other distressed assets for the entire Group27.
22 Possible triggers and limits on profitability parameters must be agreed between CRO and Group CFO.
23 Where applicable, the below listed responsibilities are inclusive of the Foreign Branches of UniCredit S.p.A.,as detailed in the Organizational Book - Application.
24 Directly or by issuing guidelines to Group Entities to be developed depending on type of methodology (direct supervision of Group-wide methodologies and risk measurement methodologies for the counterparties of
UniCredit SpA, through guidelines on methodologies developed locally.
25 Directly validating with direct supervision on group-wide methodologies for which UniCredit S.p.A. is competent, indirect on local methodologies.
26 Liquidity, Business, Real Estate, Financial Investments, Reputational, Strategic.
27 Non-Performing Exposure: exposures (loans, debt securities, off-balance-sheet items) other than held for trading that satisfy either or both of the following criteria: (a) material exposures which are more than 90 days
past-due; (b) the debtor is assessed as unlikely to pay its credit obligations in full without realisation of collateral, regardless of the existence of any past-due amount or the number of days past due. Non-performing
exposures include the defaulted and impaired exposures. The total NPE is given by the sum of non-performing loans, non-performing loans, non-performing debt securities and nonperforming off-balance-sheet items”
(sourc: ECB NPL GUIDANCE).
UniCredit ·2019 Annual Report and Accounts 249
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
The Group CRO define jointly with CLO the criteria/rules for identifying the exposures and assets for sale and portfolio targets;
drafting and managing risk policies, both at Group level (Group Rules) and at Holding Company level, on the performance of risk-related activities
for which UniCredit SpA is competent as well as ensuring the monitoring;
performing second-level checks on the risks of the treasury and credit treasury portfolios within the Group and the Holding Company;
analyzing and controlling, at Italian perimeter level, credit, operating and reputational risks generated by the activities of Italy Network and of the
CIB Italy;
carrying out the functional coordination of Legal Entities in its area of competence.
The Group CRO supervises, together with Group CFO, the Group Data Office activities.
In order to strengthen the capacity of independent steering, coordination and control of Group risks, to improve the efficiency and the flexibility on
the risk decision process and to address the interaction among the relevant risk stakeholders, specific Committees are in place:
Risks and Controls Committees:
- Group Risk & Internal Control Committee (“GR&ICC”), responsible for the Group strategic risk decisions: establishing policies, guidelines,
operational limits and the methodologies for the measurement, management and control of risks. It also supports the Group CEO in the
management and oversight of the Internal Control System ("ICS");
- Group Credit Committee (“GCC”), responsible for credit proposals, according to the delegated powers, and status classification.
Group Portfolio Risks Committees:
- Group Market Risk Committee (“GMRC”), responsible for monitoring market risks at Group level;
- Group Operational & Reputational Risks Committee (“GORRIC”), responsible for monitoring operational (including ICT and Cyber) and
reputational risks at Group level, ensuring consistency among the Parent company and the different Group legal entities;
- Italian Operational & Reputational Risks Committee (“IORRIC”), responsible for monitoring and evaluating operational and reputational risks
within UniCredit S.p.A. perimeter and its Italian legal entities28;
- Group Assets & Liabilities Committee (“GALCO”), is involved in the process of defining strategies, policies, methodologies and limits (where
applicable) for liquidity risk, FX and banking book interest rate risks, transfer pricing, Funding Plan and Contingency Funding Plan and in
monitoring activities;
- Group Model Risk Management & Governance Committee (“GMRM&GC”), responsible for ensuring steering, coordination and control of Model
Risk Governance (focusing on Pillar I, Pillar II and managerial models in scope of the Model Risk Management/ MRM framework29), as well as
ensuring consistency among the Parent company and the different Group legal entities;
- Group NPE Governance Committee (“GNGC”), responsible for ensuring, at Group level, a steering, coordination and control of Non-performing
exposures/NPE strategy and targets as well as an effective alignment on common goals between the Parent company and different legal
entities.
Transactional Committees in charge of evaluating and approving the single counterparties/transactions that impact the overall portfolio risk profile:
- Group Transactional Credit Committee (“GTCC”);
- Italian Transactional Credit Committee (“ITCC”);
- Italian Non-Core Portfolio Credit Committee (“INPCC”);
- Group Reputational Risk Committee (“GRRC”);
- Debt Capital Markets Commitment Committee (“DCMCC”);
- Group Rating Committee (“GRaC”).
The Board of Directors, pursuant to the provisions of the Self-Regulatory Code, and under Banca d’Italia supervisory provisions, is supported by the
Internal Controls & Risks Committee, established among Board members, in order to foster an efficient information and advisory system that
enables it to better assess risk related topics for which it is responsible. Further information on Corporate Governance, including the Internal
Controls & Risks Committee and the number of meetings held, is included in the document “Corporate Governance Report”, published on the Group
internet site in the section: Governance » Governance system & policies » Corporate Governance report
(https://www.unicreditgroup.eu/en/governance/governance-system-and-policies.html).
Internal Capital Adequacy Assessment Process (“ICAAP”) and Risk Appetite
UniCredit group assesses its capital adequacy on a going concern approach, ensuring that an adequate level of capital is maintained to continue
business activities as usual even in case of severe loss events, like those caused by an economic downturn.
The Group’s approach to ICAAP consists of the following phases:
1. Risk identification and mapping;
2. Risk measurement and stress testing;
3. Risk appetite setting and capital allocation;
4. Monitoring and reporting.
28 UniCredit Leasing S.p.A, UniCredit Factoring S.p.A., Cordusio Fiduciaria per azioni, Cordusio sim, UniCredit Subito Casa S.p.A.
29 The scope of the Model Risk Management framework is defined in the Global Rule: “Global Policy on MRM”.
250 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
1. Risk identification and mapping
The first step is the identification and mapping of all the risks embedded in the Group and in the relevant legal entities, with particular focus on the
risks not explicitly covered by the Pillar I framework. The output of this activity is the Group Risk Map which includes all the risk types quantifiable by
Internal Capital.
2. Risk measurement and stress testing
The second phase is the identification of the internal methodologies for measurement and quantification of the different risk profiles, resulting into
the calculation of Group Internal Capital. The Internal Capital measures are supported by aggregated - stress tests, which are a fundamental part of
a sound risk management process. The aim of stress testing is to assess the bank's viability with respect to exceptional but plausible events. The
impact of adverse economic scenarios is assessed on the capital position (solvency stress test) and/or the liquidity position (liquidity stress test) of
the Group.
3. Risk Appetite setting and capital allocation
Risk Appetite is a key managerial instrument used with the purpose of setting the adequate levels of risk the Bank is willing to have and consistently
steering its business evolution (see the RAF section below for details). The Group capital plays a crucial role in the main corporate governance
processes that drive strategic decisions, as target and risk tolerance thresholds, in terms of regulatory and internal capital. It is also a key element
of the Risk Appetite Framework of the Group.
4. Monitoring and Reporting
Capital adequacy evaluation is a dynamic process that requires a regular monitoring to support the decision making processes.
The Bank monitors its main risk profile with a frequency consistent with the nature of each single risk. On top of this, a quarterly reporting of
integrated risks and Risk Appetite evolution is performed and reported to the relevant Risk Committees and Governing Bodies, in order to set and
implement and efficient and effective ICAAP framework.
Capital adequacy is assessed considering the balance between the assumed risks and the available capital both in a regulatory and in an economic
perspective. With respect to economic perspective, capital adequacy is assessed by comparing the amount of financial resources available to
absorb losses and keep the Group solvent, the so-called Available Financial Resources (“AFR”), with the amount of capital the Group needs to
support its business activities, i.e. Internal Capital (“IC”). The decision to include components in the AFR is based on three main criteria:
loss absorbency;
permanence;
flexibility of payments.
Since these criteria are the same identified by the Regulators to calculate regulatory Own Funds, the amount of regulatory Own Funds is the natural
basis for the quantification of the AFR. Under a going concern approach, the AFR are computed under the assumption that the Bank remains
compliant with all the accounting and regulatory standards.
The ratio between AFR and IC is the Risk Taking Capacity (“RTC”). This ratio must be above 100% (AFR>IC) in order to avoid that risk exposures
are not higher than the Available Financial Resources. RTC is one of the key indicators included in the Group RAF dashboard on which the Bank
leverages to guide the selection of the desired risk-return profile in alignment with its business strategies.
A milestone of the ICAAP is the Risk Appetite, which in UniCredit group is defined as the level of risk that the Group is willing to take and the risk-
return profile it fixes to achieve in persuing its strategic objectives and business plan, taking into account the interest of its stakeholders (e.g.
customers, policymakers, regulators, shareholders) as well as capital and other regulatory and law requirements. The Group Risk Appetite is
approved on an annual basis by the Board of Directors and is regularly monitored and reported, at least quarterly, to the relevant committees, with
the aim of ensuring the consistency with the risk return profile set by the Board of Directors. At local level, the risk appetite is set for the main Legal
Entities and Subgroups and approved by the local competent functions.
The main goals of UniCredit group’s Risk Appetite are:
assessing explicitly the risks and their interconnections UniCredit group is willing to accept or should avoid in one year horizon; Risk Appetite
targets should be consistent with the ones defined in the strategic multi-year plan;
specifying the types of risk UniCredit group intends to assume by setting the targets, triggers and limits, under both normal and stressed operating
conditions;
ensuring an “ex ante” risk-return profile consistent with long term sustainability, in coherence with multi-year strategic plan/ budget;
ensuring that the business develops within the risk tolerance set by the Parent company Board of Directors, also in respect of national and
international regulations;
supporting the evaluation of future strategic options with reference to risk profile;
addressing internal and external stakeholders’ view on risk profile consistent with the strategic positioning;
providing qualitative statements concerning not quantifiable risks (e.g. strategic, reputational) in order to strategically guide the relevant processes
and the internal control system.
UniCredit ·2019 Annual Report and Accounts 251
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
The Group Risk Appetite is defined consistently with UniCredit group business model. For this purpose, Group Risk Appetite is integrated in the
budget process, in order to guide the selection of the desired risk-return profile in alignment with the Strategic Plan guidelines and at inception of the
budget process.
UniCredit Compensation Policy is consistent with the Group Risk Appetite to allow the effective implementation of risk reward remuneration for
bonus definition and payments.
The structure of the Risk Appetite in UniCredit group includes the Group Risk Appetite Statement and the Group Risk Appetite KPIs Dashboard.
The Risk Appetite Statement defines the positioning of the bank in terms of strategic targets and related risk profiles to address internal and external
stakeholders’ expectations and includes:
a guidance on the overall key boundaries for the Group in terms of focus of activity;
a definition of the desired risk-return profile, in line with the Group’s overall strategy;
an indication on strategies to manage key risks within the perimeter of the Group;
qualitative statements for not quantifiable risks (e.g. reputational) in order to ensure prevention/early intervention on emerging risks.
The quantitative elements of the Risk Appetite Framework are instead represented by a Dashboard, composed by a set of KPIs, based on the
analysis of the expectations of UniCredit group internal and external stakeholders, which addresses the following dimensions, including material
risks to which the Group is exposed:
Pillar 1 KPIs: to guarantee at any time the fulfilment of the KPIs requested by Regulators (e.g. Common Equity Tier 1 Ratio, Liquidity Coverage
Ratio), including KPIs which are of primary importance for steering the Group B&S;
Managerial KPIs: to include KPIs which are key from strategic and Risk Appetite standpoint; consistently with lean Parent company steering (e.g.
Credit Risk, Liquidity Risk and Profitability);
Specific Risks KPI: complementary with the above categories, to ensure steering of all the key risks (e.g. Market Risk, Operational Risk, Interest
Rate Risk, Shadow Banking and Risk Culture).
For each of the above dimensions, one or more KPIs are identified, in order to quantitatively measure the position of the Group in different ways:
absolute values, ratios, sensitivities to defined parameters.
Various levels of thresholds are defined to act as early warning indicators anticipating potential risk situations that will be promptly escalated at
relevant organisational level. In the event that specific Risk Appetite thresholds are met, the necessary management measures have to be adopted
for effectively adjusting the risk profile. The following thresholds are identified (on certain KPIs, not all the thresholds may be meaningful):
Targets represent the amount of risk the Group is willing to take on in normal conditions in line with the Group ambition. They are the reference
thresholds for the development and steering of the business;
Triggers represent, from a managerial standpoint, the maximum acceptable level of deviation from the defined target thresholds, or more generally
a Warning Level, and are set consistently to assure that the Group can operate, even under stress conditions;
Limits are hard points that represent, from a statutory standpoint, the maximum acceptable level of risk for the Group.
Thresholds setting is evaluated by the relevant competent functions, also through managerial decision by the Board of Directors, respecting
regulatory and supervisory requirements and also taking into account stakeholders’ expectations and positioning versus peers. In addition, UniCredit
group has a series of transversal operational limits and metrics that cover the main risk profiles in order to supplement the Risk Appetite Framework.
According to the EBA guidelines, each year ICAAP information is collected for SREP purposes and sent to the Regulator. The Board of Directors,
which authorises the sending of this information to the Authorities, also acknowledges that the risk governance of the Group is deemed adequate,
guaranteeing that the risk management system in place is in line with the risk profile and strategy of the Group. in addition, the Chairman of the
Board of Directors, the CEO, the Co-Chief Operating Officers and the Chief Risk Officer declared in the Capital Adequacy Statement submitted to
the last Board of Directors held on 10 April 2019 that the current Capital of the Group is adequate to cover its risk profile and the operation of its
business model, which is also grounded on the actions planned within the MYP “Transform 2019”. In addition the usage of the RAF as a key tool
and cornerstone for risk strategy appraisal will continue to represent a fundamental pillar of the ICAAP and allow to activate prompt actions in case
of both regulatory and internal capital trigger/limit breaches.
Risk Culture in UniCredit group
UniCredit defines risk culture as the collective and individual ability to identify, understand, openly discuss and make decisions on current and future
risks
252 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Since the financial markets crisis, both the financial industry and regulators have been addressing the issue of risk culture, giving a definition of it,
identifying its key elements, establishing principles of conduct, providing recommendations and issuing guidelines. The main documents are
mentioned here below.
Institute of International Finance (IIF), 17 July 2008, “Final Report of the IIF Committee on Market Best Practices: Principles of Conduct and
Best Practices Recommendations - Financial Services Industry Response to the Market Turmoil of 2007-2008”. In this document the financial
industry establishes the principle that effective cultivation of a consistent risk culture throughout firms is the main enabling tool in risk management.
In addition, the following recommendations are provided:
- companies should establish clear policies that define risk management as the responsibility of each institution’s senior management, in particular
the CEO;
- Boards of Directors have an essential oversight role in risk management;
- risk management should be a priority for the whole company and not be focused only on particular business areas or a purely quantitative
oversight process or an audit or a control function;
- risk management should be a key responsibility of the entire business-line management;
- all the employees should have a clear understanding of their responsibilities with regard to the management of risks assumed by the company
and should be held accountable for their performance with reference to these responsibilities.
Institute of International Finance (IIF), 9 December 2009, “Risk Culture” - Appendix III to the Report of the IIF Steering Committee on
Implementation “Reform in the Financial Services Industry: Strengthening Practices for a More Stable System”. In this document the IIF identifies
the key elements of an effective risk culture and the most common categories of risk culture failings within organisations.
European Banking Authority (EBA), 27 September 2011 (review November 2017), “EBA Guidelines on Internal Governance”. In this document
the EBA requires that a financial institution shall develop an integrated and institution-wide risk culture, based on a full understanding of the risks it
faces and how they are managed, taking into account its risk tolerance and appetite.
In addition, on 7 April 2014 the Financial Stability Board (FSB) issued the document “Guidance on Supervisory Interaction with Financial
Institutions on Risk Culture - A Framework for Assessing Risk Culture”, which identifies the foundational elements that contribute to the promotion of
a sound risk culture within financial institutions. It aims at assisting supervisors in assessing the soundness and effectiveness of a financial
institution’s culture in managing risks. There are several indicators of a sound risk culture which need to be considered collectively and as mutually
reinforcing. These indicators include:
Tone from the top: the Board of Directors and senior management are the starting point for setting the financial institution’s core values and risk
culture, and their behaviors must reflect the values being espoused.
Accountability: a successful risk management requires employees at all levels to understand the core values of the institution’s risk culture and its
approach to risk, be capable of performing their prescribed roles, and be aware that they are held accountable for their actions in relation to the
institution’s risk-taking behavior.
Effective communication and challenge: a sound risk culture promotes an environment of open communication and effective challenge in which
decision-making processes encourage a range of views, allow for testing of current practices, and stimulate a positive, critical attitude among
employees and an environment of open and constructive engagement.
Incentives: performance and talent management should encourage and reinforce maintenance of the financial institution’s desired risk
management behavior. Financial and non-financial incentives should reward servicing the long-term interests of the financial institution and its
clients, including sustained profitability, as opposed to short-term revenue generation.
The success of risk-taking institutions in this new economic environment highly depends on their risk management capabilities. The key pillars of
successful risk management include understanding risks and its effects on the income statement and the balance sheet, creating a consistent base
level of technical risk knowledge, reinforcing communications at all levels, and creating a mindset that anticipates changes in the macro
environment.
In order to be properly prepared to deal with these challenges, UniCredit Board of Directors is strongly committed to, and focused on, cultivating a
consistent risk culture throughout the Group - the initiative having been identified as the main enabling tool in risk management. In this context of
rapidly evolving markets and regulatory requirements, the Group Risk management, in line with its mission as defined by the Board of Directors of
UniCredit, has launched a structured and comprehensive approach to strengthen UniCredit risk culture. The transformational program aims at
changing mindset and behaviours of all the Bank’s employees, across all organisational levels, from top management to front-line, by addressing the
following areas:
1. Governance;
2. Learning and development;
3. Performance management;
4. Communication.
1. Governance
Risk Governance - One of the key elements in risk management is the Risk Appetite Framework, please refer to the “Introduction”.
Dedicated Group Risk Committees have been established in order to strengthen the capacity of independent steering, coordination and control of
Group risks, to improve the efficiency and the flexibility of the risks decision process and to address the interaction between the relevant risk
stakeholders.
UniCredit ·2019 Annual Report and Accounts 253
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Part E - Information on risks and hedging policies
2. Learning & Development
Training - Training is fundamental to risk culture. The new learning framework is characterised by digital, modular and freestanding solutions and is
based on adaptive learning methods. Three main streams ensure that all the participants are fully aware of the different risks. These streams are
differentiated according to the target population and the required risk knowledge. At the same time, those in specific positions and risk professionals
will receive further training specifically tailored to the requirements and challenges of their jobs.
Cross-functional job rotation - Learning on the job and cross-functional rotation, in which colleagues from the business lines work in risk functions,
and vice versa, have been extremely valuable and helpful. These initiatives facilitate the virtuous cycle for bringing business knowledge to risk
functions and introducing risk awareness to the decision-making process of the business lines. In addition, they enable the exchange of expertise
and points of view that improves the colleagues’ capabilities to analyse, approach and mutually understand the different situations they both face on
a daily basis.
3. Performance Management
Compensation - To reinforce the Bank's risk culture, also the link between compensation and risk represents an important element. This link is
ensured by the involvement of the Risk function in compensation design and the definition of an explicit framework to base remuneration within an
overarching Group Risk Appetite framework. In particular, the Board of Directors with the support of the competent Supervisory Committees
(Remuneration Committee and Internal Control and Risk Committee) and upon the input of involved functions ensures the link between profitability,
risk and reward within Group incentive systems. For further information regarding the alignment of risk-and compensation policies, refer to the
dedicated chapter published annually in the year-end version of this document.
Risk-based KPIs - At Group level, the strong commitment to a consistent risk culture as well as the individual accountability on risk, compliance and
controls is constantly promoted and enhanced. Group Human Capital (HR) contributes to this, spreading Group-wide risk, compliance & control
culture by leveraging on the existing framework and building selected initiatives.
Over the past few years, HR built up a framework to enhance internal control system awareness and accountability by setting processes that embed
sensitivity to Risk and Compliance attitudes, such as Executive Development Plan (EDP - the annual performance management and review process
of UniCredit, involving all the Executives of the Group, Group Incentive System, Learning & Development).
Since 2012, as part of the EDP and incentive system processes, the Group put specific emphasis on risk, compliance and control features. In
particular:
the KPI Bluebook (a set of guidelines for defining individual goals consistent with business direction, risk perspective, regulatory framework and
sustainability) contains specific KPIs focused on risk and control culture;
the Compliance Assessment, pursuant to which Managers are required to prove the employee’s reliability with regards to risks and compliance,
with specific focus on legal anti-money laundering obligations.
4. Communication
Within the UniCredit risk culture transformation program, great emphasis is put on aligning and re-iterating key messages on UniCredit mission,
values, strategy and risk appetite, as well as on the importance of and commitment to a strong risk culture. In addition, top management care is
devoted to transforming words into tangible actions and to show how the Group is embedding risk culture into its operating practices. In order to
achieve these targets, a comprehensive communication approach has been adopted. An editorial plan has been developed, in order to
communicate common statements on how risk culture is at the core of UniCredit strategy and why a sound risk culture is essential for healthy growth
and sustainable profitability. During 2019 articles and news relating to risk culture and risk management were published on UniCredit group intranet
site, reaching about 100,000 page views.
254 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
The following table contains the reconciliation between the balance sheet according IFRS and Regulatory scope of consolidation.
ASSETS
10. Cash and cash balances
20. Financial assets at fair value through profit or loss:
a) financial assets held for trading
b) financial assets designated at fair value
c) other financial assets mandatorily at fair value
30. Financial assets at fair value through other comprehensive income
40. Financial assets at amortised cost::
a) loans and advances to banks
b) loans and advances to customers
50. Hedging derivatives
60. Changes in fair value of portfolio hedged items (+/-)
70. Equity investments
80. Insurance reserves charged to reinsurers
90. Property. plant and equipment
100. Intangible assets
of which: goodwill
110. Tax assets:
a) current
b) deferred
120. Non-current assets and disposal groups classified as held for sale
130. Other assets
Total assets
continued:
LIABILITIES AND SHAREHOLDERS' EQUITY
10. Financial liabilities at amortised cost:
a) deposit from banks
b) deposit from customers
c) debt securities in issue
20. Financial liabilities held for trading
30. Financial liabilities designated at fair value
40. Hedging derivatives
50. Value adjustment of hedged financial liabilities (+/-)
60. Tax liabilities:
a) current
b) deferred
70. Liabilities associated with non-current assets held for sale
80. Other liabilities
90. Provision for employee severance pay
100. Provision for risks and charges:
a) committments and guarantees given
b) post retirement benefit obligations
c) other provisions for risks and charges
110.Technical reserves
120. Valuation reserves
130. Redeemable shares
140. Equity instruments
150. Reserves
160. Share premium
170. Share capital
180. Treasury shares (-)
190. Minority shareholders' equity (+/-)
200. Net profit (Loss) for the year (+/-)
Total liabilities and shareholders' equity
AMOUNTS AS AT 31.12.2019
ACCOUNTING
PERIMETER
17,305
81,880
63,280
-
18,600
79,702
626,463
101,669
524,794
5,934
3,296
4,787
-
11,097
2,800
886
12,922
793
12,129
2,512
6,949
855,647
PRUDENTIAL
PERIMETER
17,631
82,093
63,494
-
18,599
81,271
647,959
105,821
542,138
5,954
3,296
4,592
-
9,781
2,857
886
13,100
763
12,337
2,447
8,402
879,383
AMOUNTS AS AT 31.12.2019
ACCOUNTING
PERIMETER
704,840
135,572
472,967
96,301
41,483
9,678
7,186
4,964
1,378
685
693
725
12,549
661
10,398
1,089
5,619
3,690
-
(6,120)
-
5,602
24,344
13,225
20,995
(3)
369
3,373
855,647
PRUDENTIAL
PERIMETER
724,161
138,005
487,509
98,647
41,720
10,445
7,383
4,964
1,373
661
712
683
14,250
660
11,849
1,146
5,652
5,051
-
(6,120)
-
5,602
24,344
13,225
20,995
(3)
479
3,373
879,383
(€ million)
DELTA(*)
326
213
214
-
(1)
1,569
21,496
4,152
17,344
20
-
(195)
-
(1,316)
57
-
178
(30)
208
(65)
1,453
23,736
(€ million)
DELTA(*)
19,321
2,433
14,542
2,346
237
767
197
-
(5)
(24)
19
(42)
1,701
(1)
1,451
57
33
1,361
-
-
-
-
-
-
-
-
110
-
23,736
Note:
(*) Effects of the deconsolidation and consolidation of counterparties other than those in the banking group the effects are attributable to:
deconsolidation of companies that are not part of the Regulatory banking group;
proportional consolidation of the jointly controlled companies in Regulatory scope of consolidation and consolidated at equity in the IFRS.
UniCredit ·2019 Annual Report and Accounts 255
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Section 1 - Risks of the accounting consolidated perimeter
Quantitative information
In the following tables, the volume of impaired assets according to the IFRS definition is equivalent to the one of non-performing exposures referred
to in the EBA standards.
A. Credit quality
For the purposes of the disclosure of quantitative information about credit quality, the term “credit exposures” does not include equity instruments
and units in investment funds.
A.1 Impaired and non-performing credit exposures: stocks, value adjustments, dynamics and economic
(€ million)
TOTAL
626,463
77,949
-
16,923
1,736
723,071
685,548
(€ million)
TOTAL
(NET
EXPOSURE)
626,463
A.1.1 Breakdown of financial assets by portfolio and credit quality (carrying value)
PORTFOLIOS/QUALITY
1. Financial assets at amortised cost
2. Financial assets at fair value through other
comprehensive income
3. Financial assets designated at fair value
4. Other financial assets mandatorily at fair value
5. Financial instruments classified as held for sale
Total
Total
12.31.2019
12.31.2018
BAD
EXPOSURES
2,975
UNLIKELY TO
PAY
5,241
NON-
PERFORMING
PAST-DUE
EXPOSURES
577
PERFORMING
PAST-DUE
EXPOSURES
12,838
OTHER
PERFORMING
EXPOSURES
604,832
-
-
10
39
3,024
5,821
-
-
74
245
5,560
8,658
-
-
-
4
581
577
-
-
7
879
13,724
13,249
77,949
-
16,832
569
700,182
657,243
A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values)
NON-PERFORMING ASSETS
PERFORMING ASSETS
GROSS
EXPOSURE
25,205
OVERALL
WRITEDOWNS
16,412
NET
EXPOSURE
8,793
-
-
-
-
233
149
-
-
84
OVERALL
PARTIAL
WRITE-
OFFS(*)
2,353
-
-
-
GROSS
EXPOSURE
620,283
OVERALL
WRITEDOWNS
2,613
NET
EXPOSURE
617,670
77,995
46
77,949
77,949
X
X
X
X
-
-
16,839
16,923
650
26,088
38,456
362
16,923
23,400
288
9,165
15,056
46
2,399
2,766
1,454
699,732
654,149
6
2,665
2,648
1,448
713,906
670,492
1,736
723,071
685,548
PORTFOLIOS/QUALITY
1. Financial assets at amortised cost
2. Financial assets at fair value
through other comprehensive income
3. Financial assets designated at fair
value
4. Other financial assets mandatorily
at fair value
5. Financial instruments classified as
held for sale
Total
Total
12.31.2019
12.31.2018
Note:
(*) Value shown for information purposes.
Prisma transaction
Refer to Part E - Information on risks and hedging policies - Section 1 - Credit Risk - Quantitative information - “Prisma transaction” of the Notes to
accounts of UniCredit S.p.A. that here are intended as completely reported.
256 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Strengthening the rundown strategy for Non Core perimeter
Non Core is a portfolio of Italian Non performing exposures (NPE) to customers held by UniCredit S.p.A. and UniCredit Leasing S.p.A., whose
management, since 2014, has been separated from the management of the other positions, with the aim of reducing non-strategic credit exposures.
Over the years, various actions have therefore been taken in this direction, including the FINO securitisations (in 2017) and, more recently, the
aforementioned PRISMA transaction.
The Strategic Plan 2020-2023 (Team 23), to complete what has already been defined in the previous 2016-2019 Plan (Transform 2019), confirms
the strategy for reducing NPE by forecasting the total rundown of the residual Non Core portfolio by the end of 2021. This strategy has been
reviewed and strengthened on the basis of a complete and in-depth granular analysis of the portfolio completed by the company departments
responsible in the fourth quarter 2019, enriched by the observation of the evolution of the impaired credit exposures at the banking system level and
considering the repeated recommendations expressed by the Regulators and the general expectations of the market regarding the non-performing
exposures. In this regard, it has also been observed that, differently from the past, some important market transactions have been finalised in the
most recent periods which have also affected the impaired credit exposures included within the unlikely to pay exposures (in addition to those
classified as bad loans)
The strengthening of the rundown strategy of the Non Core perimeter, approved by UniCredit Board of Directors on 2 December 2019, is
based on a mix of levers which have the purpose of implementing the Non Performing exposures strategy through the management of the
positions involved by specific actions, according to the characteristics and specificities of the portfolios dealt with and which are developed along
three executive lines:
internal recovery strategy and restructuring of the positions;
recourse to restructuring platforms with specialized partners; and
the activation of portfolio and “single name” disposals where the Group showed a very solid track record during the last years.
For UniCredit Leasing S.p.A. the rundown will also leverage on the ReoCo (UniCredit Leased Asset Management) that was established in 2019 in
order to support the NPE strategy implementation.
With reference to the disposal of credit portfolios, the implementation of the strategy is based on the precise observation of the perimeters and
characteristics of the underlying receivables (classified both as bad loans and unlikely to pay), in order to measure them in the credit evaluation as at
31 December 2019, in line with the estimates on the portfolio’s sale expectations. In particular, steps were taken to:
identify the positions by aggregating them into macro-cluster based on guiding values (nature of the credit, type of counterparty, existence of
supporting guarantees, liquidity characteristics, etc.);
define the price for each cluster deemed most representative, through observable internal or market benchmarks, depending on the availability of
information and in compliance with the criteria defined by the internal regulations;
identify any corrective factors to represent in the most appropriate way the characteristics and specificities of the portfolios included in each
cluster, also considering significant elements such as vintage, any causes of illiquidity, recovery estimates not later than 2021, etc.
The results obtained from the analysis (also carried out with the support of an external advisor) were incorporated into the Selling Scenario used,
pursuant to accounting standard IFRS9, for the purpose of evaluation of the Non performing exposures included within the perimeter Non Core, to
represent its ability to recover by 2021.
Referring to the positions for which, due to their intrinsic characteristics, a sale strategy is not deemed applicable, an in-depth analysis of
recoverability was made, always with the aim to the complete runoff of the exposures identified within 2021. The results of these analysis have been
incorporated into the evaluation of the identified portfolios at 31 December 2019, leading in some cases to the cancellation of the exposure itself
(write-off).
The strengthening of the strategy of complete rundown of credit exposures included within the Non Core perimeter by 2021, led to the recognition
in the fourth quarter 2019 income statement of negative components for a total amount of approximately €1,055 million, of which €827
million relating to UniCredit S.p.A., and €228 million relating to UniCredit Leasing S.p.A.
In particular:
UniCredit ·2019 Annual Report and Accounts 257
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
UniCredit S.p.A.
review of the sale strategy: the effects deriving from the up-date of the IFRS9 Selling Scenarios, adopted for the evaluation of the receivables at
31 December 2019,amount to € 747 million (€ 741 million of additional provisions an 6 million of lower interest income) and relate to non
performing exposures having a gross nominal amount of € 4,349 million, bringing the coverage ratio from 72,1% to 89,3%;
increase of the coverage levels: the effects arising from the lower expected recoveries led to higher write-down on loans for approximately €32
million, and affected NPE for a total amount of €127 million of gross book value, bringing the related coverage from 70.8% to 92.8%;
write-offs: the impacts arising from the radiations done led to €48 million of write-down on loans, and involved original NPE for a total amount of
€706 million of gross book value.
UniCredit Leasing S.p.A.:
review of the sales strategy: the impacts deriving from the introduction of the IFRS9 Selling Scenario, adopted for the evaluation of the
receivables at 31 December 2019, led to higher write-down on loans for approximately €123 million, involving credit exposures for €495 million and
bringing the coverage from 48% to 73%;
increase of coverage levels:
- exposures guaranteed by the owned asset: the effects deriving from the lower expected recoveries led higher write-down on loans for
approximately €92 million, and involved credit exposures for a total amount of €638 million of gross book value, bringing the coverage from 46%
to 60%;
- residual unsecured loans: the effects arising from the lower expected recoveries led higher write-down on loans for approximately €14 million and
involved credit exposures for a total of €255 million of gross book value, bringing the coverage from 95% to 100%.
As mentioned above, the in-depth analysis conducted during the fourth quarter 2019, in light of the persistence of the recommendations expressed
by the Regulators and the significant changes observed in the market that show sharp reduction in the amount of impaired loans by the main market
players, led to the decisions taken regarding the strengthening of the strategy to reduce the Non Core portfolio, aimed at the complete runoff by
2021 of the impaired credit exposures included within this perimeter.
These circumstances led to a change in the management strategy of the credit exposures pertaining the Non Core perimeter, providing for a
significant increase of the portfolios subject to the application of the Selling scenarios IFRS9 and, consequently in the related evaluation, which
qualifies as a change in the accounting estimates according to IAS8.
The effects deriving from the actions abovementioned, which have determined a change in the accounting estimate, are included in the income
statement of the period in which the change occurred, in line with IAS18 paragraph 38, namely in fourth quarter 2019.
PORTFOLIOS/QUALITY
1. Financial assets held for trading
2. Hedging derivatives
Total
Total
12.31.2019
12.31.2018
CUMULATED LOSSES
146
-
146
148
ASSETS OF EVIDENT LOW CREDIT QUALITY
NET EXPOSURE
79
-
79
94
(€ million)
OTHER ASSETS
NET EXPOSURE
54,788
5,934
60,722
60,429
B. Structured entities (other than entities for securitisation transaction)
B.1 Consolidated structured entities
The Group has involvements in structured entities that are consolidated because it has both power on the underlying assets and exposure to
variability of returns arising from the structured entities activities as a result of the financial instruments subscribed.
The consolidated structured entities of the Group belong to one of the following categories:
Leasing SPV: these structured entities are set-up by the Group in order to meet the needs of customers interested into entering into finance
leasing. The Group provides funding to these structured entities, both in form of equity and in form of loans. Such funding is used by structured
entities to buy assets (real estate, equipment, etc.) that are leased to a customer under a finance leasing contract;
Project finance SPV: these structured entities are set-up in order to finance capital intensive projects according to the need of specific customers.
Typically the funds needed to develop the project are provided by the customer, in form of equity and by the Group in form of loans. The Group
consolidates such structured entities as a result of deterioration of the credit worthiness of the customer and subsequent acquisition of the right to
manage the project;
Real estate SPV: these structured entities are entities that have been set-up in order to fund real estate projects used in the business by the
Group or that have been acquired it the course of credit recovery processes;
Funding SPV: these structured entities are set-up by the Group so to gather funding in specific markets that is guaranteed by a Group Legal
entity. This funding is then transferred to the group legal entity that guarantees it;
Investment funds: these structured entities are open ended and closed ended investment funds that the Group controls under IFRS10 having
258 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
acquired enough quotas to expose it to variability of returns and the ability to manage, directly and indirectly, the underlying portfolio;
Warehousing SPV: these structured entities are set-up in order to subsequently perform securitisation transactions. In particular they purchase
mortgages in specific markets and from different originators until a “critical mass” that allow to perform securitisation is reached. The purchases of
mortgages are funded through loans provided by the Group.
During the period the Group has not provided financial support to consolidated structured entities, other than those for securitisation transactions, in
absence of contractual obligation to do so and it doesn’t have current intention to provide such support.
The following table provides on balance sheet and off balance sheet, non revocable credit line and financial guarantees, provided by Group
companies to consolidated structured entities.
These exposures are eliminated in the consolidation process.
BALANCE SHEET ITEM/SPV TYPE
Leasing SPV
Project Finance SPV
Real Estate SPV
Funding SPV
Investment funds
Warehousing SPV
Total
TOTAL
ASSETS
2,145
5
23
222
97
-
2,492
(€ million)
OFF BALANCE SHEET
EXPOSURES
-
18
10
-
-
-
28
B.2 Non-consolidated for accounting purposes structured entities
B.2.1. Consolidated for regulatory purposes structured entities
The Group has not exposure toward structured entities consolidated for regulatory purpose but that are not consolidated for accounting purpose.
B.2.2. Other structured entities
Qualitative information
The Group has exposure toward unconsolidated structured entities either as a result of its lending activities or through the investments in quotas
issued by funds that are structured entities under IFRS12 definition.
In particular, unconsolidated structured entities in which the Group is exposed to belong to the following categories:
Acquisition and Leveraged Finance structured entities are set up for providing funding for the acquisition of a target business, where sponsors
participate with equity contribution and lenders structure their facilities according to the cash flow profile of the target. The Group provides funding
to these structured entities according to the applicable internal credit policies described in Part E - Section 1 that also define the level of equity that
has to be provided by the sponsor.
The Group has no control over these structured entities because it neither manages the company whose acquisition is being financed nor is
significantly exposed to the associated variability of returns;
Leasing structured entities are set-up to buy an asset and rent it to customers (based on a financial leasing contract). The funding is provided
through loans, and the structured entities are the owner of the asset. At the end of the contract the asset is usually sold to the customer at a price
usually equal to the residual value defined by the contract.
The Group provides funding to these structured entities according to the applicable internal credit policies described in Part E - Section 1.
In particular, the contracts ruling such transactions and associated guarantees ensure that the Group has no control over these structured entities
because it neither manages the activities of the structured entities nor is significantly exposed to variability of returns of the leased assets;
Market Related structured entities are set-up in order to allow customers to invest into financial instruments having features, in term of currency
of denomination or interest rate, different from those offered in the market. In this context the Group maintains exposures against these vehicles
that, however, do not transfer to the Group the main risks of the underlying;
Notes issuing structured entities are structured entities that issue security different from ABS that are backed up by certain type of assets.
These include covered bonds issued by third parties.
The Group does not control these structured entities as it has neither the ability to manage the underlying assets nor retains significant exposures
to its variability of returns;
Project Finance structured entities are structured entities set up for the financing capital intensive business initiatives, where customers
participate with equity contribution. The Group provides funding to these structured entities according to the applicable internal credit policies
described in Part E - Section 1 that also define the level of equity that has to be provided by the customers.
UniCredit ·2019 Annual Report and Accounts 259
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
The Group has no control over these structured entities because it neither manages the assets being financed nor is significantly exposed to the
resulting variability of returns;
Real Estate structured entities are set-up for the financing of specific real estate initiatives. In these structures the customers, typically
commercial and residential development companies and institutional investors set up the structured entities and provides the equity. The Group
provides funding according to the applicable internal credit policies described in Part E - Section 1 that also define the level of equity that has to be
provided by the customers.
The Group has no control over these structured entities because it neither manages the assets being financed nor is significantly exposed to the
resulting variability of returns;
Shipping and Aircraft structured entities are set up for the building or the acquisition of a ship or an aircraft that is then used by the customers
in the context of their business activities.
The Group provides funding to these structured entities according to the applicable internal credit policies described in Part E - Section 1 that also
define the level of equity that has to be provided by the customers.
The Group has no control over these structured entities because it neither manages the assets being financed nor is significantly exposed to the
resulting variability of returns;
Warehousing structured entities support subsequent securitisation transactions through the purchase of mortgages in specific markets and from
different originators until a “critical mass” that allows to perform such securitisation is reached;
Investments funds comprise open ended and closed ended investment funds in which the Group has subscribed quotas or provided loans.
Quantitative information
The following table provides indication on assets, liabilities and off-balance sheet exposures recognised in the balance sheet of the Group held
towards SPVs different from non-consolidated securitisation vehicles and broken down by role of the Group.
The maximum exposure to loss has been calculated by grossing up the difference between assets and liabilities with off balance sheet positions
(irrevocable credit lines and financial guarantees) held toward these vehicles reported in column “difference between maximum exposure to loss and
accounting value”.
260 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Exposure to structured entities different from Securitisation SPV not consolidated for accounting purposes
AMOUNTS AS AT 12.31.2019
BALANCE SHEET ITEM/SPV TYPE
Acquisition and Leverage Finance SPV
ACCOUNTING
PORTFOLIO
(ASSETS)
Leasing SPV
Market Related SPV
Notes Issuing Vehicles
Project Finance SPV
Real Estate SPV
Shipping Aircraft SPV
Warehousing SPV
Total
HFT
DFV
MFV
FVOCI
AC
HFT
DFV
MFV
FVOCI
AC
HFT
DFV
MFV
FVOCI
AC
HFT
DFV
MFV
FVOCI
AC
HFT
DFV
MFV
FVOCI
AC
HFT
DFV
MFV
FVOCI
AC
HFT
DFV
MFV
FVOCI
AC
HFT
DFV
MFV
FVOCI
AC
ACCOUNTING
PORTFOLIO
(LIABILITIES)
Deposits
Securities
HFT
DFV
Deposits
Securities
HFT
DFV
Deposits
Securities
HFT
DFV
Deposits
Securities
HFT
DFV
Deposits
Securities
HFT
DFV
Deposits
Securities
HFT
DFV
Deposits
Securities
HFT
DFV
Deposits
Securities
HFT
DFV
TOTAL
ASSETS
(A)
275
-
-
-
-
275
69
-
-
-
69
467
-
-
-
-
467
107
-
-
-
-
107
1,522
-
-
-
-
1,522
3,660
-
-
-
56
3,604
110
-
-
-
-
110
-
-
-
-
-
-
6,210
TOTAL
LIABILITIES
(B)
30
30
-
-
-
-
-
-
-
-
-
-
6
6
-
-
-
-
-
-
-
-
-
-
562
562
-
-
-
-
476
476
-
-
-
-
2
2
-
-
-
-
-
-
-
-
-
-
1,076
(€ million)
DIFFERENCE
BETWEEN
MAXIMUM
EXPOSURE
TO LOSS
AND
ACCOUNTING
VALUE
(E=D-C)
398
NET
ACCOUNTING
VALUE
(C=A-B)
245
MAXIMUM
EXPOSURE
TO LOSS
(D)
643
69
69
461
462
-
1
107
135
28
960
1,181
221
3,184
3,432
248
108
149
41
-
-
-
5,134
6,071
937
Notes:
HFT = Financial assets held for trading
DFV = Financial assets designated at fair value
MFV = Financial assets mandatorily at fair value
FVOCI = Financial assets at fair value through other comprehensive income
AC = Financial assets at amortised cost
Deposits = Deposits from Customers
Securities = Debt securities in issue
HFT = Financial liabilities held for trading
DFV = Financial liabilities designated at fair value
UniCredit ·2019 Annual Report and Accounts 261
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
The following table provides indication on assets, liabilities and off-balance sheet exposures recognised in the balance sheet of the Group held
towards not consolidated investment funds.
Exposure to structured entites different from Securitisation SPV not consolidated for accounting purposes - Investment funds
AMOUNTS AS AT 12.31.2019
(€ million)
DIFFERENCE
BETWEEN
MAXIMUM
EXPOSURE
TO LOSS
AND
ACCOUNTING
VALUE
(E=D-C)
1,253
NET
ACCOUNTING
VALUE
(C=A-B)
1,854
MAXIMUM
EXPOSURE
TO LOSS
(D)
3,107
BALANCE SHEET ITEM/SPV TYPE
Real Estate investment funds
ACCOUNTING
PORTFOLIO
(ASSETS)
HFT
DFV
MFV
FVOCI
AC
HFT
DFV
MFV
FVOCI
AC
HFT
DFV
MFV
FVOCI
AC
HFT
DFV
MFV
FVOCI
AC
HFT
DFV
MFV
FVOCI
AC
HFT
DFV
MFV
FVOCI
AC
Mixed Asset investment funds
Equity investment funds
Private Equity/Debt investment funds
Fixed Income investment funds
Other investment funds
Total
Notes:
HFT = Financial assets held for trading
DFV = Financial assets designated at fair value
MFV = Financial assets mandatorily at fair value
FVOCI = Financial assets at fair value through other comprehensive income
AC = Financial assets at amortised cost
ACCOUNTING
PORTFOLIO
(LIABILITIES)
Deposits
Securities
HFT
DFV
Deposits
Securities
HFT
DFV
Deposits
Securities
HFT
DFV
Deposits
Securities
HFT
DFV
Deposits
Securities
HFT
DFV
Deposits
Securities
HFT
DFV
TOTAL
ASSETS
(A)
4,238
16
-
202
-
4,020
1,522
956
-
29
-
537
1,305
978
-
12
-
315
1,002
-
-
851
-
151
884
811
-
38
-
35
56
20
-
4
-
32
9,007
TOTAL
LIABILITIES
(B)
2,384
2,352
2
30
-
-
1,644
1,597
-
47
-
-
424
420
-
4
-
-
118
118
-
-
-
-
975
971
-
4
-
-
342
342
-
-
-
-
5,887
Deposits = Deposits from Customers
Securities = Debt securities in issue
HFT = Financial liabilities held for trading
DFV = Financial liabilities designated at fair value
(122)
(83)
39
881
885
884
890
(91)
(91)
(286)
(286)
4
6
-
-
3,120
4,422
1,302
It should be noted that during the year the Group has recognised commission income for €36 million as a result of the management of investment
funds not consolidated.
262 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Section 2 - Risks of the prudential consolidated perimeter
2.1 Credit risk
Qualitative information
1. General aspects
In UniCredit, the current governance model of credit risk, intended as risk of impairment of a credit exposure deriving from an unexpected
deterioration of the counterparty’s creditworthiness, has two levels of control:
on one side, the supervision of the Group Risk Governance functions which steer and control the credit risk and which perform a managerial
coordination with respect to the relevant Group legal entities’ functions;
on the other one, the supervision of the relevant Group legal entities’ functions which perform the control and the management of the risks portfolio
at Country level.
This model also leverages the current governance structure which provides the organisational separation between the functions responsible for the
credit operational management (i.e. Group Lending Office) and the control functions (within Group Risk Management).
With reference to credit risk management topics, the mechanisms of interaction between the Parent company and the Group legal entities are
defined by specific credit governance rules that, on one side, regulate the respective responsibilities and, on the other, ensure the compliance of the
overall credit risk framework with the regulatory context which the Parent company is subject to.
Within its role of guidance, support and control, the Parent company acts in the following areas: credit rules (principles, policies and processes),
credit strategies and credit risk limits, models development, rating systems validation, large exposures management, issuance of credit products,
monitoring and reporting portfolio credit risk.
In line with such credit governance rules, the legal entities request the Group Lending Office’s opinion before granting new or reviewing existing
credit lines to individual borrowers or economic groups whenever these credit lines exceed defined thresholds, also with reference to compliance
with the credit risk concentration limits being measured with respect to the regulatory capital.
The monitoring of major industrial and financial economic groups (called “Top Group”), identified as those groups having an exposure exceeding 2%
of the consolidated eligible capital (as stated in the Banca d’Italia Circular No.285 “Supervisory provisions for banks), is carried out by a dedicated
central unit within the Group Risk Management. The Group mapping, whose purpose is to identify and assess juridical and/or economic connections
among the bank’s clients, is performed according to principles and rules applying to the whole Group, in line with the most recent regulatory
guidelines (EBA Guidelines on Connected Clients - EBA/GL/2017/15) as well as the bank’s best practices.
According to the role assigned by the Group governance to the Parent company, specifically to the Group Risk Management function, general
provisions are established (“General principles for credit activities”) defining Group-wide rules and principles for guiding, governing and
standardising the credit risk assessment and management, in line with the regulatory requirements and the Group best practice. Such general
provisions are further supplemented by policies which, regulating specific topics (e.g. business areas, segment activities, type of
counterpart/transaction), are divided into two categories:
policies on Group-wide topics, drafted and issued by the Parent company and sent to all the legal entities. Some examples are the policies on
FIBS counterparties (Financial Institutions, Banks and Sovereigns), on Country Risk Limits, on Project Finance and Acquisition & Leveraged
Finance transactions, on underwriting risk limits for Syndicated Loan portfolio, on Commercial Real Estate Financing (CREF) and on Structured
Trade and Export Finance (STEF);
policies locally developed by single legal entities, fully in line with the guidelines defined at Parent company level, that regulate credit practices
related to rules and peculiarities of the local market and that are, therefore, applicable only within the respective perimeter.
At both legal entity and Parent company level, the policies (if necessary) are further detailed through operating instructions that describe specific
rules supporting the execution of day-by-day activities.
Credit policies, which usually have a static approach and are revised when necessary (e.g. in case of evolution of the external regulatory
framework), are supplemented by credit risk strategies (approved by UniCredit Board of Directors in the context of the risk appetite framework)
which, instead, are updated at least once a year and define with which customers/products, industry segments and geographical areas the Group
and the Group legal entities intend to develop their credit business.
More in general, the Group credit strategies are an effective tool for managing credit risk, contributing to the definition of the budget objectives in line
with the Group's risk appetite, of which they are an integral part. They also constitute a management tool as they translate the metrics defined within
the Risk Appetite into concrete form.
On the basis of the macroeconomic and credit scenario, the outlook at the economic sector level, as well as the business initiatives/strategies, the
Credit Strategies provide a set of guidelines and operational targets aimed at the countries and business segments in which the Group work and are
performed on the operating structures of each Group company and included in their respective commercial policies. The ultimate goal is to ensure
sustainable commercial growth, consistent with the risk profile of each company, remaining within the limits defined by the Group risk appetite
framework.
UniCredit ·2019 Annual Report and Accounts 263
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Within the framework of the strategies underlying credit activity, concentration risk is considered of particular importance. This is the risk associated
with losses generated by a single exposure or group of related exposures that (in relation to the capital of a bank, total assets or the overall risk
level) can generate potentially serious effects on the solidity and operation "core" of the Group.
In compliance with the relevant regulatory framework, UniCredit group manages the credit risk of concentration through specific limits that represent
the maximum risk that the Group intends to accept with regard to:
individual counterparties or groups of connected counterparties (Single Name Bulk Risk);
counterparties belonging to the same economic sector (Industry Concentration Risk).
The results of stress test simulations related to expected loss are an integrated part of the definition of credit strategies.
With specific reference to governance issues, commercial policies and credit strategies relating to the UniCredit S.p.A. perimeter, useful for
integrating the general contents valid at Group level, refer to paragraph of Part E - Notes to the accounts of the Parent company UniCredit S.p.A. -
Section 1 - Credit Risk - Qualitative information - 1. General Aspects which is herewith quoted entirely.
2. Credit risk management policies
2.1 Organisational aspects
Factors that generate credit risk
During the ongoing credit and business activities, the Group is exposed to the risk that an unexpected change in a counterparty's creditworthiness
may generate a corresponding unexpected change in the value of the associated credit exposure and may thus result in a partial or full write-off.
This risk is always associated to the traditional lending practice, regardless of the form of the credit facility (whether cash or credit commitments,
secured or unsecured, etc.).
The main reasons of a default lie in the borrower’s failure to fulfil its credit obligation (due to a lack of liquidity, for insolvency reasons, etc.), as well
as the occurrence of macro-economic and political events that are affecting the debtor’s operating and financial condition. Other banking operations,
in addition to traditional lending and deposit activities, can constitute other credit risk factors. In this view, 'non-traditional' credit risk may arise from:
subscription of derivative contracts;
purchase and selling of securities, futures, currencies or commodities;
holding third-party securities.
The counterparties in these transactions or issuers of securities held by Group legal entities could default as a result of insolvency, political and
economic events, lack of liquidity, operative deficiencies or other reasons. Defaults of a large number of transactions, or one or more large
transactions, could have a material adverse impact on the Group’s activities, financial condition and operating profits.
The Group therefore monitors and manages the specific risk of each counterparty as well as the overall risk of loan portfolios through procedures,
functions and rules that steer, govern and standardise the assessment and management of credit risk, in line with the Group principles and best
practice.
Organisational structure
As highlighted in the previously paragraph “General aspects”, the credit risk management in Parent company breaks down into two structures:
Group Risk Management, responsible for steering, governance and control of credit risk;
Group Lending Office, responsible for the operational credit management;
which internally have different organisational levels:
functions with responsibilities at Group level;
functions with responsibilities at Country level.
Regarding Group Risk Management, Parent company Functions with responsibilities at Group level include:
the “Group Credit & Integrated Risks” structure responsible, at Group level, for credit risk strategies definition, monitoring and controlling the credit
risk of Group portfolio as well as ensuring an integrated view across Pillar One and Two risks to Top Management; furthermore ensures that risk
control activities, relating to risk assumed in UniCredit S.p.A. Foreign Branches and Structured Entities (e.g. Special Purpose Vehicles/SPV,
Obbligazioni bancarie Garantite/OBG) are monitored and reported to the Group Credit risk Officer and to Top Management;
the "Group Risk Models & Credit Risk Governance" structure responsible for guaranteeing at Group level the coordination and steering of the
overall landscape of Pillar I Credit and Financial risk models as well as the related methodologies. Furthermore, it is responsible for defining credit
risk processes standards and cooperating with other Group competent functions on Risk Weighted Assets/RWA contents;
264 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
the “Group Internal Validation” structure responsible for validating, at Group level, the risk measurement methodologies, the related processes, the
IT components and the data quality, for Pillar One and Pillar Two risks, the main managerial models and the Group Risk reporting, as defined in
the Internal Validation Global Policy, providing adequate reporting for Company Bodies and Supervisory Authority, as well as for assessing,
monitoring and reporting, at Group level, the model risk for the models in scope of the Model Risk Management (MRM) framework, providing
adequate reporting for competent committees and the Board of Directors. Furthermore it is responsible for coordinating the definition and update of
the Group Internal Validation plan, managing the submission to competent approving Company Bodies and monitoring its execution as well as
coordinating and drawing up the reporting on validation activities outcomes for the submission to the competent Company Bodies (e.g. GR&ICC,
BoD) and Supervisory Authorities and participating to annual budget definition process, coordinating IT and consulting aspects needed for
performing the validation activities;
the “CRO CEE” structure, responsible for the management and control of credit operations activities and for credit risk steering of “CEE Division”
and for the comprehensive view and the coordination in the management of different types of risks (e.g. credit, financial, operational, reputational
risks) in CEE Division and CEE legal entities, together with the risk management responsible functions. It is responsible for credit operation
activities for the “CEE Division” files booked in UniCredit S.p.A.as well as for credit risk steering and control activities over the “CEE Division” with
regard to credit risk retail and corporate topics;
the “Group NPE” structure, responsible for developing the strategy and overseeing the management, process, targets and disposals of Non-
Performing Exposures/NPE, repossessed assets and any other distressed assets for the whole Group;
the “Non Core Asset Management” structure, responsible for coordinating and managing restructuring and workout files of UniCredit S.p.A.,
related to the non performing Non Core portfolio and also the distressed asset management activities, according to the Non Core portfolio rundown
strategy defined by the Group.
Regarding Group Lending Office, Functions with responsibilities at Group level include:
the “Group Credit Transactions” structure, responsible for the Group-wide assessment, monitoring and oversight of large credit transactions and
financial institutions, banks and sovereigns (FIBS) global credit model management, as well as the assessment, approval and daily management
of Country risks and cross-border credit risk-taking;
the Asia & Pacific Risks officer structure, responsible for ensuring risk control activities in the Asia and Pacific Area by coordinating, evaluating and
approving the credit proposals submitted by UniCredit S.p.A.'s Foreign Branches based in the Asia & Pacific area, ensuring the implementation of
the Group risk management strategies, ensuring the production of reports on the risks of the area and the coherence of risk transactions and
reporting activity for all the risk typologies, and collaborating with the competent counterparts in the development of a regional strategy that is
consistent with the risk appetite of the area.
At Country level, steering and credit risk control activities, as well as the conducting of operational activities (e.g. credit underwriting and renewal,
monitoring, restructuring, workout, etc.) falls under the responsibility of the CRO function of the controlled subsidiaries.
With reference to the Italian perimeter of UniCredit S.p.A., reporting to the “Group Lending Office”, refer to the paragraph of Part E - Notes to the
accounts of the parent company UniCredit S.p.A. - Section 1 - Credit Risk - Qualitative information - 2. Credit risk management policies - 2.1
Organisational aspects which is herewith quoted entirely.
With respect to credit risk, the following specific committees are active:
the “Group Risk & Internal Control Committee” supports the CEO in the role of steering, coordinating and monitoring the risks at Group level in the
management and oversight of the Group’s and UC S.p.A.’s internal control system, with specific reference to: establishing policies, guidelines,
operational limits and methodologies for the measurement, management and control of the risks as well as for the definition of the methodologies
for the measurement and control of internal capital and for the evaluation of risks reporting and estimates of provisions on risks. In this scope, the
Committee has consulting and suggestion functions for the definition and periodic review of the Group’s Risk Appetite Framework (RAF), special
reference for the overall risk control framework, in order to ensure their consistency with the strategic guidelines and risk appetite established and
their capacity to track the evolution of risks and their interaction;
the “Group Credit Committee”, in charge of evaluating and approving competent credit proposals referring to all files, including
restructuring/workout ones, status classification of files, relevant strategies and corrective actions to be taken for watch list files, specific limits for
transactions relating to Debt Capital Markets on Trading book, single issuer exposures limits on Trading book, Debt to Equity transactions and
transactions relating to Equity participations deriving from Debt to Equity transactions;
the “Group Model Risk Management & Governance Committee” responsible for ensuring, at Group level, a steering, coordination and control of
Model Risk Governance (focusing on Pillar I, Pillar II and managerial models in scope of the Model Risk Management/MRM framework) as well as
ensuring a consistency among the Parent company and the different legal entities, including the management of possible issues raised by the
legal entities to Group Chief Risk Officer/GCRO;
the “Group NPE Governance Committee”, responsible for supporting the Group Chief Risk Officer in ensuring, at Group level, a steering,
coordination and control of Non-Performing Exposures/NPE strategy and targets as well as an effective alignment on common goals between the
Parent company and different legal entities;
the "Group Transactional Credit Committee" responsible with approval function within the delegated powers (decision-making and/or issuing of
non-binding opinions to the Group legal entities) and/or consulting function for files to be approved by upper Bodies, for credit proposals referring
to all files, including restructuring, INC or workout ones, status classification of files relevant strategies and corrective actions to be taken for
watching list files, single issuer exposure limits on Trading book, Debt-to-Equity transactions and/or actions/rights-execution relating to equity
UniCredit ·2019 Annual Report and Accounts 265
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
participations resulting from Debt-to-Equity transactions, Debt-to-Assets transactions and/or actions/rights execution related to asset resulting from
Debt-to-Asset transactions, proposal of distressed asset disposal, in accordance with the regulated specifications and limitations;
the “Group Rating Committee” responsible, within its perimeter of competence and its delegated powers, for approving rating overrides.
Specific Committees related to UniCredit S.p.A. are described in the paragraph of Part E - Notes to the accounts of the parent company UniCredit
S.p.A. - Section 1 - Credit Risk - Qualitative information - 2. Credit risk management policies - 2.1 Organisational aspects which is herewith quoted
entirely.
2.2 Credit Risk Management, Measurement and Control
The credit risk, associated to the potential loss arising either from a default of the borrower/issuer or from a decrease in the market value of a
financial obligation due to a deterioration in its credit quality30, is measured at both single borrower/transaction and at whole portfolio level.
Credit lending to single customers, during both the approval and monitoring phases, is supported by a credit rating process, differentiated by
customer segment and product. The assessment of a counterpart’s creditworthiness, within the credit proposal evaluation, begins with an analysis of
the financial statements and the qualitative data (competitive positioning, corporate and organisational structure, etc.), regional and industry factors
and counterpart behaviour within the Entity or the banking system (e.g. Centrale dei rischi), and results in a rating, i.e. the counterpart’s probability of
default (“PD”) on a one-year time horizon.
Each borrower’s credit rating is reviewed at least annually on the basis of new information acquired. Each borrower is also assessed in the context
of any economic group it is affiliated with by taking into account, when needed, the risk for the entire group.
The internal rating assigned to each borrower and its economic group exposure both contribute to the lending decision calculation, defined so that,
at a constant credit amount, the approval powers granted to each decision-making corporate body are gradually reduced in proportion to the
increased borrower/related risk level.
The organisational model in use includes also a dedicated function, which is separated from loan approval and business functions and is responsible
for the management of the so-called rating “overrides”, i.e. any changes to the automatic rating calculated by the rating system.
Regular monitoring of the rating focuses on the borrower’s performance management, using all available internal and external information in order to
get to a score representing a synthetic assessment of the risk associated. This score is obtained using a statistical function that summarises
available information using a set of significant variables that are predictors of an event of default within a 12 months horizon.
In addition to the usual estimation of risk parameters over a one-year time horizon, multi-period risk parameters are estimated to provide a more
robust assessment of the risk-adjusted performance in compliance with the accounting standards requirements.
Besides the methodologies summarised in the rating systems, the Group risk management function leverages on portfolio models enabled to
measure credit risk on an aggregated basis and to identify the contribution of single sub-portfolio or obligor to the overall risk.
There are three fundamental portfolio credit risk measures which are calculated and evaluated on a one year time horizon:
Expected Loss (“EL”);
Credit Value at Risk (Credit “VaR”);
Expected Shortfall (“ES”).
The estimate of Credit VaR at overall portfolio level is derived from the distribution of losses obtained by Monte Carlo simulation on the horizon of
one year, considering the correlations among counterparties. The total loss in each default scenario is the sum of the individual losses, being
defined as the product of LGD (Loss Given Default) and EAD (Exposure At Default) for transactions related to defaulted counterparts.
The Expected Loss (EL) at portfolio level represents the average loss of the portfolio due to potential defaults of the obligors. The EL of the portfolio
corresponds to the sum of single obligors EL, which can be evaluated as the product of PD, LGD and EAD, and is independent from the default
correlations in the portfolio. EL is typically charged as a cost component.
Value at Risk (VaR) represents the monetary threshold which is overcome only with a given probability level (a 99.9% confidence level VaR implies
that the loss threshold is exceeded in 1 case out of 1,000). Economic Capital is derived from Value at Risk subtracting the Expected Loss and is an
input for determining Internal Capital set up to cover potential losses from all sources of risk.
30 On this topic UniCredit group is exploring new approaches to cover also the market value component of Banking book credit risk.
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Part E - Information on risks and hedging policies
The Expected Shortfall (ES) represents the expected value of losses that exceed the VaR. Portfolio Credit VaR and ES depend significantly on the
correlations among the defaults and can be reduced by portfolio diversification at sector and country level, and limiting the concentration of each
counterpart.
The measures of Economic Capital based on Credit VaR are also a fundamental input for the design and application of credit strategies, the analysis
of credit limits and risk concentration. The Economic Capital calculation engine is also one of the instruments used for the analysis of stress testing
of the credit portfolio.
All the above mentioned risk parameters are subject to an initial validation and a regular monitoring process for each rating system in all its
components: models, processes, IT architecture and data quality. The aim is to give evidence of the systems compliance, highlighting improvement
areas as well as possible misalignments in the methodologies, which could limit the full comparability among the resulting risk measures.
The internal Credit VaR model is also subject to assessment in the context of Basel Pillar II validation.
The calculation of the credit economic capital is available on a single technological platform (Group Credit Portfolio Model, GCPM), with a shared
methodology for the structures of UniCredit S.p.A. and the main entities of the Group.
In order to assess the credit risk transfer created by securitisation transactions originated by the Group, an engine (Structured Credit Analyser) has
also been developed, which simulates the loss distribution of the securitised portfolio and of the tranches, both for synthetic securitisations (in which
the risk is transferred through guarantees/credit derivatives), and for traditional ones (where the assets are sold to a special purpose vehicle).
In order to determine capital requirements for credit and operational risks, UniCredit Group uses the IRB Advanced approach, as stated by Banca
d’Italia No.365138 dated 28 March 2008.
With reference to credit risk, the Group has been authorised to use internal estimations of PD, LGD and EAD parameters for Group wide credit
portfolios (Sovereign, Banks, Multinationals and Global Project Finance) and for local credit portfolios of relevant subsidiaries (corporate and retail).
With reference to Italian mid-corporate and small business portfolios, regulatory EAD parameters are currently used.
The mentioned approach has been adopted by UniCredit S.p.A. (UCI), by UniCredit Bank AG (UCB AG) and UniCredit Bank Austria AG (UCBA
AG). According to the Roll-out plan, providing a progressive extension of the IRB rating system, approved by the Group and shared with the
Supervisory Authorities, these methods have been extended starting from 2008 to other Group entities currently named UniCredit Leasing GMBH
and Subsidiaries, UniCredit Banka Slovenija dd, UniCredit Bulbank AD, UniCredit Bank Czech Republic a.s. (both for Czech Republic and Slovakia),
UniCredit Bank Ireland plc., UniCredit Bank Hungary, UniCredit Bank Romania a.s. and Ao UniCredit Bank in Russia.
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Part E - Information on risks and hedging policies
The following table summarises the rating systems used by the Group with an indication of the related relevant asset class and the entities where
they are used.
Prevailing asset class
Rating system
Legal entity
Sovereign (PD, LGD,EAD)
UCI, UCB AG, UCBA AG, UCB CZ, UCB SK, UCB RO(*)
Central governments
and central banks
Institutions subjected
to supervision
Financial Institutions & Banks (PD, LGD,EAD)
Corporates
Multinational (PD, LGD,EAD)
i
e
d
w
p
u
o
r
G
Global Project Finance (PD, LGD, EAD)
Integrated Corporate Rating RIC (PD, LGD)
Mid Corporate (PD, LGD, EAD)
UCI, UCB AG, UCBA AG, UCB Slo(*), UCB IE(*), UCB
BG(*), UCB CZ, UCB HU(*) (**), UCB SK, UCB RO(*), UCL
GMBH
UCI(***), UCB AG, UCBA AG, UCB Slo(*), UCB BG, UCB
CZ, UCB HU(*), UCB SK, UCB RO(*), UCL GMBH, AO
UCB(*)
UCI, UCB AG, UCBA AG, UCB CZ, UCB SK
UCI
UCB AG, UCBA AG, UCB CZ,UCL GMBH, UCB BG
Foreign Small and Medium Sized Enterprises (PD, LGD, EAD)
UCB AG
Income Producing Real Estate (IPRE) (PD, LGD, EAD)
Acquisition and Leverage Finance (PD, LGD, EAD)
Global Shipping (PD, LGD, EAD)
Wind Project Finance (PD, LGD, EAD)
Commercial Real Estate Finance (PD, LGD, EAD)
Non Profit (PD, LGD, EAD)
Real Estate Customers (PD, LGD, EAD)
Mid-Corporate (PD)
Aircraft Finance (PD)
Income Producing Real Estate (IPRE) (Slotting criteria)
Object Finance and Project Finance (Slotting criteria)
Project Finance (Slotting Criteria)
Other minor rating systems (Public Sector Entities, Municipalities,
Religious Companies, Leasing) (PD, LDG, EAD)
Integrated Small Business Rating RISB (PD, LGD)
Integrated Private Rating (RIP) Mortgages (PD, LGD, EAD)
Overdraft and credit cards (PD, LGD, EAD)(****)
Personal Loan (PD, LGD, EAD)(****)
Small Business (PD, LGD, EAD)
UCB AG, UCBA AG, UCB CZ
UCB AG
UCB AG
UCB AG
UCB AG
UCBA AG
UCBA AG
UCB HU(*), UCB Slo(*), UCB SK(*), UCB RO(*)
UCB AG
UCB BG UCB SK
UCL GMBH
UCB BG
UCB CZ
UCI
UCI
UCI
UCI
UCB AG, UCBA AG, UCB CZ, UCL GMBH,UCB BG
Institutions subjected
to supervision,
Corporates
Retail exposures
Securitisation
l
a
c
o
L
Private Individuals (PD, LGD, EAD)
Asset Backed Commercial Paper (PD, LGD, EAD)
UCB AG, UCBA AG, UCB CZ, UCB BG
UCB AG
Notes:
(*) These entities are currently authorised only to use the IRB Foundation, therefore use only PD internal estimations for determination of capital requirements.
(**) This entity has been authorised to adopt the Group Wide model Financial Institution & Banks (GW BANKS) only for Commercial Bank segment with the exclusion of the Securities Industry segment.
(***) Starting from 2012, the Group Wide Multinational Corporate (GW MNC) rating system (for the estimation of parameters PD, LGD and EAD) is also adopted for the Italian Large Corporate (ILC) portfolio, which includes
Italian companies with an operating revenues/value between €250 and €500 million.
(****) Systems authorised since 2010 but reported under Standardized approach for regulatory purposes; in December 2019 a PD model at counterparty level is planned to be submitted to ECB covering also these portfolios.
Keywords:
UCI: UniCredit S.p.A.
UCB AG: UniCredit Bank AG
UCBA AG: UniCredit Bank Austria AG
UCB IE: UniCredit Bank Ireland p.l.c.
UCL GMBH: UniCredit Leasing GMBH and Subsidiaries
(UniCredit Leasing Finance GMBH, UniCredit Leasing Aviation
GMBH)
UCB Slo: UniCredit Banka Slovenija d.d.
UCB BG: UniCredit Bulbank AD
UCB CZ: UniCredit Bank Czech Republic, a.s.
UCB HU: UniCredit Hungary
UCB SK: former UniCredit Bank Slovakia a.s branch of UniCredit
Bank Czech Republic, a.s. since December 2013
UCB RO: UniCredit Bank Romania a.s.
AO UCB: Ao UniCredit Bank (Russia)
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Part E - Information on risks and hedging policies
With reference to the strategies of credit risk management, the use of Credit Risk Stress Test is considered of particular importance because its aim
is to analyse the portfolio vulnerability in case of an economic downturn or a structural change of the macroeconomic framework. In performing the
stress test exercise, different scenarios are considered, based on increasing levels of severity. In addition, scenarios may also be defined based on
specific economic hypotheses.
The credit stress test models (or satellite models) are set of models aimed at translating the macro-economic conditions into credit risk parameters
(PD/LGD). Within the wider stress testing framework, the models serve as basis for calculating the stressed PD/LGD projections under the Adverse
Scenarios. They are used in the same way for the estimation of Forward Looking component within the IFRS9 framework.
As regards the modelling methodology, the current framework envisages to estimate, at cluster level (Country/Asset Class) through time series
and/or panel regressive analysis, the relationships between the macro-economic factors and the internal default/recovery rate historically observed.
However with regard to the low default portfolios (e.g. Multinational, Banks, Sovereigns), for which no enough defaults events are available,
alternative approaches are considered. These imply to leverage either on external data (i.e. external rating) or stressing directly the input of Group
Wide Rating System (i.e. Sovereign Rating System).
Model’s output in terms of expected variations of PD/LGD conditional to the macro-economic scenarios are then used in order to obtain stressed
PD/LGD of each credit exposure. Starting from the stressed PD/LGD the Pillar I Credit Risk metrics (LLP and RWA) are calculated through
dedicated simulation engine and according to the EBA Stress test methodology. While Pillar II stress metrics (EC and AFR) are calculated according
to the following methodology:
Credit Economic Capital: Stressed PDs and LGDs are used as a basis to recalculate VaR and Economic Capital with CPM tool in each of the
stressed scenarios. The Stressed Value at Risk refers to a VaR simulation where the underlying risk factors are stressed from normal to adverse
case. In particular, the Stressed Value at Risk is intended to replicate a Value at Risk calculation that would be generated on the bank’s current
portfolio if the relevant risk factors were experiencing a period of stress;
AFR: the amount stemming from the difference between the Stressed Expected Loss (calculated based on PD-TTC and LGD-TTC) and the actual
Expected losses is deducted from AFR.
2.3 Measurement methods for expected losses
Risk management practices
The Credit Risk Management, Measurement and Control processes described in the previous paragraph, are also reference for the calculation of
impairment of Loans and debt securities classified as financial assets at amortized cost, financial assets at fair value through other comprehensive
income and relevant off-balance sheet exposures as required by IFRS9.
For this purpose the calculation of impairment in accordance with expected credit losses is based on two main pillars:
the stage allocation of the credit exposure;
the associated calculation of expected credit loss
In UniCredit group the Stage Allocation is based on a combination of relative and absolute elements; the main are:
comparison for each transaction between PD as measured at the time of origination and PD as at the reporting date, both calculated according to
internal models, through thresholds set in such a way as to consider all key variables of each transaction that can affect the bank's expectation of
PD changes over time (e.g. age, maturity, PD level at the time of origination);
absolute elements such as the backstops required by law (e.g. 30 days past-due). In this case UniCredit group has chosen not to reject the
significant deterioration presumption after 30 days past-due by allocating always in stage 2 transactions with more than 30 days past due;
additional internal evidence, including renegotiations of financial instruments due to financial difficulties met by the counterpart (e.g. Forborne
classification).
With regard to debt securities, UniCredit group is opting for application of the low credit risk exemption on investment grade securities, in full
compliance with the accounting standard.
The outcome of the stage allocation is the classification of credit exposure in stage 1, stage 2 or stage 3 according to their absolute or relative credit
quality with respect to the initial disbursement. Specifically:
the stage 1 includes:
- newly issued or acquired credit exposures
- exposures for which credit risk has not significantly deteriorated since initial recognition;
- exposures having low credit risk (low credit risk exemption);
the stage 2 includes credit exposures that, although performing, have seen their credit risk significantly deteriorating since initial recognition;
the stage 3 includes impaired credit exposures. With reference to stage 3, it should be noted that it includes impaired exposures corresponding in
accordance with Banca d’Italia rules, defined in Circular No.272 of 30 July 2008 and subsequent updates, to the aggregate Non-Performing
Exposures as ITS EBA (EBA/ITS/2013/03/rev1 24 July 2014).
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In particular, EBA31 has defined as “Non-Performing” exposures that meet one or both of the following criteria:
material exposures more than 90 days past due;
exposures for which the bank assesses that is unlikely that the debtor would pay in full his credit obligations without recurring to enforcement and
realisation of collaterals, regardless of past due exposures and the number of days the exposure is past due.
With reference to the quantitative component of the stage allocation model, the Group has adopted a statistic approach based on a quantile
regression whose goal is to define a threshold in in terms of maximum variation acceptable between the PD measure at the disbursement and the
one at the reference date.
Fundamental part of the model is the definition of the quantile which identifies the stage 2 quota expected on average in the long time horizon. The
medium long term quantile is determined based on the average expectation of portfolio deterioration calculated considering the default rate as well
as one of the other deterioration stages of deterioration (e.g.: past-due 30 days).
The exposures amount classified in stage 2 for each reporting date will fluctuate around the long term quantile on the basis of the current economic
conditions as well as expectations about the future economic cycle.
Stage Allocation model is tested at each reporting date, in order to timely capture both significant deterioration and its reverse in a symmetric way
and to correctly allocate each transaction within the proper stage and related expected loss calculation model.
The result of stage allocation affects the amount of expected credit losses recognized in financial statements. Indeed for exposures in stage 1,
impairment is equal to the expected loss calculated over a time horizon of up to one year.
For exposures in stages 2 or 3, impairment is equal to the expected loss calculated over a time horizon corresponding to the entire life of the
exposure.
To calculate expected loss, the Group has developed specific models based on PD, LGD and EAD parameters and the effective interest rate. In
particular:
PD (Probability of Default),which expresses the exposure probability of default in a given time horizon (e.g.: 1 year);
LGD (Loss Given Default), which expresses the estimated loss percentage and therefore the expected recovery rate when a default event occurs;
EAD (Exposure at Default), expresses the level of the exposure at the time of default event;
the effective interest rate is the base rate which expresses the time value of money.
Such parameters are calculated starting from the same parameters applied for regulatory purposes specifically adjusted in order to guarantee full
consistency, a part from the different requirements, between accounting and regulatory treatment.
Main adjustments are aimed at:
removing the conservativism required purely for regulatory purposes;
introducing “point in time” adjustments substituting the “through-the-cycle” view required by the regulation;
including “forward looking” information;
extending credit risks parameters to a multi years horizon.
With reference to “lifetime” PD, PD curves calculated through-the-cycle are calibrated to reflect the point-in-time and forward-looking expectation
with reference to the portfolio default rate.
The recovery rate embedded in the LGD calculated along the economic cycle ("through-the-cycle") is adjusted in order to remove the margin of
conservatism and reflect the current trends in recovery rates as well as expectations about future trends discounted to the effective interest rate or
its best approximation.
The EAD calculated along the instrument lifetime is determined by extending the prudential or managerial one-year model, removing the margin of
conservatism and including expectations related to future average withdrawal levels of existing credit lines.
The forecast in terms of default rate and recovery rate provided by the Stress Test function are embedded in the PD and LGD parameters during the
calibration phase. The credit parameters, in fact, are normally calibrated on a horizon that considers the entire economic cycle (“Through-the-cycle -
TTC"), so it is necessary to calibrate them "Point-in-time" - PIT" and "Forward-looking - FL" allowing to reflect in these credit parameters the current
situation as well as expectations about the future evolution of the economic cycle.
31 The regulatory framework for the new definition of default will be integrated with the entry into force of the "Guidelines on the application of the definition of default under Article 178 of EU Regulation No.575/2013
"(EBA/GL/2016/07) as at 1 January 2021.
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Part E - Information on risks and hedging policies
The expected credit loss deriving from the parameters previously described considers macroeconomic forecasts through the application of multiple
scenarios to the forward looking components in order to compensate the partial non-linearity that is naturally embedded in the correlation between
the macroeconomic changes and expected credit loss. Specifically, the non-linearity effect is incorporated by estimating a correction factor applied
directly to the expected credit loss ("ECL") of the portfolio.
The process defined to include multiple macroeconomic scenarios is fully consistent with forecast processes used by UniCredit group for additional
risk management purposes (for example processes adopted to calculate expected credit losses from macroeconomic forecasts based on EBA
stress test and ICAAP Framework) and also takes advantage of independent UniCredit Research function.
Specifically, the Group has selected three macroeconomic scenarios to determine the forward looking component: the baseline scenario, one
positive scenario and one adverse scenario.
The baseline scenario is the reference central scenario and therefore is considered to be the most probable realisation. Positive and adverse
scenarios represent possible alternative realisations, respectively a better and a worst one compared to the baseline in terms of evolution of the
economies of the countries in which the Group operates:
the Baseline scenario reflects the macroeconomic evolution expected for the Group. It envisages a positive and stable economic growth in the
time horizon under analysis, although in a slowing trend compared to 2019, both for the Eurozone and for most of the CEE countries, in a context
where the short term interest rates in the Euro area are expected to further decrease from the historical low levels of the last years. In detail, the
annual real GDP growth for the Eurozone is foreseen at +0.8% for 2020, +1.0% for 2021 and +1.5% for 2022 (with Italy at +0.2%, +0.5% and
+0.8% and Germany at +0.7%, +0.8% and +1.8%, respectively); among CEE countries, with the exception of Russia (stable at +1.1%), economic
growth is expected between +1.6% and +2.8% in 2020. The scenario implies that the 3 months Euribor remains stable in 2020 and 2021 at the
negative levels experienced in 2019;
the Positive scenario is based on the hypothesis that the positive economic growth of 2019 both at global level and at European level only goes
through a mild slowdown in 2020, sustained by the trend in the global commerce and by still accommodating economic policies. In this scenario,
Eurozone’s growth would only slightly decrease in 2020, supported by growth improvements in German and Italian GDP, before recovering in the
next two years, that would translate in a faster average annual real GDP growth (compared to the baseline scenario) by 0.4% in the 2020-2022
three-years horizon. More in detail, the annual growth of real GDP for the Eurozone would slow down to +1.1% in 2020, increasing to +1.6% in
2021 and to +1.7% in 2022 (with Italy rising to +0.4% in 2020, to +0.9% in 2021 and +1.0% in 2022) in a context of short term rates (3 months
Euribor) still expected in negative territory in the three years 2020-2022 although on a continuous but slow rising trend, on the back of a monetary
policy remaining accommodative for the whole horizon, with ECB Refi rate unchanged at zero. The occurrence of such scenario, at the moment of
its definition, is expected to be plausible and appropriate to quantify a better trend of the economy than the one assumed in the Baseline scenario;
the Adverse scenario reflects one of the scenarios used in internal capital adequacy assessment process(ICAAP). In coherence with ICAAP
framework, the scenario has been chosen to represent one of the macroeconomic and financial risks that the Group foresees as most relevant in
the context of the countries where the Group operates and for the Group’s business activities. The scenario of Widespread Contagion is based on
the hypothesis of intensification of political risks within the European Union, caused by tensions between Italian government and European
institutions, a standstill in structural reforms in France and a less pro-European political agenda in Germany, alongside with the extension of
tensions between Spanish government and Catalonia region. This context would lead to an increase of the risk premia for various asset classes
and to a slowdown of the economic growth both in the Eurozone (lower of about one and a half percentage point per year with respect to the
baseline scenario, in terms of real GDP growth in the three-years horizon) and in CEE countries. More in detail, the real GDP in the Eurozone
would decrease in 2020 and 2021 (-0.6% in both years) before returning to growth in 2022, to +0.7% (with Italy at -1.2%, -1.6% and -0.4%
respectively) in a context of short term rates (3 months Euribor) that would stay negative for the whole three-years horizon and in further decrease
in the first two years, based on the hypothesis that the ECB would prolong, in such a market environment, the liquidity support to markets. The
occurrence of such scenario, at the time of its definition, is considered plausible and appropriate to quantify a potential adverse trend of the
economy. In coherence with the scenario’s narrative and with the magnitude of deviations from the Baseline scenario, it is assumed that the
Adverse scenario is less likely than the Positive scenario.
With reference to impaired exposures (stage 3) the expected recoverable amount, and therefore the expected credit loss, is the present value of
future cash flows expected to be recovered, discounted at the orginal interest rate.
Therefore the main determinants of this value are:
the expected cash flows;
the expected timing of payments of these cash flows;
the effective interest rate used for discounting.
Expected cash flows on defaulted exposures shall be calculated on an individual basis for “individually significant exposures”.
Expected cash flows on already defaulted exposures that are not individually significant may be calculated either on an individual or a collective
basis. Where a legal entity has a number of individually significant exposures towards one single counterparty, each loan is individually assessed
while also considering the overall position of the counterparty.
Future cash flows must be estimated considering the historical trend of recovery for exposures having similar credit risk features. The historical trend
in any case is adjusted so to embeds the current economic environment and the expected economic outlooks.
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In the assessment of impaired exposures (stage 3), possible sales scenarios are also considered where the Group's NPE strategy envisages
experiencing recovery through their sale to the market.
For this purpose, the presumed recovery value of credit exposures classified as Bad Loans and Unlikely to Pay is determined as weighted average
between two scenarios:
internal recovery scenario, whose expected recovery value is estimated assuming an internal work-out process according to what has previously
been described;
sale scenario, whose expected recovery value is estimated assuming the sale of the exposures on the market. The expected sale price is
determined considering market or internal information based on the following hierarchy:
- prices deriving from past sales of impaired loans with homogeneous characteristics with those evaluated;
- prices observable on the market for impaired loans with homogeneous characteristics with those evaluated;
- internal evaluation models.
2.4 Credit risk mitigation techniques
UniCredit group uses various credit risk mitigation techniques to reduce potential credit losses in case of the obligor default. Consistent with the
”Regulation (EU) No.575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and
investment firms (CRR)”, UniCredit group is firmly committed to satisfy the requirements for recognition of credit risk mitigation techniques,
according to the different approaches adopted (Standardised, Foundation IRB or Advanced IRB), both for internal use in operations and for
regulatory capital purposes as necessary for the calculation of credit risk capital requirement.
At the moment specific Group guidelines are in force, issued by the Parent company, defining group-wide rules and principles with the aim to guide,
govern and standardise the credit risk mitigation management, best practice, as well as in accordance with the relevant regulatory requirements.
Integrating these guidelines, all legal entities have adopted internal regulations, specifying processes, strategies and procedures for collateral
management. In particular, such internal regulations detail, according to each Country's local legal system, collateral eligibility, acquisition, valuation
and monitoring rules and ensure, among others, the soundness, legal enforceability and timely liquidation of valuable collateral.
Collateral management assessments and credit risk mitigation compliance verification have been performed by the Group’s legal entities,
specifically as part of Internal Rating System applications, in order to assess the presence of adequate documentation and procedure concerning
the credit risk mitigation instruments used for supervisory capital.
In particular, according to the current credit policy, collaterals or guarantees can be accepted to support loans but cannot serve as a substitute for
the borrower’s ability to meet its obligations. For this reason, in addition to the overall analysis of the borrowers’ credit worthiness and of his
repayment capacity, collaterals are subject to specific evaluation and analysis with the aim to verify their viability to support the repayment of the
exposure.
Collaterals accepted in support of credit lines granted by the Group’s legal entities, primarily include:
real estate, both residential and commercial,
financial collateral (including cash deposits, debt securities, equities, and units of Undertakings for Collective Investment in Transferable Securities
(UCITS).
Other types of collateral (pledged goods or pledged loans and life insurance policies) are less common.
UniCredit group also makes use, between funded credit protection, of bilateral netting agreements in particular regarding OTC derivatives (by means
of ISDA and CSA agreements), Repos and securities lending transactions where the counterparties are, generally, Financial Institutions.
Moreover, can be considered as eligible netting agreements of reciprocal credit exposures between the Bank and its counterparty if they are legally
effective and enforceable in all relevant jurisdictions, including in the event of default or bankruptcy of counterparty, and if they meet the following
operational conditions:
provide for the netting of gains and losses on transactions cleared under the master agreement;
fulfil the minimum requirements for recognition of financial collateral (valuation requirements and monitoring).
Group legal entities can apply netting agreements only if they are able at any time to determine the position netting value (assets and liabilities with
the same counterparty that are subject to the netting agreement), monitoring and controlling debts, credit and netting value.
In relation to guarantees, their use is widespread within UniCredit group, though their characteristics differ among the different local markets; they
can be accepted as complementary and accessory to the granting of loans, for which the risk mitigation serves as additional security for repayment.
At consolidated level, personal guarantees are provided by banks, government, central banks and other public entities and others. The last category
includes the personal guarantees provided by natural persons, whose eligibility for CRM depends on the approach used by the different legal
entities.
In case the guarantee is represented by credit derivatives, the protection providers are mainly banks and institutional counterparties.
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Part E - Information on risks and hedging policies
As already highlighted, the list of eligible protection providers depends on the specific approach adopted by each single legal entity. Specifically:
under the standardised approach, eligible protection providers pertain to a restricted list of counterparts, such as central government and central
banks, public sector entities and regional and local authorities, multilateral development banks, supervised institutions and corporate entities that
have a credit assessment by an eligible ECAI;
legal entities adopting IRB-A may recognise guarantees provided that the relevant minimum requirements are satisfied and, furthermore, the legal
entity can evaluate the protection provider risk profile, through an internal rating system, at the time the guarantee is provided and over its entire
duration.
The management system of credit risk mitigation techniques is embedded in the credit approval process and in the credit risk monitoring process, to
support the evaluation and data quality checks of collaterals/guarantees and their appropriate linking to the categories defined for LGD estimates
purposes. Controls and related responsibilities are duly formalised and documented in internal rules. Furthermore processes are implemented to
control that all the relevant information regarding the identification and evaluation of the credit protection are correctly registered in the system.
In the collateral acquisition phase, UniCredit group emphasises the importance of processes and controls of the legal certainty requirements of the
protection, as well as the assessment of the suitability of the collateral or guarantee. In case of personal guarantees, the protection provider (or the
protection seller in case of credit default swap) has to be assessed in order to measure his/her credit worthiness and risk profile.
Monitoring processes of credit risk mitigation techniques ensure that general and specific requirements set by credit policies, internal and regulatory
rules are met over the time.
Among such processes it is pointed out that one connected to concentration risk, which occurs when the major part of Group-wide collateral financial
assets (at portfolio level) are concentrated in a small number of collateral types, protection instruments, or specific providers of collaterals.
Such concentration is monitored and controlled by the following processes/mechanisms:
in case of personal guarantees/credit derivatives, a contingent liability (indirect risk) is charged to the protection provider. In the evaluation of the
credit application, a secondary commitment is added to the guarantor and it is reflected in the guarantor’s total credit exposure as deemed
competent and approved in accordance with the bank’s system of authority;
in case the protection provider, directly or indirectly, is a Central Bank or a Sovereign country, a specific credit limit has to be instructed and, if the
guarantor is a foreign subject, it is necessary to evaluate case by case the definition of a country limit.
3. Non-performing credit exposures
3.1 Management strategies and policies
In order to ensure a homogeneous approach in the classification of credit exposures for regulatory and reporting purposes, UniCredit has defined
group-wide guidelines for the classification of non-performing exposures that refer to the principles reported in the Implementing Technical
Standards issued by the Authority European Banking in 2014. With regard to this definition (which includes the concept of "default" ruled by Art.178
EU Regulation No.575/2013 and the "impaired" definition reported in accounting standard IFRS9) at operative level UniCredit group has pursued a
full alignment between the three definitions. Furthermore, in accordance with the provisions of Banca d’Italia Circular 272/2008, credit exposures of
each group entity must be classified in one of the following risk classes:
past-due and/or overdue exposures: problematic exposures that are more than 90 days past due on any material obligation (the latter assessed in
line with article 178 (2d) of EU Regulation No.575/2013 and the Technical Standards of the 'EBA);
unlikely to pay: the classification in this category is the result of the judgment of the bank about the unlikeliness, without recourse to actions such
as realizing collaterals, that the obligor will pay in full (principal and/or interest) its credit obligations. This assessment should be carried out
independently of the presence of any (or rate) past due and unpaid amount;
bad loans: exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation,
regardless of any loss forecasts made by the bank.
According to the group rules, all debtors in the bank's portfolio must be mapped in the classes defined by the Banca d’Italia, regardless of local
reporting which has to be performed according to local accounting standards and/or local supervisory regulations or instructions the instructions.
These classification rules are further integrated by accounting principles defined in IFRS9, according to which credit exposures must be allocated in
three "stages" (for details, see the section "Expected loss measurement method” - Section 2). With regard to non-performing exposures, the
allocation to "stage 3" occurs when the customer's status changes into "non-performing". This is a classification at the counterparty and not at
transaction level basing on specific regulations on the classification of non-performing exposures.
UniCredit ·2019 Annual Report and Accounts 273
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Part E - Information on risks and hedging policies
In accordance with Article 156 EBA ITS, an exposure must remain classified as non-performing32 as long as the following criteria (exit criteria) are
not met simultaneously:
no default/impairment criteria continues to apply for a minimum period of 3 months;
the situation of the debtor has improved to the extent that full repayment of the original due amount is likely to be made;
the debtor does not have any amount past-due by more than 90 days.
Specific exit criteria must be applied in case the forbearance measures are extended to non-performing exposures, listed below:
the starting date of the observation period of one year is the latest between the adoption of Forbearance measures and the classification as non-
performing;
any past due amount is verified if no past due occurs at debtor level;
concerns regarding the “full repayment" refer to a judgmental evaluation by the empowered Bodies.
In the non-performing credit exposures management, the UniCredit group adopts certain strategies that operationally define the activities necessary
to achieve the targets defined yearly.
The aforementioned strategies concerning impaired loans include:
an effective internal restructuring activity, supported by qualified resources with specific skills dedicated to the management of loans classified as
unlikely to pay; within these activities, ad-hoc approaches are then envisaged for positions considered strategic or referring to the Corporate and
Real Estate segment;
proactive portfolio management through judicial and extra-judicial procedures managed by internal Workout professionals or assigned to external
agencies specialised in credit recovery;
the recourse of alternative recovery strategies (which UniCredit was one of the first banks to use) based on formalised partnerships aimed at
managing positions in the industrial or Real Estate sector;
proactive management of the Leasing portfolio aimed at speeding up the negotiation times of agreements with counterparties in order to obtain a
more effective remarketing process;
disposal of impaired loans as a further strategy for internal recovery both for individual positions and for portfolios of impaired loans, already
classified as bad loans and unlikely to pay.
These strategies reflect the main levers for reducing the amount of impaired loans and have led to an important result during 2019, highlighting:
write-off for €4.144 million (190% of the total planned in Transform 2019 for 2019 year);
recoveries of €4.871 million (167% of the total planned in Transform 2019 for 2019 year);
total non-performing loans sold for €9.379 million (228% of the total planned in Transform 2019 for 2019 year).
The decrease amount of the stock of impaired loans to Group customers was therefore in line with the reduction targets set in the Transform 2019
plan, achieving an improvement in asset quality. This result was possible thanks also to an acceleration of the reduction times of the "Non Core"
portfolio. Therefore, the UniCredit group can confirm the complete closure of its Non Core legacy by 2021, thanks also to the activation of a
coordinated set of levers aimed at reducing the stock.
A successful NPE Strategy execution requires effective interaction between the Group Risk Management structure and the functions dedicated to
the management of impaired exposures directly reporting the local CLOs of the Legal Entities. More specifically, within Group Risk Management, the
Group NPE structure was set-up in order to ensure on the one hand an adequate control over the execution and monitoring of the NPE Strategy
(which includes the sale of non-performing loans through "Group Distressed Asset Solutions" and the proactive management of the collateral for the
properties acquired through "Group Repossessed Assets") and, on the other hand, an effective cooperation thanks the joint work carried out with the
other Group Risk Management functions.
In all Legal Entities dedicated functions to the management of non-performing exposures are in place; they cover all phases of the NPEs life cycle,
take into account local regulations and the specific characteristics of portfolios, monitor and manage the amount of NPEs coherently with both
European Central Bank Guidelines and Group organisational model.
The structures dedicated to the operational management of non-performing exposures are therefore tailored to each state of the life cycle of non-
performing loans, starting from a careful monitoring of the performing portfolio, up to the recovery activity that includes the disposal of credit or the
“repossession” of the collateral.
In particular, the monitoring activity is aimed at preventing flows to default and reducing the amount of past due exposures by detecting signals of
risk of deterioration and early warning, as well as identifying the needed corrective measures to manage the potential deterioration of exposures
starting from the early signs of worsening of the counterparties’ credit quality.
Soft collection, door-to-door and re-management activities which pertains both performing (though already overdue) counterparties and already
defaulted clients are carried out through the use of multiple channels, also using outsourcing solutions to third-party companies (in particular for
door-to-door recovery activities). These activities are also aimed at preventing flows to default and facilitating the back-to-performing classification
(main focus), thus contributing to a reduction of the overall amount of impaired exposures.
32 The regulatory framework for the transition from impaired to non-deteriorated exposures ("criteria for a return to a non-defaulted status ") will be integrated with the entry into force of the "Guidelines on the application of
the definition of default under Article 178 of EU Regulation No.575/2013 "(EBA/GL/2016/07) as of 1 January 2021.
274 2019 Annual Report and Accounts · UniCredit
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Part E - Information on risks and hedging policies
In some Legal Entity, the aforementioned activities can be managed within either the Monitoring, or Restructuring or Workout units; with reference to
UniCredit S.p.A. these responsibilities are allocated to the Special Credit unit within which an ad hoc department was created (i.e. Customer
Recovery), exclusively dedicated to soft collection and re-management for retail portfolio.
As part of the overall management of deteriorated exposures, the Restructuring activity is aimed at mitigating the risk of insolvency and the quality of
exposures with restructuring agreements and company reorganisation plans as well as reducing the amount of unlikely to pay with recoveries and
performing re-classification, by means of forbearance measures. Specifically, among the strategies for managing unlikely to pay loans to corporate
counterparties, there are also restructuring platforms (up to now limited to the Italian market), the disposal of individual exposures and extraordinary
finance transactions.
The coordination and implementation of recovery strategy on positions classified as bad loans fall instead within the responsibility of "Workout" unit,
whose reporting structures identify the optimal strategies for maximising recoveries, including the timely enforcement of collaterals. In some legal
entity of the Group, the activity is also implemented by leveraging on service agreements with external agencies.
As pertains the disposal activities, these refer to the organisation, management and execution of sales processes (both credit portfolios and
individual positions), through the application of a transparent and competitive methodology based on market criteria. At Group level, these activities
are performed by a dedicated department within UniCredit S.p.A. (Group Distressed Asset Solutions), which evaluates various disposal options
alternatives, in cooperation with the legal entity’s peer function where deemed necessary to handle specific local cases.
The proactive management of real estate guarantees is coordinated at the Parent company level by a dedicated department (Group Repossessed
Assets), which oversees the strategy of repossession of the collateral and the specific activities carried out within the Group, particularly in those
entities specialised in the acquisition of collateral (for example the UCTAM company). The aforementioned function also oversees the possible
creation of a "Real Estate Owned Company" (ReoCo) in Italy.
Beyond the operational responsibilities in the non-performing exposures management, from a governance and strategic coordination standpoint, the
Group NPE Governance Committee (“GNGC”) has been set up in order to ensure the effective steering, coordination and control of the
non-performing loans reduction plan, ensuring an effective alignment of the common objectives between the Parent company and the various legal
entity, also through the involvement of both "Group Risk Management" and "Group Lending Officer" functions according to the instructions of the
Banca d’Italia (Circular No.272/2008 and subsequent updates).
As clarified above, UniCredit has defined group-wide guidelines in order to ensure the full alignment between the Default, Impaired and NPE
definitions, in order to have a homogeneous approach on the loan categorisation practices for supervisory and reporting purposes , adopting the
Default definition as the basis for the provisions calculation.
To this aim the Group has defined a list of events directly qualifying the Unlikely to Pay status (Default events) and a list of triggers for the detection
to be assessed for the confirmation of the Unlikely to Pay status. In line with the guidelines provided by ECB the latter are differentiated among
trigger events “hard” and “soft”. The “hard” triggers imply that obligors are classified as Unlikely to Pay with little room of interpretation, as these
events very often, due to their nature, fulfill the definition of Unlikely to Pay. The “Soft” triggers shall be considered for the assessment of the
unlikeness to pay requirement of the obligor. In presence of one of these evidences, the capability of repayment has to be assessed.
3.2 Write-off
Group guidelines for write-offs on financial assets provides that whenever a loan is deemed to be uncollectable/unrecoverable it needs to be
identified at the earliest possible opportunity and properly dealt with in accordance with financial regulations. Write-offs can relate to a financial asset
in its entirety, or to a portion of it.
In assessing the recoverability of non-performing exposures (NPE) and in determining internal NPE write-off approaches, the following cases, in
particular, are taken into account:
exposures with prolonged arrears: it is assessed the recoverability of an exposure that presents arrears for a prolonged period of time. If, following
this assessment, an exposure or part of an exposure is deemed as non-recoverable, it should be written-off in a timely manner, adopting different
thresholds predefined on the basis of the different portfolios;
exposures under insolvency procedure: where the collateralisation of the exposure is low, legal expenses often absorb a significant portion of the
proceeds from the bankruptcy procedure and therefore estimated recoveries are expected to be very low;
a partial write off may be warranted where there are reasonable elements to demonstrate the debtor's inability to repay the full amount of the debt,
i.e. a significant level of debt, even following the implementation of a forbearance treatment and/or the execution of collateral.
UniCredit ·2019 Annual Report and Accounts 275
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Part E - Information on risks and hedging policies
Below a non-exhaustive list of hard evidences implying, with high likelihood, the not recoverability of the exposure, to be assessed, for the potential
(total or partial) write-off:
the Bank cannot call the guarantor(s), or his assets are not sufficient for the recovery of the debtor’s exposures;
negative outcome of the judicial and/or out-of-court initiatives with absence of other assets that can be called in the event of un-recoverability of
the debtor’s exposures;
impossibility to initiate actions to recover credit;
current insolvency procedure, from which the procedure itself states that the unsecured exposures will not have redress;
loans not backed by mortgage security older than 3 years that have not registered repayments/collections during the first 3 years after the NPE
classification;
mortgage loans to private individuals with collaterals already executed or not recoverable (because of legal or administrative defects and if
execution is considered not economically viable), if they have been classified as non-performing for more than 7 years, or between 2 and 7 years if
the residual debt is less than €110,000.
The amount of write-offs on financial assets still subject to the enforcement procedure amounts to €2,565.9 million at 31 December 2019, of which
the write-offs for the 2019 financial year amounted to €2,140.9 million. The write-offs component recorded during the year does not correspond to
the write-offs recorded in the dynamics of non-performing exposures, as the latter also include cancellations with "debt forgiveness".
3.3 Acquired or originated impaired financial assets
Purchased or Originated Credit Impaired (“POCI”) are credit exposures that are already impaired on initial recognition.
These credit exposures might be recognised either as a result of a purchase of non-performing exposures from third parties or as a result of the
restructuring of impaired exposures which has led to the provision of significant new finance, either in absolute terms or in relative terms, compared
with the amount of the original exposure.
These exposures are subject to management, measurement and control according to the principles described in the paragraph of Part E – Notes to
the consolidated accounts of UniCredit group - Section 2 - Risk of the prudential consolidated perimeter - 2.1 Credit risk - Qualitative information - 2.
Credit risk policies management - 2.2 Credit risk management, measurement and control which is herewith quoted entirely.
In particular, the expected credit losses recorded at initial recognition within the carrying amount of the instrument are periodically reviewed on the
basis of the processes described in the previous paragraphs.
The expected credit loss calculated for these credit exposures is always determined considering their residual life, and such exposure are
conventionally allocated into stage 3, or in stage 2 if, as a result of an improvement in the creditworthiness of the counterparty following the initial
recognition, the assets are performing.
These assets are never classified under stage 1 because the expected credit loss must always be calculated considering a time horizon equal to the
residual duration.
4. Financial assets subject to commercial renegotiations and forborne exposures
Changes in existing financial instruments which determine a modification of contractual conditions might be the result of either:
commercial initiatives, which may be specific for each customer or applied to portfolio of customers also as a result of dedicated initiatives
sponsored by public authorities or banking associations;
concessions granted in light of debtor’s financial difficulties (Forbearance).
Such changes are accounted on the basis of whether the modification is considered significant or not. In this regard, reference is made to the Part A
- A.2 - Main items of the accounts.
The concessions granted due to debtor’s financial difficulties, so called Forbearance initiatives, are usually considered not significant from an
accounting perspective.
4.1 Loan categorisation in the risk categories and forborne exposures
In July 2014, the European Banking Authorities issued the “Implementing Technical Standards” (“ITS”) on non-performing and Forborne exposures,
with the aim to allow, a closer supervisory monitoring of banking forbearance practices. In line with the mentioned ITS, a transaction has to be
considered as forborne when both of the following conditions are simultaneously met:
a concession in favour of the debtor exits, in the form of either (i) a contractual modification or (ii) refinancing aimed at ensuring the repayment of
pre-existing obligation;
the debtor is facing or about to face financial difficulties.
276 2019 Annual Report and Accounts · UniCredit
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Part E - Information on risks and hedging policies
To comply with EBA ITS, since 2015 UniCredit S.p.A. has worked on the definition of a common methodological framework for forbearance process,
issuing group’s guidelines on forbearance management and setting up a shared IT infrastructure (i.e. Forbearance engine). Specifically, the
Forbearance engine automatically performs, on the basis of a set of a pre-defined criteria, an assessment of the overall financial difficulty of the
client subject to a concession (Trouble Debt Test). In coherency with the overall solution, the different Group’s legal entities adopted some fine-
tunings to adapt the Group’s framework to the local IT tools and credit practices.
Starting from 2017, the regulatory framework relating to the management of Forborne exposures has been integrated with the following papers:
“Guidance to Banks on Non-Performing Loans”, issued by European Central Bank in March 2017, which require to Banks to define a clear NPL
strategy aiming at the reduction of NPE Stock;
“Guidelines on management of non-performing and forborne exposures”, issued by European Banking Authority in October 2018, which are
overall aligned with the ECB Guidance;
“Guidelines on disclosure of non-performing and forborne exposures”, issued by European Banking Authority in December 2018, which is focused
on the disclosure templates to be used for Group’s supervisory reporting purposes.
In order to ensure ongoing alignment with the regulatory and supervisory requirements mentioned above regarding bank’s forbearance practices,
the Parent Company finalised the following activities:
review of the list of the potential Forbearance measures to acknowledge: (i) with the split between short-term measures (duration less than 24
months) and long-term measures (duration higher than or equal to 24 months), (ii) with the possibility of granting combinations of short and long-
term FBE measures and (iii) with the “viability criteria” defined by Supervisory for each FBE measure;
reinforcement of the affordability assessment of the client prior to the Forbearance concession taking care to the case of multiple forbearance
measures on the same exposure;
collection and monitoring of the relevant information of the new Quarterly Template with disclosure on:
- performing and non-performing portfolio;
- guarantees;
- default inflows and outflows;
- list of the FBE Measures granted including the indication of their effectiveness.
With reference to the monitoring and reporting activity on forborne exposures, as at 31 December 2019 the number of instruments (loans and
advances at amortised cost) with forbearance measures amounts to 354.035 (112.553 for UniCredit S.p.A. perimeter).
Specifically, on a consolidated level:
forbearance measures granted during the period represent 9% of the total (21% considering only UniCredit S.p.A.);
forbearance measures granted on the performing portfolio represent the 71% of the total (53% considering only UniCredit S.p.A.).
As regards the vintage of classification of forborne exposures, the information reported below pertain to loan and advances at amortised cost, as
financial assets at fair value and off-balance sheet exposures do not represent (out of the overall forborne portfolio) a materially significant
relevance.
More in details, at consolidated level, 49% of forborne performing exposures has a vintage of classification <= 24 months, in line with UniCredit
S.p.A. portfolio (48%). In terms of forborne non-performing loans, 41% of consolidated exposures fall within a classification vintage <=24 months
(28% for UniCredit S.p.A. portfolio).
UniCredit ·2019 Annual Report and Accounts 277
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Part E - Information on risks and hedging policies
Quantitative information
In the following tables, the volume of impaired assets according to the IFRS definition is equivalent to the one for non-performing exposures referred
to in the EBA standards.
A. Credit quality
For the purposes of the disclosure of quantitative information about credit quality, the term “credit exposures” does not include equity instruments
and units in investment funds except for the tables of the paragraph “A.2 Classification of credit exposure based on internal and external ratings”, in
which units in investment funds are included.
A.1 Non-performing and performing credit exposure: amounts, writedowns, changes, distribution by business activity
A.1.1 Regulatory consolidation - Breakdown of financial assets by past-due buckets (carrying value)
STAGE 1
OVER 30
AND UP
TO 90
DAYS
FROM 1
TO 30
DAYS
OVER 90
DAYS
FROM 1
TO 30
DAYS
STAGE 2
OVER 30
AND UP
TO 90
DAYS
OVER 90
DAYS
FROM 1
TO 30
DAYS
STAGE 3
OVER 30
AND UP
TO 90
DAYS
(€ million)
OVER 90
DAYS
7,483
251
194
1,431
1,162
731
2,328
497
4,581
-
50
7,533
6,757
-
2
253
354
-
-
194
151
-
-
-
1,431
1,314
28
1,190
1,337
-
1
732
940
-
130
2,458
3,931
-
15
512
542
-
146
4,727
8,516
PORTFOLIOS/RISK STAGES
1. Financial assets at amortised
cost
2. Financial assets at fair value
through other comprehensive
income
3. Financial instruments classified
as held for sale
Total
Total
12.31.2019
12.31.2018
The amounts past due over 90 days and related to Stage 1 and Stage 2 exposures refer to loans that do not meet the definition of Non-performing
past due (below the materiality threshold).
A.1.2 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: changes in overall impairments
and provisions
FINANCIAL ASSETS CLASSIFIED IN STAGE 1
FINANCIAL ASSETS CLASSIFIED IN STAGE 2
OVERALL WRITE-DOWNS
(€ million)
FINANCIAL
ASSETS AT FAIR
VALUE THROUGH
OTHER
COMPREHENSIVE
INCOME
FINANCIAL
INSTRUMENTS
CLASSIFIED
AS HELD FOR
SALE
FINANCIAL
ASSETS AT
AMORTISED
COST
OF WHICH:
INDIVIDUAL
IMPAIRMENT
OF WHICH:
COLLECTIVE
IMPAIRMENT
FINANCIAL
ASSETS AT FAIR
VALUE THROUGH
OTHER
COMPREHENSIVE
INCOME
FINANCIAL
INSTRUMENTS
CLASSIFIED
AS HELD FOR
SALE
FINANCIAL
ASSETS AT
AMORTISED
COST
1,136
216
(156)
(454)
-
2
(9)
356
1,091
-
(1)
36
2
(4)
15
-
-
-
(5)
44
-
-
7
-
-
(2)
-
-
-
-
5
-
-
281
-
(7)
(38)
-
-
-
(30)
206
-
-
899
218
(153)
(403)
-
2
(9)
380
934
-
(1)
1,758
133
(145)
309
-
-
(3)
(198)
1,854
-
(17)
8
-
-
(3)
-
-
-
-
5
-
-
1
-
-
-
-
-
-
-
1
-
-
OF WHICH:
INDIVIDUAL
IMPAIRMENT
OF WHICH:
COLLECTIVE
IMPAIRMENT
268
1,499
-
(7)
23
-
-
-
44
328
-
-
133
(138)
284
-
-
(3)
(243)
1,532
-
(17)
SOURCES/RISK STAGES
Opening balance (gross amount)
Increases in acquired or originated
financial assets
Reversals different from write-offs
Net losses/recoveries on credit
impairment
Contractual changes without
cancellation
Changes in estimation methodology
Write-off
Other changes
Closing balance (gross amount)
Recoveries from financial assets
subject to write-off
Write-off are not recognised directly in
profit or loss
278 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
continued: A.1.2 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: changes in overall impairments
and provisions
(€ million)
OVERALL WRITE-DOWNS
ASSETS BELONGING TO THIRD STAGE
SOURCES/RISK STAGES
Opening balance (gross amount)
Increases in acquired or originated
financial assets
Reversals different from write-offs
Net losses/recoveries on credit
impairment
Contractual changes without cancellation
Changes in estimation methodology
Write-off
Other changes
Closing balance (gross amount)
Recoveries from financial assets subject
to write-off
Write-off are not recognised directly in
profit or loss
FINANCIAL
ASSETS AT
AMORTISED
COST
24,204
444
(784)
3,541
10
-
(5,342)
(4,529)
17,544
140
(401)
FINANCIAL
ASSETS AT FAIR
VALUE THROUGH
OTHER
COMPREHENSIVE
INCOME
FINANCIAL
INSTRUMENTS
CLASSIFIED
AS HELD FOR
SALE
-
-
-
-
-
-
-
-
-
-
-
60
-
(46)
(13)
-
-
(4,256)
4,626
371
-
(50)
OF WHICH:
INDIVIDUAL
IMPAIRMENT
16,850
368
(566)
2,559
11
-
(3,932)
(1,292)
13,998
7,414
76
(264)
970
(1)
-
(5,665)
1,388
3,918
70
70
(241)
(209)
OF WHICH:
ACQUIRED OR
ORIGINATED
IMPAIRED
FINANCIAL
ASSETS
OF WHICH:
COLLECTIVE
IMPAIRMENT
TOTAL PROVISIONS ON LOANS COMMITMENTS
AND FINANCIAL GUARANTEES GIVEN
TOTAL
STAGE 1
STAGE 2
STAGE 3
26
2
-
(1)
(4)
-
(9)
5
19
-
-
183
44
(22)
(54)
-
-
-
17
168
-
-
78
14
(9)
6
-
-
-
1
90
-
-
880
28,351
74
(201)
41
-
-
-
(10)
784
-
-
927
(1,367)
3,386
10
2
(9,610)
258
21,957
140
(469)
A.1.3 Regulatory consolidation - Financial assets, loan commitments and financial guarantees given: transfers between risk stages
(gross values and nominal values)
PORTFOLIOS/RISK STAGES
1. Financial assets at amortised cost
2. Financial assets at fair value through other
comprehensive income
3. Financial instruments classified as held for sale
4. Loan commitments and financial guarantees given
Total
Total
12.31.2019
12.31.2018
GROSS VALUES/NOMINAL VALUES
(€ million)
TRANSFERS BETWEEN STAGE
1 AND STAGE 2
TRANSFERS BETWEEN STAGE
2 AND STAGE 3
TRANSFERS BETWEEN STAGE
1 AND STAGE 3
FROM STAGE
1 TO STAGE 2
19,152
FROM STAGE
2 TO STAGE 1
10,225
FROM STAGE
2 TO STAGE 3
1,941
FROM STAGE
3 TO STAGE 2
472
FROM STAGE
1 TO STAGE 3
2,504
FROM STAGE
3 TO STAGE 1
470
-
-
5,805
24,957
16,961
-
-
1,891
12,116
19,213
-
49
72
2,062
1,886
-
-
46
518
584
-
6
242
2,752
2,717
-
-
37
507
860
UniCredit ·2019 Annual Report and Accounts 279
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Part E - Information on risks and hedging policies
A.1.4 Regulatory consolidation - On- and off-balance sheet credit exposures with banks: gross and net values
EXPOSURE TYPES/VALUES
A. On-balance sheet credit exposures
a) Bad exposures
of which: forborne exposures
b) Unlikely to pay
of which: forborne exposures
c) Non-performing past due
of which: forborne exposures
d) Performing past due
of which: forborne exposures
e) Other performing exposures
of which: forborne exposures
Total (A)
B. Off-balance sheet credit exposures
a) Non-performing
b) Performing
Total (B)
Total (A+B)
Note:
(*) Value shown for information purposes.
AMOUNTS AS AT
12.31.2019
GROSS EXPOSURE
NON-
PERFORMING
PERFORMING
OVERALL WRITE-
DOWNS AND
PROVISIONS
NET EXPOSURE
(€ million)
OVERALL
PARTIAL WRITE-
OFFS(*)
2
-
4
-
-
-
X
X
X
X
6
-
X
-
6
X
X
X
X
X
X
11
-
125,349
-
125,360
X
37,345
37,345
162,705
2
-
4
-
-
-
-
-
45
-
51
-
8
8
59
-
-
-
-
-
-
11
-
125,304
-
125,315
-
37,337
37,337
162,652
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
On-balance sheet exposures to banks include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed and
mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets held
for sale).
Off-balance sheet exposures to banks comprise guarantees given, irrevocable commitments, derivatives regardless of each transaction’s
classification category and the revocable commitments to disburse funds.
A.1.5 Regulatory consolidation - On- and off-balance sheet credit exposures with customers: gross and net values
EXPOSURE TYPES/VALUES
A. On-balance sheet credit exposures
a) Bad exposures
of which: forborne exposures
b) Unlikely to pay
of which: forborne exposures
c) Non-performing past due
of which: forborne exposures
d) Performing past due
of which: forborne exposures
e) Other performing exposures
of which: forborne exposures
Total (A)
B. Off-balance sheet credit exposures
a) Non-performing
b) Performing
Total (B)
Total (A+B)
Note:
(*) Value shown for information purposes.
AMOUNTS AS AT 12.31.2019
GROSS EXPOSURE
NON-
PERFORMING
PERFORMING
OVERALL WRITE-
DOWNS AND
PROVISIONS
NET EXPOSURE
OVERALL PARTIAL
WRITE-OFFS(*)
(€ million)
13,553
3,342
13,204
7,400
1,378
236
X
X
X
X
28,135
3,770
X
3,770
31,905
X
X
X
X
X
X
14,375
1,128
619,854
4,784
634,229
X
321,008
321,008
955,237
10,266
2,374
7,329
4,395
464
63
445
135
2,510
348
21,014
872
266
1,138
22,152
3,287
968
5,875
3,005
914
173
13,930
993
617,344
4,436
641,350
2,898
320,742
323,640
964,990
2,587
208
24
5
-
-
-
-
-
-
2,611
-
-
-
2,611
280 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
On-balance sheet exposures to customers include all balance-sheet assets regardless of their belonging portfolio (held-for-trading, assets designed
and mandatorily at fair value through profit or loss, assets at fair value through other comprehensive income, assets at amortised cost and assets
held for sale).
A.1.6 Regulatory consolidation - On-balance sheet exposures with banks: changes in gross non-performing exposures
SOURCES/CATEGORIES
A. Opening balance (gross amount)
of which sold non-cancelled exposures
B. Increases
B.1 Transfers from performing loans
B.2 Transfers from acquired or originated impaired financial assets
of which: business combinations
B.3 Transfers from other categories of non-perforiming exposures
B.4 Contractual changes with no cancellations
B.5 Other increases
of which: business combinations - mergers
C. Reductions
C.1 Transfers to performing loans
C.2 Write-offs
C.3 Collections
C.4 Sale proceeds
C.5 Losses on disposal
C.6 Transfers to other non-performing exposures
C.7 Contractual changes with no cancellations
C.8 Other decreases
of which: business combinations
D. Closing balance (gross amount)
of which sold non-cancelled exposures
BAD EXPOSURES
41
-
1
-
-
-
-
-
1
-
40
-
40
-
-
-
-
-
-
-
2
-
CHANGES IN 2019
UNLIKELY TO PAY
4
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
4
-
(€ million)
NON-PERFORMING
PAST DUE
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
Sub-items “B.5 Other increases” and “C.3 Collections” include amounts recovered during the year concerning impaired exposures which were
derecognised in their entirety.
A.1.6bis Regulatory consolidation - On-balance sheet exposures with banks: changes by credit quality in gross forborne exposures
SOURCES/QUALITY
A. Opening balance (gross amount)
of which sold non-cancelled exposures
B. Increases
B.1 Transfers from performing non-forborne exposures
B.2 Transfers from performing forbone exposures
B.3 Transfers from non-performing forborne exposures
of which: business combinations
B.4 Other increases
of which: business combinations - mergers
C. Reductions
C.1 Transfers to performing non-forborne exposures
C.2 Transfers to performing forbone exposures
C.3 Transfers to non-performing forborne exposures
C.4 Write-offs
C.5 Collections
C.6 Sale proceeds
C.7 Losses from disposal
C.8 Other reductions
of which: business combinations
D. Closing balance (gross amount)
of which sold non-cancelled exposures
CHANGES IN 2019
FORBORNE
EXPOSURES: NON
PERFORMING
4
-
-
-
-
X
X
-
-
4
X
-
X
4
-
-
-
-
-
-
-
(€ million)
FORBORNE
EXPOSURES:
PERFORMING
-
-
-
-
X
-
-
-
-
-
-
X
-
-
-
-
-
-
-
-
-
UniCredit ·2019 Annual Report and Accounts 281
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Off-balance sheet exposures to customers comprises guarantees given, irrevocable commitments, derivatives regardless of each transaction’s
classification category and the revocable commitments to disburse funds.
The total amount of forborne exposures (net of those belonging to disposal groups/held for sale) is €17.6 billion (€11.3 billion non performing and
€6.3 billion performing). These exposures refers for 62% to the Italian perimeter, while the remaining amount refer for 21% to CEE countries, to
Germany for 13% and for the 4% to Austria.
For a description of the rules for identification of forborne exposures refer to Part E - Information on risks and hedging policies - Section 1 Credit
Risk, Paragraph 2.5 (Non-performing exposures).
On-balance sheet impaired gross exposures connected to the proposals for recourse to an arrangement with creditors made by the debtor, for the
positions that have been converted into a Debt restructuring agreement pursuant to article 182-bis of the Bankruptcy Law or continuity of business,
as well as the positions not yet assigned or with liquidatory purposes, amounted to a total of €1,904 million at 31 December 2019, against which
specific impairments have been made for €1,421 million, with a total coverage level of 75%.
A.1.7 Regulatory consolidation - On-balance sheet credit exposures with customers: changes in gross non-performing exposures
SOURCES/CATEGORIES
A. Opening balance (gross amount)
of which sold non-cancelled exposures
B. Increases
B.1 Transfer from performing loans
B.2 Transfer from acquired or originated impaired financial assets
of which: business combinations
B.3 Transfer from other non-performing exposures
B.4 Contractual changes with no cancellations
B.5 Other increases
of which: business combinations - mergers
C. Decreases
C.1 Transfers to performing loans
C.2 Write-offs
C.3 Collections
C.4 Sale proceeds
C.5 Losses on disposals
C.6 Transfers to other non-performing exposures
C.7 Contractual changes with no cancellations
C.8 Other decreases
of which: business combinations
D. Closing balance (gross amount)
of which sold non-cancelled exposures
BAD EXPOSURES
21,883
461
5,227
1,274
4
-
2,717
-
1,232
-
13,557
207
3,625
2,185
1,899
58
139
-
5,444
18
13,553
372
CHANGES IN 2019
UNLIKELY TO PAY
16,984
1,034
6,085
2,693
103
-
761
3
2,525
-
9,865
870
704
2,446
969
80
2,554
20
2,222
3
13,204
840
(€ million)
NON-PERFORMING
PAST DUE
1,374
10
1,797
1,700
-
-
19
-
78
-
1,793
169
5
367
19
-
804
-
429
2
1,378
7
Sub-items “B.5 Other increases” and “C.3 Collections” include amounts recovered during the year concerning impaired exposures which were
derecognised in their entirety.
282 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
A.1.7bis Regulatory consolidation - On-balance sheet exposures with customers: changes by credit quality in gross forborne
exposures
SOURCES/QUALITY
A. Opening balance (gross amount)
of which sold non-cancelled exposures
B. Increases
B.1 Transfers from performing non-forborne exposures
B.2 Transfers from performing forbone exposures
B.3 Transfers from non-performing forborne exposures
of which: business combinations
B.4 Other increases
of which: business combinations - mergers
C. Reductions
C.1 Transfers to performing non-forborne exposures
C.2 Transfers to performing forbone exposures
C.3 Transfers to non-performing forborne exposures
C.4 Write-offs
C.5 Collections
C.6 Sale proceeds
C.7 Losses from disposal
C.8 Other reductions
of which: business combinations
D. Closing balance (gross amount)
of which sold non-cancelled exposures
CHANGES IN 2019
FORBORNE
EXPOSURES: NON-
PERFORMING
14,353
730
3,888
884
614
X
X
2,390
-
7,263
X
554
X
958
2,025
649
35
3,042
1
10,978
794
(€ million)
FORBORNE
EXPOSURES:
PERFORMING
5,577
224
4,402
2,397
X
554
-
1,451
-
4,067
1,551
X
614
4
1,555
9
-
334
-
5,912
62
A.1.8 Regulatory consolidation - On-balance sheet non-performing credit exposures with banks: changes in overall write-downs
SOURCES/CATEGORIES
A. Opening balance (gross amount)
of which sold non-cancelled exposures
B. Increases
B.1 Write-downs of acquired or originated impaired
financial assets
of which: business combinations
B.2 Other write-downs
B.3 Losses on disposal
B.4 Transfers from other categories of non-
performing exposures
B.5 Contractual changes with no cancellations
B.6 Other increases
of which: business combinations - mergers
C. Reductions
C.1 Write-backs from valuation
C.2 Write-backs from collections
C.3 Gains from disposals
C.4 Write-offs
C.5 Transfers to other categories of non-performing
exposures
C.6 Contractual changes with no cancellations
C.7 Other decreases
of which: business combinations
D. Closing balance (gross amount)
of which sold non-cancelled exposures
NON-PERFORMING LOANS
OF WHICH
FORBORNE
EXPOSURES
4
-
-
TOTAL
41
-
1
CHANGES IN 2019
UNLIKELY TO PAY
OF WHICH
FORBORNE
EXPOSURES
-
-
-
TOTAL
4
-
-
(€ million)
NON-PERFORMING PAST DUE
OF WHICH
FORBORNE
EXPOSURES
-
-
-
TOTAL
-
-
-
-
-
-
-
-
-
1
-
40
-
-
-
40
-
-
-
-
2
-
X
-
-
-
-
X
-
-
4
-
-
-
4
-
X
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
4
-
X
-
-
-
-
X
-
-
-
-
-
-
-
-
X
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
X
-
-
-
-
X
-
-
-
-
-
-
-
-
X
-
-
-
-
UniCredit ·2019 Annual Report and Accounts 283
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
A.1.9 Regulatory consolidation - On-balance sheet non-performing credit exposures with customers: changes in overall write-downs
SOURCES/CATEGORIES
A. Opening balance (gross amount)
of which sold non-cancelled exposures
B. Increases
B.1 Write-downs of acquired or originated impaired
financial assets
of which: business combinations
B.2 Other write-downs
B.3 Losses on disposal
B.4 Transfers from other categories of non-
performing exposures
B.5 Contractual changes with no cancellations
B.6 Other increases
of which: business combinations - mergers
C. Reductions
C.1 Write-backs from valuation
C.2 Write-backs from collections
C.3 Gains from disposals
C.4 Write-offs
C.5 Transfers to other categories of non-performing
exposures
C.6 Contractual changes with no cancellations
C.7 Other decreases
of which: business combinations
D. Closing balance (gross amount)
of which sold non-cancelled exposures
NON-PERFORMING LOANS
CHANGES IN 2019
UNLIKELY TO PAY
OF WHICH
FORBORNE
EXPOSURES
2,857
39
1,434
X
-
624
10
562
X
238
-
1,917
232
183
14
564
20
X
904
-
2,374
132
TOTAL
15,945
295
5,351
74
-
3,242
58
1,492
-
485
-
11,030
1,031
670
88
3,625
99
-
5,517
(16)
10,266
273
OF WHICH
FORBORNE
EXPOSURES
4,579
362
2,497
X
-
2,076
25
28
X
368
-
2,681
578
136
33
394
563
X
977
-
4,395
338
TOTAL
7,953
421
4,238
342
-
2,995
80
398
20
403
-
4,862
962
396
98
704
1,437
1
1,264
(2)
7,329
394
(€ million)
NON-PERFORMING PAST DUE
OF WHICH
FORBORNE
EXPOSURES
45
-
52
TOTAL
409
2
569
6
-
186
-
7
-
370
-
514
23
45
-
5
361
-
80
(1)
464
2
X
-
9
-
3
X
40
-
34
1
2
-
-
10
X
21
-
63
-
284 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
A.2 Classification of credit exposure based on internal and external ratings
A.2.1 Regulatory consolidation - Breakdown of financial assets, loan commitments and financial guarantees given by external rating
classes (gross amounts)
EXPOSURES
A. Financial assets at amortised cost
CLASS 1
CLASS 2
AMOUNT AS AT
EXTERNAL RATING CLASSES
CLASS 4
CLASS 3
12.31.2019
(€ million)
CLASS 5
CLASS 6
NO RATING
TOTAL
- Stage 1
- Stage 2
- Stage 3
B. Financial assets at fair value
through other comprehensive income
- Stage 1
- Stage 2
- Stage 3
C. Financial instruments classified as
held for sale
- Stage 1
- Stage 2
- Stage 3
Total (A+B+C)
of which: acquired or originated
impaired financial assets
D. Loan commitments and financial
guarantees given
- Stage 1
- Stage 2
- Stage 3
Total (D)
Total (A+B+C+D)
49,546
47
-
22,892
-
-
-
-
-
72,485
35,288
212
-
13,452
-
-
70
-
-
49,022
78,310
2,852
281
33,759
35
-
98
-
-
115,335
19,587
638
-
2,116
40
-
118
1
-
22,500
7,027
702
-
129
248
-
221
3
-
8,330
-
-
18
-
-
406
68
-
404,304
42,227
26,952
594,468
46,746
27,233
-
-
-
302
37
36
849
-
6,875
80
-
79,223
403
-
595
4
638
481,675
1,404
45
674
750,196
103
121
4,692
106
12
4,810
77,295
15,193
268
46
15,507
64,529
30,793
442
10
31,245
146,580
9,870
279
3
10,152
32,652
5,635
225
25
5,885
14,215
225
41
-
266
1,115
144,620
14,779
1,923
161,322
642,997
211,028
16,140
2,019
229,187
979,383
The table details on- and off-balance sheet credits granted to counterparties rated by external rating agencies, which provide brief assessments of
the creditworthiness of different classes of borrowers such as Sovereigns, Banks, Public-Sector Entities, Insurance Companies and (usually large)
Enterprises.
The table refers to classification of 262/2005 Banca d’Italia Circular (6th update dated dated 30 November 2018); then it provides, for external
ratings, 6 classes of creditworthiness.
Rating Agencies utilised to fill the table are: Moody’s, S&Ps and Fitch.
Where more than one agency rating is available, the most prudential rating is assigned.
Here below the mapping between the external rating classes and the ECAI’s rating used.
EXTERNAL RATING CLASSES
1
2
3
4
5
6
MOODY'S
ECAI
STANDARD & POOR'S
FITCH
LONG
TERM
Aaa Aa3
A1 A3
Baa1 Baa3
Ba1 Ba3
B1 B3
SHORT
TERM
P-1
P-2
P-3
NP
NP
LONG
TERM
AAA AA-
A+ A-
BBB+ BBB-
BB+ BB-
B+ B-
Caa1 or less
NP
CCC+ or less
SHORT
TERM
A1+ A1
A2
A3
worse than
A3
worse than
A3
worse than
A3
LONG
TERM
AAA AA-
A+ A-
BBB+ BBB-
BB+ BB-
B+ B-
CCC+ or less
SHORT
TERM
F1+ F1
F2
F3
worse than
F3
worse than
F3
worse than
F3
The 85.7% of rated counterparties were investment grade (from Class 1 to Class 3), referring to highly-rated borrowers.
Unrated exposures, i.e. those with no external rating, were 65.7% of the portfolio, due to the fact that a considerable proportion of borrowers were
private individuals or SMEs, which are not externally rated.
UniCredit ·2019 Annual Report and Accounts 285
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
A.2.2 Regulatory consolidation - Breakdown of financial assets, loan commitments and financial guarantees given by internal rating
classes (gross amounts)
EXPOSURES
1
2
3
4
5
6
7
8
9
AMOUNT AS AT
12.31.2019
INTERNAL RATING CLASSES
(€ million)
NO
RATING
TOTAL
A. Financial assets at amortised cost
- Stage 1
- Stage 2
- Stage 3
B. Financial assets at fair value through other
comprehensive income
- Stage 1
- Stage 2
- Stage 3
C. Financial instruments classified as held for
sale
- Stage 1
- Stage 2
- Stage 3
Total (A+B+C)
of which: acquired or originated impaired
financial assets
D. Loan commitments and financial guarantees
given
- Stage 1
- Stage 2
- Stage 3
Total (D)
Total (A+B+C+D)
38,077
152
-
18,258
-
-
-
-
-
56,487
7,725
667
-
149,123
4,219
114
219,127
6,599
73
63,507
8,573
10
41,229
8,766
76
15,704
6,159
2
3,634
4,381
-
1,726
4,188
36
54,616
3,042
26,922
594,468
46,746
27,233
1,488
-
-
70
-
-
9,950
37,784
-
-
9,993
-
-
973
392
-
105
8
-
4
2
-
98
-
-
191,338
118
1
-
235,911
221
3
-
73,679
158
5
-
50,347
142
30
-
22,043
-
-
-
2
2
13
8,032
-
1
-
-
-
23
5,974
10,618
-
-
595
4
638
96,435
79,223
403
-
1,404
45
674
750,196
-
-
-
1
2
7
3
2
7
99
121
4,551
65
-
4,616
61,103
7,460
1,566
-
9,026
18,976
60,572
3,700
78
64,350
255,688
63,387
3,815
6
67,208
303,119
15,301
2,814
-
18,115
91,794
11,749
1,662
12
13,423
63,770
3,306
999
-
4,305
26,348
706
818
-
1,524
9,556
230
295
-
525
6,499
43,766
406
1,923
46,095
142,530
211,028
16,140
2,019
229,187
979,383
The table contains exposures grouped according to the counterparties’ internal rating.
Ratings are assigned to individual counterparties using Group banks’ internally-developed models included in their credit risk management
processes. The internal models validated by the regulators are either ‘Group-wide’ (e.g. for banks, multinationals and sovereigns) or bank-specific,
by segment (e.g. retail or corporate).
The various rating scales of these models are mapped onto a single master-scale of 9 classes based on Probability of Default (PD).
76.3% of internally-rated exposures were investment grade (classes 1 to 4), while exposures towards unrated counterparties were 14.6% of the
total. No rating is assigned to these counterparties as either they belong to a segment not yet covered by the models, or the appropriate model is still
in the roll-out phase.
Internal Ratings are used for Capital Requirements calculation by the Legal Entities/portfolios that were authorised for the IRB approach from
Central bank. Legal Entities currently authorised are: UniCredit S.p.A., UniCredit Bank AG, UniCredit Bank Austria AG, UniCredit Bank Ireland p.l.c.,
UniCredit Banka Slovenija d.d., UniCredit Bulbank AD, UniCredit Bank Czech Republic and Slovakia a.s., UniCredit Bank Hungary zrt, UniCredit
Tiriac Bank S.A., ZAO UniCredit Bank and UniCredit Leasing GmbH and related subsidiaries UniCredit Leasing Finance GMBH, UniCredit Leasing
Aviation GMBH.
286 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
A.3 Distribution of secured credit exposures by type of security
A.3.1 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with banks
AMOUNT AS AT
12.31.2019
COLLATERALS (1)
(€ million)
GROSS
EXPOSURE
NET EXPOSURE
PROPERTY -
MORTGAGES
PROPERTY -
LEASE LOANS
SECURITIES
OTHER
COLLATERALS
1. Secured on-balance sheet credit exposures
1.1 Totally secured
of which non-performing
1.2 Partially secured
of which non-performing
2. Secured off-balance sheet credit exposures
2.1 Totally secured
of which non-performing
2.2 Partially secured
of which non-performing
24,349
-
7,283
-
1,555
-
1,888
-
24,348
-
7,282
-
1,555
-
1,888
-
-
-
-
-
-
-
-
-
1
-
-
-
-
-
-
-
9,219
-
6,466
-
882
-
15
-
continued: A.3.1 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with banks
14,620
-
124
-
73
-
26
-
(€ million)
AMOUNT AS AT
12.31.2019
GUARANTEES (2)
CREDIT DERIVATIVES
OTHER CREDIT DERIVATIVES
SIGNATURE LOANS (LOANS GUARANTEES)
GOVERNMENT
AND
CENTRAL
BANKS
CLN
OTHER
PUBLIC
ENTITIES
OTHER
ENTITIES
BANKS
GOVERNMENTS
AND OTHER
PUBLIC
SECTOR
ENTITIES
OTHER
PUBLIC
ENTITIES
BANKS
OTHER
ENTITIES
TOTAL
(1)+(2)
1. Secured on-balance sheet credit
exposures
1.1 Totally secured
of which non-performing
1.2 Partially secured
of which non-performing
2. Secured off-balance sheet credit
exposures
2.1 Totally secured
of which non-performing
2.2 Partially secured
of which non-performing
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
102
-
366
-
-
-
45
-
392
-
108
-
108
-
57
-
11
-
42
-
3
-
6
-
-
-
-
-
10
-
291
-
24,345
-
7,106
-
1,076
-
440
-
UniCredit ·2019 Annual Report and Accounts 287
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
A.3.2 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with customers
AMOUNT AS AT
12.31.2019
COLLATERALS (1)
(€ million)
GROSS
EXPOSURE
NET EXPOSURE
PROPERTY -
MORTGAGES
PROPERTY -
LEASE LOANS
SECURITIES
OTHER
COLLATERALS
1. Secured on-balance sheet credit exposures
1.1 Totally secured
of which non-performing
1.2 Partially secured
of which non-performing
2. Secured off-balance sheet credit exposures
2.1 Totally secured
of which non-performing
2.2 Partially secured
of which non-performing
240,489
15,254
94,553
2,464
50,146
804
41,651
357
230,370
6,128
92,672
1,296
49,946
642
41,550
275
108,810
2,755
32,699
567
3,033
193
2,169
32
12,338
1,131
437
5
-
-
-
-
57,901
69
1,704
21
13,261
24
695
10
continued: A.3.2 Regulatory consolidation - Secured on-balance and off-balance sheet credit exposures with customers
17,884
359
6,235
68
1,577
54
1,975
57
(€ million)
AMOUNT AS AT
12.31.2019
GUARANTEES (2)
CREDIT DERIVATIVES
OTHER CREDIT DERIVATIVES
SIGNATURE LOANS (LOANS GUARANTEES)
GOVERNMENT
AND
CENTRAL
BANKS
CLN
OTHER
PUBLIC
ENTITIES
OTHER
ENTITIES
BANKS
GOVERNMENTS
AND OTHER
PUBLIC
SECTOR
ENTITIES
OTHER
PUBLIC
ENTITIES
BANKS
OTHER
ENTITIES
TOTAL
(1)+(2)
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
5,316
64
9,466
226
2,002
2
957
6
840
14
669
28
1,099
36
441
5
3,336
77
532
29
2,559
10
215
7
20,759
695
2,457
47
15,006
268
2,623
54
227,184
5,164
54,199
991
38,537
587
9,075
171
1. Secured on-balance sheet
credit exposures
1.1 Totally secured
of which non-performing
1.2 Partially secured
of which non-performing
2. Secured off-balance sheet
credit exposures
2.1 Totally secured
of which non-performing
2.2 Partially secured
of which non-performing
288 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
A.4 Regulatory consolidation - Financial and non-financial assets obtained by taking possession of collaterals
A. Property, plant and equipment
A.1 Used in business
A.2 Held for investment
A.3 Inventories
B. Equity instruments and debt securities
C. Other assets
D. Non-current assets and disposal groups
classified as held for sale
D.1 Property, plant and equipment
D.2 Other assets
12.31.2019
12.31.2018
Total
Total
CANCELLED
CREDIT
EXPOSURE
575
1
17
557
-
-
16
16
-
591
402
GROSS AMOUNT
583
1
74
508
5
2
OVERALL WRITE-
DOWNS
106
-
42
64
4
-
88
88
-
678
400
44
44
-
154
82
B. Distribution and concentration of credit exposures
CARRYING VALUE
(€ million)
OF WHICH
OBTAINED
DURING THE
YEAR
189
-
1
188
-
-
13
13
-
202
192
476
-
32
444
-
2
44
44
-
522
318
B.1 Regulatory consolidation - Distribution by segment of on-balance and off-balance sheet credit exposures with customers
EXPOSURES/COUNTERPARTIES
A. On-balance sheet credit exposures
A.1 Bad exposures
of which: forborne exposures
A.2 Unlikely to pay
of which: forborne exposures
A.3 Non-performing past-due
of which: forborne exposures
A.4 Performing exposures
of which: forborne exposures
Total (A)
B. Off-balance sheet credit exposures
B.1 Non-performing exposures
B.2 Performing exsposures
Total (B)
Total (A+B)
12.31.2019
Total (A+B)
12.31.2018
GOVERNMENTS AND OTHER
PUBLIC SECTOR ENTITIES
FINANCIAL COMPANIES
FINANCIAL COMPANIES (OF
WHICH INSURANCE
COMPANIES)
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NON-FINANCIAL COMPANIES
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
HOUSEHOLDS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
(€ million)
8
-
152
-
3
-
54
1
14
-
1
-
200
127
395
235
1
-
141,187
84
105,580
3
141,350
-
153
117
106,176
1
14,549
14,550
-
5
5
126
50,646
50,772
408
121
351
244
-
-
179
2
938
17
24
41
3
2
1
1
-
-
2,752
1
2,756
-
1,853
1,853
155,900
158
156,948
979
4,609
168,386
235
130,437
1,116
5,136
2
2
-
-
-
-
1
-
3
-
1
1
4
6
446
1,690
2,633
735
4,282
2,241
525
156
255,928
3,640
263,368
2,712
235,229
237,941
8,114
2,043
6,073
3,644
218
54
1,553
106
1,046
529
385
17
128,579
285
1,669
15,958
130,456
851
213
1,064
58
19,326
19,384
209
891
507
245
9
1,139
196
3,965
4
24
28
501,309
17,022
149,840
3,993
500,930
19,757
151,295
7,291
UniCredit ·2019 Annual Report and Accounts 289
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
B.2 Regulatory consolidation - Distribution of on-balance and off-balance sheet credit exposures with customers by geographic area
(€ million)
EXPOSURES/GEOGRAPHIC AREAS
A. On-balance sheet credit exposures
A.1 Bad exposures
A.2 Unlikely to pay
A.3 Non-performing past-due
A.4 Performing exposures
Total (A)
B. Off-balance sheet credit exposures
B.1 Non-performing exposures
B.2 Performing exposures
Total (B)
Total (A+B)
12.31.2019
Total (A+B)
12.31.2018
ITALY
OTHER EUROPEAN
COUNTRIES
AMERICA
ASIA
REST OF THE WORLD
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
1,729
3,786
396
271,432
277,343
2,272
123,847
126,119
6,813
5,494
157
1,245
13,709
341
53
394
1,479
1,840
511
329,139
332,969
586
173,976
174,562
3,329
1,762
306
1,667
7,064
520
200
720
28
85
5
13,356
13,474
37
17,128
17,165
35
55
-
23
113
9
9
18
19
1
1
11,969
11,990
2
4,354
4,356
403,462
14,103
507,531
7,784
30,639
131
16,346
400,109
19,662
501,887
8,375
26,596
196
16,117
26
1
1
15
43
-
4
4
47
56
32
163
1
5,378
5,574
1
445
446
63
17
-
5
85
1
-
1
6,020
86
6,338
111
B.3 Regulatory consolidation - Distribution of on-balance and off-balance sheet credit exposures with banks by geographic area
EXPOSURES/GEOGRAPHIC AREAS
A. On-balance sheet credit exposures
A.1 Bad exposures
A.2 Unlikely to pay
A.3 Non-performing past-due
A.4 Performing exposures
Total (A)
B. Off-balance sheet credit exposures
B.1 Non-performing exposures
B.2 Performing exposures
Total (B)
Total (A+B)
12.31.2019
Totale (A+B)
12.31.2018
B.4 Large exposures
a) Amount book value (€ million)
b) Amount weighted value (€ million)
c) Number
ITALY
OTHER EUROPEAN
COUNTRIES
AMERICA
ASIA
REST OF THE WORLD
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
(€ million)
-
-
-
21,289
21,289
-
3,075
3,075
24,364
12,922
-
-
-
2
2
-
1
1
3
3
-
-
-
94,549
94,549
-
21,364
21,364
115,913
95,522
1
-
-
26
27
-
2
2
29
38
-
-
-
4,356
4,356
-
1,258
1,258
5,614
4,710
-
4
-
1
5
-
-
-
5
4
-
-
-
3,942
3,942
-
6,689
6,689
10,631
10,381
1
-
-
14
15
-
4
4
19
45
-
-
-
1,179
1,179
-
1,625
1,625
2,804
2,864
-
-
-
2
2
-
1
1
3
1
12.31.2019
159,250
2,333
7
In compliance with Art.4.1 39 of Regulation (EU) No.575/2013 (CRR), in case of exposures towards a group of connected clients formed by a
Central Government and other groups of connected clients, such exposure towards the Central Government is reported for each group of connected
clients when remitting regulatory reporting; despite the abovementioned regulatory approach, both the amounts shown in letter a), b), and the
number in letter c) in the table above disclose only once the exposure towards the Central Government originated following the method used.
It should be noted that deferred tax assets towards Italian Central Government were considered as fully exempted and, as a consequence, the
weighted amount reported is null.
C. Securitisation transactions
Qualitative information
In securitisation transactions the Group plays, as the case may be, the role of originator, sponsor or investor.
The Group as originator
The Group’s origination of traditional transactions consists in the sale of on-balance sheet receivables portfolios to vehicles set up as securitisation
companies under Law 130/99 or similar non-Italian legislation.
290 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
The transferee company finances the purchase of the receivables portfolios by issuing bonds of varying seniority and transfers its issue proceeds to
the Group.
The yield and maturity of the bonds issued by the buyer therefore mainly depend on the cash flow expected from the assets being sold.
As a further form of security to bondholders, these transactions may include special types of credit enhancement, e.g., subordinated loans, financial
guarantees, standby letters of credit, etc.
The Group’s objectives when carrying out these transactions are usually the following:
to originate securities that can be used to secure repos with Banca d’Italia and the ECB (i.e. counterbalancing capacity);
to obtain funding through the placement of securities on the market. This also allows a diversification of the funding sources and of the investors’
basis with improvements in reducing the cost of Group’s funding;
to free up economic and regulatory capital by carrying out transactions that reduce capital requirements under current rules by reducing credit risk
of the underlying portfolio;
to reduce the exposures towards non-performing customers;
to optimise the recoveries of exposures portfolios towards non-performing customers, referring to specific asset classes (e.g. Pillarstone and
Sandokan transactions).
The Group carries out both traditional securitisations whereby the receivables portfolio is sold to the SPV and synthetic securitisations which use
financial guarantees to purchase protection over all or part of the underlying credit risk of the portfolio. The latter, on the contrary to traditional
securitisations, is not sold to vehicles but remains also legally within the Group.
Under traditional securitisations generally the Group, in addition to provide servicing role, retains the first loss in the form of junior bonds or similar
exposure and in some cases provides further credit enhancement as described above. This enables the Group to benefit from the portion of the sold
receivables’ yield in excess of the yield due to the senior and mezzanine tranches.
Retention by the Group of the first loss risk and the corresponding yield means that most of the risk and return on the portfolio is retained.
Consequently these transactions are recognised in the accounts as loans and no profits arising out of the transfer of the assets are recognised and
the sold receivables are not derecognised.
In the consolidated financial statements, exposure to the variability deriving from maintenance of the risk of first loss together with the role of servicer
of the underlying assets determines control by the Group over these securitisation vehicles. Therefore they are subject to full consolidation.
Differently, in order to improve the quality of its assets and optimise the capital allocation, the Group also carries out transactions that involve the
portfolios’ derecognition and the related significant risk transfer, by subscribing a limited portion of securities issued by vehicles of securitisation, in
compliance with the rules for maintaining a net economic interest in the securitisation transaction according to the current regulatory requirements
(Retention Rule).
Eventually, synthetic securitisations also entail retention of the receivables subject to credit default protection on the balance sheet. Moreover, the
financial guarantees purchased as protection of such receivables are also booked on the balance sheet as well as the impacts on the income
statement related to them.
The Group's main objectives in its securitisation transactions (whether traditional or synthetic) are the optimisation of the loan portfolio by freeing up
regulatory and economic capital and obtaining fresh liquidity together with greater diversification of its sources of funding.
The crisis in the markets experienced since the second half of 2007 made it advisable to use securitisation as a means of increasing
counterbalancing capacity, i.e. the availability of assets that can be readily used to create liquidity, by retaining the securities issued by the vehicle
within the Group. Eventually traditional securitisations have been used also for corporate re-organisation’s or divestment’s purposes, for assets
deleveraging, for business projects’ purposes or for recovery’s activity and sale of non-performing loans as well.
Analysis and realisation of securitisation transactions are carried out within the Parent in close cooperation with the Group originator entities involved
and with UniCredit Bank AG, as preferred counterparty, as Arranger and potential Investment Banking. This process requires an economic feasibility
study to assess the impact of transactions (according to their nature and aims), on regulatory and economic capital, on risk-adjusted profitability
measures and on the level of Group’s liquidity. If this initial phase produces a positive result, a technical and operational feasibility study is carried
out to identify the assets to be securitised and define the structure of the transaction. Once technical feasibility has been established, the transaction
is realised.
Eventually it should be noted that "self-securitisations" and transactions in warehousing phase are not included in the quantitative tables of Part C,
as required by regulations.
UniCredit ·2019 Annual Report and Accounts 291
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Developments of the period
The Group makes limited use of this type of transactions. The amount of securitised loans33, net of the transactions in which the Group has acquired
all the liabilities issued by the SPVs (the so-called self-securitisations), accounts for 1.70% of the Group’s credit portfolio. Self-securitisations in turn
account for 4.53% of the loan portfolio.
During 2019 the Group carried out six new transactions by UniCredit S.p.A., of which 2 traditional and 4 synthetic ones:
Prisma - traditional;
Impresa Two - traditional (self-securitisation);
Bond Italia 6 Investimenti- synthetic;
Bond Italia 6 Misto- synthetic;
Bond Italia 7 - synthetic;
EaSI Microcredito - synthetic.
Details are given in the tables published in the “Annexes”, which also describe transactions, traditional and synthetic, carried out in previous financial
years.
It should also be noted that, again during 2019:
the transactions Cordusio RMBS Securitisation - Serie 2006 (traditional), Arts Midcap 2 (synthetic) e UniCredit Midcap 2014 (synthetic) were
closed;
additional notes for size increase have been issued with reference to Sandokan 1 securitisation, as a consequence of other claims transferred by
UniCredit S.p.A. during 2018;
a new securitisation transaction called Sandokan 2 was launched, concerning the sale of non-performing mortgage exposures portfolios of
UniCredit S.p.A., in warehousing as at 31 December 2019, pending the issuance of ABS securities by the Special Purpose Vehicle.
The Group as sponsor
The Group defines the role of sponsor as that performed by an entity, other than the transferor, which organises and administers a securitisation or
asset-backed commercial paper structure in which financial assets are purchased from third parties.
The Group acts as sponsor of asset backed commercial paper vehicles (i.e. commercial paper issuing conduits) set up in order to allow customers
the access to the securitisations’ market (multi-seller Customer conduits).
Customer conduits require the formation and management of a bankruptcy-remote company (i.e., one that would be immune from any financial
difficulties of the originator) which directly or indirectly buys receivables created by companies outside the Group.
The receivables underlying these transactions are not bought directly by the conduit set up by the Group, but by a purchase company which in turn
is wholly funded by the conduit by means of commercial paper or medium term notes.
In some circumstances purchase companies fund further SPVs which buy loan portfolio.
The main purpose of these transactions is to give corporate customers access to the securitisation market and thus to lower funding costs than
would be borne with direct funding.
The conduits’ purchase of assets is financed by short-term commercial paper and medium-term note issues.
Payment of interest and redemption of the securities issued by the conduit therefore depends on cash flow from the receivables purchased (credit
risk) and the ability of the conduit to roll over or replace its market funding on maturity (liquidity risk).
To guarantee prompt redemption of the securities issued by the conduit, these transactions are guaranteed by a standby letter of credit covering the
risk of default both of specific assets and of the whole programme.
The underwriters of issued securities also benefit from security provided by specific liquidity lines which the conduit may use if it unable to place new
commercial paper to repay maturing paper, e.g. during market turmoil.
These liquidity lines may not however be used to guarantee redemption of securities issued by the conduit in the event of default by the underlying
assets.
In its role as sponsor, the Group selects the asset portfolios purchased by conduits or purchase companies, provides administration of the assets
and both standby letters of credit and liquidity lines and purchases commercial papers issued when required by market conditions.
33 We refer to loans sold, also synthetically, but not derecognised from balance sheet.
292 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
For these services the Group receives fees and also benefits from the spread between the return on the assets purchased by the SPV and the
securities issued.
These circumstances put the Group in the condition of having the power over the assets of the conduits and being at the same time exposed to the
variability deriving from such assets. Therefore the conduits sponsored by the Group have come within the perimeter of consolidation starting from
2007, in application of the conditions provided for in IFRS10 and previously by SIC12.
In addition to the Customer Conduits, purchase companies may also be consolidated if the Group is exposed to the variability of yields deriving from
funding provided directly or indirectly, through the conduit, and also has the power to manage the underlying assets.
The Group as investor
The Group also invests in structured credit products issued by special-purpose entities that are not consolidated pursuant to the accounting rules in
force, insofar as such instruments do not bear most of the risk or receive most of the returns associated with the activity carried out by these special-
purpose entities.
With regard to these activities, the Group holds within the Global ABS portfolio exposures of securitisations established by third-parties such as
RMBS, CMBS, CDO, CBO/CLO and other ABS.
In line with the development of the financial markets and, specifically, the securitisation market, the Global ABS Portfolio was transformed from a
separate portfolio in liquidation to strategic investment portfolio for the Group in 2011 and was integrated into the Markets Strategic Portfolio
("MSP"), managed with a view to generating a profit margin and creating an appreciable capital return through long-term investments in fixed-
income securities.
The development of client-related operations is also an integral part of MSP activities and includes actions to strengthen the customer base and
support securitisations. This portfolio is subject to monitoring and reporting by the business and risk management functions. All activities relating to
the MSP are carried out in conformity with established policies and procedures, specifically credit approval procedures.
The analysis of investments in ABS focuses specifically on the following elements:
structural analysis of all internal and external risks inherent to a similar investment, e.g. Default Risk, Dilution Risk, Residual Value Risk, Servicer
Risk, Interest Rate Risk, Liquidity Risk, Commingling Risk, Legal Risk, Adequacy of performance triggers, etc. These risks may differ according to
the underlying assets class;
analysis of the underlying portfolio, including the analysis of all performance indicators significant for each underlying asset class;
cash flows/quantitative analysis/modelling;
credit rating and experience of the participants e.g. vendor/servicer - financial soundness, capacity and availability to service assets.
UniCredit ·2019 Annual Report and Accounts 293
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Quantitative information
The tables below do not include information on the so-called “self-securitisations”, i.e. securitisation transactions in which the Group has acquired all
the liabilities issued by the SPVs, and transactions in warehousing phase.
C.1 Regulatory consolidation - Exposure from the main "in-house" securitisation transaction broken down by type of securitised
asset and by type of exposure
TYPE OF SECURITISED ASSETS /EXPOSURE
A. Totally derecognised
A.1 CLO/CBO OTHERS
B. Partially derecognised
B.1 CLO/CBO Others
C. Not-derecognised
C.1 RMBS Prime
C.2 CLO/SME
C.3 CLO/CBO Others
C.4 CONSUMER LOANS
C.5
LEASES
C.6 OTHERS
(€ million)
SENIOR
BALANCE-SHEET EXPOSURE
MEZZANINE
JUNIOR
CARRYING
VALUE
1,489
1,489
-
-
4,259
435
253
3,571
-
-
-
WRITE-
DOWNS/
WRITE-BACKS
-
-
-
-
-
-
-
-
-
-
-
CARRYING
VALUE
169
169
33
33
323
181
-
142
-
-
-
WRITE-
DOWNS/
WRITE-BACKS
-
-
-
-
-
-
-
-
-
-
-
CARRYING
VALUE
52
52
1
1
873
275
5
494
-
99
-
WRITE-
DOWNS/
WRITE-BACKS
-
-
1
1
-124
-54
-
-70
-
-
-
continued C.1 Regulatory consolidation - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset
and by type of exposure
TYPE OF SECURITISED ASSETS /EXPOSURE
A. Totally derecognised
A.1 CLO/CBO OTHERS
B. Partially derecognised
B.1 CLO/CBO Others
C. Not-derecognised
C.1 RMBS Prime
C.2 CLO/SME
C.3 CLO/CBO Others
C.4 CONSUMER LOANS
C.5
LEASES
C.6 OTHERS
SENIOR
GUARANTEES GIVEN
MEZZANINE
JUNIOR
NET
EXPOSURE
-
-
-
-
258
-
-
258
-
-
-
WRITE-
DOWNS/
WRITE-BACKS
-
-
-
-
-
-
-
-
-
-
-
NET
EXPOSURE
-
-
-
-
-
-
-
-
-
-
-
WRITE-
DOWNS/
WRITE-BACKS
-
-
-
-
-
-
-
-
-
-
-
NET
EXPOSURE
-
-
-
-
-
-
-
-
-
-
-
WRITE-
DOWNS/
WRITE-BACKS
-
-
-
-
-
-
-
-
-
-
-
continued C.1 Regulatory consolidation - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset
and by type of exposure
TYPE OF SECURITISED ASSETS /EXPOSURE
A. Totally derecognised
A.1 CLO/CBO OTHERS
B. Partially derecognised
B.1 CLO/CBO Others
C. Not-derecognised
C.1 RMBS Prime
C.2 CLO/SME
C.3 CLO/CBO Others
C.4 CONSUMER LOANS
C.5
LEASES
C.6 OTHERS
SENIOR
CREDIT FACILITIES
MEZZANINE
JUNIOR
NET
EXPOSURE
-
-
-
-
9
-
-
9
-
-
-
WRITE-
DOWNS/
WRITE-BACKS
-
-
-
-
-
-
-
-
-
-
-
NET
EXPOSURE
-
-
-
-
-
-
-
-
-
-
-
WRITE-
DOWNS/
WRITE-BACKS
-
-
-
-
-
-
-
-
-
-
-
NET
EXPOSURE
-
-
-
-
-
-
-
-
-
-
-
WRITE-
DOWNS/
WRITE-BACKS
-
-
-
-
-
-
-
-
-
-
-
294 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2019
only.
With reference to transactions with own underlying assets it should be noted that the decrease in balance-sheet net exposures relating to
transactions not derecognised and partially derecognised to €1,605 million as at December 2019 from €1,998 million as at December 2018 was due
to the natural development of the transactions.
Moreover, the decrease in balance-sheet net exposures concerning synthetic transactions from €5,292 million in December 2018 to €3,885 million in
December 2019 was due to the natural development of the transactions, only partially offset by four new transactions called Bond Italia 6
Investimenti, Bond Italia 6 Misto, Bond Italia 7 e EaSI Microcredito.
Finally, it should be noted that:
the net balance-sheet exposure totally derecognised refers to the securitisations of FINO Project and to the new 2019 traditional securitisation
Prisma, for which see the information provided in Consolidated report on operations - Other information;
the net balance-sheet exposure partially derecognised refers to the transaction Pillarstone Italy - Premuda.
C.2 Regulatory consolidation - Exposure resulting from the main third-party securitisation transactions broken down by type of
securitised asset and by type of exposure
RMBS PRIME
RMBS NON CONFORMING
RMBS US SUBPRIME
CMBS
CDO OF ABS
CDO - BALANCE SHEET
CDO - PREFERRED STOCK
CDO OTHER
CLO SME
TYPE OF SECURITISED ASSETS/EXPOSURE
A.1
A.2
A.3
A.4
A.5
A.6
A.7
A.8
A.9
A.10 CLO ARBITRAGE/BALANCE SHEET
A.11 CLO OTHER
A.12 CONSUMER LOANS
STUDENT LOANS
A.13
A.14
LEASES
A.15 OTHER
A.16 CONDUITS(*)
SENIOR
BALANCE-SHEET EXPOSURE
MEZZANINE
JUNIOR
(€ million)
CARRYING
VALUE
2,173
60
1
34
-
21
18
-
61
-
2,927
2,733
62
422
189
3,155
WRITE-
DOWNS/
WRITE-BACKS
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
CARRYING
VALUE
7
21
-
27
-
-
-
-
-
-
12
36
-
-
4
-
WRITE-
DOWNS/
WRITE-BACKS
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
CARRYING
VALUE
-
-
-
-
-
-
-
-
-
-
-
-
-
-
51
-
WRITE-
DOWNS/
WRITE-BACKS
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
Note:
(*) Exposure of subsidiaries included in the scope of consolidation, but not belonging to the banking group.
Write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2019
only.
UniCredit ·2019 Annual Report and Accounts 295
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
continued C.2 Regulatory consolidation - Exposure resulting from the main third-party securitisation transactions broken down by type of
securitised asset and by type of exposure
RMBS PRIME
RMBS NON CONFORMING
RMBS US SUBPRIME
CMBS
CDO OF ABS
CDO - BALANCE SHEET
CDO - PREFERRED STOCK
CDO OTHER
CLO SME
TYPE OF SECURITISED ASSETS /EXPOSURE
A.1
A.2
A.3
A.4
A.5
A.6
A.7
A.8
A.9
A.10 CLO ARBITRAGE/BALANCE SHEET
A.11 CLO OTHER
A.12 CONSUMER LOANS
STUDENT LOANS
A.13
A.14
LEASES
A.15 OTHER
A.16 CONDUITS
SENIOR
GUARANTEES GIVEN
MEZZANINE
JUNIOR
NET
EXPOSURE
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
WRITE-
DOWNS/
WRITE-BACKS
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
NET
EXPOSURE
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
WRITE-
DOWNS/
WRITE-BACKS
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
NET
EXPOSURE
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
WRITE-
DOWNS/
WRITE-BACKS
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
continued C.2 Regulatory consolidation - Exposure resulting from the main third-party securitisation transactions broken down by type of
securitised asset and by type of exposure
RMBS PRIME
RMBS NON CONFORMING
RMBS US SUBPRIME
CMBS
CDO OF ABS
CDO - BALANCE SHEET
CDO - PREFERRED STOCK
CDO OTHER
CLO SME
TYPE OF SECURITISED ASSETS /EXPOSURE
A.1
A.2
A.3
A.4
A.5
A.6
A.7
A.8
A.9
A.10 CLO ARBITRAGE/BALANCE SHEET
A.11 CLO OTHER
A.12 CONSUMER LOANS
STUDENT LOANS
A.13
A.14
LEASES
A.15 OTHER
A.16 CONDUITS
SENIOR
CREDIT FACILITIES
MEZZANINE
JUNIOR
NET
EXPOSURE
-
-
-
-
-
-
-
-
-
-
-
-
23
-
17
3,091
WRITE-
DOWNS/
WRITE-BACKS
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
NET
EXPOSURE
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
19
WRITE-
DOWNS/
WRITE-BACKS
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
NET
EXPOSURE
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
WRITE-
DOWNS/
WRITE-BACKS
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
The transactions with third-party underlying assets are those in which the group acts as sponsor or investor.
With reference to transactions in which the Group acts as sponsor, the total amount of net exposure is equal to €6,265 million (€5,875 million as at
31 December 2018), broken down into asset backed commercial paper and loans for €3,155 million and undrawn credit lines for €3,110 million.
It should be noted that the lines of credit shown are the difference between total credit lines granted and the amount of commercial paper
underwritten by the Group. This figure is the additional risk exposure incurred by the Group in addition to the underwritten commercial paper.
With reference to transactions in which the Group acts as investor, refer to the subsequent tables ‘Exposures toward other consolidated SPVs’ and
“C.4 Regulatory consolidation - Special Purpose Vehicles for securitisation not subject to consolidation” that shows the exposure of the Group
toward these SPVs.
With reference to sponsor exposures the following table provides information about exposures held toward conduits in which the Group acts as
sponsor.
296 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Exposures sponsored by the Group
Asset Backed Commercial Paper
- Arabella Finance DAC
- Elektra Purchase No. 28 DAC
- Elektra Purchase No. 31 DAC
- Elektra Purchase No. 32 S.A. - Compartment 1
- Elektra Purchase No. 33 DAC
- Elektra Purchase No. 34 DAC
- Elektra Purchase No. 36 DAC
- Elektra Purchase No. 37 DAC
- Elektra Purchase No. 38 DAC
- Elektra Purchase No. 39 DAC
- Elektra Purchase No. 41 DAC
- Elektra Purchase No. 43 DAC
- Elektra Purchase No. 44 DAC
- Elektra Purchase No. 46 DAC
- Elektra Purchase No. 54 DAC
- Elektra Purchase No. 55 DAC
- Elektra Purchase No. 56 DAC
- Elektra Purchase No. 57 DAC
- Elektra Purchase No. 63 DAC
- Elektra Purchase No. 64 DAC
- Elektra Purchase No. 71 DAC
- Elektra Purchase No. 718 DAC
- Elektra Purchase No. 911 Ltd
Credit facilities
- Arabella Finance DAC
- Elektra Purchase No. 28 DAC
- Elektra Purchase No. 31 DAC
- Elektra Purchase No. 32 S.A. - Compartment 1
- Elektra Purchase No. 33 DAC
- Elektra Purchase No. 34 DAC
- Elektra Purchase No. 36 DAC
- Elektra Purchase No. 37 DAC
- Elektra Purchase No. 38 DAC
- Elektra Purchase No. 39 DAC
- Elektra Purchase No. 41 DAC
- Elektra Purchase No. 43 DAC
- Elektra Purchase No. 44 DAC
- Elektra Purchase No. 46 DAC
- Elektra Purchase No. 54 DAC
- Elektra Purchase No. 55 DAC
- Elektra Purchase No. 56 DAC
- Elektra Purchase No. 57 DAC
- Elektra Purchase No. 63 DAC
- Elektra Purchase No. 64 DAC
- Elektra Purchase No. 71 DAC
- Elektra Purchase No. 718 DAC
- Elektra Purchase No. 911 Ltd
(€ million)
AMOUNTS AS AT
12.31.2019
3,155
2,395
-
-
-
-
-
-
-
-
410
-
-
-
-
-
-
-
-
-
-
-
350
-
3,110
-
140
71
262
146
119
397
75
114
-
37
199
79
56
36
107
212
351
183
197
38
5
286
The lines of credit shown are the difference between total credit lines granted and the amount of commercial paper underwritten by the Group.
This figure is the additional risk exposure incurred by the Group in addition to the underwritten commercial paper.
Moreover, it should be noted that as at 31 December 2019 there were no SPVs of third parties securitisations, where the group acts as investor,
subject to consolidation.
UniCredit ·2019 Annual Report and Accounts 297
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
C.3 SPVs for securitisations
NAME OF SECURITISATION/NAME OF
VEHICLE
COUNTRY OF INCORPORATION
CONSOLIDATION
LOANS AND
RECEIVEBLES
DEBT
SECURITIES
OTHERS
SENIOR
MEZZANINE
JUNIOR
ASSETS
LIABILITIES
(€ million)
Arabella Finance DAC
1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland
Capital Mortgage S.r.l. - CAP. MORTGAGE 2007 - 1
Piazzetta Monte 1 - 37121 Verona
Cordusio RMBS - UCFin S.r.l
Cordusio RMBS Securitisation S.r.l.
Piazzetta Monte 1 - 37121 Verona
Piazzetta Monte 1 - 37121 Verona
Elektra Purchase No. 28 DAC
1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland
Elektra Purchase No. 31 DAC
1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland
Elektra Purchase No. 32 S.A. - Compartment 1
52-54 avenue du X Septembre, L-2550 Luxembourg
Elektra Purchase No. 33 DAC
1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland
Elektra Purchase No. 34 DAC
1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland
Elektra Purchase No. 36 DAC
1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland
Elektra Purchase No. 37 DAC
1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland
Elektra Purchase No. 38 DAC
1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland
Elektra Purchase No. 39 DAC
1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland
Elektra Purchase No. 41 DAC
Elektra Purchase No. 43 DAC
Elektra Purchase No. 44 DAC
Elektra Purchase No. 46 DAC
Elektra Purchase No. 54 DAC
Elektra Purchase No. 55 DAC
Elektra Purchase No. 56 DAC
Elektra Purchase No. 57 DAC
Elektra Purchase No. 63 DAC
Elektra Purchase No. 64 DAC
Elektra Purchase No. 71 DAC
1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland
1-2 Victoria Buildings, Haddington Road, Dublin 4,
D04 XN32, Ireland
11-12 Warrington Place; Dublin 2
1-2 Victoria Buildings, Haddington Road, Dublin 4,
D04 XN32, Ireland
Haddington Road, 1-2 Victoria Buildings, D04 XN32 Dublin
Haddington Road,2 Victoria Buildings, D04 XN32, Dublin 4
1-2 Victoria Buildings, 4 Dublin
1-2 Victoria Buildings, 4 Dublin
1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland
Haddington Road; 1-2 Victoria Building; 4; Dublin
Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin
Elektra Purchase No. 718 DAC
1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland
Elektra Purchase No. 911 Ltd
F-E Mortgages S.r.l. - 2003
F-E Mortgages S.r.l. - 2005
Heliconus S.r.l
Ice Creek Pool No. 1 DAC
LARGE CORPORATE ONE SRL
SUCCESS 2015 B.V.
ARCOBALENO FINANCE SRL
Chapel 2007 B.V.
CREDIARC SPV SRL
OGIER HOUSE, THE ESPLANADE, ST. HELIER, JE4 9WG - Jersey
Piazzetta Monte 1 - 37121 Verona
Piazzetta Monte 1 - 37121 Verona
Piazzetta Monte 1 - 37121 Verona
1st Fl., 1-2 Victoria Building; Haddington Road; D04 XN32; Dublin
Piazzetta Monte 1 - 37121 Verona
Barbara Strozzilaan 101, 1083HN Amsterdam
FORO BUONAPARTE,70 20121 MILANO
FREDERIK ROESKESTRAAT 123 1076 EE AMSTERDAM -
NETHERLANDS
FORO BUONAPARTE,70 20121 MILANO
Elektra Purchase No. 8 Limited
OGIER HOUSE, THE ESPLANADE, ST. HELIER, JE4 9WG - Jersey
Elektra Purchase 17 S.A. RE COMPARTMENT 14
52-54 avenue du X Septembre, L-2550 Luxembourg
Elektra Purchase No. 17 S.A. (Re Compartment 18)
52-54 avenue du X Septembre, L-2550 Luxembourg
Elektra Purchase No. 25 DAC
1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland
Elektra Purchase No. 29 DAC
1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland
Elektra Purchase No. 45 DAC
Elektra Purchase No. 60 DAC
Elektra Purchase No. 61 DAC
Elektra Purchase No. 62 DAC
Elektra Purchase No. 66 DAC
FCT GK
FINO 1 SECURITISATION SRL
FINO 2 SECURITISATION SRL
ONIF FINANCE SRL
Pillarstone Italy SPV S.r.l. - Burgo
Pillarstone Italy SPV S.r.l. - Premuda
Pillarstone Italy SPV S.r.l. - Rainbow
PRISMA SPV S.R.L.
Sestante Finance S.r.l.
YANEZ SPV S.R.L.
1-2 Victoria Buildings, Haddington Road, Dublin 4, D04 XN32, Ireland
1-2 Victoria Buildings; D04; Dublin
Haddington Road; 1-2 Victoria Buildings; D04; Dublin
1-2 Victoria Buildings; Dublin 4; Dublin
Haddington Road; 1-2 Victoria Buildings; D04XN32; Dublin
Ref FCT GK Immeubles Les, F-93500 Pantin
VIALE LUIGI MAJNO 45, 20122 MILANO
VIALE LUIGI MAJNO 45, 20122 MILANO
VIA ALESSANDRO PESTALOZZA 12/14, 20131 MILANO
Via Pietro Mascagni 14, 20122 MILANO
Via Pietro Mascagni 14, 20122 MILANO
Via Pietro Mascagni 14, 20122 MILANO
VIA VITTORIO ALFIERI 1, 31015 Conegliano
Via Borromei, 5 - 20123 Milano
VIA VITTORIO ALFIERI 1, 31015 Conegliano
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
No
4,891
541
381
671
176
22
242
169
105
500
92
107
410
47
250
100
27
45
126
235
437
230
248
47
350
360
91
153
45
164
157
188
55
836
23
130
19
63
123
331
121
38
32
339
25
200
506
313
256
176
142
41
1,249
208
575
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
29
24
22
0
0
-
0
0
0
0
0
0
0
0
0
0
0
0
0
3
0
0
0
0
-
26
13
13
-
130
0
4
-
2
-
-
-
-
-
-
-
-
-
-
-
104
221
24
10
90
58
169
-
41
4,881
395
187
397
176
22
242
169
105
500
92
107
410
47
250
100
27
45
126
235
437
230
248
47
350
360
22
65
10
164
258
81
11
836
18
130
19
63
123
331
121
38
32
339
25
164
380
267
37
6
5
1
1,210
145
4
-
74
148
236
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
57
37
27
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
70
201
112
132
201
47
80
90
288
-
67
13
2
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
8
32
9
-
38
94
55
-
26
-
-
-
-
-
-
-
-
-
-
-
50
40
99
27
90
106
30
9
750
298 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
C.4 Regulatory consolidation - Special Purpose Vehicles for securitisation not subject to consolidation
As mentioned before in the context of securitisation transactions the Group may operate as investor, sponsor and originator.
The following table provides indication on assets and liabilities recognised in the balance sheet as well as off-balance exposures of the Group
toward non-consolidated securitisation vehicles and broken down by role of the Group. The maximum exposure to loss has been calculated by
grossing up the difference between assets and liabilities with off balance sheet positions, irrevocable credit lines and financial guarantees, held
toward these vehicles and reported in column “difference between maximum exposure to loss and accounting value”.
Exposures to Securitisation SPVs not subject to consolidation
AMOUNTS AS AT 12.31.2019
(€ 'milion)
DIFFERENCE
BETWEEN
MAXIMUM
EXPOSURE
TO LOSS
AND
ACCOUNTING
VALUE
(E=D-C)
ACCOUNTING
PORTFOLIO
(ASSETS)
TOTAL
ASSETS (A)
ACCOUNTING
PORTFOLIO
(LIABILITIES)
TOTAL
LIABILITIES
(B)
NET
ACCOUNTING
VALUE
(C=A-B)
MAXIMUM
EXPOSURE
TO LOSS
(D)
HFT
DFV
MFV
FVOCI
AC
HFT
DFV
MFV
FVOCI
AC
HFT
DFV
MFV
FVOCI
AC
8,696
17
111
37
-
8,531
-
-
-
-
-
-
1,711
-
-
82
1,379
250
10,407
Deposits
Securities
HFT
DFV
Deposits
Securities
HFT
DFV
Deposits
Securities
HFT
DFV
94
94
-
-
-
-
66
66
-
-
-
-
304
304
-
-
-
-
464
8,602
8,625
23
(66)
1,446
1,512
1,407
1,407
-
9,943
11,478
1,535
Deposits = Deposits from Customers
Securities = Debt securities in issue
HFT = Financial liabilities held for trading
DFV = Financial liabilities designated at fair value
BALANCE SHEET ITEM/SPV TYPE
ABS Issuing vehicles
(Investor)
Commercial Paper Conduits (Sponsor)
Own securitisations
(Originator)
Total
Notes:
HFT = Financial assets held for trading
DFV = Financial assets designated at fair value
MFV = Financial assets mandatorily at fair value
FVOCI = Financial assets at fair value through other comprehensive income
AC = Financial assets at amortised cost
Exposures toward ABS Issuing vehicles are constituted for the most part, €8,660 million, by exposures in Asset Backed Securities.
The remaining part is constituted by loans.
The good credit quality of this portfolio is borne out by the fact that over 90% of these instruments are rated A or better and over 62% of the portfolio
is triple-A rated while at 31 December 2018 over 98% of these exposures were rated A and 69% of the portfolio was rated triple-A.
Over 84% of the exposure is toward countries belonging to European Union. Exposure to Greece, Ireland, Portugal and Spain accounts for 11.51%,
most of which concerns exposures to Spanish underlying assets (9.15%).
UniCredit ·2019 Annual Report and Accounts 299
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Structured credit product exposures broken down by rating class
EXPOSURE TYPE
RMBS
CMBS
CDO
CLO/CBO
Other ABS
Total
AAA
41.27%
49.69%
0.00%
97.56%
47.08%
62.86%
AA
52.38%
21.33%
0.00%
2.44%
26.24%
24.67%
A
5.55%
0.00%
100.00%
0.00%
2.46%
2.83%
BBB
BB
B
CCC
CC
0.54%
28.98%
0.00%
0.00%
1.11%
0.77%
0.16%
0.00%
0.00%
0.00%
0.20%
0.12%
0.10%
0.00%
0.00%
0.00%
0.00%
0.03%
0.00%
0.00%
0.00%
0.00%
0.04%
0.02%
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
C
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
NR
0.00%
0.00%
0.00%
0.00%
22.87%
8.70%
Structured credit product exposures broken down by geographical area
EXPOSURE TYPE
RMBS
CMBS
CDO
CLO/CBO
Other ABS
Total
ITALY
30.06%
0.00%
0.00%
2.03%
35.84%
22.21%
OTHER UE
COUNTRIES
69.74%
93.86%
0.00%
55.75%
63.60%
62.41%
OTHER
EUROPEAN
COUNTRIES
(NON UE)
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
ASIA
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
USA
0.04%
6.14%
45.53%
21.07%
0.05%
7.57%
REST OF THE
WORLD
0.16%
0.00%
54.47%
21.15%
0.51%
7.81%
Exposures toward Commercial Paper Conduit comprise credit line provided to the purchase companies that acquire the receivables from the
originators external to the Group. These credit line are granted by credit enhancements (deferred purchase price and credit insurance) so that the
Group does not bear the variability of the underlying portfolio.
Exposures toward own securitisation comprise securities and off balance sheet exposure toward SPV that are not consolidated as the conditions
required by IFRS10 are not fulfilled. Absent the conditions requested by IFRS9 the securitised loans have not been derecognised from the balance
sheet of the originator.
For further information on these securitisations refer to the tables published in the “Annexes”.
During the period the Group has not provided financial support to any non-consolidated securitisation vehicle in absence of contractual obligation to
do so. The Group has not the current intention to provide such support.
The Group does not act as sponsor of securitisation vehicles in which it has not exposures at the end of the reporting period.
C.5 Regulatory consolidation - Servicer activities - Collections of securitised loans and redemptions of securities issued by the
securitisation's vehicle
SERVICER
UniCredit
Leasing
(Austria) GmbH
UniCredit
S.p.A.
SPECIAL
PURPOSE
VEHICLE
SUCCESS
2015 B.V.
Capital
Mortgage
S.r.l.
Cordusio
RMBS
Securitisation
S.r.l. - SERIE
2007
Cordusio
RMBS
UCFin S.r.l.
F-E Mortgage
S.r.l. - SERIE
2003
F-E Mortgage
S.r.l. - SERIE
2005
Heliconus
S.r.l.
Large
Corporate
One S.r.l.
SECURITISED ASSETS
(YEAR END FIGURES)
LOANS COLLECTED
DURING THE YEAR
PERCENTAGE OF SECURITIES REDEEMED
(YEAR END FIGURES)
IMPAIRED
PERFORMING
IMPAIRED
PERFORMING
SENIOR
MEZZANINE
JUNIOR
IMPAIRED
ASSETS
PERFORMING
ASSETS
IMPAIRED
ASSETS
PERFORMING
ASSETS
IMPAIRED
ASSETS
PERFORMING
ASSETS
(€ million)
5
22
21
15
3
6
2
-
183
519
650
366
88
148
43
157
-
9
154
93
11
164
6
2
3
1
-
89
16
22
9
158
-
-
-
-
-
-
-
-
64.95%
83.40%
89.18%
91.97%
100.00%
93.18%
100.00%
-
-
-
-
-
-
-
-
-
-
-
-
-
3.26%
10.31%
12.61%
-
-
-
-
-
-
-
-
-
-
-
-
-
-
10.31%
-
-
300 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
C.6 Regulatory consolidation - Consolidated securitisation vehicles
12.31.2019
(€ million)
SPECIAL PURPOSE VEHICLE
ARABELLA FINANCE
DAC
CAPITAL MORTGAGE
S.R.L.
CORDUSIO RMBS -
UCFIN S.R.L
COUNTRY OF INCORPORATION
1-2 Victoria Buildings,
Haddington Road,
Dublin 4, D04 XN32,
Ireland
Piazzetta Monte 1
37121 Verona
Piazzetta Monte 1
37121 Verona
A. Securitised assets
A.1 Loans
A.2 Bonds
B. Loans disbursed
C. Use of liquid assets resulting from loan operations
C.1 Loans (including bank current account)
C.2 Bonds
D. Other assets
D.1 Derivatives
D.2 Other assets
TOTAL ASSETS (A+B+C+D)
E. Bond issued
E.1 Senior
E.2 Mezzanine
E.3 Junior
F. Loans received
F.1 Senior
F.2 Mezzanine
F.3 Junior
G. Other liabilities
G.1 Derivatives
G.2 Due to originator
G.3 Other liabilities
G.4 Own funds
TOTAL LIABILITIES (E+F+G)
H. Interest expense
H.1 Interest expense on bond issued
H.2 Interest expense on loans received
H.3 Interest expense on derivatives
I. Commissions and fees related to the transaction
I.1 for servicing
I.2 for other services
J. Other charges
J.1 Additional positive returns for exposure junior
J.2 Other costs
TOTAL COSTS (H+I+J)
K. Interest generated by securitised assets
L. Interest income on derivatives
M. Other revenues
M.1 Additional returns for exposure junior
M.2 Other revenues
TOTAL REVENUES (K+L+M)
PROFIT (LOSS) FOR THE PERIOD
4,887
4,887
-
3
-
-
-
-
-
-
4,891
4,881
4,881
-
-
-
-
-
-
10
5
-
5
0
4,891
32
32
-
-
20
20
-
3
-
3
56
17
-
39
-
39
56
0
541
541
-
-
16
16
-
14
-
14
570
494
395
74
25
42
-
-
42
34
0
34
0
-
570
3
0
-
2
1
1
0
23
-
23
27
8
-
19
17
2
27
-
381
381
-
-
19
19
-
4
-
4
404
348
187
148
13
-
-
-
-
56
3
51
2
-
404
3
1
-
2
3
2
0
11
-
11
16
7
-
10
7
2
16
-
UniCredit ·2019 Annual Report and Accounts 301
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
12.31.2019
(€ million)
CORDUSIO RMBS
SECURITISATION S.R.L.
- SERIE 2007
ELEKTRA PURCHASE
N.28 DAC
ELEKTRA PURCHASE
N.31 DAC
Piazzetta Monte 1
37121 Verona
1-2 Victoria Buildings,
Haddington Road,
Dublin 4, D04 XN32,
Ireland
1-2 Victoria Buildings,
Haddington Road,
Dublin 4, D04 XN32,
Ireland
671
671
-
-
11
11
-
11
-
11
693
636
397
236
2
-
-
-
-
57
3
24
30
-
693
5
3
-
2
6
5
0
15
-
15
26
7
-
19
13
6
26
-
176
176
-
0
-
-
-
0
-
0
177
-
-
-
-
176
176
-
-
-
-
-
-
0
177
0
-
0
-
0
0
-
-
-
-
1
1
-
-
-
-
1
-
22
22
-
0
-
-
-
0
-
0
22
-
-
-
-
22
22
-
-
-
-
-
-
-
22
1
-
1
-
1
1
-
-
-
-
2
2
-
-
-
-
2
-
continued C.6 Regulatory consolidation - Consolidated securitisation vehicles
SPECIAL PURPOSE VEHICLE
COUNTRY OF INCORPORATION
A. Securitised assets
A.1 Loans
A.2 Bonds
B. Loans disbursed
C. Use of liquid assets resulting from loan operations
C.1 Loans (including bank current account)
C.2 Bonds
D. Other assets
D.1 Derivatives
D.2 Other assets
TOTAL ASSETS (A+B+C+D)
E. Bond issued
E.1 Senior
E.2 Mezzanine
E.3 Junior
F. Loans received
F.1 Senior
F.2 Mezzanine
F.3 Junior
G. Other liabilities
G.1 Derivatives
G.2 Due to originator
G.3 Other liabilities
G.4 Own funds
TOTAL LIABILITIES (E+F+G)
H. Interest expense
H.1 Interest expense on bond issued
H.2 Interest expense on loans received
H.3 Interest expense on derivatives
I. Commissions and fees related to the transaction
I.1 for servicing
I.2 for other services
J. Other charges
J.1 Additional positive returns for exposure junior
J.2 Other costs
TOTAL COSTS (H+I+J)
K. Interest generated by securitised assets
L. Interest income on derivatives
M. Other revenues
M.1 Additional returns for exposure junior
M.2 Other revenues
TOTAL REVENUES (K+L+M)
PROFIT (LOSS) FOR THE PERIOD
302 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
continued C.6 Regulatory consolidation - Consolidated securitisation vehicles
SPECIAL PURPOSE VEHICLE
COUNTRY OF INCORPORATION
A. Securitised assets
A.1 Loans
A.2 Bonds
B. Loans disbursed
C. Use of liquid assets resulting from loan operations
C.1 Loans (including bank current account)
C.2 Bonds
D. Other assets
D.1 Derivatives
D.2 Other assets
TOTAL ASSETS (A+B+C+D)
E. Bond issued
E.1 Senior
E.2 Mezzanine
E.3 Junior
F. Loans received
F.1 Senior
F.2 Mezzanine
F.3 Junior
G. Other liabilities
G.1 Derivatives
G.2 Due to originator
G.3 Other liabilities
G.4 Own funds
TOTAL LIABILITIES (E+F+G)
H. Interest expense
H.1 Interest expense on bond issued
H.2 Interest expense on loans received
H.3 Interest expense on derivatives
I. Commissions and fees related to the transaction
I.1 for servicing
I.2 for other services
J. Other charges
J.1 Additional positive returns for exposure junior
J.2 Other costs
TOTAL COSTS (H+I+J)
K. Interest generated by securitised assets
L. Interest income on derivatives
M. Other revenues
M.1 Additional returns for exposure junior
M.2 Other revenues
TOTAL REVENUES (K+L+M)
PROFIT (LOSS) FOR THE PERIOD
12.31.2019
(€ million)
ELEKTRA PURCHASE
N.32 S.A. -
COMPARTMENT 1
ELEKTRA PURCHASE
N.33 DAC
ELEKTRA PURCHASE
N.34 DAC
52-54 Avenue du X
Septembre, L-2550
Luxembourg
1-2 Victoria Buildings,
Haddington Road,
Dublin 4, D04 XN32,
Ireland
1-2 Victoria Buildings,
Haddington Road,
Dublin 4, D04 XN32,
Ireland
242
242
-
0
-
-
-
-
-
-
242
-
-
-
-
242
242
-
-
0
-
-
0
0
242
1
-
1
-
1
1
-
0
-
0
2
2
-
-
-
-
2
-
169
169
-
0
-
-
-
0
-
0
169
-
-
-
-
169
169
-
-
0
-
-
0
0
169
4
-
4
-
2
2
-
-
-
-
6
6
-
-
-
-
6
-
105
105
-
0
-
-
-
0
-
0
105
-
-
-
-
105
105
-
-
0
-
-
0
0
105
0
-
0
-
2
2
-
-
-
-
2
2
-
-
-
-
2
0
UniCredit ·2019 Annual Report and Accounts 303
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
continued C.6 Regulatory consolidation - Consolidated securitisation vehicles
12.31.2019
(€ million)
SPECIAL PURPOSE VEHICLE
ELEKTRA PURCHASE
N.36 DAC
ELEKTRA PURCHASE
N.37 DAC
ELEKTRA PURCHASE
N.38 DAC
1-2 Victoria Buildings,
Haddington Road,
Dublin 4, D04 XN32,
Ireland
1-2 Victoria Buildings,
Haddington Road,
Dublin 4, D04 XN32,
Ireland
1-2 Victoria Buildings,
Haddington Road,
Dublin 4, D04 XN32,
Ireland
500
500
-
0
-
-
-
0
-
0
500
-
-
-
-
500
500
-
-
0
-
-
0
0
500
0
-
0
-
1
1
-
-
-
-
1
1
-
-
-
-
1
0
92
92
-
0
-
-
-
0
-
0
92
-
-
-
-
92
92
-
-
0
-
-
0
0
92
0
-
0
-
0
0
-
-
-
-
1
1
-
-
-
-
1
0
107
107
-
0
-
-
-
0
-
0
107
-
-
-
-
107
107
-
-
0
-
-
0
0
107
1
-
1
-
1
1
-
-
-
-
2
2
-
-
-
-
2
0
COUNTRY OF INCORPORATION
A. Securitised assets
A.1 Loans
A.2 Bonds
B. Loans disbursed
C. Use of liquid assets resulting from loan operations
C.1 Loans (including bank current account)
C.2 Bonds
D. Other assets
D.1 Derivatives
D.2 Other assets
TOTAL ASSETS (A+B+C+D)
E. Bond issued
E.1 Senior
E.2 Mezzanine
E.3 Junior
F. Loans received
F.1 Senior
F.2 Mezzanine
F.3 Junior
G. Other liabilities
G.1 Derivatives
G.2 Due to originator
G.3 Other liabilities
G.4 Own funds
TOTAL LIABILITIES (E+F+G)
H. Interest expense
H.1 Interest expense on bond issued
H.2 Interest expense on loans received
H.3 Interest expense on derivatives
I. Commissions and fees related to the transaction
I.1 for servicing
I.2 for other services
J. Other charges
J.1 Additional positive returns for exposure junior
J.2 Other costs
TOTAL COSTS (H+I+J)
K. Interest generated by securitised assets
L. Interest income on derivatives
M. Other revenues
M.1 Additional returns for exposure junior
M.2 Other revenues
TOTAL REVENUES (K+L+M)
PROFIT (LOSS) FOR THE PERIOD
304 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
continued C.6 Regulatory consolidation - Consolidated securitisation vehicles
12.31.2019
(€ million)
SPECIAL PURPOSE VEHICLE
ELEKTRA PURCHASE
N.39 DAC
ELEKTRA PURCHASE
N.41 DAC
ELEKTRA PURCHASE
N.43 DAC
COUNTRY OF INCORPORATION
A. Securitised assets
A.1 Loans
A.2 Bonds
B. Loans disbursed
C. Use of liquid assets resulting from loan operations
C.1 Loans (including bank current account)
C.2 Bonds
D. Other assets
D.1 Derivatives
D.2 Other assets
TOTAL ASSETS (A+B+C+D)
E. Bond issued
E.1 Senior
E.2 Mezzanine
E.3 Junior
F. Loans received
F.1 Senior
F.2 Mezzanine
F.3 Junior
G. Other liabilities
G.1 Derivatives
G.2 Due to originator
G.3 Other liabilities
G.4 Own funds
TOTAL LIABILITIES (E+F+G)
H. Interest expense
H.1 Interest expense on bond issued
H.2 Interest expense on loans received
H.3 Interest expense on derivatives
I. Commissions and fees related to the transaction
I.1 for servicing
I.2 for other services
J. Other charges
J.1 Additional positive returns for exposure junior
J.2 Other costs
TOTAL COSTS (H+I+J)
K. Interest generated by securitised assets
L. Interest income on derivatives
M. Other revenues
M.1 Additional returns for exposure junior
M.2 Other revenues
TOTAL REVENUES (K+L+M)
PROFIT (LOSS) FOR THE PERIOD
1-2 Victoria Buildings,
Haddington Road,
Dublin 4, D04 XN32,
Ireland
1-2 Victoria Buildings,
Haddington Road,
Dublin 4, D04 XN32,
Ireland
1-2 Victoria Buildings,
Haddington Road,
Dublin 4, D04 XN32,
Ireland
410
410
-
0
-
-
-
0
-
0
410
410
410
-
-
-
-
-
-
0
-
-
0
0
410
1
-
1
-
2
2
-
-
-
-
3
3
-
-
-
-
3
-
47
47
-
0
-
-
-
0
-
0
47
-
-
-
-
47
47
-
-
0
-
-
0
0
47
0
-
0
-
1
1
-
-
-
-
1
1
-
-
-
-
1
0
250
250
-
0
-
-
-
0
-
0
250
250
250
-
-
-
-
-
-
0
-
-
0
0
250
0
-
0
-
1
1
-
-
-
-
1
1
-
-
-
-
1
0
UniCredit ·2019 Annual Report and Accounts 305
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
continued C.6 Regulatory consolidation - Consolidated securitisation vehicles
12.31.2019
(€ million)
SPECIAL PURPOSE VEHICLE
ELEKTRA PURCHASE
N.44 DAC
ELEKTRA PURCHASE
N.46 DAC
ELEKTRA PURCHASE
N.54 DAC
11-12 Warrington
Place; Dublin 2
1-2 Victoria Buildings,
Haddington Road,
Dublin 4, D04 XN32,
Ireland
Haddington Road, 1-2
Victoria Buildings, D04
XN32 Dublin
100
100
-
0
-
-
-
0
-
0
100
-
-
-
-
100
100
-
-
0
-
-
0
0
100
0
-
0
-
1
1
-
-
-
-
1
1
-
-
-
-
1
0
27
27
-
0
-
-
-
0
-
0
27
-
-
-
-
27
27
-
-
0
-
-
0
0
27
0
-
0
-
1
1
-
-
-
-
1
1
-
-
-
-
1
0
45
45
-
0
-
-
-
0
-
0
45
-
-
-
-
45
45
-
-
0
-
-
0
0
45
0
-
0
-
1
1
-
-
-
-
1
1
-
-
-
-
1
-
COUNTRY OF INCORPORATION
A. Securitised assets
A.1 Loans
A.2 Bonds
B. Loans disbursed
C. Use of liquid assets resulting from loan operations
C.1 Loans (including bank current account)
C.2 Bonds
D. Other assets
D.1 Derivatives
D.2 Other assets
TOTAL ASSETS (A+B+C+D)
E. Bond issued
E.1 Senior
E.2 Mezzanine
E.3 Junior
F. Loans received
F.1 Senior
F.2 Mezzanine
F.3 Junior
G. Other liabilities
G.1 Derivatives
G.2 Due to originator
G.3 Other liabilities
G.4 Own funds
TOTAL LIABILITIES (E+F+G)
H. Interest expense
H.1 Interest expense on bond issued
H.2 Interest expense on loans received
H.3 Interest expense on derivatives
I. Commissions and fees related to the transaction
I.1 for servicing
I.2 for other services
J. Other charges
J.1 Additional positive returns for exposure junior
J.2 Other costs
TOTAL COSTS (H+I+J)
K. Interest generated by securitised assets
L. Interest income on derivatives
M. Other revenues
M.1 Additional returns for exposure junior
M.2 Other revenues
TOTAL REVENUES (K+L+M)
PROFIT (LOSS) FOR THE PERIOD
306 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
continued C.6 Regulatory consolidation - Consolidated securitisation vehicles
12.31.2019
(€ million)
SPECIAL PURPOSE VEHICLE
ELEKTRA PURCHASE
N.55 DAC
ELEKTRA PURCHASE
N.56 DAC
ELEKTRA PURCHASE
N.57 DAC
COUNTRY OF INCORPORATION
Haddington Road, 2
Victoria Buildings, D04
XN32, Dublin 4
1-2 Victoria Buildings,
4 Dublin
1-2 Victoria Buildings,
4 Dublin
A. Securitised assets
A.1 Loans
A.2 Bonds
B. Loans disbursed
C. Use of liquid assets resulting from loan operations
C.1 Loans (including bank current account)
C.2 Bonds
D. Other assets
D.1 Derivatives
D.2 Other assets
TOTAL ASSETS (A+B+C+D)
E. Bond issued
E.1 Senior
E.2 Mezzanine
E.3 Junior
F. Loans received
F.1 Senior
F.2 Mezzanine
F.3 Junior
G. Other liabilities
G.1 Derivatives
G.2 Due to originator
G.3 Other liabilities
G.4 Own funds
TOTAL LIABILITIES (E+F+G)
H. Interest expense
H.1 Interest expense on bond issued
H.2 Interest expense on loans received
H.3 Interest expense on derivatives
I. Commissions and fees related to the transaction
I.1 for servicing
I.2 for other services
J. Other charges
J.1 Additional positive returns for exposure junior
J.2 Other costs
TOTAL COSTS (H+I+J)
K. Interest generated by securitised assets
L. Interest income on derivatives
M. Other revenues
M.1 Additional returns for exposure junior
M.2 Other revenues
TOTAL REVENUES (K+L+M)
PROFIT (LOSS) FOR THE PERIOD
126
126
-
0
-
-
-
0
-
0
126
-
-
-
-
126
126
-
-
0
-
-
0
0
126
0
-
0
-
0
0
-
-
-
-
1
1
-
-
-
-
1
0
235
235
-
0
-
-
-
0
-
0
235
-
-
-
-
235
235
-
-
0
-
-
0
0
235
6
-
6
-
1
1
-
-
-
-
6
6
-
-
-
-
6
-
437
437
-
0
-
-
-
3
3
-
440
-
-
-
-
437
437
-
-
3
-
-
3
0
440
1
-
1
-
0
0
-
-
-
-
1
1
-
-
-
-
1
-
UniCredit ·2019 Annual Report and Accounts 307
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
continued C.6 Regulatory consolidation - Consolidated securitisation vehicles
12.31.2019
(€ million)
SPECIAL PURPOSE VEHICLE
ELEKTRA PURCHASE
N.63 DAC
ELEKTRA PURCHASE
N.64 DAC
ELEKTRA PURCHASE
N.71 DAC
1-2 Victoria Buildings,
Haddington Road,
Dublin 4, D04 XN32,
Ireland
Haddington Road; 1-2
Victoria Building; 4;
Dublin
Haddington Road; 1-2
Victoria Buildings;
D04XN32; Dublin
230
230
-
0
-
-
-
0
-
0
230
-
-
-
-
230
230
-
-
0
-
-
0
0
230
0
-
0
-
0
0
-
-
-
-
1
1
-
-
-
-
1
-
248
248
-
-
-
-
-
0
-
0
248
248
248
-
-
-
-
-
-
0
-
-
0
0
248
0
-
0
-
0
0
-
-
-
-
0
0
-
-
-
-
0
-
47
47
-
-
-
-
-
0
-
0
47
-
-
-
-
47
47
-
-
0
-
-
-
0
47
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
COUNTRY OF INCORPORATION
A. Securitised assets
A.1 Loans
A.2 Bonds
B. Loans disbursed
C. Use of liquid assets resulting from loan operations
C.1 Loans (including bank current account)
C.2 Bonds
D. Other assets
D.1 Derivatives
D.2 Other assets
TOTAL ASSETS (A+B+C+D)
E. Bond issued
E.1 Senior
E.2 Mezzanine
E.3 Junior
F. Loans received
F.1 Senior
F.2 Mezzanine
F.3 Junior
G. Other liabilities
G.1 Derivatives
G.2 Due to originator
G.3 Other liabilities
G.4 Own funds
TOTAL LIABILITIES (E+F+G)
H. Interest expense
H.1 Interest expense on bond issued
H.2 Interest expense on loans received
H.3 Interest expense on derivatives
I. Commissions and fees related to the transaction
I.1 for servicing
I.2 for other services
J. Other charges
J.1 Additional positive returns for exposure junior
J.2 Other costs
TOTAL COSTS (H+I+J)
K. Interest generated by securitised assets
L. Interest income on derivatives
M. Other revenues
M.1 Additional returns for exposure junior
M.2 Other revenues
TOTAL REVENUES (K+L+M)
PROFIT (LOSS) FOR THE PERIOD
308 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
continued C.6 Regulatory consolidation - Consolidated securitisation vehicles
12.31.2019
(€ million)
SPECIAL PURPOSE VEHICLE
ELEKTRA PURCHASE
N.718 DAC
ELEKTRA PURCHASE
N.911 LTD
F-E MORTGAGES S.R.L.
- 2003
COUNTRY OF INCORPORATION
A. Securitised assets
A.1 Loans
A.2 Bonds
B. Loans disbursed
C. Use of liquid assets resulting from loan operations
C.1 Loans (including bank current account)
C.2 Bonds
D. Other assets
D.1 Derivatives
D.2 Other assets
TOTAL ASSETS (A+B+C+D)
E. Bond issued
E.1 Senior
E.2 Mezzanine
E.3 Junior
F. Loans received
F.1 Senior
F.2 Mezzanine
F.3 Junior
G. Other liabilities
G.1 Derivatives
G.2 Due to originator
G.3 Other liabilities
G.4 Own funds
TOTAL LIABILITIES (E+F+G)
H. Interest expense
H.1 Interest expense on bond issued
H.2 Interest expense on loans received
H.3 Interest expense on derivatives
I. Commissions and fees related to the transaction
I.1 for servicing
I.2 for other services
J. Other charges
J.1 Additional positive returns for exposure junior
J.2 Other costs
TOTAL COSTS (H+I+J)
K. Interest generated by securitised assets
L. Interest income on derivatives
M. Other revenues
M.1 Additional returns for exposure junior
M.2 Other revenues
TOTAL REVENUES (K+L+M)
PROFIT (LOSS) FOR THE PERIOD
1-2 Victoria Buildings,
Haddington Road,
Dublin 4, D04 XN32,
Ireland
Ogier House, The
Esplanade, St. Helier,
JE4 9WG, Jersey
Piazzetta Monte 1,
37121 Verona
350
350
-
0
-
-
-
0
-
0
350
-
-
-
-
350
350
-
-
0
-
-
0
0
350
14
-
14
-
1
1
-
-
-
-
15
15
-
-
-
-
15
0
360
360
-
0
-
-
-
-
-
-
360
-
-
-
-
360
360
-
-
0
-
-
-
0
360
1
-
1
-
1
1
-
-
-
-
2
2
-
-
-
-
2
0
91
91
-
-
26
26
-
0
0
0
117
65
-
57
8
22
22
-
-
30
-
27
3
-
117
1
1
0
-
0
0
0
3
-
3
4
1
1
2
1
1
4
-
UniCredit ·2019 Annual Report and Accounts 309
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
continued C.6 Regulatory consolidation-– Consolidated securitisation vehicles
12.31.2019
(€ million)
SPECIAL PURPOSE VEHICLE
F-E MORTGAGES S.R.L.
- 2005
HELICONUS S.R.L
Ice Creek Pool No. 1
DAC
Piazzetta Monte 1,
37121 Verona
Piazzetta Monte 1,
37121 Verona
1st Fl., 1-2 Victoria
Building; Haddington
Road; D04 XN32;
Dublin
153
153
-
-
13
13
-
0
-
0
167
134
65
37
32
-
-
-
-
33
0
28
4
-
167
1
0
-
1
0
0
0
6
-
6
7
2
-
5
4
1
7
-
45
45
-
-
13
13
-
0
0
0
58
36
-
27
9
10
10
-
-
12
-
11
0
-
58
0
0
0
-
0
0
0
1
-
1
2
1
0
1
0
0
2
-
164
164
-
0
-
-
-
-
-
-
164
-
-
-
-
164
164
-
-
0
-
-
0
0
164
1
-
1
-
1
1
-
0
-
0
2
2
-
0
-
0
2
0
COUNTRY OF INCORPORATION
A. Securitised assets
A.1 Loans
A.2 Bonds
B. Loans disbursed
C. Use of liquid assets resulting from loan operations
C.1 Loans (including bank current account)
C.2 Bonds
D. Other assets
D.1 Derivatives
D.2 Other assets
TOTAL ASSETS (A+B+C+D)
E. Bond issued
E.1 Senior
E.2 Mezzanine
E.3 Junior
F. Loans received
F.1 Senior
F.2 Mezzanine
F.3 Junior
G. Other liabilities
G.1 Derivatives
G.2 Due to originator
G.3 Other liabilities
G.4 Own funds
TOTAL LIABILITIES (E+F+G)
H. Interest expense
H.1 Interest expense on bond issued
H.2 Interest expense on loans received
H.3 Interest expense on derivatives
I. Commissions and fees related to the transaction
I.1 for servicing
I.2 for other services
J. Other charges
J.1 Additional positive returns for exposure junior
J.2 Other costs
TOTAL COSTS (H+I+J)
K. Interest generated by securitised assets
L. Interest income on derivatives
M. Other revenues
M.1 Additional returns for exposure junior
M.2 Other revenues
TOTAL REVENUES (K+L+M)
PROFIT (LOSS) FOR THE PERIOD
310 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
continued C.6 Regulatory consolidation - Consolidated securitisation vehicles
SPECIAL PURPOSE VEHICLE
COUNTRY OF INCORPORATION
A. Securitised assets
A.1 Loans
A.2 Bonds
B. Loans disbursed
C. Use of liquid assets resulting from loan operations
C.1 Loans (including bank current account)
C.2 Bonds
D. Other assets
D.1 Derivatives
D.2 Other assets
TOTAL ASSETS (A+B+C+D)
E. Bond issued
E.1 Senior
E.2 Mezzanine
E.3 Junior
F. Loans received
F.1 Senior
F.2 Mezzanine
F.3 Junior
G. Other liabilities
G.1 Derivatives
G.2 Due to originator
G.3 Other liabilities
G.4 Own funds
TOTAL LIABILITIES (E+F+G)
H. Interest expense
H.1 Interest expense on bond issued
H.2 Interest expense on loans received
H.3 Interest expense on derivatives
I. Commissions and fees related to the transaction
I.1 for servicing
I.2 for other services
J. Other charges
J.1 Additional positive returns for exposure junior
J.2 Other costs
TOTAL COSTS (H+I+J)
K. Interest generated by securitised assets
L. Interest income on derivatives
M. Other revenues
M.1 Additional returns for exposure junior
M.2 Other revenues
TOTAL REVENUES (K+L+M)
PROFIT (LOSS) FOR THE PERIOD
(€ million)
12.31.2019
LARGE CORPORATE
ONE SRL
SUCCESS 2015 B.V.
Piazzetta Monte 1,
37121 Verona
Barbara Strozzilaan
101, 1083HN
Amsterdam
157
157
-
-
120
120
-
10
1
9
287
289
251
-
38
6
6
-
-
-8
-
-8
0
-
287
9
9
0
-
1
1
0
0
-
0
10
1
5
4
4
0
10
-
188
188
-
-
-
-
-
0
-
0
188
175
81
-
94
-
-
-
-
13
-
-
13
-
188
2
2
-
-
1
1
-
3
3
0
6
6
-
-
-
-
6
-
UniCredit ·2019 Annual Report and Accounts 311
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
D. Sales Transactions
A. Financial assets sold and not fully derecognised
Quantitative information
D.1 Regulatory consolidation - Financial assets sold and fully recognised and associated financial liabilities: book value
FINANCIAL ASSETS SOLD AND FULLY RECOGNISED
ASSOCIATED FINANCIAL LIABILITIES
OF WHICH:
SUBJECT TO
SECURITISATION
TRANSACTION
BOOK VALUE
OF WHICH:
SUBJECT TO
SALE
AGREEMENT
WITH
REPURCHASE
OBLIGATION
OF WHICH NON-
PERFORMING
BOOK VALUE
OF WHICH:
SUBJECT TO
SECURITISATION
TRANSACTION
OF WHICH:
SUBJECT TO
SALE
AGREEMENT
WITH
REPURCHASE
OBLIGATION
(€ million)
2,487
2,487
-
-
-
2,000
1,973
-
27
-
-
-
18,055
18,055
-
-
42,711
21,318
21,393
65,253
65,598
-
-
-
-
-
338
311
-
27
-
-
-
-
-
-
-
29,556
8,471
21,085
29,894
21,084
2,487
2,487
-
-
-
1,662
1,662
-
-
-
-
-
18,055
18,055
-
-
12,847
12,847
-
35,051
42,338
X
X
X
X
X
8
-
X
8
-
-
-
-
-
X
-
976
-
976
984
868
2,473
2,473
-
-
-
1,632
1,632
-
-
-
-
-
16,916
16,916
-
-
11,981
10,715
1,266
33,002
42,230
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
1,266
-
1,266
1,266
1,870
2,473
2,473
-
-
-
1,632
1,632
-
-
-
-
-
16,916
16,916
-
-
10,715
10,715
-
31,736
38,526
A. Financial assets held for trading
1. Debt securties
2. Equity instruments
3. Loans
4. Derivative instruments
B. Other financial assets mandatorily at fair value
1. Debt securties
2. Equity instruments
3. Loans
C. Financial assets designated at fair value
1. Debt securties
2. Loans
D. Financial assets at fair value through other
comprehensive income
1. Debt securties
2. Equity instruments
3. Loans
E. Financial assets at amortised cost
1. Debt securties
2. Loans
Total 12.31.2019
Total 12.31.2018
312 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
D.2 Regulatory consolidation - Financial assets sold and partially recognised and associated financial liabilities: book value
A. Finanacial assets held for trading
1. Debt securties
2. Equity instruments
3. Loans
4. Derivative instruments
B. Other financial assets mandatory at fair value
1. Debt securties
2. Equity instruments
3. Loans
C. Financial assets designated at fair value
1. Debt securties
2. Loans
D. Financial assets at fair value through other comprehensive
income
1. Debt securties
2. Equity instruments
3. Loans
E. Financial assets at amortised cost
1. Debt securties
2. Loans
Total
Total
12.31.2019
12.31.2018
ORIGINAL GROSS VALUE
OF ASSETS BEFORE SALE
-
-
-
-
-
-
-
-
-
-
-
-
BOOK VALUE OF ASSETS
STILL PARTIALLY
RECOGNISED
-
-
-
-
-
-
-
-
-
-
-
-
(€ million)
BOOK VALUE OF
ASSOCIATED FINANCIAL
LIABILITIES
-
-
-
-
-
-
-
-
-
-
-
-
OF WHICH NON-
PERFORMING
X
X
X
X
X
-
-
X
-
-
-
-
-
-
-
-
60
-
60
60
60
-
-
-
-
33
-
33
33
30
-
-
X
-
33
-
33
33
30
-
-
-
-
8
-
8
8
6
D.3 Regulatory consolidation - Sale transactions relating to financial liabilities with repayment exclusively based on assets sold and
not fully derecognised: fair value
A. Financial assets held for trading
1. Debt securties
2. Equity instruments
3. Loans
4. Derivative instruments
B. Other financial assets mandatorily at fair value
1. Debt securties
2. Equity instruments
3. Loans
C. Financial assets designated at fair value
1. Debt securties
2. Loans
D. Financial assets at fair value through other comprehensive
income
1. Debt securties
2. Equity instruments
3. Loans
E. Financial assets at amortised cost (fair value)
1. Debt securties
2. Loans
Total associated financial assets
Total associated financial liabilities
Total net amount
Total net amount
12.31.2019
12.31.2018
FULLY
PARTIALLY
TOTAL
RECOGNISED
-
-
-
-
-
338
311
-
27
-
-
-
-
-
-
-
30,396
8,471
21,925
30,734
1,133
29,601
18,354
RECOGNISED
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
32
-
32
32
8
24
22
12.31.2019
-
-
-
-
-
338
311
-
27
-
-
-
-
-
-
-
30,428
8,471
21,957
30,766
X
29,625
X
(€ million)
12.31.2018
-
-
-
-
-
335
312
-
23
-
-
-
403
403
-
-
21,348
8,471
12,877
22,086
X
X
18,376
UniCredit ·2019 Annual Report and Accounts 313
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
B. Financial assets sold and fully derecognised with recognition of continuous involvement
Qualitative and quantitative information
At the end of the year there were no disposals of financial assets that had been fully derecognised, which required the recognition of continuing
involvement.
C. Financial assets sold and fully derecognised
Quantitative information
Following Banca d’Italia’s communication dated 23 December 2019 to the title "Financial statements of banks and financial entities closed or in
progress as of 31 December 2019", this is the quantitative information requested regarding the sales of financial assets to Investment Funds,
receiving as consideration units issued by the same Funds.
For more information on these transactions, refer to Annex 4 - Sales of financial assets to Investment Funds, receiving as consideration units issued
by the same Funds - qualitative tables.
C. Regulatory Consolidation - Financial assets sold and fully derecognised
A. Financial assets held for trading
1. Debt securities
2. Equity instruments
3. Loans
4. Derivative instruments
B. Other financial assets mandatorily at fair value
1. Debt securities
2. Equity instruments
3. Loans
C. Financial assets designated at fair value
1. Debt securities
2. Loans
D. Financial assets at fair value through other comprehensive income
1. Debt securities
2. Equity instruments
3. Loans
E. Financial assets at amortised cost
1. Debt securities
2. Loans
Total 12.31.2019
ORIGINAL BOOK VALUE
OF ASSETS BEFORE SALE
-
-
-
-
-
-
-
-
-
-
-
-
6
-
6
-
253
-
253
259
OF WHICH NON-
PERFORMING
X
X
X
X
X
-
-
X
-
-
-
-
-
-
X
-
253
-
253
253
(€ million)
BOOK VALUE OF THE
UNITS OF THE FUND
UNDERWRITTEN
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
260
-
260
260
The units of Investment Funds underwritten are classified in the portfolio Financial assets mandatorily at fair value.
D.4 Regulatory consolidation - Covered Bond Transactions
In 2008 the Group initiated a first Covered Bond (OBG or Obbligazioni Bancarie Garantite) Programme with residential mortgage loans as the
underlying assets and in 2012 a second Covered Bond Programme with both residential and commercial mortgage loans as underlying assets, in
line with Law 130/99, the MEF decree dated 14 December 2006 and Banca d’Italia instructions dated 17 May 2007 as amended on 24 March 2010
and on 24 June 2014.
Under these programmes:
UniCredit S.p.A. is issuer and also acts as transferor of suitable assets and servicer;
UniCredit BpC Mortgage S.r.l. and UniCredit OBG S.r.l. (special purpose vehicles set up within the banking group as expressly authorised by
Banca d’Italia) are guarantors of the OBG holders of the first and the second programme respectively, within the limits of the cover pools; and
the auditing firm BDO Italia S.p.A. is Asset Monitor for both the programmes.
The first programme, guaranteed by UniCredit BpC Mortgage S.r.l., is characterized by a Soft Bullet method34 of reimbursement and is rated by
Fitch (AA), S&P (AA-), Moody’s (Aa3).
The second programme, guaranteed by UniCredit OBG S.r.l., is characterized by a Conditional Pass-Through method35 of reimbursement and is
rated by Moody’s (Aa3).
34 Soft Bullet repayment method: in case the issuer is insolvent and the OBG guarantor has insufficient funds to repay in full the OBG at the maturity date, the maturity date is automatically extended by 1 year and any
unpaid and due amount shall be payable by such date. In case the OBG guarantor is not able to redeem the OBG at the extended maturity all the outstanding OBG become due and payable and the guarantor has to sale
the whole underlying portfolio.
314 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
The Group’s main aims in issuing OBGs are to diversify its funding sources and fund at competitive rates. As with the securitisations, the difficulties
in the markets made it advisable to use securitisation as a means of increasing the Group’s counterbalancing capacity by retaining with the Group
part of the securities issued by the vehicle.
An integral feature of OBG Programme management is maintaining a balance between the characteristics of the assets sold and the issues. This is
necessary to maintain the efficacy of the guarantee given by the SPV to the bondholders.
Given the complexity of the transaction, a system of first- and second-level controls and procedures has been set up, as required by Banca d’Italia
instructions, to identify units, functions, duties and responsibilities, and specific policies have been issued to this end.
The policies were as approved by the competent committees, the Statutory Auditors and the Board of Directors of UniCredit S.p.A.
As required by Banca d’Italia instructions on controls:
UniCredit’s Risk Management function is charged with the management of the issuer’s risks and checks:
- the quality, suitability and integrity of the assets sold to guarantee the OBGs;
- that the maximum ratio of OBGs issued to assets sold to guarantee them is adhered to;
- that limits on sales and supplementary sales procedures are followed;
- the effectiveness and adequacy of the hedges provided by any derivatives contracts entered into in relation to the Programme; and
- the trend in the balance between the cash flow arising from the cover pool and that absorbed by the OBGs in issue;
the Asset Monitor is an outside independent entity charged with checking at least annually the regularity of the transactions and the integrity of the
guarantee to the bondholders;
UniCredit’s internal audit department is responsible for a complete audit (to be conducted at least once a year) of the adequacy of the controls
performed;
the results of the audits performed by the Asset Monitor and the issuer’s internal audit department are submitted to the governing bodies.
At 31 December 2019 the series of covered bonds issued under the two programmes totalled 35 and were worth €30,656 million, of which €21,500
million was repurchased by UniCredit S.p.A.
NAME
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Book value of the underlying assets at the end of accounting period (€ million):
Covered Bonds issued at the end of accounting period (€ million):
Other Credit Enhancements:
Rating Agencies:
Rating:
COVERED BONDS (OBBLIGAZIONI BANCARIE GARANTITE)
UniCredit S.p.A. (formerly UniCredit Family Financing Bank S.p.A.)
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit Bank AG, London Branch
Funding
Private Mortgage loans
performing
8,447
6,606
UniCredit S.p.A. has granted SPV a subordinated loans of total €9.445
million.
S & P - Moody's - Fitch
AA- (since 03/20/2017) - Aa3 (since 10/24/2018) - AA (since 04/27/2017)
35 Conditional pass-through repayment method: in case the issuer is insolvent and the OBG guarantor has insufficient funds to repay in full the OBG at the maturity date, the OBG turns in to “pass-through” and the maturity
date is extended by 38 years. During the extended period the OBG guarantor has the option to attempt a selected sale of the underlying portfolio every 6 months in order to redeem the pass-through OBG..
UniCredit ·2019 Annual Report and Accounts 315
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
NAME
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Book value of the underlying assets at the end of accounting period (€ million):
Covered Bonds issued at the end of accounting period (€ million):
Other Credit Enhancements:
Rating Agencies:
Rating:
COVERED BONDS (OBBLIGAZIONI BANCARIE GARANTITE) II PROGRAMME
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit Bank AG, London Branch
Funding - Counterbalancing Capacity
Private Mortgage loans
Performing
24,629
24,050
UniCredit S.p.A. has granted SPV a subordinated loan of total €27,031
million.
Moody's
Aa3 (Since 10/24/2018)
Information on Sovereign Exposures
It should be reminded that, as a result of IFRS9 adoption since 1 January 2018, Sovereign debt securities are classified in the categories specified
by the standard in consideration of the business model followed and the related cash flow features (Solely Payment of Principal and Interests - SPPI
Test).
It should also be reminded that starting from 2018 the changed market circumstances also suggested the adoption of a "held to collect" business
model for new purchases of Italian sovereign debt securities which, consequently, have to be measured at amortised cost subject to verification of
the features of the related cash flows. Finally, it should be noted that no changes have been made to the business models adopted as at 1 January
2018 and, consequently, the sovereign debt securities have not been subject to subsequent reclassification.
With reference to the Group’s sovereign exposures36, the book value of sovereign debt securities as at 31 December 2019 amounted to €105,370
million37, of which about 88% concentrated in eight countries; Italy, with €43,849 million, represents about 42% of the total. For each of the eight
countries, the following table shows the nominal value, the book value and the fair value of the exposures broken down by portfolio as at 31
December 2019.
36 Sovereign exposures are bonds issued by and loans given to central and local governments and governmental bodies. ABSs are not included.
37 Information on Sovereign exposures refers to the scope of the UniCredit Consolidated financial statements as at 31 December 2019, determined under IAS/IFRS.
Based on these accounting principles, the Koç/Yapi Kredi Group (Turkey), being subject to joint control (for further information see Part B - “Section 7 - Equity Investments - Item 70” chapter “Reduction of UniCredit stake in
Yapi Kredi Bank below 32%”), is consolidated using the equity method and therefore the Sovereign exposures of the mentioned Group are not included in this section.
For information on Sovereign exposures with reference to the regulatory scope of consolidation see UniCredit Group Disclosure (Pillar III) as at 31 December 2019 - Credit Risk.
316 2019 Annual Report and Accounts · UniCredit
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Part E - Information on risks and hedging policies
Breakdown of sovereign debt securities by country and portfolio
AMOUNTS AS AT 12.31.2019
COUNTRY/PORTFOLIO
- Italy
financial assets/liabilities held for trading (net exposure*)
financial assets designated at fair value
financial assets mandatorily at fair value
financial assets at fair value through other comprehensive income
financial assets at amortised cost
- Spain
financial assets/liabilities held for trading (net exposure*)
financial assets designated at fair value
financial assets mandatorily at fair value
financial assets at fair value through other comprehensive income
financial assets at amortised cost
- Germany
financial assets/liabilities held for trading (net exposure*)
financial assets designated at fair value
financial assets mandatorily at fair value
financial assets at fair value through other comprehensive income
financial assets at amortised cost
- Japan
financial assets/liabilities held for trading (net exposure*)
financial assets designated at fair value
financial assets mandatorily at fair value
financial assets at fair value through other comprehensive income
financial assets at amortised cost
- Austria
financial assets/liabilities held for trading (net exposure*)
financial assets designated at fair value
financial assets mandatorily at fair value
financial assets at fair value through other comprehensive income
financial assets at amortised cost
- United States of America
financial assets/liabilities held for trading (net exposure*)
financial assets designated at fair value
financial assets mandatorily at fair value
financial assets at fair value through other comprehensive income
financial assets at amortised cost
- Romania
financial assets/liabilities held for trading (net exposure*)
financial assets designated at fair value
financial assets mandatorily at fair value
financial assets at fair value through other comprehensive income
financial assets at amortised cost
- Hungary
financial assets/liabilities held for trading (net exposure*)
financial assets designated at fair value
financial assets mandatorily at fair value
financial assets at fair value through other comprehensive income
financial assets at amortised cost
Total on-balance sheet exposures
Notes:
(*) Including exposures in Credit Derivatives.
Negative amount indicates the prevalence of liabilities positions.
NOMINAL VALUE
42,238
(505)
-
50
19,543
23,150
16,023
81
-
-
11,144
4,798
11,019
(40)
-
7,510
2,514
1,035
6,178
-
-
-
3,110
3,068
5,119
102
-
105
4,819
93
3,610
126
-
-
3,484
-
2,010
107
-
-
1,903
-
1,750
68
-
-
1,465
217
87,947
BOOK VALUE
43,849
(981)
-
62
21,045
23,723
17,415
103
-
-
11,961
5,351
11,259
(42)
-
7,641
2,623
1,037
6,223
-
-
-
3,134
3,089
5,669
169
-
142
5,264
94
3,715
125
-
-
3,590
-
2,099
113
-
-
1,986
-
1,980
76
-
-
1,674
230
92,209
(€ million)
FAIR VALUE
44,691
(981)
-
62
21,045
24,565
17,429
103
-
-
11,961
5,365
11,299
(42)
-
7,641
2,623
1,077
6,226
-
-
-
3,134
3,092
5,673
169
-
142
5,264
98
3,715
125
-
-
3,590
-
2,099
113
-
-
1,986
-
1,981
76
-
-
1,674
231
93,113
UniCredit ·2019 Annual Report and Accounts 317
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Part E - Information on risks and hedging policies
The weighted duration of the sovereign bonds shown in the table above, divided by the banking38 and trading book, is the following:
Weighted duration
- Italy
- Spain
- Germany
- Japan
- Austria
- United States of America
- Romania
- Hungary
BANKING BOOK
TRADING BOOK
(years)
3.61
3.65
3.25
3.17
3.84
4.45
3.47
3.63
ASSETS
POSITIONS
2.82
14.77
5.41
0.95
11.40
0.74
4.18
6.08
LIABILITIES
POSITIONS
4.30
8.55
6.40
-
6.59
1.03
7.02
3.13
The remaining 12% of the total of sovereign debt securities, amounting to €13,161 million with reference to the book values as at 31 December
2019, is divided into 35 countries, including Bulgaria (€1,677 million), Croatia (€1,537 million), Czech Republic (€1,172 million), Poland (€1,033
million), Serbia (€922 million), France (€848 million) and Portugal (€556 million). The sovereign exposure to Greece is immaterial.
With respect to these exposures, as at 31 December 2019 there were no indications that impairment may have occurred.
It should also be noted that among the aforementioned remaining part of sovereign debt securities as at 31 December 2019 there are also debt
securities towards Supranational Organisations such as the European Union, the European Financial Stability Facility and the European Stability
Mechanism amounting to €3,065 million.
The table below shows the classification of bonds belonging to the banking book and their percentage proportion of the total of the portfolio under
which they are classified.
Breakdown of sovereign debt securities by portfolio (banking book)
FINANCIAL
ASSETS
DESIGNATED AT
FAIR VALUE
-
0.00%
FINANCIAL
ASSETS
MANDATORILY AT
FAIR VALUE
8,220
44.19%
AMOUNTS AS AT 12.31.2019
FINANCIAL ASSETS
AT
FAIR VALUE
THROUGH OTHER
COMPREHENSIVE
INCOME
62,693
78.66%
FINANCIAL
ASSETS AT
AMORTISED COST
34,120
5.45%
(€ million)
TOTAL
105,033
14.49%
Book value
% Portfolio
38 The banking book includes financial assets designated at fair value, those mandatorily at fair value, those at fair value through other comprehensive income and those at amortised cost.
318 2019 Annual Report and Accounts · UniCredit
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Part E - Information on risks and hedging policies
In addition to the exposures to sovereign debt securities, loans39 given to central and local governments and governmental bodies must be taken
into account.
The table below shows the total amount as at 31 December 2019 of loans booked in financial assets at amortised cost portfolio given to countries
towards which the overall exposure exceeds €130 million, representing over 92% of the total.
Breakdown of sovereign loans by country
COUNTRY
- Germany(*)
- Austria(**)
- Italy
- Croatia
- Qatar
- Hungary(***)
- Slovenia
- Indonesia
- Bulgaria
- Kenya
- Turkey
- Laos
- Bosnia and Herzegovina
Total on-balance sheet exposures
(€ million)
AMOUNTS AS AT
12.31.2019
BOOK VALUE
6,758
6,312
4,970
2,441
389
219
214
193
189
176
163
162
155
22,341
Notes:
(*) of which €2,744 million in financial assets held for trading and those mandatorily at fair value.
(**) of which €354 million in financial assets held for trading and those mandatorily at fair value.
(***) of which €10 million in financial assets mandatorily at fair value.
Lastly, it should be noted that derivatives are traded within the ISDA master agreement and accompanied by Credit Support Annexes, which provide
for the use of cash collaterals or low-risk eligible securities.
For more details on the sensitivity analysis of credit spreads and on the results of stress tests see the "Widespread Contagion", "Protectionism,
China slowdown & Turkey shock" and “US Hard Landing” scenarios in chapter Stress test of the Section 2.2 - Market risk below and for liquidity
management policies see Section 2.4 Liquidity risk below.
Other transactions
With reference to the indications of Banca d’Italia/Consob/IVASS document No.6 of 8 March 2013 - Booking of "long-term structured repos"
instructions, there are no transactions of this kind to report.
In addition, with reference to an investment of UniCredit S.p.A. in a debt security issued by the Italian Republic maturing on 30 August 2019 (ITALY
19EUR FRN) subscribed for during placement for a nominal amount of €750 million and classified in the “mandatorily-at-fair value” portfolio in
accordance with SPPI test result, a term repo (conducted in two stages) for a total nominal amount of €750 million, was completed in 2012 and
finally matured during the year.
At the same time, a 4.25% BTP maturing in September 2019 was purchased under a term reverse repo (conducted in 2 stages) for a total nominal
value of €750 million, with the economic purpose of obtaining the availability of more liquid securities (compared with the security ITALY 19EUR
FRN), with the same maturity and similar underlying risks, that has been used more easily for refinancing operations until the reverse repo maturity
during the year.
The term repo and the term reverse repo was subject to netting (whose value was collateralised by cash) in the event of the default of one of the two
counterparties or of the Italian Republic. This clause was accounted for as a financial guarantee issued, in accordance with the nature of the
commitments of the parties. The fair value at trade date, €22 million, was initially recorded in other liabilities and was amortised on a pro-rata basis
according to the current accounting rules.
39 Tax items are not included.
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Part E - Information on risks and hedging policies
Information on structured trading derivatives with customers and exposures in the renewable energy sector
1. OTC Trading derivatives with customers
The business model governing OTC derivatives trading with customers provides for the centralisation of market risk in the CIB Division - Markets
Area, while credit risk is assumed by the Group company which, under the divisional or geographical segmentation model, manages the relevant
customer’s account.
The Group’s operational model provides for customer trading derivatives business to be carried on, as part of each subsidiary’s operational
independence:
by the commercial banks and divisions that close transaction in OTC derivatives in order to provide non-institutional clients with products to
manage currency, interest-rate and price risk. Under these transactions, the commercial banks transfer their market risks to the CIB Division by
means of equal and opposite contracts, retaining only the relevant counterparty risk. The commercial banks also place or collect orders on behalf
of others for investment products with embedded derivatives (e.g. structured bonds);
by the CIB Division operating with large corporate and financial institutions, in respect of which it assumes and manages both market and
counterparty risk;
by CEE Banks, which transact business directly with their customers.
UniCredit group trades OTC derivatives on a wide range of underlying, e.g. interest rates, currency rates, share prices and indexes, commodities
(precious metals, base metals, petroleum and energy materials) and credit rights.
OTC derivatives offer considerable scope for personalisation: new payoff profiles can be constructed by combining several OTC derivatives (for
example, a plain vanilla IRS with one or more plain vanilla or exotic options). The risk and the complexity of the structures obtained in this manner
depend on the respective characteristics of the components (reference parameters and indexation mechanisms) and the way in which they are
combined.
Credit and market risk arising from OTC derivatives business is controlled by the Chief Risk Officer competence line (CRO) in the Parent and/or in
the Division or subsidiary involved. This control is carried out by means of guidelines and policies covering risk management, measurement and
controls in terms of principles, rules and processes, as well as by setting VaR limits.
The business with non-institutional clients does not (usually) entail the use of margin calls, whereas with institutional counterparties (dealt with by the
CIB Division) recourse may be made to ‘credit-risk mitigation’ (CRM) techniques, by using netting and/or collateral agreements.
Write-downs and write-backs of derivatives to take account of counterparty risk are determined in line with the procedure used to assess other credit
exposure, specifically:
performing exposure to customers are mapped by deriving EAD (Exposure at Default) that take into account the Wrong-Way Risk and measured
with PD (Probability of Default) and LGD (Loss Given Default) implied by current market default rates obtained from credit & loan-credit default
swaps, in order to obtain a value in terms of ‘expected loss’ (EL) to be used for items designated and measured at fair value maximising the usage
of market’s inputs;
non-performing positions are valued in terms of estimated expected future cash flows according to specific indications of impairment (which are
the basis for the calculation of the amount and timing of the cash flow).
Here follows the breakdown of balance-sheet asset item “20a. Financial assets held for trading” and of balance-sheet liability item “20. Financial
liabilities held for trading”.
For the purpose of the distinction between customers and banking counterparties, the definition contained in Banca d’Italia Circular 262 as for its 6th
update of 30 November 2018 (which was used for the preparation of the accounts) was used as a reference.
Structured products were defined as derivative contracts that incorporate in the same instrument forms of contracts that generate exposure to
several types of risk (with the exception of cross-currency swaps) and/or leverage effects.
Fair values of OTC derivatives managed through Central Clearing counterparts are reported on a net basis. The related reduction of balances is
€25,101 million and €29,569 million on trading asset and liabilities, respectively.
The balance of item “20. Financial assets held for trading” of the Consolidated accounts with regard to derivative contracts totaled €34,351 million
(with a notional value of €1,651,536 million) including €22,417 million with customers. The notional value of derivatives with customers amounted to
€1,050,908 million including €1,037,640 million in plain vanilla (with a fair value of €21,870 million) and €13,268 million in structured derivatives (with
a fair value of €547 million).
The notional value of derivatives with banking counterparties totaled €600,628 million (fair value of €11,934 million) including €18,592 million relating
to structured derivatives (fair value of €511 million).
The balance of item “20. Financial liabilities held for trading” of the consolidated accounts with regard to derivative contracts totaled €28,692 million
(with a notional value of €1,593,760 million) including €12,221 million with customers.
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Part E - Information on risks and hedging policies
The notional value of derivatives with customers amounted to €968,972 million including €963,047 million in plain vanilla (with a fair value of €12,044
million) and €5,925 million in structured derivatives (with a fair value of €177 million).
The notional value of derivatives with banking counterparties totaled €624,788 million (fair value of €16,471 million) including €10,960 million relating
to structured derivatives (fair value of €321 million).
2. Exposures in the renewable energy sector
Through Ocean Breeze Energy GmbH & Co. KG (OBKG), a fully consolidated subsidiary of UniCredit Bank AG, UniCredit group owned a wind farm
named BARD Offshore1 (BO1). For additional information see consolidated financial statements 2018.
According to management intention to proceed with the divestment and fulfilled IFRS5 requirements also in light of the signing, in August 2019 of an
agreement for the disposal, the exposures has been classified as at 30 June 2019 to “Non-current assets and disposal groups classified as held for
sale” and subsequently sold in December 2019 to Macquarie Infrastructure and Real Assets.
E. Prudential perimeter - Credit risk measurement models
As at 31 December 2019 the expected loss on the credit risk perimeter was 0.37% of total UniCredit Group credit exposure. The result does not
include the exposures which have migrated to default and therefore do not enter in the calculation of expected loss. Besides, since risk
measurement systems tend to be anti-cyclical, this may result in a smaller elasticity to the swift changes of the macroeconomic scenario.
As at 31 December 2019, the ratio between credit economic capital (including a component to cover migration risk) and its relative credit exposure
amount is 2.69%.
As far as UniCredit S.p.A. quantitative information, reference is made to the paragraph Part E - Notes to the accounts of the parent company
UniCredit S.p.A. Section 1 - Credit Risk - Quantitative information - F. Credit risk measurement models, which is herewith quoted entirely.
2.2 Market risk
Market risk derives from the effect that changes in market variables (interest rates, securities prices, exchange rates, etc.) can cause to the
economic value of the Group's portfolio, including the assets held both in the Trading book, as well as those posted in the Banking book, both on the
operations characteristically involved in commercial banking and in the choice of strategic investments. Market risk management within UniCredit
group accordingly includes all the activities relating to cash transactions and capital structure management, both for the Parent company, as well as
for the individual entities of the Group.
The current organisational model guarantees the ability to steer, coordinate and control the activities of some aggregated risks (so-called Portfolio
Risks), through dedicated responsibility centres (Portfolio Risk Managers), completely focused and specialised on such risks, under a Group and
interdivisional perspective.
According to this organisation, the structure at first level of reporting to "Group Risk Management", dedicated to market risk governance is the
"Group Financial Risk" department.
Risk management strategies and processes
The Parent company's Board of Directors lays down strategic guidelines for taking on market risks by calculating capital allocation for the Parent
company and its subsidiaries, depending on risk appetite and value creation objectives in proportion to the risks assumed.
The Parent company has defined Global Rules in order to manage and control market risk, including strategies and processes to be followed.
Market risk strategies are set by the Parent company at least on an annual basis, in line with the definition of the overall Group Risk appetite and
then cascaded to the legal entities. Market risk appetite is also fundamental for the development of the Group's business strategy, ensuring the
consistence between the budgeted revenues and the setting of Value-at-Risk limits.
In this context, on an annual basis Market Risk Management function of the Parent company agrees with the local Market Risk functions possible
changes to the Group Market Risk Framework. Changes to the Group Market Risk Framework can include changes to the perimeter for the
calculation of managerial market risk metrics and methodological changes in the limit monitoring framework.
For this purpose, Market Risk Management of the Parent company gathers the information needed to set up the Group Market Risk Strategy for the
following year. In particular, Group Market Risk Management receives from the competent function the Group Risk Appetite Framework, which sets,
among others, Market Risk KPIs and from local Market Risk functions the list of legal entities (LEs)/Business Lines allowed to assume market risk
exposures, the severities of the related limits and the proposals for the review of market risk levels.
Based on these inputs, the Group Market Risk strategy is defined including the following information:
the proposed Market Risk Takers Map;
limits and Warning Levels (WLs) proposal in accordance with the proposed Market Risk Takers Map;
any change occurred to the risk limit framework compared to the previous year;
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Part E - Information on risks and hedging policies
overview on the macro-economic scenario and related risks for the Group;
market risk RWA history and expected development;
market risk KPIs benchmarking;
the business strategy and key initiatives to support the limit proposal.
After that all the Group relevant Bodies have approved the Group Market Risk Strategy and given the relevant NBOs for local market risk limits, the
approval is communicated to the local functions.
In terms of monitoring, the LEs carry out periodical activities (e.g. daily monitoring of VaR, weekly monitoring of IRC and SVaR, monthly monitoring
of Stress Test Warning Level) under the coordination of the Parent company Market Risk Management function and the breaches are timely
escalated locally to Senior Management and to the Parent company.
Ultimately, it has to be highlighted that detailed Global Rules on market risk strategy definition, limits setting, monitoring, escalation and reporting
activities are in place and applied at Group level.
Trading Book
In accordance with the Capital Requirements Regulation, and as defined in the current policy "Eligibility Criteria for the Regulatory Trading book
assignment", the Trading book is defined as all positions in financial instruments and commodities held either with trading intent, or in order to hedge
positions held with trading intent. Books held with trading intent are composed of:
positions arising from client servicing and market making
positions intended to be resold in the short term
positions intended to benefit from actual or expected short-term price differences between buying and selling prices or from other price or interest
rate variations.
In addition, Trading book may include internal or intra-group hedging derivatives transferring risk from Banking book into Trading book, entitled to
manage the relevant risk and having access to the derivatives market.
The essential requirement for the Regulatory Trading book assignment is a clear "trading intent", as defined above, which the trader has to commit
to and has to confirm on an ongoing basis. Additionally, the so called "tradability", "marketability" and "hedgeability" requirements have to be
assessed in order to evaluate the appropriateness for the Trading book assignment:
tradability refers to positions free of restrictions on their tradability and coherently reflected within the "Trader Mandate" of the risk taker;
marketability refers to the positions for which a reliable Fair Value can be evaluated based to the largest extent on independently verified
observable market parameters;
hedgeability refers to positions for which a hedge could be put in place. The hedgeability is meant to concern the "material" risks of a position
which implies not necessarily that all the various risk features are to be hedgeable.
When opening a new book, the book manager makes the proposal whether the book should be managed as a Trading book or a Banking book
based on the planned trading activity. This has to be in line with the bank's internal rules and criteria for the assignment to either Trading book or
Banking book .The book manager is required to clearly declare the trading intent and therefore to explain the business strategy behind the request
for the Regulatory Trading assignment. The book manager is then responsible for all the positions held in his book and the eligibility criteria are
expected to be fulfilled on an ongoing basis.
Concerning the monitoring phase, to demonstrate adequate trading intent, the following minimum criteria have to be fulfilled at book level and are
checked at least on a quarterly basis:
minimum of 5 trades during the past 90 trading days;
minimum of 5% of the volume of each book traded during the past 90 trading days with reference to the last day of the period.
In case a breach of the trading intent criteria, the possibility to re-classify the book has to be assessed.
With reference to the methodology used to ensure that the policies and procedures implemented for the management of the Trading book are
appropriate, first of all it has to be noted that any new/updated regulation has to be preliminary shared with the main impacted functions/LEs in order
to collect their feedback. The competent Group function also assesses the compliance risks with reference to the regulations falling within its direct
scope of competence. In addition, before the issuance, the owner of the rule submits to the competent Body/function for the approval.
The financial instruments (an asset or a liability, cash or derivative) held by the Group are exposed to changes over time driven by moves of market
risk factors. The market risk factors are classified in the following five standard market risk asset classes:
Credit risk: the risk that the value of the instrument decreases due to credit spreads changes, issuer correlation and recovery rates;
Equity risk: the risk that the value of the instrument decreases due to increase/decrease of index/stock prices, equity volatilities, implied
correlation;
Interest rate risk: the risk that the value of the instrument decreases due to interest rates changes, basis risk, interest rates volatility;
322 2019 Annual Report and Accounts · UniCredit
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Part E - Information on risks and hedging policies
Currency risk: the risk that the value of the instrument decreases due to foreign exchange rates changes, foreign exchange rates volatility;
Commodity risk: the risk that the value of the instrument decreases due to changes of the commodity prices, e.g. gold, crude oil, commodity prices
volatility
Market risk in UniCredit group is measured and limited mainly through two sets of metrics: Broad Market Risk measures and Granular Market Risk
measures:
Broad Market Risk measures: these measures are meant to set a boundary to the economic and/or regulatory capital absorption and to the
economic loss accepted for Trading book and/or the overall Trading book and Banking book activities. Limitations on Broad Market Risk measures
must be reviewed at least annually in the context of the drafting of the Group and Local Market Risk Strategies and must be consistent with
assigned budget of revenues, the defined risk taking capacity (ICAAP process) and Group Risk Appetite KPIs. The set of all limitations on Broad
Market Risk measures assigned to a specific market risk taker must be consistent with each other.
The consistency must be checked whenever a level for a Broad Market Risk Measure is defined. The legal entity Market Risk Function needs to
provide evidence of such consistency when required. Broad Market Risk measures are:
- Value at Risk ("VaR"), the potential 1-day loss in value of a portfolio for a 99% single-tail confidence interval; calculated through historical
simulation in full revaluation using the last 250 equally weighted daily observations;
- Stressed VaR ("SVaR"), the VaR of a portfolio calculated using a 250-day period of significant financial stress;
- Incremental Risk Charge ("IRC"), the amount of regulatory capital aimed at addressing the credit shortcomings (migration and default risks) that
can affect a portfolio in one year at a 99.9% confidence level;
- 60 days PL, set as the 60 calendar days rolling period Accumulated Economic P&L without resetting at year end; the limitation on this metrics is
called Loss Warning Level ("LWL");
- Worst Stress test result, defined as the worst conditional loss on a given portfolio resulting from the application of a predefined set of scenarios;
the limitation on this metrics is called Stress Test Warning Level ("STWL"); for all STWL included in the Market Risk Taker Maps, Holding
Company monitoring is based on the set of scenarios defined in the Group Market Risk Strategy; legal entities are allowed to add specific
scenarios for local monitoring purposes.
The Group has undertaken a progressive review of Market Risk measure scope and, starting from 2019, Warning Levels for 60 days PL and
Worst Stress test result have been defined on FVtPL and FVtOCI perimeters.
Granular Market Risk measures: these measures allow a more detailed and stringent control of risk exposures than Broad Market Risk
measures. Limitations on Granular Market Risk measures (so-called Granular Market Limits, GMLs) are specific limits to individual risk factors or
group of risk factors:
- sensitivity levels, which represent the change in the market value of a financial instrument due to small moves of the relevant market risk asset
classes/factors. Among others, and not limited to, particularly relevant considering the asset and liability structure of the commercial bank are the
Basis Point Value Sensitivity, that measures the change in the present value of the interest rate sensitive positions resulting from a 1bp parallel
shift to interest rate, and the Credit Point Value Sensitivity, that measure the change in the present value of the credit risk sensitive positions
resulting from a 1bp parallel shift to credit spread (per issuer, rating or industry);
- stress scenario levels, which represent the change in the market value of a financial instrument due to large moves of the relevant market risk
asset classes/factors;
- nominal levels, which are based on the notional value of the exposure.
The main objectives of Granular Market Limits are:
- supporting the management of market risk;
- ensuring desk's focus to exposure under their mandate;
- restricting risk concentration, i.e. preventing the build-up of positions that, although consistent with allocated VaR limits, could become
unmanageable in case of turmoil or in case of reduced market liquidity;
- complementing VaR when it does not cover sufficiently a specific risk factor;
- facilitating interaction with traders, who manage their books according to sensitivities or scenario analysis;
- limiting P&L volatility due to a specific risk factor;
- complementing the compliance framework (e.g. Volcker rule and the German Trennbanken act).
GMLs must be consistent with limitations on Broad Market Risk measures.
Banking Book
The main components of market risk in the Banking book are: credit spread risk, pure interest rate risk and FX risk.
Credit spread risk originates mainly from government bond portfolios held for liquidity purposes. The market risk of the bond portfolio is restricted
based on notional, sensitivity measures and Value at Risk. The main credit spread exposure relates to Italian sovereign risk in the Italian perimeter.
The second risk type is the interest rate risk. The exposure is measured in terms of economic value sensitivity and the net interest income
sensitivity. On a daily basis the treasury functions manages the interest rate risk from commercial transactions within operational limits set by the
relevant risk committees. The exposure is measured and monitored on a daily basis by the risk management functions.
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Part E - Information on risks and hedging policies
The Asset & Liability Committee is responsible for the interest rate strategy for the strategic position. This includes the decision of investing the net
position of non-interest earning assets and non-interest bearing liabilities. The management of Banking book interest rate risk aims at optimising, in
an on-going scenario, the risk/return profile and long-term value creation while reducing adverse impacts on bank's earnings and regulatory capital
coming from interest rates volatility. The main target of IRRBB strategy is reducing the net interest income volatility in a multiyear horizon. The
strategy implies no intended directional or discretional positioning to generate additional earnings, unless approved by the relevant bodies and
separately monitored. The only exceptions is for the functions authorised to carry interest rates positions within an approved level of limitations.
The management strategy on the structural mismatch involving non-interest earning assets and non-interest bearing liabilities (free funds), aims to
balance the trade-off between a stable flow of earnings in a multiyear horizon and the opportunity cost of having a fixed rate investment.
The interest rate management strategy takes into account the main impact from prepayments. The prepayment profile is estimated on the basis of
historical prepayment data as well as trend analysis. In Italy the prepayment expected profile is implicitly taken into account by treasury while
hedging for commercial assets interest risk. The prepayment risk for the German mortgage portfolio is driven by the level of the interest rates and by
the behaviour of customers regardless of the interest rates level. The interest rate sensitive prepayments are rather small at the current level of the
interest rates and are hedged via swaptions. The non-interest rate sensitive prepayments are hedged via swaps according to the Interest Rate Risk
strategy of the bank. The prepayment risk in Austrian and in the CEE countries loan portfolio is deemed residual therefore no prepayment hedging
strategy is applied.
A third risk type is the FX risk. The sources of this exposure mainly refer to capital investment in foreign currency. The current strategy is not to
hedge capital investments. The general policy is to hedge the foreign currency exposures from dividends and contributions to consolidate profit
(loss) taking into account hedging cost and market circumstances. The exposure is most relevant for CEE legal entities. The FX exposure is hedged
using forwards and options that are classified as Trading book. This general rule is valid for the Parent company. The hedge strategy is reviewed by
the relevant risk committees on a regular basis.
Structure and organisation
The Group Financial Risk department is responsible, at Group level, for the definition of the strategies of financial risk management of the Group to
be submitted to the competent functions/ Bodies (i.e. liquidity risk, balance sheet interest rate risk, market risk and counterpart risk), ensuring that
the control of the risks taken by UniCredit S.p.A. Foreign Branches are monitored and reported to the Group Chief Risk Officer and to the Senior
Management. In addition, the structure governs the Group activities aimed to ensure the independent control of the prices and of the Front Office
relevant parameters, for the fair value calculation.
The development and maintenance of Group methodologies, models and architectures regarding financial and behavioural risks as well as the
pricing models validation are in charge of Group Financial Risk Methodologies & Models which reports to Group Risk Models & Credit Risk
Governance.
The structure breaks down as follows:
GROUP FINANCIAL RISK
“Group Market & Trading Credit Risk Management”, responsible for governing and checking either at Group level and
UniCredit S.p.A. level (with the inclusion of the Foreign Branches) and of the Regional Center Italy (when applicable), the
market risks and the counterparty risks
“Group Price Control”, responsible for steering and controlling, for the whole Group, the independent price verification
processes (IPV)
“Group Financial Risk Standard & Practice”, responsible for Global Policies and for the financial risk reporting
coherence and coordination across the Group
“Group Liquidity and Interest Rate Risk Management”, responsible for the independent control of liquidity risk and the
Balance sheet interest rate risk at Group level as well as for the internal and regulatory stress testing
324 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
With reference to the communication mechanism among the different parties involved in market risk management, the responsible Committees are:
Group Market Risk Committee;
Group Assets & Liabilities Committee.
The “Group Market Risk Committee”, whose participants/permanent guests are mainly representatives of Risk, Business, Compliance and Internal
Audit, meets monthly and is responsible for monitoring market risks at Group level, for evaluating the impact of transactions, approved by the
competent bodies, significantly affecting the overall market risk portfolio profile, for submitting to the “Group Risk & Internal Control Committee”, for
approval or information, market risk strategies, policies, methodologies and limits as well as periodical reporting on the market risk portfolio.
The Committee is also responsible for ensuring consistency in market risk policies, methodologies and practices across Business Functions and
legal entities.
The "Group Assets and Liabilities Committee" is involved in the process of defining strategies, policies, methodologies and limits (where applicable)
for liquidity risk, FX and Banking book interest rate risks, transfer pricing, Funding Plan and Contingency Funding Plan and in monitoring activities.
It also ensures the consistency of the practices and methodologies relating to liquidity, FX and Banking book interest rate across Business Functions
and legal entities, with the aim of optimising the usage of financial resources (e.g. liquidity and capital) in line with Risk Appetite and business
strategies.
The committee’s involvement in interest rate risk management includes:
the definition of granular interest rate Banking book limits;
the initial approval and fundamental modifications for the measurement and control system of Banking book interest rate risks with the support of
internal validation function (where necessary);
the optimisation of the Group profile for Banking book interest rate risk;
the definition of the operational strategies of Balance sheet (e.g. replicating portfolio) and application of the internal transfer prices within the Italian
perimeter;
the consultancy and suggestion to Group Risk & Internal Control Committee with respect to the contribution to Risk Appetite Framework, Global
Policy for Interest Rate Banking book definition and changes of behavioral models for Interest Rate Banking book and other critical/important
issues with potential impact on Banking book interest rate.
Risk measurement and reporting systems
Trading Book
In 2019, UniCredit group continued to improve and consolidate market risk models in order to properly measure, represent and control the Group
risk profile, reflecting these changes in the reporting activity. As regards market risk measurements, further details can be reported in paragraph
“Internal Model for Price, Interest Rate and Exchange Rate Risk of the Regulatory Trading book”, while for both monthly and daily reporting process,
Global Process Regulation are periodically updated.
Within the organisational context described above, the policy implemented by UniCredit group within the scope of market risk management is aimed
at gradually adopting and using common principles, rules and processes in terms of appetite for risk, limit calculations, model development, pricing
and risk model scrutiny.
The Group Financial Risk department is specifically required to ensure that principles, rules and processes are in line with industry best practice and
consistent with standards and uses in the various countries in which they are applied.
The main tool used by UniCredit group to measure market risk on trading positions is Value at Risk (VaR), calculated using the historical simulation
method. Further details on risk valuation models are included in the following chapter.
Group Financial Risk defines market risk reporting standards, both in terms of contents and recurrence, and provides timely information to the
Senior Management and regulators regarding the market risk profile at consolidated level.
In addition to VaR and Basel 2 risk measures, stress tests represent an important risk management tool that provides UniCredit with an indication of
how much capital might be needed to absorb losses in case of large financial shocks. Stress testing forms an integral part of the Internal Capital
Adequacy Assessment Process (ICAAP), which requires UniCredit to undertake rigorous, forward-looking stress testing that identifies possible
events or changes in market conditions that could adversely impact the bank.
Banking Book
The primary responsibility of the monitoring and control of the risk management for market risk in the Banking book lies in the bank’s competent
bodies. For instance, the Parent company is in charge of monitoring market risks for the Banking book at consolidated level. As such, it defines
structure, data and frequency of the necessary Group reporting.
The Banking book interest rate risk measures cover both the economic value and net interest income risk aspects. In particular , the different and
complementary perspectives involve:
economic value perspective: variation in interest rates can affect the economic value of assets and liabilities. The economic value of the bank can
be viewed as the present value of the bank’s expected net cash flows, defined as the expected cash flows on assets minus the expected cash
flows on liabilities; a relevant risk measure from this perspective is the economic value sensitivity per time bucket for a 1bp rate shock. This
measure is reported to the relevant committees to assess the economic value impact of various changes in the yield curve. in addition, the
economic value sensitivity for the SOT scenarios is also calculated according to EBA/GL/2018/02;
UniCredit ·2019 Annual Report and Accounts 325
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
earnings at risk perspective: the focus of the analysis is the impact of changes of interest rates on Net Interest Income that is the difference
between the revenues generated by interest sensitive assets and the cost relating to interest sensitive liabilities. An example of a measure of risks
used is Net Interest Income sensitivity for a 100bps parallel shock of rates. It provides an indication of the impact on the net interest income over
the next 12 months if such shock should occur. Additional stress test scenarios are performed on a regular basis to estimate the basis risk and
non-parallel shocks.
Additionally to the set of limits and warning levels for interest rate risk, restrictions and exposure measures are in place for other market risk types
such foreign exchange risk, equity risk, value risk due to credit spread fluctuations. In addition through economic value sensitivity measures and
other granular indicators, these risk types are captured in a value at risk measure that includes all market risk factors. These values at risk measures
are based on a historical simulation.
Hedging policies and risk mitigation
Trading Book
A set of risk indicators is provided to the Group Risk Committee on a quarterly basis through the Enterprise Risk Management Report and, on a
monthly basis, to the Group Market Risk Committee through the Market Risk Overview report; these include VaR, Stressed VaR and IRC limit
usages, Sensitivities, Sovereign Exposure, Stress test results and P&L.
At the same time limit breaches are reported both to the Group Market Risk Committee and to the Group Risk Committee (according to their
severity); the escalation process being ruled by the Global Policy "Market Risk Limits" which defines the nature of the various thresholds/limits
applied, as well as the relevant bodies to be involve to establish the most appropriate course of action to restore exposure within the approved limits.
If required, focus is provided from time to time on the activity of a specific business line/desk in order to ensure the highest level of understanding
and discussion of the risks in certain areas which are deemed to deserve particular attention.
Banking Book
The ALCO evaluates the main market risk drivers on a monthly basis. Group Risk Management reports to the committee on the Banking book risk
measures both from a value and income perspective. It proposes and monitors limits and warning levels that have been approved by the relevant
competent bodies.
Breaches of limits and warning levels are reported, upon occurrence, to the relevant bodies. Consequently the escalation process is activated in line
with the procedures set in the Policy, to establish the most appropriate course of action to restore exposure within the approved limits.
The execution of structural hedges to mitigate the interest rate risk exposure on client business is responsibility of the treasury functions. The
strategic transactions in the Banking book is managed by the Asset and Liability Management department, ALM.
Internal model for price, interest rate and exchange rate risk of the regulatory trading book
The current Market Risk internal model is based on Value-at-Risk (VaR) framework, integrated with other risk measures: incremental risk capital
charge (IRC) and stressed Value-at-Risk (SVaR) aimed at reducing the pro-cyclicality of the minimum capital requirements for market risk, in line
with the European directives in force.
All the regulatory requirements in the market risk arena have been addressed via internal development of the necessary model and IT infrastructure
as opposed to the external acquisition of ready-made solutions.
This enabled UniCredit to craft solutions that in many aspects can be considered on the sophisticated end of the spectrum of practices that can be
found in the Industry. In this respect one distinctive feature of the market (and counterparty) risk frameworks implemented in UniCredit group is the
full revaluation approach employing the same pricing libraries used in the Front Office.
UniCredit group calculates both VaR and SVaR for market risk on trading positions using the historical simulation method. Under the historical
simulation method positions are revaluated (in full revaluation approach) on the basis of trends in market prices over an appropriate observation
period. The empirical distribution of profits/losses deriving therefrom is analysed to determine the effect of extreme market movements on the
portfolios. For a given portfolio, probability and time horizon, VaR is defined as a threshold value so that the probability that the mark-to-market loss
on the portfolio, over the given time horizon, not exceeding this value (assuming no trading in the portfolio) has the given confidence level.
Current configuration of the internal model defines VaR at a 99% confidence level on the 1 day P&L distribution obtained from equally weighted
historical scenarios covering the last 250 days. Historical scenarios are built relying on proportional shocks for Equities and FX rates, and on
absolute shocks for Interest Rates and Credit Spreads. UniCredit VaR Model simulates all the risk factors, both referring to general and specific risk,
thus providing diversification in a straightforward approach.
The model is recalibrated on a daily basis. The use of a 1-day time-horizon makes the immediate comparison with realised profits/losses possible
and such comparison is the core of the back-testing exercise.
The VaR measure identifies a consistent measure across all the portfolios and products, since it:
allows a comparison of risk among different businesses;
provides a means of aggregating and netting position within a portfolio to reflect correlation and offsets between different assets classes;
facilitates comparisons of our market risk both over time and against daily results.
326 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Although a valuable guide to risk, VaR should always be viewed within its limitations:
historical simulation relies on past occurrences to forecast potential losses. In case of regime shifts this might not be appropriate;
the length of the time window used to generate the forecasted distribution will necessarily embed a trade-off between the responsiveness of the
metric to recent market evolutions (short window) and the spectrum of scenarios that will embed (long window);
assuming a constant one/ten day horizon there is no discrimination between different risk-factor liquidity.
Stressed VaR calculation is based on the very same methodology and architecture of the VaR, and it is analogously calculated with a 99%
confidence level and 1 day time horizon on a weekly basis, but over a stressed observation period of 250 days. The chosen historical period
identifies the 1-year observation window which produces the highest resulting measure for the current portfolio.
Stress windows are recalibrated on a monthly basis and are tailored to the portfolio of each legal entity of the Group, plus the Group itself (relevant
for RWA calculation on a consolidated level). The SVaR window at Group level, at UniCredit Bank AG and UniCredit Bank Austria AG level
corresponds to the “Lehman Crisis” (2008/2009), while for UniCredit S.p.A. it is the “Sovereign Debt Crisis” (2011/2012).The 10-day capital
requirement is however obtained by extending the 1-day risk measure to the 10 day horizon taking the maximum of the square root of time scaling
and a convolution approach that turns the one-day distribution into a 10-day distribution for both the VaR and the Stressed VaR. The 1-day
measures are instead actively used for market risk management.
In order to validate the consistency of VaR internal models used in calculating capital requirements on market risks, back-testing is performed by
comparing the internal model risk estimates with the portfolio profit and loss, in order to check if the 99% of the trading outcomes is covered by the
99th percentile of the risk measures.
The test is based on the last twelve months data (250 daily observations). In case the number of exceptions in the previous year exceeds what
forecasted by the confidence level assumed, a careful revision of model parameters and assumptions is initiated. Group Internal Validation
performed the periodic validation of the VaR/SVaR framework to assess the compliance with regulatory requirements including an independent
back-testing analysis complemented with different parameterisations (e.g. different time horizon, percentile) and detailing the results for a set of
representative portfolios of the bank.
The IRC capital charge captures default risk as well as migration risk for un-securitised credit products held in the Trading book. The internally
developed model simulates via multivariate version of a Merton-type model the rating migration events of all the issuers relevant to the Group
trading positions over a capital horizon of one year. The transition probabilities and the sector correlations are historically calibrated, while
idiosyncratic correlations are derived from the IRB correlation formula. Simulated migration events are turned into credit spread scenarios while
default events are associated to a simulated recovery rate. In doing so a constant position assumption is employed and products are conservatively
all attributed a common liquidity horizon of 1 year.
In each scenario all the relevant product inventory is revaluated under such spread and default events producing a simulated profit or loss (P&L) that
fully reflects convexity, basis risk, portfolio effects and portfolio concentration risks.
In this way a high-number of paths Monte Carlo simulation generates a P&L distribution for the Group (and each leaf of its portfolio tree). IRC is
defined as the 99.9 percentile of such loss distribution.
Additional capital charge for securitisations and credit products not covered by IRC is evaluated through the standardised approach.
The following table summarises the main characteristics of the different measures that define the capital requirement for market risk in UniCredit.
MEASURE
VaR
SVaR
IRC
RISK TYPE
All Market Risk Factors
All Market Risk Factors
Rating Migration & Default
HORIZON
1d
1d
1Y
QUANTILE
99%
99%
99.9%
SIMULATION
Historical
Historical
Monte Carlo
CALIBRATION
1Y window, equally weighted
1Y window, equally weighted
Through-the-cycle (min 8Y)
The IRC Model is subject to a quarterly program of Stress tests aimed at evaluating the robustness of the model. The relevant parameters as
Recovery Rates, Transition Probabilities, idiosyncratic correlation are shocked and the impact on the IRC measure is computed.
“Group Internal Validation” performed its analyses in order to evaluate the conceptual soundness of the IRC model, to supplement the available
analyses on that topic and to ensure the compliance of the resulting risk management environment with all the relevant regulatory requirements and
internal standards.
As already remarked by the regulation, traditional back-testing procedures, regarding the 99.9% one-year soundness standard for IRC, are not
applicable due to the 1-year time horizon of the measure.
Consequently, while validation of the IRC model relied heavily on indirect methods (including stress tests, sensitivity analysis and scenario analysis)
in order to assess the qualitative and quantitative reasonableness of the model, special focus has indeed been given to the specific situation of
UniCredit portfolios.
Group Internal Validation Unit kept the scope of their analyses as wide as possible in order to comprise the many diverse issues that are acting
concurrently in such a model (general model design, regulatory compliance, numerical implementation, outcomes explanation).
UniCredit ·2019 Annual Report and Accounts 327
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Group Internal Validation performed a full spectrum of validation analyses on the IRC measure calculation using its internal replica libraries.
The replica allows a simple verification of the results provided by the productive environment, and in addition opens up the door to a more dynamical
and tailored implementation of the needed tests. The spectrum of analysis encompassed Monte Carlo stability, correlation analysis and stressing,
assessment on portfolio concentration, calculation of parameters sensitivity, marginal contribution analysis, alternative models comparisons. All
major parameters were tested, i.e. correlation matrices, transition probabilities matrices, transition shocks, recovery rates, probabilities of default,
number of scenarios.
To understand the overall performance of the model in replicating the real-world migration and default phenomena, Group Internal Validation
performed also a historical performance exercise comparing the migrations and defaults predicted by UniCredit IRC model with the ones actually
observed since 1981 (due to data availability).
Banca d’Italia authorised UniCredit Group to use internal models for the calculation of capital requirements for market risk. As of today CEE
countries are the main entities of the Group that are using the standardised approach for calculating capital requirements relating to trading
positions. However, the VaR measure is used for the management of market risk in the abovementioned entities.
For Trading book VaR, Stressed VaR and IRC, the bank differentiates between regulatory and managerial views. The managerial measure, are
used for Risk monitoring and Business steering purposes as prescribed by Market Risk Framework: in particular VaR limits represent the main
metric translating the Risk Appetite into the Market Risk framework.
The managerial VaR has a wider scope: it is used to monitor both Trading book and Overall perimeter (Trading book and Banking book), also
including legal entities for which the standardised measurement method is applied for Regulatory purposes, in order to have a complete picture of
risk.
The standardised measurement method is also applied to the calculation of capital covering the risk of holding Banking book exposure in foreign
currencies for the legal entities (namely UniCredit S.p.A.) that do not have an approval for FX Risk simulation under Internal Model. In this respect
the FX risk for both Trading and the Banking book is included in VaR and SVaR for Regulatory purposes as for the approved legal entities (UniCredit
Bank AG and UniCredit Bank Austria AG); as regards the managerial view the FX Risk of Banking book is included in the Overall (Trading book and
Banking book) VaR.
To sum up the Internal Model approach is used for Regulatory purposes for UniCredit S.p.A., UniCredit Bank AG, UniCredit Bank Austria AG and
UniCredit Bank Austria group, while it is used for all legal entities (including CEE countries) for managerial purposes.
In the end Trading portfolios are subject to Stress tests according to a wide range of simple and complex scenarios. Simple scenarios which
envisage the shock of single asset classes, are defined in the context of Interest Rate Risk/Price Risk/Exchange Rate Risk/Credit Spread Risk
Sensitivity. Complex scenarios apply simultaneous changes on a number of risk factors. Both simple and complex scenarios are applied to the
whole Trading book. Detailed descriptions are included in the paragraph on the Stress test.
Stress tests results are calculated in the Group Market Risk system (UGRM), thus ensuring a common methodological approach across the Group.
Results are calculated applying a full revaluation approach meaning that all positions are revalued under stressed conditions; no ad hoc models or
pricing functions are applied for stress testing.
According to national regulations, some relevant scenarios are also a matter of regulatory reporting on a quarterly basis.
In addition a set of scenarios is run monthly on overall Group perimeter, thus covering both Trading and Banking book positions. Results are
discussed monthly in Market Risk Stress Test Open Forum involving Market Risk function’s representatives of all the legal entities and Business’
representatives. Results are analysed in depth in the monthly report “Monthly Overview on Market Stress Test”.
Stress test Warning levels Usage is monitored monthly. More details on Warning Levels and Strategy are given in the previous paragraph Risk
management strategies and processes.
VaR, SVaR and IRC
Diversified VaR, SVaR and IRC are calculated taking into account the diversification arising from positions taken by different companies within the
Imod perimeter (i.e. for which the use of the internal model for the risk calculation is approved). VaR, SVaR and IRC measures are however in place
for all the LEs and their values are reported thereafter for information purpose, together with Undiversified Group VaR, SVaR and IRC, calculated as
sum of the values of all LEs (without considering Diversification Benefit), considering the Regulatory perimeter when applicable.
The decreasing trend in the IRC time series, during the second semester of 2019, is mainly due to a reduction of the position subject to the Credit
Spread Risk of Republic of Italy in the Trading book of UniCredit S.p.A.
328 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Undiversified UniCredit group
23.6
22.9
19.3
Risk on trading book
Daily VaR on regulatory trading book
I-MOD PERIMETER
Diversified UniCredit group
Daily VaR on managerial trading book
STANDARDISED APPROACH PERIMETER
Russia
Turkey
Bosnia Herzegovina
Serbia
Romania
Bulgaria
Hungary
Czech Republic
Croatia
Slovenia
Baltics
Risk on trading book
SVaR on regulatory trading book
I-MOD PERIMETER
Diversified UniCredit group
SVaR on managerial trading book
STANDARDISED APPROACH PERIMETER
Russia
Turkey
Bosnia Herzegovina
Serbia
Romania
Bulgaria
Hungary
Czech Republic
Croatia
Slovenia
Baltics
END OF
DECEMBER
2019
9.9
AVERAGE
LAST 60
DAYS
8.8
2019
(€ million)
2018
AVERAGE
8.5
MAX
11.3
MIN
5.6
AVERAGE
9.7
END OF
DECEMBER
2019
0.5
9.6
0.0
0.1
0.4
0.1
0.3
1.5
0.1
0.0
0.0
AVERAGE
LAST 60
DAYS
0.5
7.8
0.0
0.1
0.8
0.2
0.3
1.4
0.1
0.0
0.0
AVERAGE
1.3
3.2
0.0
0.1
0.6
0.2
0.5
1.7
0.1
0.0
0.0
END OF
DECEMBER
2019
6.8
1.2
0.0
0.4
1.8
2.3
1.2
2.2
1.9
0.0
0.0
AVERAGE
LAST 12
WEEKS
2.5
1.9
0.0
0.5
3.3
1.9
0.8
2.3
0.7
0.0
0.0
AVERAGE
11.2
2.4
0.0
0.8
2.8
1.4
1.6
4.8
0.6
0.1
0.0
2019
MAX
2.4
10.8
0.0
0.3
1.0
0.3
0.7
2.7
0.3
0.1
0.0
26.4
2019
(€ million)
2018
AVERAGE
1.5
1.1
0.0
0.1
0.4
0.1
0.5
3.7
0.2
0.1
0.0
MIN
0.2
1.0
0.0
0.0
0.1
0.1
0.2
1.0
0.0
0.0
0.0
12.9
20.0
(€ million)
2018
2019
MAX
25.7
4.1
0.0
1.3
4.6
2.3
3.0
7.1
1.9
0.4
0.0
81.7
(€ million)
2018
AVERAGE
13.3
2.8
0.0
1.1
2.7
0.6
3.0
5.8
0.7
0.3
0.0
MIN
0.8
1.2
0.0
0.3
0.9
0.6
0.4
1.6
0.1
0.0
0.0
41.6
75.1
END OF
DECEMBER
2019
25.1
AVERAGE
LAST 12
WEEKS
26.2
AVERAGE
23.0
MAX
32.0
MIN
15.0
AVERAGE
37.4
UniCredit ·2019 Annual Report and Accounts 329
Undiversified UniCredit group
46.8
48.7
61.1
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Risk on trading book
IRC on regulatory trading book
I-MOD PERIMETER
Diversified UniCredit group
IRC on managerial trading book
STANDARDIZED APPROACH PERIMETER
Russia
Turkey
Serbia
Romania
Bulgaria
Hungary
Czech Republic
Croatia
END OF
DECEMBER
2019
218.1
AVERAGE
LAST 12
WEEKS
249.5
2019
(€ million)
2018
AVERAGE
258.4
MAX
327.8
MIN
185.9
AVERAGE
282.9
END OF
DECEMBER
2019
0.3
5.1
10.2
6.7
1.7
9.5
7.4
1.6
AVERAGE
LAST 12
WEEKS
0.7
6.2
15.7
16.8
1.3
18.9
3.7
0.7
AVERAGE
6.9
5.7
12.4
16.6
4.3
26.5
1.9
0.5
2019
MAX
30.9
14.9
19.2
33.5
9.1
43.6
7.4
3.3
(€ million)
2018
AVERAGE
25.7
3.7
12.8
14.4
1.8
25.5
1.7
4.7
MIN
0.0
3.2
7.0
4.7
0.7
9.5
0.3
0.0
Undiversified UniCredit group
292.8
430.9
498.2
672.6
292.8
532.3
EU MR4 Comparison of VaR estimates with gain/losses
The following graph shows back-testing results referred to the market risk on the Trading Book, in which VaR results for the last twelve months are
compared to the hypothetical “profit and loss” results for Group (I-Mod Perimeter).
During the 2019, four VaR overshootings were observed for UniCredit group:
16 August 2019
4 September 2019
12 September 2019
14 October 2019
The four overdraft were mostly caused by significant market movements on long EUR interest curves as a consequences of market reaction on the
monetary policy decisions of ECB and on the GBP/EUR FX Spot rate driven by the Brexit developments.
)
n
o
i
l
l
i
m
€
(
30
20
10
-
-10
-20
-30
VaR 1d
Hypothetical P&L
330 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Managerial VaR
Below are reported the Managerial diversified Trading book VaR as at end of December 2019 at Group and Regional Centre levels and the
Undiversified Trading book VaR at Group level, calculated as sum of the values of all LEs (without considering diversification benefit). Difference
with Regulatory Trading book was described above.
Daily VaR on managerial trading book
TRADING BOOK
Diversified UniCredit group as per internal model
RC Germany
RC Italy
RC Austria
RC CEE
Undiversified UniCredit group
(€ million)
END OF DECEMBER 2019
10.6
6.9
3.4
0.6
10.1
23.7
Marginal Regulatory VaR
The table below provides a breakdown of 10-days VaR figure (i.e. referred to a 10-days’ time horizon) according to the different market risks (debt,
equity, FX, commodities) and its evolution during the year, in the form of template C24 of COREP.
Risk on trading book by instruments classes
10-days VaR on regulatory trading book
Traded Debt Instruments
TDI - General Risk
TDI - Specific Risk
Equities
Equities - General Risk
Equities - Specific Risk
Foreign Exchange Risk
Commodities Risk
Total Amount For General Risk
Total Amount For Specific Risk
Q1
32.6
16.2
27.1
6.2
-
6.2
3.8
8.2
17.9
20.1
2019
Q2
39.0
16.2
38.5
7.1
-
7.1
4.8
7.6
18.0
29.5
Q3
34.5
22.5
41.9
5.7
-
5.7
18.4
8.3
30.4
32.9
(€ million)
2018
Q4
30.5
16.7
22.6
5.8
-
5.8
5.1
10.1
16.7
21.7
Q4
27.6
26.3
16.1
6.9
-
6.9
8.0
6.0
26.1
13.5
In the fourth quarter 2019, there has been a decrease of the specific risk on traded debt instruments, mainly due to a reduction of the position
subject to the Credit Spread Risk of Republic of Italy in the Trading book of UniCredit S.p.A. While during the third quarter 2019, the exposure in the
Trading book increased in terms of interest rate risk in UniCredit Bank AG, specifically in the business line Fixed Incomes & Currencies.
CVA
The CVA charge data values for the Trading book for the Group are reported below (as sum of the individual legal entities charges since the
diversification benefit is not considered). The charge accounts for the credit-spread volatility affecting regulatory CVA. It consists of a VaR figure
computed over the current window (CVA VaR) and a VaR figure computed over a stressed window (CVA SVaR). For exposures not covered by the
CCR Internal model (used to calculate CVA exposure profiles) the standardised approach (SA) is used.
UniCredit ·2019 Annual Report and Accounts 331
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
In the fourth quarter of 2019, the Own Fund Requirements due to CVA under Advance model decreased mainly due to reduced exposure profiles
from interest rates dynamics and to some extension of central clearing perimeter.
Risk on trading book
CVA trading book
CVA
CVA VaR
CVA SVaR
CVA SA
Q1
159.4
12.0
93.7
53.6
2019
Q2
162.2
13.0
99.0
50.1
Q3
159.2
13.4
99.0
46.9
Q4
128.7
11.5
76.9
40.3
(€ million)
2018
Q4
157.7
11.1
94.8
51.8
2.2.1 Interest rate risk and price risk - Regulatory trading book
Qualitative information
Interest rate risk
A. General aspects
Interest rate risk arises from financial positions taken by Group specialist centres holding assigned market risk limits within certain levels of
discretion. Regardless of use of the internal models in calculating capital requirements on market risks, risk positions in the Group are monitored and
subject to limits assigned to the portfolios on the basis of managerial responsibilities and not purely on regulatory criteria.
B. Risk management processes and measurement methods
For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure,
also refer to the introduction on internal models.
As regards Stress Test refer to the introduction on Risk Management Strategies and Processes and for the complex scenarios’ description to Stress
Test paragraph.
In addition to the monitoring of Granular Market Limits, Group Market Risk functions conduct sensitivity analysis at least on monthly basis, in order to
determine the effect on the income statement of changes in the value of individual risk factors or several risk factors of the same type.
Additionally to the sensitivity of financial instruments to changes in the underlying risk factor, the sensitivity to the volatility of interest rates is also
calculated assuming positive and negative shifts of 30% in volatility curves or matrices.
Price risk
A. General aspects
Price risk relating to equities, commodities, investment funds and related derivative products included in the Trading book originates from positions
taken by Group specialist centres holding assigned market risk limits within certain levels of discretion.
Price risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct sale and purchase
of securities, regulated derivatives and OTCs and recourse to security lending. Volatility trading strategies are implemented using options and
complex derivatives.
B. Risk management processes and measurement methods
For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure,
refer to the introduction on internal models.
As regards stress test refers to the introduction on “Risk management strategies and processes” and for the complex scenarios’ description to the
“Stress test” paragraph.
332 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Quantitative information
1. Regulatory trading portfolio: distribution by residual duration (re-pricing date) of financial assets and liabilities for cash and financial
derivatives
The table is not reported since a table showing Interest Rate sensitivity is described below, in accordance with internal model.
2. Regulatory trading portfolio: distribution of equity exposures and equity indices for the main listing countries
The table is not reported since a table showing price risk sensitivity is described below, in accordance with internal model.
3. Regulatory trading portfolio: internal models and other methods for sensitivity analysis
For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure,
also refer to the introduction on internal models.
Interest rate risk
Interest rate risk sensitivity
Sensitivity to changes in interest rates is determined using both parallel shifts of interest-rate curves, and changes in the curve itself.
The curves are analysed using parallel shifts of ±1bp/±10bps and ±100bps.
For each 1bp shift, sensitivity is calculated for a series of time-buckets. Sensitivity for changes in the steepness of the rate curve is analysed by
clockwise turning (Turn CW), i.e. an increase in short-term rates and a simultaneous fall in long-term rates, and by counter-clockwise turning (Turn
CCW), whereby short-term rates fall and long-term rates rise.
In particular, clockwise and counter-clockwise turning use the following changes in absolute terms:
+50bps/-50bps for the one-day bucket;
0bps for the one-year bucket;
-50bps/+50bps for the 30-year plus bucket;
for buckets between the above ones, the change to be set is found by linear interpolation.
The Group also calculates sensitivity to the volatility of Interest Rate assuming a positive shift of 30% or negative change of 30% in volatility curves
or matrixes.
The tables below show trading book sensitivities.
+1BP
LESS
THAN 1
MONTH
+1BP 1
MONTH
TO 6
MONTHS
+1BP 6
MONTHS
TO 1
YEAR
-0.1
-0.0
-0.1
0.0
0.0
0.0
0.2
-0.1
0.3
-0.0
-0.1
-0.0
0.2
0.2
0.0
0.0
-0.0
-0.0
+1BP 1
YEAR
TO 5
YEARS
-0.2
+1BP 5
YEARS
TO 10
YEARS
-0.4
-0.0
-0.1
-0.1
-0.0
-0.0
-0.6
0.2
0.0
-0.0
0.0
+1BP 10
YEARS
TO 20
YEARS
+1BP
OVER 20
YEARS
-0.0
-0.3
-0.1
0.4
0.0
0.0
-0.5
-0.6
0.0
0.1
0.0
0.0
INTEREST
RATES
Total
of which:
EUR
USD
GBP
CHF
JPY
+1 BP
TOTAL
-10
BP
-0.8
-13.2
-1.5
-11.1
0.3
0.4
-0.1
-0.0
1.5
-3.7
0.6
0.4
+10
BP
5.7
7.4
-1.6
3.7
-0.6
-0.4
-100
PB
-507.4
-483.1
9.5
-34.5
6.0
4.3
+100
BP
-78.8
-64.1
-19.7
36.9
-6.6
-4.4
CW
-246.5
CCW
90.3
-247.7
17.5
-14.3
-2.0
-0.5
92.9
-18.0
13.6
2.0
0.5
(€ million)
Interest Rates
EUR
USD
(€ million)
+30%
-202.2
-200.3
-5.7
-30%
182.0
180.8
4.5
UniCredit ·2019 Annual Report and Accounts 333
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Price risk
Share-price sensitivity
Share-price sensitivity is expressed in two ways:
as a “Delta cash-equivalent”, i.e. the euro equivalent of the quantity of the underlying that would expose the bank to the same risk arising from its
actual portfolio;
as the economic result of a rise or fall in spot prices of 1%, 10% and 20%.
The Delta cash-equivalent and the Delta 1% (i.e. the economic impact of a 1% rise in spot prices) are calculated both for each geographical region
(assuming that all stock markets in the region are perfectly correlated) and on the total (assuming therefore that all stock markets are perfectly
correlated). The sensitivity arising from changes of 10% and 20% is calculated solely on the total.
The Group also calculates sensitivity to the volatility of equities assuming a positive shift of 30% or negative change of 30% in volatility curves or
matrixes.
In addition, sensitivity to commodity price changes is calculated according to the above criteria. Given its secondary importance as compared to
other risk exposures, this is calculated as a single class.
The tables below show trading book sensitivities.
EQUITIES
ALL MARKETS
Europe
USA
Japan
Asia ex-Japan
Latin America
Other
Total
Commodity
Equities
DELTA
CASH-EQUIVALENT
-20%
-10%
-1%
+1%
+10%
+20%
(€ million)
52.6
5.9
-2.7
4.1
0.8
27.2
87.8
-42.3
-
-
-
-
-
-
-21.8
2.5
-
-
-
-
-
-
3.4
3.5
-
-
-
-
-
-
0.3
0.4
0.5
0.1
-0.0
0.0
0.0
0.3
0.9
-0.4
-
-
-
-
-
-
-
-
-
-
-
-
24.2
-5.4
73.8
-11.8
(€ million)
+30%
32.1
-30%
-22.3
2.2.2 Interest rate risk and price risk - Banking book
Qualitative information
Interest rate risk
A. General aspects, operational processes and methods for measuring interest rate risk
Interest rate risk consists of changes in interest rates that are reflected in:
interest income sources, and thus, the bank’s earnings (cash flow risk);
the net present value of assets and liabilities, due to their impact on the present value of future cash flows (fair value risk).
The Group measures and monitors this risk within the framework of a Banking Book interest rate risk policy that establishes consistent
methodologies and models and limits or thresholds to focus on, with regard to the sensitivity of net interest income and the Group’s economic value.
Interest rate risk has an impact on all owned positions resulting from business operations and strategic investment decisions (Banking Book).
334 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
The main sources of interest rate risk can be classified as follows:
gap risk: it arises from the term structure of banking book instruments, and describes the risk arising from the timing of instrument rate changes.
The extent of gap risk depends also on whether changes to the term structure of interest rates occur consistently across the yield curve (parallel
risk) or differentially by period (non-parallel risk). Gap risk also encompasses: Repricing risk, defined as the risk of changes in interest rate earned
at the time a financial contract’s rate is reset. It emerges if interest rates are settled on liabilities for periods which differ from those on offsetting
assets. Repricing risk also refers to the Yield curve risk, occurring when a shift in the yield curve affects the values of interest rate sensitive assets
and interest rate bearing liabilities;
basis risk can be broken down in:
- tenor risk: resulting from the imperfect correlation in the adjustment of the rates earned and paid on different instruments with otherwise similar
rate change characteristics;
- currency risk: defined as the risk of potentially offsetting interest rate sensitivities arising from interest rate exposures in several currencies;
option risk: risk resulting from option derivative positions or from the optional elements embedded in many bank positions, where the bank or its
customers can alter the level and timing of their cash flows.
Limits and threshold are defined in terms of Sensitivity for each Group Bank or Company. The set of metrics is defined depending on the level of
sophistication of the Company’s business.
Each of the Group’s banks or companies assumes responsibility for managing exposure to interest rate risk within its specified limits. At
consolidated level, the functions of Group Risk Management is in charge of interest rate risk measurement.
Interest rate risk measurement includes:
Net Interest Income analysis: involves a constant balance sheet analysis (i.e. assuming that positions remain constant during the period), an
impact simulation on interest income for the current period is performed, by taking into account elasticity assumptions for sight items. In addition a
simulation analysis includes the study of the impact on income from different shocks for the interest rates. Reference shock for a rate rise scenario
is an instantaneous and parallel shock of +100bp. While the shocks for the rate fall scenario are applied in an asymmetric way. The currencies to
which a shock of -30bp is applied are: EUR, BGN, JPY,CHF and BAM. For HUF, whose rates are only marginally negative, a shock of -60bp is
applied. For other currencies the shock is -100bp. Further scenarios are performed to take into account basis risk and non-parallel shifts.
Economic Value analysis: this includes the calculation of duration measures, value sensitivities of the balance sheet for different points on the
curve, as well as the impact on the Economic Value from larger shocks, e.g. a 200bp parallel shift and other parallel and non-parallels shocks,
including the one required by the EBA guidelines (EBA/GL/2018/02).
The interest rate risk is monitored in terms of Economic value sensitivity for an instantaneous and parallel shock of +1 basis point value of the
interest rate term structure. The function responsible for interest rate risk management verifies the limit usage of 1 basis point value sensitivity on a
daily basis. On a monthly basis the Economic Value sensitivity for larger parallel and non-parallel shocks in the interest rate term structure and Net
Interest Income Sensitivity are measured.
The Treasury hedges interest rate risk exposure from commercial transactions. The Treasury interest rate risk exposure is monitored through a set
of limits and threshold levels. The same holds for the overall interest rate exposure of the balance sheet, taking into account also the strategic
investment positions of the bank, e.g. transactions not directly related to hedging the commercial business.
Price risk
A. General aspects, operational processes and methods for measuring price risk
Banking Book price risk primarily originates from equity interests held by the Parent company and its subsidiaries as stable investments, as well as
units in mutual investment funds not included in the Trading Book as they are also held as stable investments.
As regards Stress Test refer to the introduction on Risk Management Strategies and Processes paragraph and for the complex scenarios’
description to Stress Test paragraph.
UniCredit ·2019 Annual Report and Accounts 335
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Quantitative information
1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities
AMOUNTS AS AT
12.31.2019
TYPE/RESIDUAL MATURITY
1. On-balance sheet assets
1.1 Debt securities
- With prepayment option
- Other
1.2 Loans to banks
1.3 Loans to customers
- Current accounts
- Other loans
- With prepayment option
- Other
2. On-balance sheet liabilities
2.1 Deposits from customers
- Current accounts
- Other
- With prepayment option
- Other
2.2 Deposits from banks
- Current accounts
- Other
2.3 Debt secuties in issue
- With prepayment option
- Other
2.4 Other liabilities
- With prepayment option
- Other
3. Financial derivatives
3.1 With underlying security
- Option
+ Long positions
+ Short positions
- Other derivates
+ Long positions
+ Short positions
3.2 Without underlying security
- Option
+ Long positions
+ Short positions
- Other derivatives
+ Long positions
+ Short positions
4. Other off-balance sheet transactions
+ Long positions
+ Short positions
ON DEMAND
132,164
716
7
709
27,083
104,365
31,303
73,062
11,537
61,525
395,885
369,293
351,576
17,717
164
17,553
22,895
11,608
11,287
1,212
-
1,212
2,485
5
2,480
-
-
-
-
29
29
42,311
15,077
87,693
103,244
UP TO 3
MONTHS
339,400
30,841
253
30,588
90,687
217,872
1,617
216,255
56,819
159,436
199,619
89,633
924
88,709
-
88,709
85,344
45
85,299
24,114
1,096
23,018
528
-
528
107
83
8,582
8,463
8,833
7,499
368,144
426,833
25,040
13,269
3 TO 6
MONTHS
61,628
11,791
154
11,637
8,464
41,373
67
41,306
8,328
32,978
56,633
10,016
20
9,996
-
9,996
33,802
-
33,802
12,587
-
12,587
228
-
228
-
1
642
643
3,653
3,403
91,513
92,946
3,980
3,677
6 MONTHS
TO 1 YEAR
43,290
13,466
21
13,445
4,006
25,818
248
25,570
3,823
21,747
29,665
12,312
14
12,298
-
12,298
4,894
-
4,894
11,968
576
11,392
491
-
491
76
71
393
393
7,121
6,701
107,861
89,104
4,041
4,111
1 TO 5
YEARS
168,854
73,874
303
73,571
7,787
87,193
1,154
86,039
16,182
69,857
92,474
9,740
29
9,711
-
9,711
36,917
-
36,917
43,433
2,893
40,540
2,384
2
2,382
390
346
2,691
2,691
49,401
49,705
291,743
299,915
5,936
4,052
5 TO 10
YEARS
70,473
25,513
263
25,250
6,778
38,182
36
38,146
7,781
30,365
36,134
1,523
36
1,487
-
1,487
5,972
-
5,972
27,527
2,603
24,924
1,112
-
1,112
344
326
778
778
44,319
44,509
107,677
76,994
1,921
785
(€ million)
INDEFINITE
MATURITY
1,199
-
-
-
489
710
-
710
-
710
856
395
-
395
-
395
39
-
39
415
4
411
7
-
7
-
-
-
-
216
217
2,386
2,771
368
368
OVER 10
YEARS
37,373
10,175
-
10,175
224
26,974
553
26,421
8,169
18,252
9,636
1,333
4
1,329
-
1,329
1,504
-
1,504
6,510
489
6,021
289
-
289
797
887
320
251
47,583
49,068
16,436
21,834
4,797
3,160
336 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: euro
AMOUNTS AS AT
12.31.2019
TYPE/RESIDUAL MATURITY
1. On-balance sheet assets
1.1 Debt securities
- With prepayment option
- Other
1.2 Loans to banks
1.3 Loans to customers
- Current accounts
- Other loans
- With prepayment option
- Other
2. On-balance sheet liabilities
2.1 Deposits from customers
- Current accounts
- Other
- With prepayment option
- Other
2.2 Deposits from banks
- Current accounts
- Other
2.3 Debt secuties in issue
- With prepayment option
- Other
2.4 Other liabilities
- With prepayment option
- Other
3. Financial derivatives
3.1 With underlying security
- Option
+ Long positions
+ Short positions
- Other derivates
+ Long positions
+ Short positions
3.2 Without underlying security
- Option
+ Long positions
+ Short positions
- Other derivatives
+ Long positions
+ Short positions
4. Other off-balance sheet transactions
+ Long positions
+ Short positions
ON DEMAND
111,204
558
7
551
22,570
88,076
28,463
59,613
11,496
48,117
350,295
328,112
314,105
14,007
163
13,844
19,075
9,889
9,186
858
-
858
2,250
5
2,245
-
-
-
-
29
29
42,265
13,817
83,553
98,803
UP TO 3
MONTHS
296,843
26,248
232
26,016
71,476
199,119
939
198,180
55,879
142,301
170,551
73,904
465
73,439
-
73,439
74,066
43
74,023
22,061
1,096
20,965
520
-
520
81
57
1,858
1,893
8,690
7,356
323,068
372,665
23,954
12,007
3 TO 6
MONTHS
54,031
10,598
154
10,444
7,714
35,719
32
35,687
8,285
27,402
52,563
6,644
1
6,643
-
6,643
33,231
-
33,231
12,474
-
12,474
214
-
214
-
1
122
123
3,520
3,270
82,846
83,045
2,416
2,117
6 MONTHS
TO 1 YEAR
34,784
12,450
21
12,429
2,853
19,481
247
19,234
3,758
15,476
26,630
10,191
2
10,189
-
10,189
4,203
-
4,203
11,772
576
11,196
464
-
464
76
71
143
143
6,892
6,472
102,224
84,991
2,218
2,286
1 TO 5
YEARS
146,469
68,270
303
67,967
6,612
71,587
797
70,790
16,099
54,691
77,594
6,571
8
6,563
-
6,563
34,341
-
34,341
34,464
2,893
31,571
2,218
2
2,216
390
346
560
560
48,386
49,064
265,006
275,992
4,474
2,592
5 TO 10
YEARS
63,982
22,710
263
22,447
6,778
34,494
36
34,458
7,713
26,745
34,942
1,459
8
1,451
-
1,451
5,759
-
5,759
26,682
2,603
24,079
1,042
-
1,042
344
326
44
44
44,319
44,509
93,722
67,210
1,639
503
(€ million)
INDEFINITE
MATURITY
1,086
-
-
-
408
678
-
678
-
678
819
393
-
393
-
393
8
-
8
411
-
411
7
-
7
-
-
-
-
102
103
349
1,290
246
246
OVER 10
YEARS
32,285
6,672
-
6,672
224
25,389
531
24,858
8,132
16,726
6,769
1,324
-
1,324
-
1,324
1,483
-
1,483
3,673
489
3,184
289
-
289
797
887
138
69
47,583
49,068
15,851
21,377
2,087
922
UniCredit ·2019 Annual Report and Accounts 337
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: other currencies
TYPE/RESIDUAL MATURITY
1. On-balance sheet assets
1.1 Debt securities
- With prepayment option
- Other
1.2 Loans to banks
1.3 Loans to customers
- Current accounts
- Other loans
- With prepayment option
- Other
2. On-balance sheet liabilities
2.1 Deposits from customers
- Current accounts
- Other
- With prepayment option
- Other
2.2 Deposits from banks
- Current accounts
- Other
2.3 Debt secuties in issue
- With prepayment option
- Other
2.4 Other liabilities
- With prepayment option
- Other
3. Financial derivatives
3.1 With underlying security
- Option
+ Long positions
+ Short positions
- Other derivates
+ Long positions
+ Short positions
3.2 Without underlying security
- Option
+ Long positions
+ Short positions
- Other derivatives
+ Long positions
+ Short positions
4. Other off-balance sheet transactions
+ Long positions
+ Short positions
AMOUNTS AS AT
12.31.2019
ON DEMAND
20,960
158
-
158
4,513
16,289
2,840
13,449
41
13,408
45,590
41,181
37,471
3,710
1
3,709
3,820
1,719
2,101
354
-
354
235
-
235
-
-
-
-
-
-
46
1,260
4,140
4,441
UP TO 3
MONTHS
42,557
4,593
21
4,572
19,211
18,753
678
18,075
940
17,135
29,068
15,729
459
15,270
-
15,270
11,278
2
11,276
2,053
-
2,053
8
-
8
26
26
6,724
6,570
143
143
45,076
54,168
1,086
1,262
3 TO 6
MONTHS
7,597
1,193
-
1,193
750
5,654
35
5,619
43
5,576
4,070
3,372
19
3,353
-
3,353
571
-
571
113
-
113
14
-
14
-
-
520
520
133
133
8,667
9,901
1,564
1,560
6 MONTHS
TO 1 YEAR
8,506
1,016
-
1,016
1,153
6,337
1
6,336
65
6,271
3,035
2,121
12
2,109
-
2,109
691
-
691
196
-
196
27
-
27
-
-
250
250
229
229
5,637
4,113
1,823
1,825
1 TO 5
YEARS
22,385
5,604
-
5,604
1,175
15,606
357
15,249
83
15,166
14,880
3,169
21
3,148
-
3,148
2,576
-
2,576
8,969
-
8,969
166
-
166
-
-
2,131
2,131
1,015
641
26,737
23,923
1,462
1,460
(€ million)
INDEFINITE
MATURITY
113
-
-
-
81
32
-
32
-
32
37
2
-
2
-
2
31
-
31
4
4
-
-
-
-
-
-
-
-
114
114
2,037
1,481
122
122
OVER 10
YEARS
5,088
3,503
-
3,503
-
1,585
22
1,563
37
1,526
2,867
9
4
5
-
5
21
-
21
2,837
-
2,837
-
-
-
-
-
182
182
-
-
585
457
2,710
2,238
5 TO 10
YEARS
6,491
2,803
-
2,803
-
3,688
-
3,688
68
3,620
1,192
64
28
36
-
36
213
-
213
845
-
845
70
-
70
-
-
734
734
-
-
13,955
9,784
282
282
2. Banking book: internal models and other methods for sensitivity analysis
Interest rate risk
As at 31 December 2019, the sensitivity of interest income to an immediate and parallel shift of +100bps was +€849 million.
The sensitivity of the economic value of shareholders’ equity to an immediate and parallel change in interest rates (“parallel shift”) of +200bps was
-€3,377 million as at 31 December 201940.
40 The figures include modeled sensitivity estimates for assets and liabilities with not well-defined maturities, such as sight and savings deposits.
338 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
2.2.3 Exchange rate risk
Qualitative information
A. General aspects, risk management processes and measurement methods
Exchange rate risk originates both from banks in the Group operating in currency areas other than the Eurozone and from positions taken by
specialist centres holding the Group's market risk within the limits assigned.
Risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct sale and purchase of
securities, regulated derivatives and OTC. Volatility trading strategies are implemented using options. Exchange rate risk is constantly monitored
and measured by using internal models developed by Group companies.
For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure,
refer to the introduction on internal models. These models are also used to calculate capital requirements on market risks due to the exposure to
such risk.
As regards stress test refer to the introduction on “Risk management strategies and processes” paragraph and for the complex scenarios’
description to “Stress test” paragraph.
B. Hedging exchange rate risk
The exchange risk hedging activity within the Trading book is aimed at keeping the FX risk within the defined Granular and Global limits.
Regarding banking book the Group adopts hedge strategies for profits and dividends arising from its subsidiaries not belonging to the euro zone,
taking into account market circumstances for the hedging strategies.
Quantitative information
1. Distribution by currency of assets and liabilities and derivatives
ITEMS
A. Financial assets
A.1 Debt securities
A.2 Equity securities
A.3 Loans to banks
A.4 Loans to customers
A.5 Other financial assets
B. Other assets
C. Financial liabilities
C.1 Deposits from banks
C.2 Deposits from customers
C.3 Debt securities in issue
C.4 Other financial liabilities
D. Other liabilities
E. Financial derivatives
- Options
+ Long positions
+ Short positions
- Other derivatives
+ Long positions
+ Short positions
Total assets
Total liabilities
Difference (+/-)
U.S.
DOLLAR
41,782
8,929
920
6,358
25,554
21
663
45,618
13,905
19,912
11,669
132
35
467
414
14,527
7,625
57,439
53,692
3,747
SWITZERLAND
FRANC
8,983
315
208
1,277
7,133
50
5
695
44
505
144
2
2
23
2
19,105
20,010
28,116
20,709
7,407
AMOUNTS AS AT
12.31.2019
CURRENCIES
JAPAN
YEN
6,649
6,223
22
124
280
-
3
207
3
96
104
4
-
7
-
4,890
2,794
11,549
3,001
8,548
BRITISH
POUND
3,660
1,065
166
89
2,335
5
353
2,051
1,158
840
7
46
3
45
51
8,510
10,560
12,568
12,665
(97)
(€ million)
OTHER
CURRENCIES
138,977
25,219
244
14,028
99,251
235
407
107,753
16,806
74,975
15,743
229
404
346
258
35,981
34,412
175,711
142,827
32,884
POLAND
ZLOTY
847
347
2
267
231
-
3
322
28
231
59
4
1
2
6
3,900
3,820
4,752
4,149
603
UniCredit ·2019 Annual Report and Accounts 339
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
2. Internal models and other methodologies for sensitivity analysis
Transactional FX risk (impact of fluctuations in foreign exchange rates on the Group’s Profit & Loss in the period) measurement and reporting is part
of the Group´s market risk framework.
In UGRM, transactional exchange risk exposures are incorporated in the relevant risk calculation, limit monitoring and reporting.
Every Legal Entity is required to setup, as part of the respective Market Risk framework, a sound limit system for managing and controlling
Transactional Exchange Risk. As a minimum requirement, the limit system shall envisage FX Delta limits for the main currencies which the business
is exposed to or for aggregation of currencies.
FX Delta limits are part of the Granular Market Risk Limits and are ruled by the Group Policy “Market Risk Limits”.
Credit spread risk
Qualitative information
A. General aspects
Risk relating to credit spreads and related credit derivative products included in Trading book originates from positions taken by Group specialist
centres holding assigned market risk limits within certain levels of discretion.
Risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct sale and purchase of
securities, regulated derivatives and OTC.
B. Risk management processes and measurement methods
For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure,
refer to introduction on internal models.
As regards stress Test refer to the introduction on “Risk management strategies and processes” and for the complex scenarios’ description to
“Stress test” paragraph.
Quantitative information
Credit spread sensitivity
Credit spread sensitivity is calculated by assuming a worsening of creditworthiness seen in a parallel shift of +1bp/+10bp/+100bps in the credit
spread curves.
These sensitivities are calculated both inclusively, assuming a parallel shift of all the credit spread curves, and in respect of specific rating classes
and economic sectors.
The table below shows trading book sensitivities.
+1BP
LESS
THAN
1 MONTH
0.0
+1BP
1 MONTH
TO
6
MONTHS
-0.1
+1BP
6
MONTHS
TO 1
YEAR
-0.1
+1BP
1 YEAR
TO
5 YEARS
-0.4
+1BP
5 YEARS
TO
10
YEARS
-0.5
+1BP
10
YEARS
TO
20
YEARS
0.3
+1BP
OVER 20
YEARS
-0.2
(€ million)
+1 BP
TOTAL
+10BP
-8.7
-0.9
+100BP
-80.7
-0.0
-0.0
-0.0
0.0
-0.0
0.0
0.0
0.0
0.0
-0.0
-0.0
0.0
-0.0
0.0
0.0
-0.0
0.0
0.0
-0.0
0.0
-0.0
-0.0
-0.0
-0.1
-0.0
-0.0
0.0
-0.1
-0.0
0.0
-0.0
-0.0
-0.0
-0.0
-0.0
-0.0
0.0
-0.0
0.0
-0.0
-0.0
-0.0
-0.0
-0.1
-0.0
-0.0
0.0
-0.1
0.0
-0.0
-0.0
-0.0
-0.0
-0.0
0.0
0.0
-0.0
-0.0
0.0
-0.0
-0.1
-0.0
-0.1
-0.2
-0.0
-0.0
0.0
0.0
-0.0
-0.3
-0.1
-0.0
-0.0
-0.0
-0.0
-0.0
0.0
-0.0
-0.0
0.0
-0.0
-0.1
-0.0
-0.3
-0.0
-0.0
0.0
-0.3
-0.0
-0.2
-0.0
-0.0
-0.0
-0.0
-0.0
0.0
-0.0
0.0
0.0
0.0
-0.0
-0.1
-0.0
0.4
-0.0
0.0
0.0
0.4
0.0
-0.0
-0.0
-0.0
-0.0
-0.0
0.0
-0.0
-0.0
0.0
-0.0
0.0
-0.0
-0.0
0.0
-0.1
-0.0
0.0
0.0
-0.2
0.0
-0.0
0.0
0.0
-0.0
0.0
0.0
-0.0
0.0
-0.0
-0.0
0.0
-0.1
-0.2
-0.1
-0.3
-0.0
-0.0
0.0
-0.2
-0.0
-0.5
-0.1
-0.0
-0.0
-0.0
-0.0
-0.0
-0.0
-0.0
-0.0
0.0
-1.2
-1.9
-1.4
-3.5
-0.4
-0.1
-0.2
-2.1
-0.1
-5.5
-1.0
-0.1
-0.1
-0.1
-0.3
-0.1
-0.1
-0.1
-0.0
0.0
-2.8
-17.8
-14.2
-35.6
-3.7
-1.1
-2.2
-11.1
-1.3
-53.8
-12.4
-0.9
-1.5
-1.2
-2.8
-1.4
-1.1
-0.7
-0.1
0.1
Total
Rating
AAA
AA
A
BBB
BB
B
CCC and NR
Sector
Sovereigns & Related
ABS and MBS
Financial Services
All Corporates
Basic Materials
Communications
Consumer Cyclical
Consumer Non cyclical
Energy
Technology
Industrial
Utilities
All other Corporates
340 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Stress test
Stress tests complement the sensitivity analysis and VaR results in order to assess the potential risks in a different way. A stress test performs the
evaluation of a portfolio under both simple scenarios (assuming change to single risk factors) and complex scenarios (assuming simultaneous
changes in a number of risk factors).
The description of complex scenarios, which combine changes in interest rate, price, exchange-rate and credit spread risk factors is reported below.
For the description of simple scenarios, refer to the previous paragraphs.
As far as complex scenarios are concerned, different scenarios have been applied to the whole Group Trading Book on a monthly basis and
reported to the Top Management.
Widespread contagion
In this scenario, we assume an intensification of political risks across the EU. Confidence of financial markets, businesses and households sours,
leading to tighter financial conditions and lower economic activity.
UK growth, which is already suffering from an increase in uncertainty following the vote to leave the EU, would be hit by an intensification of political
risks in the rest of the EU. Uncertainty will weigh on UK business investment, trade and capital flows, with knock-on effects on consumer confidence.
In GDP space, Italy and Spain are most impacted. France follows suit, while Germany is the least affected. At the eurozone level, GDP is seen
contracting 0.6% in 2020 and 2021, followed by a slow recovery to 0.7% in 2022. Overall, the cumulative loss vs. baseline over the three years is 3.8
pp.
Inflation in the eurozone would remain low in 2020-2022, reflecting a wider output gap and lower oil prices, while the weaker euro is expected to
partially offset some of these drags.
The ECB would cut the deposit rate – now de facto the true policy rate – by a cumulative 30bp to -0.80% over the forecast horizon, while keeping
the refi rate at 0.00%. The size of the rate reduction is modest compared to the magnitude of the growth and inflation shock, but we believe the ECB
is close to the effective lower bound and side effects of negative rates could start surfacing before long. The rate cuts are likely to be accompanied
by enhancement of mitigating measures to support profitability of the banking sector, for example an increase of the tiering multiplier. Another dose
of QE appears likely at a time of meaningful deviation from the price stability target. The slow growth recovery in 2022 is unlikely to allow the ECB to
raise the deposit rate.
Brexit, along with an escalation of political risks in the EU, weighs more heavily on business investment and consumer confidence in the UK. UK
GDP growth is slightly negative in 2020 (-0.2%), with a modest recovery afterwards. The opening up of a sizable output gap and the fall in sterling
import prices (with lower USD oil prices more than offsetting sterling depreciation) means inflation stays subdued for longer. The rise in
unemployment and the lower inflation level moderates wage growth. Capital outflows induce some adjustment of the UK’s large current account
deficit. The response of fiscal authorities is to ease policy, while the BoE cuts rates to 0.00% and likely restarts QE.
The US economy should be less affected than the EU. The reason is that most of the growth in the US comes from domestic demand, notably
consumer spending, therefore direct and indirect trade linkages with Europe are not going to be a huge drag, even when accounting for the spillover
on US investment activity. The main transmission channel of the shock is lower stock prices, which directly affect US household finances and
balance sheets. The adverse growth shock would lead the Fed to deliver more aggressive easing compared to the baseline. In this scenario we
expect the Fed to cut policy rates to 0%.
Protectionism, China slowdown & Turkey shock
In this risk scenario, we assume the introduction of protectionist policies in the US that generate meaningful retaliation by its trading partners,
leading to an escalation of trade frictions globally. This intensifies downward pressure on GDP growth in emerging markets, especially China, where
growth slows from 6% to 3%. On top of this, we assume a growth shock in Turkey, where economic fundamentals are weak and domestic political
picture does not reassure foreign investors.
This is a more global shock than “Widespread Contagion” and the main transmission channels are trade and financial markets – the latter
predominantly via an aggressive sell-off in risky assets and its negative impact on confidence and investment plans. Moreover, as China is a big
commodity importer, its slowdown is expected to increase downward pressure on commodity prices, damaging commodity producers like Russia.
UniCredit ·2019 Annual Report and Accounts 341
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
The drag on eurozone GDP via the trade channel is supposed to come mostly from the financial and confidence channel rather than by a slowing
trade activity. In general, we assume the overall drag to reflect the openness of the economy and the weight of China as an export destination.
Exports to China amount to 1.5% of eurozone GDP. Among the main euro area countries, this share is highest in Germany (2.8%), followed by
France (0.9%), Italy (0.7%) and Spain (0.5%). As a consequence, Germany is expected to be the most damaged country in this risk scenario, while
Spain is likely to be the least impacted. Austria is treated differently, because it has only a small direct trade exposure to China, but very large
exposure to Germany. In our estimates, this implies a growth shock that exceeds that for the eurozone.
In this risk scenario, the eurozone economy is assumed to contract both in 2020 and 2021 (-1.4% and -1.2%, respectively), with only a slow
recovery in 2022 (+0.4%). Over three years, the cumulative GDP loss vs. baseline would be 5.5pp. Germany would experience a GDP contraction of
2.4% in 2020, 2.8% in 2021 and a stagnating economy in 2022. The negative impact of the trade and financial shock on the German economy is
assumed to be partly mitigated by fiscal policy (with the main aim to support labor income), while in the other eurozone countries, where room for
maneuver on fiscal policy is smaller, the fiscal deficit deterioration will largely reflect automatic stabilizers, like an increase in unemployment benefits.
Lower oil prices work as automatic stabilizer, reducing the scale of the GDP shock in energy-importing countries.
Inflation in the eurozone will likely be lower compared to “Widespread Contagion”, reflecting a bigger output gap and a larger decline in oil prices
In a context of a global growth slowdown amid weaker commodity prices, the ECB would act further by cutting the deposit rate by a cumulative 30bp
to -0.80% over the forecast horizon, while keeping the refi rate at 0.00%. The size of the rate reduction is still modest compared to the magnitude of
the growth and inflation shock, but we believe the ECB is close to the effective lower bound as side effects of negative rates could start surfacing
before long. The rate cuts are likely to be accompanied by enhancement of mitigating measures to support profitability of the banking sector, for
example an increase of the tiering multiplier. Another dose of QE appears likely at a time of meaningful deviation from the price stability objective.
The UK is an open economy, although direct trade exposure to China is relatively modest. We assume a large adverse growth impact via the shock
to global confidence and capital flows. The UK economy contracts in 2020 and 2021. The steep fall in oil prices and other global commodity prices
results in a lower path for UK inflation. Unemployment rises as the economy slows.
The US economy should be less affected than the eurozone, due to its stronger reliance on domestic demand and potentially some short term
positive impact of protectionist measures. However, in this scenario of a more global shock, weaker global growth is expected to lead to a stagnating
US economy in 2020 and to cause a modest recession in 2021 (-0.4%) through weaker exports and a cutback in investment activity, which
eventually will weigh on the labor market and thus on consumer spending as well. The Federal Reserve is likely to cut rates aggressively to 0.00%.
US Hard Landing
In this risk scenario, we assume that the longest expansion phase in US history comes to an abrupt end and the UK leaves the EU without a deal (at
end-2020, but some of the effects are already brought forward as businesses start to make adjustments). The US enters a deep recession as the
fading fiscal boost, a loss of labor market dynamics, and the drag from protectionist measures expose the vulnerabilities of the corporate sector. A
no-deal Brexit leads to meaningful disruptions in UK imports causing a strong recession.
The US economy experienced a strong recession. The additional cumulative shock to real GDP between 2020 and 2022 amounts to about 5%. As a
result, the jobless rate will almost double from currently 3½% to above 7%. This increasing slack will take the pressure off wage gains, and in
combination with a sharp drop in commodity prices, push the inflation rate into negative territory in 2021. The sharp recession triggers policy easing
by both monetary and fiscal authorities. The Federal Reserve will aggressively cut the target rate back to a range of 0.00-0.25%, and leave it there
for the forecast horizon. The rate cuts will most likely be accompanied by an accommodative forward guidance on rates and a renewed expansion of
the balance sheet. Automatic stabilizers and some discretionary fiscal stimulus will push the budget deficit to almost 8% in 2021, sending the
general government’s total debt-to-GDP ratio towards 120%.
The UK enters a deep recession, with the cumulative shock to GDP amounting to 6% of GDP to end-2022. Inflation initially rises (relative to the
baseline) due the one-off impact of higher tariffs (the UK is assumed to lower MFN tariffs temporarily but overall tariffs will rise because imports from
the EU will no longer be tariff-free), supply disruptions and, importantly, a large fall in the effective sterling exchange rate. After the first year the
effects of a much more negative output gap and lower commodity prices start to dominate and inflation eases. Unemployment rises materially.
342 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
The drag on eurozone GDP is likely to materialize both via trade and the financial and confidence channel. In general, we assume the overall drag to
reflect the openness of the economy and the weight of the US and the UK as export destinations. Germany is expected to be the most damaged
country in this risk scenario, while Spain is likely to be the least impacted. Austria’s direct exposure to the US and UK is not particularly high (exports
are about 4% of GDP), but given the country’s very large exposure to Germany, in our estimates, the growth shock exceeds that for the eurozone.
In this risk scenario, eurozone growth is assumed to turn negative in 2020 (-0.6%), with the recession set to deepen in 2021 (-1.0%) and only a slow
recovery in 2022 (+0.6%). Over three years, the cumulative GDP loss vs. baseline would be 4.3pp.
Inflation in the eurozone will likely be lower compared to “Widespread Contagion”, reflecting the wider output gap and the larger decline in oil prices.
In a context of a global growth slowdown amid weaker commodity prices, the ECB would act further by cutting the deposit rate by a cumulative 30bp
to -0.80% over the forecast horizon, while keeping the refi rate at 0.00%. The size of the rate reduction is modest compared to the magnitude of the
growth and inflation shock, but we believe the ECB is close to the effective lower bound as side effects of negative rates could start surfacing before
long. The rate cuts are likely to be accompanied by enhancement of mitigating measures to support profitability of the banking sector, for example
an increase of the tiering multiplier. Another dose of QE appears likely at a time of meaningful deviation from the price stability objective.
Stress Test on Trading book
UniCredit group total
RC Germany
RC Italy
RC Austria
RC CEE
END OF DECEMBER 2019
WIDESPREAD
CONTAGION
PROTECTIONISM
-106
-82
-21
-3
0
-178
-170
-12
-3
7
(€ million)
IR
SHOCK
-103
-119
13
4
-2
Most of conditional losses in Trading Book are in UCB AG and are mainly driven by CIB Fixed Income & Currencies and Equity and Commodity
Trade business lines in all scenarios, due to widening in Credit Spreads, partially offset in US Hard Landing by depreciation of USD and GBP. In
UniCredit S.p.A. conditional losses in Protectionism and Widespread Contagion scenarios, and conditional profits in US Hard Landing are
respectively driven by appreciation and depreciation of USD impacting mainly CIB CVA Hedge business line.
UniCredit ·2019 Annual Report and Accounts 343
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
2.3 Derivative instruments and hedging policies
2.3.1 Trading financial derivatives
A Financial Derivatives
A.1 Trading financial derivatives: end-of-period notional amounts
AMOUNTS AS AT
12.31.2019
OVER THE COUNTER
WITHOUT CENTRAL
COUNTERPARTIES
(€ million)
AMOUNTS AS AT
12.31.2018
OVER THE COUNTER
WITHOUT CENTRAL
COUNTERPARTIES
CENTRAL
COUNTERPARTIES
WITH
NETTING
AGREEMENT
WITHOUT
NETTING
AGREEMENT
ORGANISED
MARKETS
CENTRAL
COUNTERPARTIES
WITH
NETTING
AGREEMENT
WITHOUT
NETTING
AGREEMENT
ORGANISED
MARKETS
1,859,146
-
1,610,189
248,179
778
-
-
-
-
-
-
-
823
-
-
823
-
-
-
-
1,859,969
697,761
184,313
512,925
523
-
-
28,382
21,919
6,463
-
-
-
360,905
57,423
141,991
55,944
-
105,547
3,019
527
1,090,594
117,853
19,352
95,917
1,835
733
16
3,038
2,924
5
-
-
109
99,339
9,923
21,813
45,388
-
22,215
3,084
2,381
225,695
40,663
153
-
3
40,507
-
74,811
46,749
-
-
28,062
-
79
-
-
-
79
-
8,810
2,968
127,331
1,340,947
-
1,092,535
242,603
5,809
-
-
-
-
-
-
-
1,041
-
-
1,041
-
-
-
-
1,341,988
421,799
127,433
293,566
800
-
-
29,093
19,627
9,466
-
-
-
358,346
51,092
145,679
60,591
-
100,984
2,712
64
812,014
119,978
22,952
95,925
17
883
201
3,061
2,890
1
-
-
170
107,721
11,007
22,873
46,930
-
26,911
2,648
842
234,250
54,714
6,987
-
-
47,727
-
57,784
34,111
-
-
23,673
-
105
-
-
-
105
-
6,492
2,423
121,518
UNDERLYING ACTIVITIES/TYPE OF
DERIVATIVES
1. Debt securities and interest rate
indexes
a) Options
b) Swap
c) Forward
d) Futures
e) Other
2. Equity instruments and stock
indexes
a) Options
b) Swap
c) Forward
d) Futures
e) Other
3. Gold and currencies
a) Options
b) Swap
c) Forward
d) Futures
e) Other
4. Commodities
5. Other
Total
This table refers to the notional values of financial derivatives according to classification within accounting trading portfolio applied in the separate
financial statements of the legal entities belonging to the Regulatory consolidation.
344 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
A.2 Trading financial derivatives: positive and negative gross fair value - breakdown by product
AMOUNTS AS AT
12.31.2019
OVER THE COUNTER
WITHOUT CENTRAL
COUNTERPARTIES
(€ million)
AMOUNTS AS AT
12.31.2018
OVER THE COUNTER
WITHOUT CENTRAL
COUNTERPARTIES
CENTRAL
COUNTERPARTIES
WITH
NETTING
AGREEMENT
WITHOUT
NETTING
AGREEMENT
ORGANISED
MARKETS
CENTRAL
COUNTERPARTIES
WITH
NETTING
AGREEMENT
WITHOUT
NETTING
AGREEMENT
ORGANISED
MARKETS
-
21,263
-
-
35
-
-
21,298
-
25,435
-
-
37
-
-
25,472
5,257
24,358
3,472
-
534
45
1,174
34,840
6,084
19,757
3,474
-
662
-
1,226
31,203
1,221
2,560
848
-
753
-
338
5,720
333
1,471
501
-
971
1
363
3,640
2,329
-
-
-
-
738
2
3,069
2,642
-
-
-
-
1,060
-
3,702
-
13,201
-
-
6
-
-
13,207
-
14,448
-
-
12
-
-
14,460
3,130
15,889
4,904
-
607
-
1,048
25,578
4,961
15,135
4,809
-
784
-
1,098
26,787
1,972
4,241
974
-
914
1
496
8,598
279
862
736
-
1,016
1
475
3,369
2,017
-
-
-
-
510
2
2,529
1,974
-
-
-
-
2,947
-
4,921
TYPE OF DERIVATIVES
1. Positive fair value
a) Options
b) Interest rate swap
c) Cross currency swap
d) Equity swap
e) Forward
f) Futures
g) Other
Total
2. Negative fair value
a) Options
b) Interest rate swap
c) Cross currency swap
d) Equity swap
e) Forward
f) Futures
g) Other
Total
This table presents distribution by product of the gross positive and negative financial derivatives’ fair values according to classification within
accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation.
UniCredit ·2019 Annual Report and Accounts 345
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
A.3 OTC trading financial derivatives: notional amounts, positive and negative gross fair value by counterparty
UNDERLYING ACTIVITIES
Contracts not included in netting agreement
1) Debt securities and interest rate indexes
- Notional amount
- Positive fair value
- Negative fair value
2) Equity instruments and stock indexes
- Notional amount
- Positive fair value
- Negative fair value
3) Gold and currencies
- Notional amount
- Positive fair value
- Negative fair value
4) Commodities
- Notional amount
- Positive fair value
- Negative fair value
5) Other
- Notional amount
- Positive fair value
- Negative fair value
Contracts included in netting agreement
1) Debt securities and interest rate indexes
- Notional amount
- Positive fair value
- Negative fair value
2) Equity instruments and stock indexes
- Notional amount
- Positive fair value
- Negative fair value
3) Gold and currencies
- Notional amount
- Positive fair value
- Negative fair value
4) Commodities
- Notional amount
- Positive fair value
- Negative fair value
5) Other
- Notional amount
- Positive fair value
- Negative fair value
AMOUNTS AS AT
12.31.2019
CENTRAL
COUNTERPARTIES
BANKS
OTHER FINANCIAL
COMPANIES
OTHER ENTITIES
(€ million)
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
1,859,145
21,292
25,469
-
-
-
823
5
3
-
-
-
-
-
-
15,658
249
214
395
123
168
19,144
173
201
1
-
2
208
-
6
268,175
12,493
15,999
18,408
306
754
280,916
3,406
3,911
381
21
7
-
-
-
29,842
502
707
1,358
158
13
28,544
618
350
301
7
15
301
5
104
359,752
6,779
7,674
9,615
97
151
56,382
872
751
196
13
18
-
-
-
72,354
2,677
575
1,285
3
130
51,651
924
809
2,782
276
193
1,871
6
156
69,834
9,677
1,156
359
9
9
23,606
1,002
600
2,441
164
157
527
1
16
This table presents distribution by counterparty of the notional amount and gross positive and negative financial derivatives’ fair values according to
classification within accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory
consolidation.
346 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
A.4 OTC financial derivatives - residual life: notional amounts
UNDERLYING/RESIDUAL MATURITY
A.1 Financial derivative contracts on debt securities and interest rates
A.2 Financial derivative contracts on equity securities and stock indexes
A.3 Financial derivative contracts on exchange rates and hold
A.4 Financial derivative contracts on other values
A.5 Other financial derivatives
12.31.2019
Total
12.31.2018
Total
B. Credit derivatives
B.1 Trading credit derivatives: end of period notional amounts
UP TO 1 YEAR
995,688
15,187
293,041
4,158
2,069
1,310,143
961,227
OVER 1 YEAR UP
TO 5 YEARS
892,008
11,238
117,892
1,690
789
1,023,617
832,076
OVER 5 YEARS
787,064
4,995
50,134
255
49
842,497
594,948
(€ million)
TOTAL
2,674,760
31,420
461,067
6,103
2,907
3,176,257
2,388,251
CATEGORY OF TRANSACTIONS
1. Protection buyer's contracts
a) Credit default products
b) Credit spread products
c) Total rate of return swap
d) Other
Total
12.31.2019
12.31.2018
Totale
2. Protection seller's contracts
a) Credit default products
b) Credit spread products
c) Total rate of return swap
d) Other
Total
Total
12.31.2019
12.31.2018
TRADING DERIVATIVES
WITH A SINGLE
COUNTERPARTY
WITH MORE THAN ONE
COUNTERPARTY (BASKET)
(€ million)
2,769
-
780
-
3,549
7,637
2,116
-
972
-
3,088
7,393
2,402
-
-
-
2,402
6,309
2,219
1,000
-
-
3,219
6,461
This table refers to the notional values of credit derivatives according to classification within accounting trading portfolio applied in the separate
financial statements of the legal entities belonging to the Regulatory consolidation.
B.2 Trading credit derivatives: positive and negative gross fair value - breakdown by product
TYPES OF DERIVATIVE INSTRUMENTS
1. Positive fair value
a) Credit default products
b) Credit spread products
c) Total rate of return swap
d) Other
Total
2. Negative fair value
a) Credit default products
b) Credit spread products
c) Total rate of return swap
d) Other
Total
AMOUNTS AS AT
12.31.2019
12.31.2018
(€ million)
79
-
35
-
114
103
-
157
-
260
203
-
8
-
211
215
-
139
-
354
This table presents distribution by product of the gross positive and negative credit derivatives’ fair values according to classification within the
accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the Regulatory consolidation.
UniCredit ·2019 Annual Report and Accounts 347
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
B.3 OTC trading credit derivatives: notional amounts, positive and negative gross fair value by counterparty
AMOUNTS AS AT
12.31.2019
CENTRAL
COUNTERPARTIES
BANKS
FINANCIAL
COMPANIES
OTHER ENTITIES
(€ million)
Contracts not included in netting agreement
1) Protection buyer's contracts
- Notional amount
- Positive fair value
- Negative fair value
2) Protection seller's contracts
- Notional amount
- Positive fair value
- Negative fair value
Contracts included in netting agreement
1) Protection buyer's contracts
- Notional amount
- Positive fair value
- Negative fair value
2) Protection seller's contracts
- Notional amount
- Positive fair value
- Negative fair value
X
X
X
X
X
X
-
-
-
18
-
-
598
17
11
972
18
127
3,183
9
43
2,084
25
10
182
-
20
-
-
-
1,988
2
46
3,233
42
4
-
-
-
-
-
-
-
-
-
-
-
-
This table presents distribution by counterparty of the notional amount and gross positive and negative credit derivatives’ fair values according to
classification within the accounting trading portfolio applied in the separate financial statements of the legal entities belonging to the regulatory
consolidation.
B.4 OTC trading credit derivatives - residual life: notional amounts
UNDERLYING/RESIDUAL MATURITY
1. Protection buyer's contracts
2. Protection seller's contracts
12.31.2019
Total
12.31.2018
Total
UP TO 1 YEAR
3,714
3,365
7,079
13,395
OVER 1 YEAR UP
TO 5 YEARS
2,473
1,993
4,466
13,782
OVER 5 YEARS
120
592
712
623
(€ million)
TOTAL
6,307
5,950
12,257
27,800
This table refers to the notional values of credit derivatives according to classification within accounting trading portfolio applied in the separate
financial statements of the legal entities belonging to Regulatory consolidation.
B.5 Credit derivatives linked to fair value option: annual changes
No data to be disclosed.
2.3.2 Hedging policies
Qualitative information
Hedging derivative transactions are used to manage the exposure to market risks and volatility of financial outcomes that arise as part of our normal
business operations and are executed in accordance with internal policies.
Derivatives are mainly used to manage of the banking book interest rate risk with the following goals:
reducing banking book interest rate risk profile according to Risk Appetite Framework approved by the Board of Directors and limits defined by
relevant Committees or risk functions. Within Risk Appetite Framework, the banking book exposure to interest rate risk is defined either in terms of
Net Interest Income Sensitivity and Economic Value Sensitivity;
optimizing the natural hedge between the risk profile of assets and liabilities using derivatives to manage the mismatch, even temporary, between
the volume and the rates of assets and liabilities with different repricing schedules;
minimizing the net exposure of derivatives used for hedging either assets and liabilities.
A Fair value hedging activities
The objective of fair value hedge on assets/liabilities is to hedge the exposure to changes in fair value coming from the embedded risk factor subject
to an hedging transaction.
348 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
The fair value hedge is applied both for identified financial instruments (securities, debt issues, loans, borrowings) and for portfolios of financial
instruments (in particular, fixed rate loans and non-maturity deposits).
The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the
hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship.
The hedging strategy on identified financial instruments classified as Held-to-Collect (HTC) and Held-to-Collect & Sell (HTCS) considers the
contractual features of each instruments and business intent.
The hedging strategy on portfolios of financial instruments refers to the amounts of money contained in the portfolio of interest rate exposures that
are not already subject to "micro/specific" hedging and mirrors to the nominal amount and financial conditions of hedging derivatives
The objective of fair value hedge on assets/liabilities denominated in foreign currency is to hedge the exposure to changes in fair value by converting
to Euro denominated assets/liabilities.
The hedging instruments used mainly consist of interest rate swaps, basis swaps, caps, floors and cross currencies swaps.
B. Cash flow hedging activities
The objective of cash flow hedge on floating rate assets/liabilities is to hedge the exposure to changes in cash flows from borrowings/lendings that
bear a floating interest rate.
The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the
hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship.
Cash flow hedges are particularly used to hedge interest rate risk on floating-rate assets and liabilities, including rollovers, and foreign exchange
risks on highly probable forecast foreign currency revenues.
The hedging instruments used mainly consist of interest rate swaps, caps, floors, cross-currency swaps with a maturity up to 20-30 years for some
commercial assets.
C. Foreign net investments hedge activities
No hedging strategy is in place on an investment in entities whose functional currency differs from the Group’s functional currency.
The Group put in place some economic hedges on forecasted foreign currency revenues stemming from those entities. The objective of the
economic hedge on is to reduce the volatility on the income statement coming from the foreign exchange risks. FX risk on forecasted foreign
currency revenues is continuously monitored and hedging strategies are periodically assessed. The hedging strategy and the percentage to be
hedged is defined on a case by case basis considering, inter alia, the diversification effect and taking into account the volatility and correlation in the
FX rates.
The derivatives used consist mainly of currency options. These derivatives may not qualify or should be not qualify for hedge accounting even
though achieves substantially the same economic results. The impact of economic hedge is accounted in Item 80 - Trading Income line.
D. Hedging instruments and E. Hedged elements
Prospective hedge effectiveness is established by the fact that all derivatives must, at inception, have the effect of reducing interest rate risk in term
of Economic Value Sensitivity (Fair Value Hedge) or Net Interest Income Sensitivity (Cash Flow Hedge) in the specific/portfolio of hedged
underlyings.
Retrospectively the hedge effectiveness is quarterly measured by referring to the most stable portion of assets/liabilities using a portfolio hedge
approach or by referring to the portion of risk being hedged using a micro/specific approach.
Sources of ineffectiveness comes from (i) the Euribor/Eonia basis for hedging derivatives transactions subject to a collateral agreement, (ii)
Credit/Debit Value and Funding Value adjustment impacting derivative transactions fair values, (iii) shortfall arising in the underlying’s specifically
associated with that hedge in term of nominal or reverse sensitivity due to prepayment or default on commercial assets or withdrawals on liabilities
included such as commercial non maturity deposits and are presented in Item 90 - Net gains (losses) on hedge accounting.
UniCredit ·2019 Annual Report and Accounts 349
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Quantitative information
A. Hedging financial derivatives
A.1 Hedging financial derivatives: end-of-period notional amounts
AMOUNTS AS AT
12.31.2019
OVER THE COUNTER
WITHOUT CENTRAL
COUNTERPARTIES
(€ million)
AMOUNTS AS AT
12.31.2018
OVER THE COUNTER
WITHOUT CENTRAL
COUNTERPARTIES
UNDERLYING ACTIVITIES/TYPE OF
DERIVATIVES
CENTRAL
COUNTERPARTIES
WITH NETTING
AGREEMENT
WITHOUT
NETTING
AGREEMENT
ORGANISED
MARKETS
CENTRAL
COUNTERPARTIES
WITH NETTING
AGREEMENT
WITHOUT
NETTING
AGREEMENT
ORGANISED
MARKETS
1. Debt securities and interest rate
indexes
a) Options
b) Swap
c) Forward
d) Futures
e) Other
2. Equity instruments and stock indexes
a) Options
b) Swap
c) Forward
d) Futures
e) Other
3. Gold and currencies
a) Options
b) Swap
c) Forward
d) Futures
e) Other
4. Commodities
5. Other
Total
109,830
-
109,277
553
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
109,830
18,477
1,691
16,786
-
-
-
-
-
-
-
-
-
7,394
-
7,394
-
-
-
-
-
25,871
214,097
-
10,529
-
203,568
-
-
-
-
-
-
-
1,001
13
988
-
-
-
-
-
215,098
7,585
-
-
-
7,585
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
7,585
86,191
-
85,634
557
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
86,191
15,732
2,412
13,320
-
-
-
-
-
-
-
-
-
9,013
-
7,703
1,310
-
-
-
-
24,745
268,690
-
11,331
-
257,359
-
-
-
-
-
-
-
3,259
-
3,259
-
-
-
-
-
271,949
4,100
-
-
-
4,100
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
4,100
This table refers the notional value of cash-flow hedging derivatives according to classification within the accounting hedging portfolio applied in
the separate financial statements of the legal entities belonging to the Regulatory consolidation.
A.2 Hedging financial derivatives: positive and negative gross fair value - breakdown by product
AMOUNT AS AT
12.31.2019
POSITIVE AND NEGATIVE FAIR VALUE
OVER THE COUNTER
WITHOUT CENTRAL COUNTERPARTIES
WITHOUT
NETTING
AGREEMENT
WITH NETTING
AGREEMENT
CENTRAL
COUNTERPARTIES
ORGANISED
MARKETS
CENTRAL
COUNTERPARTIES
AMOUNT AS AT
12.31.2018
POSITIVE AND NEGATIVE FAIR VALUE
OVER THE COUNTER
WITHOUT CENTRAL COUNTERPARTIES
WITHOUT
NETTING
AGREEMENT
WITH NETTING
AGREEMENT
(€ million)
AMOUNT AS AT
12.31.2019
AMOUNT AS AT
12.31.2018
ORGANISED
MARKETS
CHANGES IN VALUE USED TO
CALCULATE HEDGE
INEFFECTIVENESS
-
3,796
-
-
-
-
-
3,796
-
1,159
-
-
-
-
-
1,159
19
251
56
-
-
-
-
326
152
681
228
-
-
-
-
1,061
-
97
8
-
-
146
-
251
-
274
45
-
-
166
-
485
-
-
-
-
-
-
18
18
-
-
-
-
-
1
1
2
-
2,668
-
-
-
-
-
2,668
-
994
-
-
-
-
-
994
18
280
62
-
4
-
-
364
61
508
357
-
-
-
-
926
-
293
32
-
-
99
-
424
-
148
51
-
-
99
-
298
-
-
-
-
-
-
18
18
-
-
-
-
-
-
1
1
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
TYPE OF DERIVATIVES
1. Positive fair value
a) Options
b) Interest rate
swap
c) Cross currency
swap
d) Equity swap
e) Forward
f) Futures
g) Other
Total
2. Negative fair value
a) Options
b) Interest rate
swap
c) Cross currency
swap
d) Equity swap
e) Forward
f) Futures
g) Other
Total
This table presents distribution by product of the gross positive and negative cash-flow hedging derivatives’ fair values according to classification
within the accounting hedging portfolio applied in the separate financial statements of the legal entities belonging to the regulatory consolidation.
350 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
A.3 OTC hedging financial derivatives: notional amounts, positive and negative gross fair value by counterparty
UNDERLYING ACTIVITIES
Contracts not included in netting agreement
1) Debt securities and interest rate indexes
- Notional amount
- Positive fair value
- Negative fair value
2) Equity instruments and stock indexes
- Notional amount
- Positive fair value
- Negative fair value
3) Gold and currencies
- Notional amount
- Positive fair value
- Negative fair value
4) Commodities
- Notional amount
- Positive fair value
- Negative fair value
5) Other
- Notional amount
- Positive fair value
- Negative fair value
Contracts included in netting agreement
1) Debt securities and interest rate indexes
- Notional amount
- Positive fair value
- Negative fair value
2) Equity instruments and stock indexes
- Notional amount
- Positive fair value
- Negative fair value
3) Gold and currencies
- Notional amount
- Positive fair value
- Negative fair value
4) Commodities
- Notional amount
- Positive fair value
- Negative fair value
5) Other
- Notional amount
- Positive fair value
- Negative fair value
AMOUNTS AS AT 12.31.2019
CENTRAL
COUNTERPARTIES
BANKS
OTHER FINANCIAL
COMPANIES
OTHER ENTITIES
(€ million)
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
109,830
3,796
1,159
-
-
-
-
-
-
-
-
-
-
-
-
213,611
238
403
-
-
-
950
8
41
-
-
-
-
-
-
13,873
195
529
-
-
-
7,223
55
228
-
-
-
-
-
-
392
3
36
-
-
-
36
-
4
-
-
-
-
-
-
4,114
62
207
-
-
-
171
-
-
-
-
-
-
-
-
95
2
1
-
-
-
14
-
-
-
-
-
-
-
-
491
13
97
-
-
-
-
-
-
-
-
-
-
-
-
This table presents distribution by counterparty of the notional amount and the gross positive and negative cash-flow hedging derivatives’ fair values
according to classification within the accounting hedging portfolio applied in the separate financial statements of the legal entities belonging to the
Regulatory consolidation.
A.4 OTC hedging financial derivatives - residual life: notional amounts
UNDERLYING/RESIDUAL MATURITY
A.1 Financial derivative contracts on debt securities and interest rates
A.2 Financial derivative contracts on equity securities and stock indexes
A.3 Financial derivative contracts on exchange rates and gold
A.4 Financial derivative contracts on other values
A.5 Other financial derivatives
12.31.2019
Total
12.31.2018
Total
UP TO 1 YEAR
152,365
-
2,780
-
-
155,145
122,285
OVER 1 YEAR UP
TO 5 YEARS
143,350
-
5,572
-
-
148,922
219,707
OVER 5 YEARS
46,690
-
43
-
-
46,733
40,894
(€ million)
TOTAL
342,405
-
8,395
-
-
350,800
382,886
UniCredit ·2019 Annual Report and Accounts 351
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
B. Hedging credit derivatives
No data to be disclosed.
C. Hedging instruments not derivatives
Note that, as provided by the Circular 262 of Banca d’Italia, the present table is not disclosed as the Group has exercised the option to continue
applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for
macro-hedging.
D. Hedges instruments
Note that the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships
until the IASB completes the project on accounting for macro-hedging.
352 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
Micro hedging and macro hedging: breakdown by hedged item and risk type
A) Fair value hedge
1. Assets
1.1 Financial assets measured at fair value through other comprehensive income
1.1.1 Interest rate
1.1.2 Equity
1.1.3 Foreign exchange and gold
1.1.4 Credit
1.1.5 Other
1.2 Financial assets measured at amortised cost
1.2.1 Interest rate
1.2.2 Equity
1.2.3 Foreign exchange and gold
1.2.4 Credit
1.2.5 Other
2. Liabilites
2.1 Financial liabilities measured at amortised costs
2.1.1 Interest rate
2.1.2 Equity
2.1.3 Foreign exchange and gold
2.1.4 Credit
2.1.5 Other
B) Cash flow hedge
1. Assets
1.1 Interest rate
1.2 Equity
1.3 Foreign exchange and gold
1.4 Credit
1.5 Other
2. Liabilites
2.1 Interest rate
2.2 Equity
2.3 Foreign exchange and gold
2.4 Credit
2.5 Other
C) Hedge of net investments in foreign operations
D) Porftolio - Assets
E) Porftolio - Liabilities
E. Effects of hedging policy at equity
This table has to be filled in only by entities that apply IFRS9 hedge accounting rules.
AMOUNT AS AT
12.31.2019
(€ million)
MICRO HEDGE:
CARRYING AMOUNT
MACRO HEDGE:
CARRYING AMOUNT
49,241
49,105
-
136
-
-
32,394
32,394
-
-
-
-
1,806
1,806
-
-
-
-
-
-
-
-
-
-
56
56
-
-
-
-
-
X
X
7
X
X
X
X
X
2,532
X
X
X
X
X
3,027
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
944
2,139
UniCredit ·2019 Annual Report and Accounts 353
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Part E - Information on risks and hedging policies
2.3.3 Other information on derivatives instruments (trading and hedging)
A. Financial and credit derivatives
A.1 OTC financial and credit derivatives: net fair value by counterparty
AMOUNTS AS AT
12.31.2019
(€ million)
CENTRAL
COUNTERPARTIES
BANKS
OTHER FINANCIAL
COMPANIES
OTHER ENTITIES
1,928,842
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
18
-
-
280,793
12,737
16,485
18,771
426
922
269,256
3,282
3,938
382
21
8
-
-
-
3,183
9
43
3,056
43
137
354,779
2,979
4,301
10,879
255
160
79,095
1,431
1,027
301
16
25
255
5
102
1,988
2
46
3,233
42
4
85,455
10,308
1,397
474
-
29
48,323
1,337
830
2,859
242
222
2,309
7
170
-
-
-
-
-
-
A. Financial derivatives
1) Debt securities and interest rates
- Notional amount
- Positive net fair value
- Negative net fair value
2) Equity instruments and stock indexes
- Notional amount
- Positive net fair value
- Negative net fair value
3) Gold and currencies
- Notional amount
- Positive net fair value
- Negative net fair value
4) Commodities
- Notional amount
- Positive net fair value
- Negative net fair value
5) Other
- Notional amount
- Positive net fair value
- Negative net fair value
B. Credit derivatives
1) Protection buyer's contracts
- Notional amount
- Positive net fair value
- Negative net fair value
2) Protection seller's contracts
- Notional amount
- Positive net fair value
- Negative net fair value
2.4 Liquidity risk
Qualitative information
A. General aspects, operational processes and methods for measuring liquidity risk
Liquidity risk is defined as the risk that the Group may find itself unable to fulfil its expected or unexpected payment obligations (by cash or delivery),
current and future, without jeopardising its day-to day operations or its financial condition.
The key principles
The liquidity reference banks
The Group aims at maintaining liquidity at a level that enables to fund its operations at the best rate conditions under normal operating
circumstances, and to remain always in a position to meet payment obligations.
To this end, the Group complies accurately with the legal and regulatory provisions imposed by the national Central Banks and by the national
authorities of each country where it operates.
In addition to local legal and regulatory requirements, the Parent Company, under the responsibility of the Group Risk Management, defines policies
and metrics to be applied at Group level, to ensure that liquidity position of any entity meets the requirements of the Group.
For these reasons, the Group is organised on a managerial perspective, according to the concept of the liquidity reference bank.
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The liquidity reference banks are legal entities that act in their responsibility as liquidity hub. They are in charge:
of the liquidity management and concentration process of liquidity flows of the legal entities falling within their perimeter of responsibility;
of the funding optimisation carried out on the relevant local markets and are responsible to coordinate the access to short-term and medium long
term markets of the legal entities belonging to their perimeter;
finally, of the implementation of the Group’s liquidity rules at local level in line with Group’s Governance Guideline and Policy and with local
regulations.
A particularly important role is played by the Parent Company, as a “supervisory and overarching liquidity reference bank” with its role of steering,
coordinating, and controlling all the aspects regarding liquidity for the whole Group. The Parent company has the responsibility to set the overall
Group risk appetite and sub-allocate the limits in agreement with the liquidity reference banks and/or legal entities. In particular, the Parent company
functions are responsible for the following:
outlining Group overall liquidity risk management strategies;
developing liquidity risk metrics and methodologies;
setting specific limits for liquidity risk exposures, in line with the Group risk appetite;
optimising liquidity allocation amongst legal entities, in compliance to the local regulations and transferability limitation;
coordinating access to financial markets for liquidity management;
outlining the yearly Group funding and contingency funding plan, coordinating and monitoring their execution;
assessing the adequacy of the liquidity reserves buffers at legal entity and Group level;
coordinating the refinancing transactions with the ECB;
defining, periodically reviewing the Group ILAAP and approving the Group ILAAP Report on yearly basis.
The Parent Company, moreover, acts as the liquidity reference bank for the Italian perimeter.
The principle of “self-sufficiency”
This organisational model allows self-sufficiency of the Group by accessing the local and global markets for liquidity in a controlled and coordinated
way. According to Group Policies, structural liquidity surpluses can be up-streamed to the Parent Company, unless legal requirements prevent it.
The liquidity available at country level could be subject to restrictions due to legal, regulatory and political constraints. The so called “Large Exposure
Regime”, applied throughout Europe, along with specific national laws like the “German Stock Corporation Act”, are examples of legal constraints to
the free circulation of funds within a cross-border banking Group41.
As a general rule, the large exposure regime, which came into force on 31 December 2010, limits interbank exposures to a maximum of 25% of Own
Funds: this rule is also applicable to intra-group exposures.
However, there are significant differences in the way in which this EU regulation has been implemented in the various countries. In many CEE
countries the limit of 25% of free funds is valid, with some countries showing even stricter rules; in Austria, according to the National law, the 25% of
Own Funds limit is not applied to exposures towards the parent company, if located in the European Economic Area; finally, in Germany the national
Regulator has set up a process to apply for a waiver, exempting intra-group exposures from the large exposure limitation.
In the absence of official limits valid at national level, Austrian and German Regulators reserve the right to judge the exposure level on a case-by-
case basis. In the current economic environment, in many of the territories in which the Group operates, Banking Regulatory Authorities are
adopting measures aimed at reducing the exposure of their national banking system towards foreign jurisdictions with potential negative impacts on
the ability of the Group to finance its activities.
For these reasons, the “Liquidity management & control group policy” provides for a further principle in order to enhance a sound liquidity risk
management; each legal entity with market access has to increase its liquidity self-sufficiency, fostering in this way the exploitation of its strengths.
In addition, the Group rule states that each LE (including the liquidity reference bank) should be self-sufficient in terms of liquidity in its local
currency, either on its own or by leveraging on the relevant liquidity reference bank. This self-sufficiency principle is reflected in a specific “limit
structure”: limits are set both at Group and at individual level, with the purpose of avoiding/controlling significant imbalances among legal entities.
This type of organisation promotes the self-sufficiency of the legal entities, by allowing them to access the local and global markets for liquidity in a
controlled and coordinated way, whilst optimising: i) the liquidity surpluses and deficits within the Group’s legal entities ii) the overall costs of funding
across the Group.
Roles and responsibilities
At Group level, three main functions are identified in the management of the liquidity: the Group Risk Management competence line, the Group
Financial Office competence line, and the Treasury function (within the “Markets” Business Unit), each with different roles and responsibilities. In
particular, the operational responsibilities reside in the Finance and the Treasury functions, while the Risk Management function has responsibilities
of independent controls and independent reporting compared to the operational functions (in line with the current requirements of Banca d’Italia).
41 Also Banca d’Italia Rules, Circular 285, foresees that the Group should ensure the maintenance through the time of adequate reserves in each legal entity, in order to take into account possible regulatory constraints
(First Part, Title IV, Chapter 6, Section III, paragraph 7).
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Specifically, the Risk Management function is responsible for the independent control of liquidity risk and of balance sheet interest rate and FX risk
at Group level and for the internal and regulatory stress testing. In detail:
defining policies and methodologies for measuring and controlling the liquidity risk and developing, updating and presenting the independent
internal risk reports/assessments to internal competent functions (second level controls);
putting in place a strong and comprehensive internal limit and control framework to mitigate or limit the liquidity risk in line with the risk tolerance in
order to monitor the different material drivers of liquidity risk;
contributing to the setting of the risk appetite framework;
assessing and monitoring liquidity risk exposure trends at Group and Country level and confronting them with the respective limits and triggers;
verifying the correct implementation of the agreed mapping rules;
performing an independent assessment of the Funding Plan and of the Contingency Funding Plan as well as monitoring their execution;
developing and performing the liquidity stress test at Group level, analysing the outcome, delineating new scenarios to be taken into account and
centralising the action plan relating to the stress test results; it is also responsible of periodically reviewing the liquidity stress test framework;
monitoring the liquidity risk and producing regular risk reporting at Group level in alignment with Basel Committee’s “Principles for effective risk
data aggregation and risk reporting”, setting common standards in terms of presentations and communications.
performing internal validation activities at Group level on systems for measuring liquidity risks on related processes and data quality and IT
components, as well as on models for pricing financial instruments in order to check that they are conform to regulatory requirements and in-house
standards;
developing and back-testing the behavioural models for the measurement of the liquidity risk;
validating, controlling the implementation and releases independent assessments on the models to map the liquidity profile of balance sheet items
(i.e. deposit stickiness, prepayment, behavioural models, etc.).
Group Treasury acts as main coordinator in the management of infra-group flows, stemming from liquidity deficits or surplus of the various Group’s
legal entities, and applies the appropriate transfer prices to such funds movements. By doing so, Group Treasury ensures a disciplined and efficient
access to the markets
Group Financial Office competence line is responsible for the coordination of the overall financial planning process at Group, liquidity reference
banks and relevant LEs level, aiming to efficiently ensure the stability and the sustainability of the financial structure through time, addressing assets
and liabilities composition and maturities, in compliance with the limits and triggers set for liquidity and balance sheet metrics. It is also responsible
for the execution of the medium long term Group’s funding strategy (including securitisation operations), coordinating the access to national and
international capital markets for all the liquidity reference banks and relevant LEs, exploiting local market opportunities in order to reduce the costs of
funding and diversify the financing sources. In addition to this, the function performs first level controls on liquidity positions managed by Group
Finance and Group Treasury aimed at ensuring the proper P&L and liquidity workflow of the operations and defines conditions and rules for transfer
price application.
All the relevant issues that concern the liquidity risk and management perspective of the Group are discussed in GALCO (Group assets & liabilities
committee). The main responsibilities of GALCO are:
participating by advising and proposing the definition of the strategies, policies, methodologies and limits for liquidity risk, fund transfer pricing,
funding plan and contingency funding plan;
contributing to the definition of the Risk Appetite in terms of thresholds for liquidity risk, interest rate risk of the banking book and FX risk;
optimising the liquidity risk profile of the Group within the defined limits;
controlling the liquidity risk, including the periodical reports that have to be delivered to regulators;
approving and validate the liquidity stress test scenarios and the related assumptions;
approving the ILAAP proposal and the regulatory reporting to be submitted to Group risk & internal control committee (GR&ICC);
approving the operational strategies for the evolution of the balance sheet and the application of fund transfer price for the Italian perimeter.
The optimisation of liquidity risks is pursued through the setting of specific limits on the standard banking activity of transforming short, medium and
long-term maturities. This is implemented in accordance with legal and regulatory framework in each country and internal rules and policies of the
Group companies through management models in place within the individual liquidity reference banks.
Such models are subject to analyses carried out by the local Risk Management or equivalent structure with the same responsibilities in coordination
with the Group’s Risk Management to ensure that they comply with the metrics and the objectives of the Group’s liquidity framework.
In addition, the regional rules must comply with national laws and regulatory requirements.
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Part E - Information on risks and hedging policies
Risk measurement and reporting systems
Techniques for risk measurement
The different types of liquidity risk managed by the bank are:
short term liquidity risk refers to the risk of non-conformity between the amounts and/or the maturities of cash inflows and cash outflows in the
short term (below one year);
market liquidity risk is the risk that the bank may face a considerable (and unfavourable) price change generated by exogenous or endogenous
factors and incur losses as a result of the sale of assets deemed to be liquid. In the worst case, the bank might not be able to liquidate such
positions;
intraday liquidity risk appears when a bank is not able "to meet payment and settlement obligations on a timely manner basis under both normal
and stressed conditions";
structural liquidity risk is defined as the inability to raise the necessary funds to maintain an adequate ratio between medium to long-term (over one
year) assets and liabilities at reasonable pricing level, in a stable and sustainable way, without affecting the daily operations or the financial
condition of the Bank. It could have a potential impact on the cost of funding (own credit and market funding spreads), affecting future income of
the institution;
contingency risk, or stress liquidity relates to future and unexpected obligations (i. e. draw on committed facilities, deposits withdrawal, increase in
collateral pledging) and could require the bank a greater amount of liquidity compared to what is considered the amount to run the ordinary
business;
intragroup liquidity risk, that might generate from an excessive exposure or dependency towards/from specific Group counterparts;
funding concentration risk arises when the bank leverages on such a limited number of funding sources, that they become of such significance
that the withdrawal of one or few could trigger liquidity problems;
foreign exchange liquidity risk, generated by the current and projected liquidity mismatch between cash inflows and cash outflows in foreign
currencies (refinancing risk) or related with the maturity distribution of the assets and liabilities in foreign currencies (foreign currency structural
mismatch risk).
The exposure of the Group and its legal entities to any of these risks is measured by associating to any of them a metric or a set of metrics. Every
legal entity of the Group is exposed to the above mentioned risks at a different extent: a materiality analysis is performed in order to define the
perimeter of the liquidity risk management and control.
Liquidity risk, for its particular nature, is addressed by means of gap analyses, liquidity stress testing, and complementary measures (mainly through
a set of indicators, among which: loans to deposits gap, liquidity coverage ratio). In particular, gap analyses are performed within two distinct time
horizons:
liquidity imbalance mismatch approach on a daily basis, which controls the short-term liquidity risk arising from the overnight up to a 12 months
maturity;
gap ratios on a monthly basis, which control the medium to long-term risk (structural liquidity) from the 1 year maturity onwards.
Strategies and processes to manage the liquidity risk
The Group’s liquidity framework is based upon the Liquidity Risk Mismatch Model which is characterised by the following fundamental principles:
short-term liquidity risk management (operational liquidity), which considers the events that will impact upon the Group’s liquidity position from 1
day up to one year. The primary objective is to maintain the Group’s capacity to fulfil its ordinary and extraordinary payment obligations while
minimising the relevant costs.
structural liquidity risk management (structural risk), which considers the events that will impact upon the Group’s liquidity position over one year.
The primary objective is to maintain an adequate ratio between medium/long term liabilities and medium to long-term assets, with a view to avoid
pressures on short-term funding sources (both current and future), while in the meantime optimising the cost of funding;
stress tests: Liquidity risk is a low probability, high impact event. Therefore stress testing is an excellent tool to reveal potential vulnerabilities in the
Balance Sheet. The Bank uses several scenarios ranging from general market crisis to idiosyncratic crisis, and a combination hereof.
In this context, the mismatch model takes into account all assets, liabilities, off-balance sheet positions and also both present and future events
which generate certain or potential cash flows for the Group, thereby protecting the Group Banks/Companies from risks relating to the
transformation of maturity.
In addition, the liquidity risk is included in the Group’s risk appetite framework through some specific liquidity indicators.
Short-term liquidity management
Short-term liquidity management aims at ensuring that the Group remains in a position to fulfil its cash payment obligations, whether expected or
unexpected, focused on the exposure for the first 12 months.
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The standard measures taken for such purposes are the following:
management of the access to payment systems (operational liquidity management);
management of cash payments to be made and monitoring of the level of liquidity reserves and the extent of their utilisation (analysis and active
management of the maturity ladder).
These principles are applicable at Group level and have to be used across the liquidity reference banks.
The operative maturity ladder is composed by the net contractual cash flows (in/outflows) affecting the cash position at Central Banks or “Nostro
Account”. Therefore, these flows impact directly the “core liquidity” of the bank, over pre-defined time buckets.
The operative maturity ladder is composed of the following building-blocks:
primary gap, which shows the net wholesale refinancing requirements over the various time-buckets of the horizon.
counterbalancing capacity, which shows the amount of unencumbered securities that are accepted as collateral by Central Banks and/or market
counterparties. The counterbalancing capacity is considered at its “liquidity value” (i.e. the market value minus the applicable haircut).
cumulative gap, which is the sum of the previous components;
reservation for unexpected flows, which consists of liquidity adjustment to the operative maturity ladder, to consider a buffer that can be used by
the Treasury to refinance unexpected outflows impacting the Central Bank position (included in the short-term buckets). The reservation for
unexpected flows takes into account the volatility of the funding needs of the commercial asset portfolio, the volatility of the commercial funding
sources, including potential concentration effects, the change of liquidity value of the counterbalancing capacity due to observed market price
changes.
The operative maturity ladder is included in the Group risk appetite framework, with a limit of 0 on the 3 months bucket.
The Group also adopts the cash horizon as a synthetic indicator of the short-term liquidity risk levels. The cash horizon identifies the number of days
after which the relevant entity is no longer able to meet its liquidity obligations as expressed in the operative maturity ladder, after having exhausted
the available counterbalancing capacity.
Structural liquidity management
The Group’s structural liquidity management aims at limiting refinancing exposures above one year and thus reducing refinancing needs in the
shorter term. The maintenance of an adequate ratio between medium to long-term liabilities and assets aims at avoiding pressures on short-term
sources, whether present or future.
The standard measures taken for such purposes are the following:
the spreading of the maturity of funding operations in order to reduce the usage of less stable funding sources, while in the meantime optimizing
the cost of funding (integrated management of strategic liquidity and tactical liquidity);
the financing of growth through strategic funding activities, setting the most appropriate maturities (yearly funding plan);
the balancing of medium/to long-term wholesale funding requirements with the need to minimise costs, by diversifying sources, national markets,
currencies of issuance and instruments used (realisation of the yearly funding plan).
The main metric used to measure the medium/long-term position is the net stable funding ratio, as described by Basel 3.
In general, the net stable funding ratio is calculated as the ratio between liabilities and assets. All the balance sheet items are mapped according to
their contractual maturity. In addition, they are assigned a weight that reflect, for the liabilities, their stability within the balance sheet and, for the
assets, the portion that is rolled-over by the bank or that, more in general, cannot be traded on the market in exchange of liquidity that would
generate relief to the institution. The internal limit set at 101% means that stable liabilities have to fully cover the requirements of funding generated
by the assets.
A key structural metric, aimed at measuring the funding needs originated from the commercial activity of the Bank, is the funding gap (an improved
loans-to-deposits gap). It measures the need of funding, the bank has to finance on the wholesale market. The indicator is integrated in the risk
appetite framework with the aim of monitoring and managing the level of funding coverage of net loans to customers, coming from funding sources
not exclusively obtained through Treasury/Finance activity.
Liquidity under stress
Stress testing is a risk management technique used to evaluate the potential effects on an institution’s financial condition of a specific event and/or
movement in a set of financial variables. As a forward looking tool, liquidity stress testing diagnostics the institution’s liquidity risk. In particular the
results of the stress tests are used to:
determine liquidity limits both in quantitative and qualitative terms;
plan and carry out alternative funding transactions for purposes of off-setting liquidity outflows;
structure/modify the liquidity profile of the Group’s assets;
provide support to the development of the liquidity contingency plan.
In order to execute stress tests that are consistent across the liquidity reference banks, the Group has a centralised approach to stress testing,
requiring each local liquidity reference bank to run the same scenario set under the coordination of the Group risk management.
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The Group runs liquidity scenarios and sensitivity analyses on a regular basis, the latter by assessing the impact on an institution's financial
condition of a move in one particular risk factor, whereas scenario tests tend to consider the impact of simultaneous moves in a number of risk
factors, based on a hypothetical, well defined and consistent stress scenario.
The Group identifies three different types of potential liquidity crisis:
market (systemic, global or sector): market downturn scenario. This scenario consists of a sudden turmoil in a monetary and capital market, which
may be caused by closure (or limited access) to market/settlement system, critical political events, country crisis, credit crunch, etc.;
specific to the Group, or part of it (idiosyncratic): name crisis; the assumptions could be operational risk, events relating to the worsened
perception of the Group reputational risk and a downgrade in UniCredit S.p.A. rating or other Group legal entities;
a combination of market and specific crisis: combined scenario.
These scenarios are expected to cause a substantial reduction in the funding coming from rating-sensitive customers, CD/CPs’ investors and inter-
bank markets. In addition, a possible usage of the undrawn portion of the committed lines is considered.
The combined scenario is defined as a general negative development in the market environment and also as a factual or market-hypothesised
problem specific to the Group.
In 2019 the Group liquidity stress test result on the combined scenario was always positive.
In addition to the internal stress test, the bank adopts and also monitors the liquidity coverage ratio (LCR), calculated in accordance with the
provisions of Implementing Regulation (EU) 2016/322 in force from 1 October 2016. It is the ratio between the high quality liquid assets (HQLA) and
the net cash outflows expected over the coming 30 days, under stress test conditions. The compliance with this regulatory requirement is constantly
monitored by setting, in the risk appetite framework, internal limitations above the binding minimum level of 100%.
Among the liquidity outflows that occur in a stress scenario, the bank monitors on a monthly basis the impact in terms of additionally required
collaterals that the bank may be required to provide given a downgrade of its own credit rating. All the relevant rating agencies are taken into
account.
The testing is carried out on a legal entity level, but consolidated reporting is available to analyse the impact on group wide basis. Specific attention
is dedicated to exposures towards special purpose vehicles (SPV).
At Group level the amount of material outflows due to deterioration of own credit quality, included in the components of the Liquidity Coverage Ratio,
amount to €9,314 million as at 31 December 2019. The increasing trend compared to the end of June 2019 is mostly driven by new ABS issuances
in Italy.
Risk mitigation
Monitoring and reporting
In the Group the governance and control of liquidity risk is mainly performed through the setting and monitoring of operating restrictions managerial
and regulatory aimed at preventing potential vulnerabilities in the bank's ability to meet its cash flow obligations that are embedded in risk metrics
limits or warning/trigger levels.
The short-term liquidity limits are monitored and reported on a daily basis. The structural liquidity ratios and their exposure against limits are
monitored and reported on a monthly basis. The survival period and the result of the liquidity stress test are reported and monitored on a weekly
basis.
In case of limit breach or warning level activation at Group level, the Group risk management function investigates the rationale of the events,
triggering the proper escalation and reporting them to the relevant committees.
Mitigation factors
Liquidity risk is considered a relevant risk category for the risk appetite determination of the Group. The practices and processes are included in the
“Liquidity management & control Group policy”, that defines the principles that the Parent company and the legal entities have to apply for hedging
and mitigating this risk and the roles to be interpreted by the different committees and functions.
Additionally to an adequate liquidity buffer to face unexpected outflows and robust and regular up-to-date stress testing performed on a regular
basis, the main liquidity mitigation factors for UniCredit group are:
an accurate plan of short-term and medium to long-term liquidity needs, to be monitored on a monthly basis;
an effective contingency liquidity policy with feasible and up-to-date contingency action plan to be executed in case of crisis;
a system of early warning indicators such to anticipate any potential liquidity crisis and give enough time to the Group to restore its safe liquidity
profile.
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Part E - Information on risks and hedging policies
Funding plan
The funding plan plays a fundamental role in the overall liquidity management influencing both the short-term and the structural position. The funding
plan, defined at each level (i.e. Group, liquidity reference bank and legal entity level), is developed consistently with a sustainable analysis of uses
and sources, both on short-term and structural positions. One of the objectives of accessing the medium and long-term channels is to avoid the
pressure on the short-term liquidity position.
The funding plan is updated at least on a yearly basis and is approved by the Board of Directors. In addition, it is aligned with the budgeting process
and the risk appetite framework.
The Parent Company accesses the market for Group capital instruments.
The parent company UniCredit S.p.A. coordinates the market access of the liquidity reference banks and legal entities, while the liquidity reference
banks coordinate the access of the legal entities falling within their perimeter.
Each legal entity or liquidity reference bank can access the markets for medium and long-term funding, in order to increase its self-sufficiency,
exploit market opportunities and functional specialisation, safeguarding the optimisation of cost of funds of the Group.
Group Financial Office competence line is responsible for the elaboration of the funding plan. Risk management is responsible for providing an
independent assessment of the funding plan.
Group contingency liquidity management
The liquidity crises usually develop quickly and the relevant signals may be either difficult to interpret or may even be lacking; it is, therefore,
important to clearly identify players, powers, responsibilities, communication and reporting criteria, in order to increase significantly the probability of
overcoming the state of emergency successfully. A liquidity crisis could be classified as systemic (e.g. overall capital and money market disruption)
or specific (e.g. specific to the bank), or a combination of both.
The ability to act in time is essential to minimise the potentially disruptive consequences of a liquidity crisis. The analysis of the stress tests will form
a valuable tool to identify the expected consequences and to define up front the most suitable actions in a certain crisis scenario. In combination with
the early warning Indicators the organisation may be able to reduce the negative liquidity effects in the initial stages of a crisis.Therefore, a crisis-
mode operating model, that can be activated effectively in case of crisis according to an approved procedure, has been defined. In order to be able
to proceed timely, a set of mitigating actions have been pre-defined. Depending on the situation some of these actions can then be approved for
execution.
The Group contingency liquidity management global policy has the objective of ensuring effective interventions starting from the very outset (initial
hours) of the liquidity crisis, through the definition of specific guidelines on activation, meetings, decisions, actions and communications.
This is achieved through:
a set of early warning indicators that may help to identify emerging vulnerabilities in the Group liquidity risk position;
activation of extraordinary liquidity governance and operating model linked to indicators included in both the risk appetite and recovery and
resolution plan framework;
a set of available standby mitigating liquidity actions;
consistent internal and external communication.
A relevant part of the contingency liquidity management is the contingency funding plan. This plan consists of a set of potential but concrete
management actions to be performed in time of crisis. These actions are described in terms of size, instrument, and timing of execution aimed at
improving the bank’s liquidity position during time of crisis. The contingency funding plan is developed on the basis of the annual Funding Plan.
A specific early warning indicators dashboard is in place, both at Group and legal entities level, in order to continuously monitor situations of stress,
which may, among others, be originated by market, sector or name specific events. They are based either on macroeconomic or market indicators
that also reflect the monetary policy stance of the Central Banks variables, or on specific internal metrics. The system of early warning indicators
helps to identify emerging vulnerabilities in the Group’s liquidity risk position or potential funding needs, triggering a potential response by the Senior
management. A “traffic light approach” is adopted for each metric in order to have sufficient time to inform senior management of a deteriorating
situation and allow to put in place adequate actions aimed at restoring the business-as-usual state.
Adequacy of the liquidity risk management
In the yearly process of the ILAAP, the Senior management is requested to give a judgement on the adequacy of the liquidity position and stability of
funding, called Liquidity Adequacy Statement (LAS). This assessment aims at showing the main drivers that had modified the liquidity position
throughout the year and provides comment also on the evolution of the main metrics that are used to steer the different aspects of the liquidity risk.
In the first half of 2019, the Group liquidity situation is deemed adequate and the liquidity risk management arrangements of the institution ensure
that the liquidity risk management systems put in place are adequate with regard to the institution’s profile and strategy.
The framework of measurement systems and of limits in place aims to ensure that the Group has always an internal liquidity buffer/reserve that
allows it to face expected and unexpected payments.
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Part E - Information on risks and hedging policies
In the daily Treasury activity, the (managerial) liquidity reserve is represented by the Counterbalancing Capacity (CBC). Group Treasury, in its role of
operational liquidity management function is entitled to monetise also the bonds belonging to the trading book, if this is necessary to restore the
liquidity positions, prevailing on any existing business or risk management strategies.
From a regulatory perspective, the liquidity reserve is represented by the amount of high quality liquid assets (HQLA). This is the numerator of the
LCR and is made of assets, which can be easily and immediately converted into cash at little or no loss of value even in periods of severe
idiosyncratic and market stress. These assets are unencumbered, which means free of legal, regulatory, contractual or other restrictions on the
ability of the bank to liquidate, sell, transfer, or assign them.
The adequacy of the liquidity reserve under both perspectives is monitored and controlled through the limitations set on the operative maturity ladder
(managerial) and on the liquidity coverage ratio (regulatory), as described above.
In 2019, the operative maturity ladder of the Group, measured considering the impediments in the transfer of liquidity among legal entities, was
constantly above the Risk Appetite Trigger, defined at a level that ensures that the Group would have enough liquidity to survive to a period of
stress.
Similarly the Group liquidity coverage ratio (LCR) was always well above the trigger (set above the minimum regulatory requirement of 100%),
confirming that its liquidity reserve was large enough to cover one month of stress designed according to the regulatory hypothesis.
While the operative maturity ladder and the LCR restrictions ensure that the liquidity reserves are adequate, the respect of the funding gap and other
structural liquidity metrics restrictions ensure that the bank maintains an appropriate balance between assets and liabilities in the medium-long term
(beyond one year), preventing additional pressure on the short term liquidity position.
In 2019, both the funding gap and the net stable funding ratio were above the limitations set in the risk appetite framework, thus confirming the
relative stability of the funding source of the Group.
Quantitative information
1. Time breakdown by contractual residual maturity of financial assets and liabilities
AMOUNT AS AT
12.31.2019
ITEMS/MATURITY
A. On-balance sheet assets
A.1 Government securities
A.2 Other debt securities
A.3 Units in investment funds
A.4 Loans
- Banks
- Customers
B. On-balance sheet liabilities
B.1. Deposits and current accounts
- Banks
- Customers
B.2 Debt securities
B.3 Other liabilities
C. Off-balance sheet transactions
C.1 Financial derivatives with capital swap
- Long positions
- Short positions
C.2 Financial derivatives without capital
swap
- Long positions
- Short positions
C.3 Deposits and loans to be received
- Long positions
- Short positions
C.4 Commitments to disburse funds
- Long positions
- Short positions
C.5 Financial guarantees given
C.6 Financial guarantees received
C.7 Credit derivatives with capital swap
- Long positions
- Short positions
C.8 Credit derivatives without capital swap
- Long positions
- Short positions
ON DEMAND
101,049
1 TO 7 DAYS
39,400
7 TO 15 DAYS
28,493
15 DAYS TO
ONE MONTH
31,735
38
17
1,267
99,727
33,575
66,152
401,474
388,621
30,596
358,025
66
12,787
101
1,752
-
37,547
9,020
28,527
61,914
26,345
15,674
10,671
106
35,463
146
146
13,449
13,793
26,645
25,674
223
-
73,404
88,700
1,550
25,697
-
-
-
-
2,836
3,014
9,433
5,257
5,244
756
15
5
780
780
-
-
41
394
-
28,058
10,284
17,774
27,112
20,283
12,884
7,399
759
6,070
7,474
6,885
2,577
2,461
-
1,229
240
200
31
5
-
-
-
-
556
1,267
-
29,912
7,790
22,122
33,613
22,237
8,381
13,856
2,621
8,755
8,372
8,393
5,801
5,754
240
1,915
1,512
303
165
55
-
-
-
-
1 TO 3
MONTHS
71,259
1,429
2,532
-
67,298
25,157
42,141
54,018
43,473
18,640
24,833
4,560
5,985
25,761
25,110
6,496
7,220
1,870
364
6,419
3,627
458
5,188
313
267
-
-
3 TO 6
MONTHS
38,826
6 MONTHS TO
1 YEAR
55,343
1 TO 5 YEARS
256,265
OVER 5 YEARS
217,615
2,453
1,952
-
34,421
8,647
25,774
46,107
20,830
13,988
6,842
4,592
20,685
18,343
15,656
10,793
10,696
1,382
1,716
6,768
6,344
898
577
595
754
9
9
9,766
3,123
-
42,454
5,744
36,710
30,689
18,370
6,040
12,330
9,907
2,412
14,687
12,573
15,518
14,851
30
1,616
5,217
3,642
15,163
791
1,131
1,444
-
-
56,197
28,397
-
171,671
10,646
161,025
105,722
38,450
28,471
9,979
45,678
21,594
75,873
79,324
41,986
42,376
-
30
13,264
11,130
9,034
7,343
1,006
1,450
125
125
32,882
28,310
-
156,423
8,576
147,847
65,106
22,614
19,731
2,883
37,256
5,236
25,250
33,511
29,780
28,219
-
-
7,883
4,857
1,592
14,425
226
309
10
10
(€ million)
INDEFINITE
MATURITY
34,618
-
256
3,611
30,751
27,978
2,773
2,956
604
32
572
2,266
86
-
-
2,461
2,456
-
-
2,134
2,134
-
4,759
-
-
-
-
UniCredit ·2019 Annual Report and Accounts 361
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: euro
AMOUNT AS AT
12.31.2019
ITEMS/MATURITY
A. On-balance sheet assets
A.1 Government securities
A.2 Other debt securities
A.3 Units in investment funds
A.4 Loans
- Banks
- Customers
B. On-balance sheet liabilities
B.1. Deposits and current accounts
- Banks
- Customers
B.2 Debt securities
B.3 Other liabilities
C. Off-balance sheet transactions
C.1 Financial derivatives with capital swap
- Long positions
- Short positions
C.2 Financial derivatives without capital
swap
- Long positions
- Short positions
C.3 Deposits and loans to be received
- Long positions
- Short positions
C.4 Commitments to disburse funds
- Long positions
- Short positions
C.5 Financial guarantees given
C.6 Financial guarantees received
C.7 Credit derivatives with capital swap
- Long positions
- Short positions
C.8 Credit derivatives without capital swap
- Long positions
- Short positions
ON DEMAND
79,816
33
17
1,059
78,707
28,542
50,165
361,009
348,818
26,464
322,354
65
12,126
1 TO 7 DAYS
33,879
54
1,750
-
32,075
4,476
27,599
57,308
22,150
14,077
8,073
106
35,052
7 TO 15 DAYS
20,853
38
342
-
20,473
3,409
17,064
20,169
13,748
10,691
3,057
603
5,818
15 DAYS TO
ONE MONTH
27,932
495
1,264
-
26,173
5,735
20,438
21,964
11,189
6,620
4,569
2,343
8,432
53
89
24,671
23,656
50
-
72,030
86,873
1,307
25,224
-
-
-
-
7,128
7,535
1,599
2,101
9,399
5,250
5,056
491
8
3
-
-
-
-
3,543
2,384
1,204
1,048
-
1,037
177
176
15
3
-
-
-
-
3,528
2,815
4,376
3,601
240
1,915
1,396
204
86
47
-
-
-
-
1 TO 3
MONTHS
61,434
1,159
1,183
-
59,092
20,424
38,668
47,497
37,554
16,869
20,685
4,292
5,651
10,641
11,303
5,055
5,293
1,870
360
5,862
3,079
174
4,735
31
113
-
-
3 TO 6
MONTHS
34,388
2,270
1,940
-
30,178
7,855
22,323
41,903
17,733
13,322
4,411
4,213
19,957
8,364
6,556
6,648
5,735
1,382
1,715
1,698
1,286
239
533
476
636
9
9
6 MONTHS TO
1 YEAR
46,896
9,303
3,014
-
34,579
3,871
30,708
26,517
15,442
5,298
10,144
9,551
1 TO 5 YEARS
226,217
50,035
27,962
-
148,220
9,379
138,841
89,915
32,664
25,228
7,436
36,209
OVER 5 YEARS
192,036
24,653
26,430
-
140,953
8,100
132,853
58,182
20,503
18,289
2,214
33,256
1,524
21,042
4,423
5,526
4,246
9,166
7,099
30
1,614
3,122
1,547
567
533
432
575
-
-
32,264
33,316
22,244
21,912
-
30
10,897
8,764
4,562
6,949
578
680
125
125
13,297
21,644
12,954
13,333
-
-
5,882
3,330
609
13,885
226
257
10
10
(€ million)
INDEFINITE
MATURITY
34,457
-
247
3,538
30,672
27,917
2,755
2,934
583
11
572
2,265
86
-
-
2,148
2,145
-
-
930
930
-
3,655
-
-
-
-
362 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: other currencies
ITEMS/MATURITY
A. On-balance sheet assets
A.1 Government securities
A.2 Other debt securities
A.3 Units in investment funds
A.4 Loans
- Banks
- Customers
B. On-balance sheet liabilities
B.1. Deposits and current accounts
- Banks
- Customers
B.2 Debt securities
B.3 Other liabilities
C. Off-balance sheet transactions
C.1 Financial derivatives with capital swap
- Long positions
- Short positions
C.2 Financial derivatives without capital
swap
- Long positions
- Short positions
C.3 Deposits and loans to be received
- Long positions
- Short positions
C.4 Commitments to disburse funds
- Long positions
- Short positions
C.5 Financial guarantees given
C.6 Financial guarantees received
C.7 Credit derivatives with capital swap
- Long positions
- Short positions
C.8 Credit derivatives without capital swap
- Long positions
- Short positions
ON DEMAND
21,233
5
-
208
21,020
5,033
15,987
40,465
39,803
4,132
35,671
1
661
93
57
1,974
2,018
173
-
1,374
1,827
243
473
-
-
-
-
1 TO 7 DAYS
5,521
47
2
-
5,472
4,544
928
4,606
4,195
1,597
7 TO 15 DAYS
7,640
3
52
-
7,585
6,875
710
6,943
6,535
2,193
15 DAYS TO
ONE MONTH
3,803
61
3
-
3,739
2,055
1,684
11,649
11,048
1,761
2,598
-
411
6,321
6,258
1,237
913
34
7
188
265
7
2
780
780
-
-
4,342
156
252
3,931
4,501
1,373
1,413
-
192
63
24
16
2
-
-
-
-
9,287
278
323
4,844
5,578
1,425
2,153
-
-
116
99
79
8
-
-
-
-
AMOUNT AS AT
12.31.2019
1 TO 3
MONTHS
9,825
270
1,349
-
8,206
4,733
3,473
6,521
5,919
1,771
4,148
268
334
15,120
13,807
1,441
1,927
-
4
557
548
284
453
282
154
-
-
3 TO 6
MONTHS
4,438
183
12
-
4,243
792
3,451
4,204
3,097
666
2,431
379
728
9,979
9,100
4,145
4,961
-
1
5,070
5,058
659
44
119
118
-
-
6 MONTHS TO
1 YEAR
8,447
463
109
-
7,875
1,873
6,002
4,172
2,928
742
2,186
356
888
9,161
8,327
6,352
7,752
-
2
2,095
2,095
14,596
258
699
869
-
-
1 TO 5 YEARS
30,048
6,162
435
-
23,451
1,267
22,184
15,807
5,786
3,243
2,543
9,469
552
43,609
46,008
19,742
20,464
-
-
2,367
2,366
4,472
394
428
770
-
-
(€ million)
INDEFINITE
MATURITY
161
-
9
73
79
61
18
22
21
21
-
1
-
-
-
313
311
-
-
1,204
1,204
-
1,104
-
-
-
-
OVER 5
YEARS
25,579
8,229
1,880
-
15,470
476
14,994
6,924
2,111
1,442
669
4,000
813
11,953
11,867
16,826
14,886
-
-
2,001
1,527
983
540
-
52
-
-
UniCredit ·2019 Annual Report and Accounts 363
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
2.5 Operational risks
Qualitative information
A. General aspects, operational processes and methods for measuring operational risk
Operational risk definition
Operational risk is the risk of loss due to errors, infringements, interruptions, damages caused by internal processes or personnel systems or caused
by external events. This definition includes legal and compliance risks, but excludes strategic and reputational risk.
For example, losses arising from the following can be defined as operational internal or external fraud, employment practices and workplace safety,
client claims, products distribution, fines and penalties due to regulation breaches, damages to the company’s physical assets, business disruption
and system failures, process management.
Group operational risk framework
UniCredit Group sets the operational risk management framework as a combination of policies and procedures for controlling, measuring and
mitigating the operational risk of the Group and of the controlled entities.
The operational risk policies, applying to all Legal Entities, are common principles defining the roles of the company bodies, the operational risk
management function, as well as the relationship with other functions involved in operational risk monitoring and management.
The parent company UniCredit S.p.A. coordinates the Legal Entities according to the internal regulation and the Group operational risk control
rulebook. Specific Risks Committees (Group Risk & Internal Control Committee, Group Operational and Reputational Risks Committee) are set up to
monitor risk exposure, mitigating actions, measurement and control methods within the Group. With particular reference to UniCredit S.p.A the “
Italian Operational & Reputational Risk Committee” (IORRIC) meets with the aim of monitoring the exposure to operational and reputational risks
and evaluating the events with significant impact and the related mitigation actions with reference to UniCredit S.p.A. perimeter and its Italian
subsidiaries. The methodologies for data classification and completeness verification, scenario analysis, risk indicators, reporting and capital at risk
measurement are set by the Group Operational & Reputational Risks structure and applied to all Legal Entities. A pivot element of the risk control
framework is the operational risk management application, allowing the collection of the data required for operational risk control and capital
measurement.
The compliance of the Group Operational risk control and measurement system with external regulations and Group standards is assessed through
an internal validation process, which is under the responsibility of the Group Internal Validation department of the Group and is independent from the
Group Operational & Reputational Risks structure.
Since March 2008 the UniCredit Group applies the AMA model (Advanced Measurement Approach) for calculating operational risk capital. The use
of this method has been rolled out to the main Legal Entities of the Group.
Organisational structure
Senior Management is responsible for approving all aspects related to the Group operational risk framework and verifying the adequacy of the
measurement and control system; it is regularly updated on changes to the risk profile and operational risk exposure, with the support of the
appropriate risk committees if required.
The “Group Operational & Reputational Risks Committee” is responsible for the evaluation and monitoring of operational (including ICT and
Cyber)and reputational risks at Group level. It enables the coordination among the control functions in identifying and sharing Group priorities
concerning Operational & Reputational Risks (e.g. emerging risks) and monitors the effectiveness of initiatives put in place to oversee them.
In detail:
The “Group Operational & Reputational Risks Committee” meets with functions of consultation and suggestion for the definition of proposals to be
submitted to functions, decision-making bodies (i.e. “Group Risk & Internal Control Committee”/GR&ICC), managerial body (i.e. “Executive
Management Committee”/EMC) or Legal Entities, for:
sharing the overall strategies for operational risk optimisation, as well as monitoring the initiatives put in place for the related implementation;
evaluating:
- periodical group reporting provided by Group Operational & Reputational Risks function on operational losses (with particular focus on events
having high impacts), Regulatory Capital, Risk Weighted Assets, Indicators and Scenario Analysis, ICT & Cyber Risks analysis;
- issues concerning operational & reputational risks reported by Legal Entities committees;
- external operational events having potential impact on Group risk profile;
- evidences reported by Group Compliance function on carried out second level controls, as well as on current and expected impacts of monitored
regulations, evidences reported by the Group Chief Operating Officer (COO) on incidents and assessments for ICT, Operations and Security
topics as well as main group risks/criticalities highlighted by the Internal Audit function;
364 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
- potential synergies for further improvements concerning the actions plans aiming at the mitigation of the main operational risks of the Legal
Entities, highlighted by control functions and by the COO (including situations that led to emergencies), by verifying from time to time their
effectiveness and the return to business as usual;
- yearly Regulatory Internal Validation Report on operational risk;
disclosing the Group risk appetite proposals, including capitalisation targets capital allocation criteria for Group operational risks, as well as the
Group insurance strategies proposed by the competent functions;
disclosing fundamental modifications in measurement methodologies for operational & reputational risks;
issuing opinions on reputational risk related to non-credit transactions identified by the Co-Head of CIB Division.
The “Group Operational & Reputational Risks Committee” provides to the “Group Risk & Internal Control Committee”/GR&ICC and/or “Executive
Management Committee”/EMC a periodical information on main evidences of evaluations and on specific actions proposed or activated.
The “Group Operational & Reputational Risks Committee”/GORRIC receives from the Group Operational & Reputational Risks function a periodical
aggregated information concerning either Holding and Legal Entities reports on all transactions inherent to reputational risks evaluation, including
transactions reported by competent Committees (GMRC, GTCC, ITCC, ISTCC, DCMCC), based on current Global Rules on reputational risk.
The Committee periodically receives also the list of events reported by “Top Experts” commission and evaluated by them as “not material” for the
Group reputational risk profile. The Committee, convened by the Chairman, meets at least on a quarterly basis, or whenever the meeting is deemed
necessary by the Chairman.
The Reputational risk Committee is in charge of evaluating possible Reputational risks inherent transactions, on the basis of the current Reputational
risk guidelines and policies.
The Reputational Risk Committee (RRC) is a dedicated body on Reputational Risk topics - related to the Credit and Business Risks - composed by:
the Bank CRO/CLO;
the Head of proponent Business function;
the Head of Compliance;
the Head of Group Institutional Affairs & Sustainability;
other Specialist functions (e.g., Tax, Legal, …) are involved on demand depending on the topic treated.
The RRC meets periodically and operates with the following main goals:
To create a unique and dedicated body for discussion and decision for all transactions/initiatives/projects referring to Reputational Risk Sensitive
Sectors - as regulated by the dedicated global policies - and for all other cases on Business proposal (e.g. other relevant sectors or relevant
clients);
To ensure increased attention and proper “tone from the top” on the overall evaluation and management of Reputational Risk.
The RRC decision is followed by the credit worthiness analysis and the final credit decision; for non-credit related transactions, the RRC decision is
followed by the final decision from the competent body.
The Reputational Risk Committee is engaged before any other formal Committee/decision.
The Group Operational & Reputational Risks structure reports to the Head of Group Risk Management and is responsible for the governance and
control of operational and reputational risks of the Group (including operational risks bordering on credit risk, alias Cross Credit risks); the structure
is also responsible for the evaluation of the exposure to operational and reputational risks, grating their continual and independent monitoring, as
well as of the definition of strategies to mitigate such risks and contain related losses for UniCredit S.p.A perimeter.
In addition, the structure is responsible for the definition of operational risk losses optimisation program, leveraging on specific risk models and
methodologies it has furthermore the responsibility of coordinating the activities performed by the subsidiaries of UniCredit S.p.A. that apply the AMA
model (limited to Legal Entities not included in other Hub perimeter) according to Group Operational and Reputational Risks Framework and of
coordinating, for the perimeter of competence, the corresponding functions within the Group Legal Entities, according to Group Managerial Golden
Rule (“GMGR” and “GMGR Evolution”).
Furthermore, the structure ensure that risk control activities on related risks assumed in the foreign branches of UniCredit S.p.A. are monitored and
reported to the Group Chief Risk Officer and is responsible for ensuring integrated reporting between the control functions (e.g. Compliance, Audit)
on the main operational and reputational risks of the Group.
The structure is additionally responsible for the governance and control of ICT/Cyber Risks, through:
the definition of the framework for the management of ICT/Cyber risks, the coordination and monitoring of the Legal Entities in the implementation
of it;
the measurement, assessment and control of ICT/Cyber risks for UniCredit S.p.A.;
the monitoring at Group level of the implementation and results of mitigation actions to oversee ICT/Cyber risks in cooperation with the competent
functions (e.g. “Group Information & Security Office”), also through the analysis of risk indicators.
UniCredit ·2019 Annual Report and Accounts 365
Consolidated financial statements | Notes to the consolidated accounts
Part E - Information on risks and hedging policies
The structure is organized as follows:
“Operational Risk Analytics and Oversight” responsible for defining the principles and rules at Group level for identification, assessment and
control of operational risk, monitoring their correct application by the Legal Entities with focus on operational losses data collection and scenario
analysis monitoring. The unit is responsible for defining risk capital measurement methodologies, calculating operational risk capital and the
corresponding economic capital, as well as conducting quantitative analysis of the Group's exposure to operational risk also based on operational
risks analytics models. The unit is furthermore responsible for the reporting of operational risks and of the definition process of the Risk Appetite
Framework/RAF metrics for competence risks, as well as the related periodical monitoring;
“Operational & Reputational Risks Assessment and Strategies” responsible for defining and monitoring the strategic areas for the management of
operational risk consistent with the RAF and the Group's strategic objectives, keeping the responsibility for coordinating/monitoring risk mitigation
actions and coordinate the monitoring of operational risks in the CEE perimeter, directly supporting the “CRO CEE” structure. Furthermore it
develops ad hoc analysis on specific issues of operational and reputational risk. Finally it is responsible of defining methodologies for assessing
reputational risk by verifying its correct implementation and controlling the risk assessment activities for Italian transactions within the scope of the
Global Rules related to reputation risk (e.g. weapons and nuclear energy sectors);
“Operational Risk Management Italy & Lending Processes” responsible for overseeing the operational risks of UniCredit S.p.A, supports the
business functions of the Italian perimeter with the inclusion of the foreign branches of UniCredit S.p.A. perimeter, in the identification,
management and monitoring of operational risks, also by executing specific risk assessment activities (e.g. on relevant transactions). Furthermore,
it is responsible for the governance, identification and monitoring of the operational and reputational risk in the underwriting processes and
management of the credit risk for the Group (“cross credit risk”), with the aim of reducing operational losses (including those driven by external
frauds). Moreover, the structure has a steering role on the Group Legal Entities for what concerns the specific perimeter, giving relevant
information in the related committees, as well as in the appropriate context.
The Operational Risk Management functions of the controlled Entities provide specific operational risk training to the staff, realized also through
intranet training programs, and are responsible for the correct implementation of the Group framework elements.
Internal validation process
In compliance with regulations, an internal validation process for the operational risk control and measurement system has been set up for the
Group and for the relevant Legal Entities in order to verify the compliance with regulations and Group standards.
This process is under the responsibility of Group Internal Validation department.
Group methodologies for measuring and allocating the capital at risk and the IT system are validated at the Group level by the above mentioned
department, as well as the implementation of the operational risk control and management system within the relevant Entities, which is firstly
analysed through a self-assessment performed by local Operational Risk Management functions, following the technical instructions and policies
issued by Group Internal Validation. The results of the local self-assessments are annually verified by Group Internal Validation, which also performs
additional analysis on data and documentation. Such evidences are the basis for the release of specific Validation Reports to the relevant
subsidiaries. The local self-assessment, together with the opinion of Group Internal Validation and Internal Audit report are submitted to the Legal
Entities’ competent governing bodies.
The validation outcomes on the operational risk control and measurement system, both at the Group and controlled Entities level, are annually
consolidated with the annual validation report which, with the annual Internal Audit report, is presented to the UniCredit S.p.A. Board of Directors.
Reporting
A reporting system has been developed by the Group to keep senior management and the Management Body regularly informed on the Group
operational risk exposure and the risk mitigation actions.
In particular, weekly reports are provided on operational losses trend, the main initiatives undertaken to prevent or mitigate operational risk in the
various business areas and main operational risk events. Quarterly updates are provided on capital-at-risk estimations and RAF metric monitoring.
Moreover an operational loss trend report is provided monthly to Regulators.
Operational risk management and mitigation
The identification of the Group and Legal Entity Operational & Reputational risk mitigation strategies is performed through a set of recurring yearly
activities at Group and LEs level in order to assess the Group and LEs risk profile and define the most appropriate mitigation actions to reduce the
risk. The process starts with the preliminary self- risk assessment: it is a qualitative evaluation on selected forward looking key risk drivers performed
yearly by the Legal Entities ORMs leveraging on a list of key risk drivers provided by the parent company UniCredit S.p.A.
In order to select and provide the list of key risk drivers, it leverages on:
the objectives of the Group multi-year plan;
the areas of attention and any additional priority from the top management;
the operational risk losses evolution and the most relevant internal/external events;
the industry and market trends evolution (including the regulator trends);
the current ongoing ORRMS (Operational & Reputational Risk Mitigation Strategies) and Group TOR (Top Operational Risks).
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The Legal Entity shall assess the relevance of each key risk driver supplied providing a qualitative risk evaluation with rationales and estimations on
the related reputational risk.
Also the Legal Entity shall identify and evaluate additional key risk drivers affecting their own Legal Entity considering the local market, the
business activities and the specificities (including relevant transformation/innovation in the business model).
Stress test
Starting from 2017, the Group is performing regular sensitivity analysis and stress testing for operational risk, including complex scenarios as part of
the Firm-wide Stress test exercise defined within the Group Stress Test Council, with the aim to verify the response of the loss model and the
resulting capital at risk to changes in the underlying macro-economic factors data set. Scenarios are proposed by Research Department, discussed
and finalised within the Group Stress Test Council.
Firm wide Scenarios will be run twice a year, or on demand if it is required, in order to assess the potential risks driven by changes in the macro-
economic environment.
Risk capital measurement and allocation mechanism
UniCredit S.p.A. developed an internal model for measuring the capital requirements. The system for measuring operational risk is based on internal
loss data, external loss data, scenario analysis data and risk indicators.
Capital at risk is calculated per risk class. For each risk class, severity and frequency of loss data are separately estimated to obtain the annual loss
distribution through simulation. The severity distribution is estimated on internal, external and scenario analysis data, while the frequency distribution
is determined using only the internal data. An adjustment for key operational risk indicators is applied to each risk class. Annual loss distributions of
each risk class are aggregated through a copula functions based method, considering also insurance coverage. Capital at risk is calculated at a
confidence level of 99.9% on the overall loss distribution for regulatory purposes and for economic capital purposes, considering expected loss
deduction. Through an allocation mechanism, the individual legal entities’ capital requirements are identified, reflecting the legal entities’ risk
exposure.
B. Legal risks
The parent company UniCredit S.p.A. and other UniCredit group companies are named as defendants in several legal proceedings. In particular, as
at 31 December 2019, the parent company UniCredit S.p.A. and other UniCredit group companies were named as defendants in about 27,300 legal
proceedings, of which approx. 9,400 involving the parent company UniCredit S.p.A. (excluding labour law cases, tax cases and credit recovery
actions in which counterclaims were asserted or objections raised with regard to the credit claims of Group companies). In addition, from time to
time, past and present directors, officers and employees may be involved in civil and/or criminal proceedings, the details of which UniCredit group
may not lawfully know about or communicate.
The Group is also required to fulfil appropriately various legal and regulatory requirements in relation to certain aspects of its activity, such as
conflicts of interest, ethical issues, anti-money laundering laws, EU, US and international sanctions, client assets, competition law, privacy and
information security rules and others. Actual or alleged failure to do so may lead to additional litigation and investigations and subject the Group to
damages claims, regulatory fines, other penalties and/or reputational damages. In addition, one or more Group companies and/or their current
and/or former directors are subject or may in the future be subject to investigations by the relevant supervisory or prosecutorial authority in a number
of countries in which the Group operates. These include investigations and/or proceedings relating, inter alia, to aspects of systems and controls and
instances of actual and potential regulatory infringement by the relevant Group companies and/or its clients. Given the nature of UniCredit group’s
business and its reorganisation over time there is a risk that claims or matters that initially involve one Group company may affect or involve other
Group entities.
In many cases, there is substantial uncertainty regarding the outcomes of the proceedings and the amount of possible losses. Where it is possible to
estimate reliably the amount of possible losses and the loss is considered as likely to occur, provisions have been made in the financial statements
to the extent the parent company UniCredit S.p.A., or any of the Group companies involved, deemed appropriate based on the circumstances of the
case and in compliance with the International Accounting Standards (IAS).
To provide for possible liabilities and costs that may result from pending legal proceedings (excluding labour law and tax cases), as at 31 December
2019, UniCredit group set aside a provision for risks and charges of €784 million, of which €465.5 million for the parent company UniCredit S.p.A.
As at 31 December 2019, the total amount of claimed damages relating to judicial proceedings other than labour, tax and debt collections
proceedings amounted to approx. €10.7 billion, of which approx. €6.7 billion for the proceedings involving the parent company UniCredit S.p.A. This
figure is affected by both the heterogeneous nature of the pending proceedings and the number of involved jurisdictions and their corresponding
characteristics in which UniCredit group companies are named as defendants.
The estimate for reasonably possible liabilities and the provisions are based upon the available information, however, given the many uncertainties
inherent in legal proceedings, they involve significant elements of judgment. Therefore any provision may not be sufficient to meet entirely the legal
costs and the fines and penalties that may result from pending legal actions.
Set out below is a summary of information, including, if material and/or indicated, the single requests of the plaintiffs, relating to matters involving
UniCredit group which are not considered groundless or in the ordinary course of the Group’s business.
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This section also describes pending proceedings against the parent company UniCredit S.p.A. and/or other UniCredit group companies and/or
employees (even former employees) that the parent company UniCredit S.p.A. considers relevant and which, at present, are not characterised by a
defined claim or for which the respective claim cannot be quantified.
Unless expressly mentioned below, labour law and tax claims are excluded from this section and are described elsewhere in the notes of this
section. In accordance with IAS37, information that would seriously prejudice the relevant company’s position in the dispute may be omitted.
Proceedings which involve the parent company UniCredit S.p.A.
Madoff
The parent company UniCredit S.p.A. and several of its direct and indirect subsidiaries (the “Companies”) have been sued in the wake of a Ponzi
scheme perpetrated by Bernard L. Madoff through his company Bernard L. Madoff Investments Securities LLC (“BLMIS”), which was exposed in
December 2008. The Companies were principally connected with Madoff as investment manager and/or investment adviser for the Primeo Fund Ltd
(now in liquidation) and other non US funds of funds that had invested in other non US funds with accounts at BLMIS.
Specifically, the Companies (together with a variety of other entities) were named as defendants in a variety of proceedings (both in the US and in
non US jurisdictions), for a total damage compensation claims of over $6 billion (to be later determined over the course of the proceedings). At
present, most of the claims brought before US Courts and referring to the Companies have been rejected without any possibility of appeal or
dismissal. However, the bankruptcy administrator of BLMIS (the “SIPA Trustee”) responsible for the Madoff’s company liquidation continues to
pursue claims related to transfers of money made by BLMIS pre-bankruptcy to an affiliated company, BA Worldwide Fund Management Ltd
(“BAWFM”), and other similarly situated parties. The potential claim for damages against BAWFM is non-material and, therefore, there are no
specific risk profiles for the Companies. In addition, certain current or formerly affiliated persons named as defendants in a proceeding in the United
States may seek indemnification from the Companies and its affiliated entities.
As at 31 December 2019, there were several pending civil proceedings against UCB Austria for the total claimed damages amount of €5.7 million.
While a large majority of the judgments have been favorable to UCB Austria, the impact of the remaining cases cannot be predicted with certainty,
as the related future rulings may be adverse to UCB Austria. UCB Austria has made adequate provisions related to the Madoff’s matter.
Furthermore, UCB Austria was named as a defendant in criminal proceedings in Austria concerning the Madoff case, on allegations that it breached
provisions of the Austrian Investment Fund Act as prospectus controller of the Primeo fund while other allegations relate to the level of fees and
embezzlement. In November 2019 the criminal investigation against UCB Austria and all individual defendants was closed. Private parties appealed
and a decision is awaited.
Proceedings arising out of the purchase of UCB AG by the parent company UniCredit S.p.A. and the related Group reorganisation.
Squeeze-out of UCB AG minority shareholders (Appraisal Proceeding)
In 2008, approximately 300 former minority shareholders of UCB AG filed a request before the District Court of Munich to have a review of the price
paid to them by the parent company UniCredit S.p.A., equal to €38.26 per share, in the context of the squeeze out of minority shareholders
(Appraisal Proceeding). The dispute mainly concerns the valuation of UCB AG, which is the basis for the calculation of the price to be paid to the
former minority shareholders. At present the proceeding is pending in the first instance.
Squeeze-out of UCB Austria’s minority shareholders (Appraisal Proceeding)
In 2008, approximately 70 former minority shareholders of UCB Austria commenced proceedings before the Commercial Court of Vienna claiming
that the squeeze-out price paid to them, equal to €129.4 per share, was inadequate, and asking the court to review the adequacy of the amount paid
(Appraisal Proceeding). At present the proceeding is pending in the first instance.
Financial sanctions matters
In March 2011, UCB AG received a subpoena from the District Attorney for New York County (“DANY”) relating to historical transactions involving
certain Iranian entities designated by the U.S. Department of the Treasury’s Office of Foreign Assets Control (“OFAC”) and their affiliates. In the
subsequent years, DANY, the U.S. Department of Justice (“DOJ”), OFAC, the New York State Department of Financial Services (“DFS”), and the
Board of Governors of the Federal Reserve System and the New York Federal Reserve Bank (“Fed”) (collectively “U.S. and New York authorities”)
initiated their own investigations with respect to historical compliance by the parent company UniCredit S.p.A., UCB AG, and UCB Austria (together
“Group”) with applicable U.S. sanctions laws and regulations.
The parent company UniCredit S.p.A., UCB AG, and UCB Austria have each cooperated extensively with the U.S. and New York authorities,
including conducting their own voluntary investigation of their U.S. dollar payments practices and its historical compliance with applicable U.S.
financial sanctions, in the course of which certain historical non-transparent practices were identified. Even before the conclusion of these
investigations, the Group initiated substantial and substantive remediation activities relating to policies and procedures, which are ongoing.
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On 15 April 2019, the parent company UniCredit S.p.A., UniCredit Bank AG, and UniCredit Bank Austria AG reached a resolution with the U.S. and
New York authorities regarding these investigations. As part of such resolution, the parent company UniCredit S.p.A., UniCredit Bank AG, and
UniCredit Bank Austria AG entities have paid penalties totalling approximately $1.3 billion and have agreed to implement certain remedial policies
and procedures. The amount paid by the respective entities was entirely covered by their provisions, and the final penalty amount has not had a
material impact on UniCredit group. No further enforcement actions are expected relating to the subject of the resolved investigation.
As part of the settlements with the U.S. and New York authorities (DANY, OFAC, DOJ, DFS and Fed), the parent company UniCredit S.p.A.,
UniCredit Bank AG, and UniCredit Bank Austria AG made certain commitments to implement remedial compliance controls and conduct risk
assessments relating to UniCredit group’s global business lines, to provide periodic reports and certifications concerning the implementation and
effectiveness of the group’s compliance program to the U.S. and New York authorities, and to engage an independent external party to conduct an
annual review of the effectiveness of the group’s compliance program whose findings will be shared with the U.S. and New York authorities.
Euro-denominated bonds issued by EU countries
On 31 January 2019, the parent company UniCredit S.p.A. and UCB AG received a Statement of Objections from the European Commission
referring to the investigation by the European Commission of a suspected violation of antitrust rules in relation to European government bonds. The
subject matter of the investigation extends to certain periods from 2007 to 2012, and includes alleged activities by UCB AG in a part of this period.
The Statement of Objections does not prejudge the outcome of the proceeding; should the European Commission conclude that there is sufficient
evidence of an infringement, a decision prohibiting the conduct and imposing a fine could be adopted, with any fine subject to a statutory maximum
of 10% of the company’s annual worldwide turnover.
The parent company UniCredit S.p.A. and UCB AG had access to the entirety of the European Commission’s file on the investigation from 15
February 2019 onwards. As a result of the assessment of the files, the parent company UniCredit S.p.A. and UCB AG regard it no longer remote but
possible, even though not likely, that a cash outflow might be required to fulfill a potential fine arising from the outcome of the investigation. On the
basis of the current information, it is not possible to estimate reliably the amount of any potential fine at the present date.
The parent company UniCredit S.p.A. and UCB AG have responded to the raised objections on 29 April 2019 and participated in a hearing before
the European Commission on 22-24 October 2019. Proceedings are ongoing. There is no legal deadline for the European Commission to complete
antitrust inquiries.
On 11 June 2019, UCB and UniCredit Capital Markets LLC were named, among other financial institutions, as defendants in a putative class action
already pending in the United States District Court for the Southern District of New York. The third amended class action complaint, filed on 3
December 2019, alleges a conspiracy among dealers of Euro-denominated bonds issued by European central banks to fix and manipulate the
prices of those bonds, among other things by widening the bid-ask spreads they quoted to customers. The putative class consists of those who
purchased or sold Euro-denominated bonds issued by European central banks in the US between 2007 and 2012. The third amended class action
complaint does not include a quantification of damages claimed. The proceedings are in their inception. Motions to dismiss, a procedural device
contemplated by the United States Federal Rules of Civil Procedure which provides defendants with an opportunity to challenge the legal sufficiency
of a complaint and present arguments that the complaint should be dismissed, will likely be fully briefed before the end of the second quarter of 2020
and will likely include the argument that the complaint fails to state a claim.
Proceeding relating to certain forms of banking operations
The UniCredit group is named as a defendant in several proceedings in matters connected to its operations with clients, which are not specific to
UniCredit group, rather affect the financial sector in general.
In this regard, as at 31 December 2019 (i) proceedings against the parent company UniCredit S.p.A. pertaining to compound interest, typical of the
Italian market, had a total claimed amount of €1,147 million, mediations included; (ii) proceedings pertaining to derivative products, mainly affecting
the Italian market (for which the claimed amount against the parent company UniCredit S.p.A. was €667 million, mediations included) and the
German market (for which the claimed amount against UCB AG was €49 million); and (iii) proceedings relating to foreign currency loans, mainly
affecting the CEE countries (for which the claimed amount was around €140 million).
The proceedings pertaining to compound interest mainly involve damages requests from clients arising from the alleged unlawfulness of the
calculation methods of the amount of interest payable in connection with certain banking contracts. Starting from the first years of 2000, there has
been a progressive increase in claims brought by the account holders due to the unwinding of the interest payable arisen from the quarterly
compound interest. In 2019, the number of claims for refunds/compensation for compound interest did not show particular variations compared to
2018. At present, the parent company UniCredit S.p.A. has made provisions that it deems appropriate for the risks associated with these claims.
With regard to the litigation connected to derivative products, several financial institutions, including UniCredit group companies, entered into a
number of derivative contracts, both with institutional and non-institutional investors. In Germany and in Italy there are a number of pending
proceedings against certain Group companies that relate to derivative contracts concluded by both institutional and non-institutional investors.
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The filing of such litigations affects the financial sector generally and is not specific to the parent company UniCredit S.p.A. and its Group
companies. At present, the parent company UniCredit S.p.A. and the involved Group companies have made provisions deemed appropriate based
on the best estimate of the impact which might derive from such proceedings.
With respect to proceedings relating to foreign currency loans, in the last decade, a significant number of customers in the Central and Eastern
Europe area took out loans and mortgages denominated in a foreign currency (“FX”). In a number of instances customers, or consumer associations
acting on their behalf, have sought to renegotiate the terms of such FX loans and mortgages, including having the loan principal and associated
interest payments redenominated in the local currency at the time that the loan was taken out, and floating rates retrospectively changed to fixed
rates. In addition, in a number of countries legislation that impacts FX loans was proposed or implemented. These developments resulted in litigation
against subsidiaries of the parent company UniCredit S.p.A. in a number of CEE countries including Croatia, Slovenia and Serbia.
In 2019 the Supreme Court in Croatia confirmed that the Swiss franc (CHF) currency clause was invalid. In the course of 2019, court decisions,
recent court practice related to FX matter along with the expiration of the statute of limitation for filing individual lawsuits in respect to invalidity of the
interest rate clause, led to a significant increase in number of new lawsuits against Zagrebačka Banka (“Zaba”). There are several court decisions
pending before the Croatian courts which may have an adverse impact. Provisions have been booked which are deemed appropriate. For more
information, see Part B - Information on the Consolidated Balance Sheet - Assets - Section 10 - Provisions for risks and charges of the present
Notes to the Consolidated Financial Statements.
In September 2016, UCB Austria and Zaba initiated a claim against the Republic of Croatia under the Agreement between the Government of the
Republic of Austria and the Government of the Republic of Croatia for the promotion and protection of investments in order to recover the losses
suffered as a result of amendments in 2015 to the Consumer Lending Act and Credit Institutions Act mandating the conversion with retroactive effect
of Swiss franc-linked loans into Euro-linked. In the interim, Zaba complied with the provisions of the new law and adjusted accordingly all the
respective contracts where the customers requested so. Following a hearing, the arbitral tribunal ruled on part of the Respondent’s jurisdictional
objections. The arbitral proceedings remain pending.
Vanderbilt related litigations
Claims brought or threatened by or on behalf of the State of New Mexico or any of its agencies or funds
Vanderbilt Financial LLC (“VCA”) related litigations, where Pioneer Investment Management USA Inc., Pioneer Global Asset Management S.p.A.
(PGAM), at the time controlled by UniCredit S.p.A. and incorporated by the latter in 2017, and the parent company UniCredit S.p.A. (the
“Defendants”) were named as additional defendants by virtue of their corporate affiliation with VCA, including in legal proceedings brought by a
former employee of the State of New Mexico (the “Public Authority”), who claimed to act as representative of the Public Authority for the losses
suffered by the State of New Mexico during the 2006-08 market downturn on investments managed by VCA (mainly CDOs). The total amount of
losses claimed in those proceedings is approx. $365 million. In 2012, the Defendants reached a settlement agreement for an amount of $24.25
million and the settlement amount was deposited into escrow at the beginning of 2013. The settlement is contingent on the Court’s approval, but that
process was temporarily delayed pending the determination by the New Mexico Supreme Court of a legal matter in a separate lawsuit brought
against a different set of defendants in other proceedings. The New Mexico Supreme Court issued its ruling on the awaited legal matter in June
2015 and in December 2015 the Defendants and the State of New Mexico renewed their request for Court approval of the settlement. The Court
held a hearing in April 2016 and in June 2017 approved the settlement and directed that the claims against VCA and the Defendants be dismissed.
A judgment to that effect was entered in September 2017 and a motion by the former State employee seeking to set aside that judgment was denied
by the Court in October 2017. Appeals from the judgment and the subsequent order were taken in October and November 2017 and the settlement
cannot be effectuated while the appeal remains pending. If the judgment is upheld on appeal, the escrowed amount will be paid over to the State of
New Mexico and the Defendants, including UniCredit S.p.A., will all be released from all the claims that were or could have been brought by or on
behalf of the State or any of its agencies or funds.
Divania S.r.l.
In 2007, Divania S.r.l. (now in bankruptcy) (“Divania”) filed a lawsuit in the Court of Bari against UniCredit Banca d’Impresa S.p.A. (then UniCredit
Corporate Banking S.p.A. and now UniCredit S.p.A.) alleging violations of law relating, inter alia, to financial products in relation to certain rate and
currency derivative transactions entered into between January 2000 and May 2005 first by Credito Italiano S.p.A. and subsequently by UniCredit
Banca d’Impresa S.p.A. (now UniCredit S.p.A.), demanding damages in the amount of €276.6 million, legal fees and interest. Divania also seeks the
nullification of a 2005 settlement reached by the parties in which Divania had agreed to waive any claims in respect of the transactions. In 2017, the
Court of Bari ordered the parent company UniCredit S.p.A. to pay approx. €7.6 million plus interests and part of the expenses in favour of Divania’s
bankruptcy trustee and found that it did not have jurisdiction to rule on certain of Divania’s claims. The parent company UniCredit S.p.A. appealed.
Divania filed two additional lawsuits before the Court of Bari: (i) one for €68.9 million in 2009 (subsequently increased to €80.5 million), essentially
mirroring the claims brought in its lawsuit filed in 2007; and (ii) a second one for €1.6 million in 2006. With respect to the first lawsuit, in May 2016,
the Court of Bari ordered the parent company UniCredit S.p.A. to pay approximately €12.6 million plus costs. The parent company UniCredit S.p.A.
appealed. With respect to the second lawsuit, in 2015, the Court of Bari rejected Divania’s original claim and the judgment has res judicata effect.
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I Viaggi del Ventaglio Group (IVV)
In 2011, IVV DE MEXICO S.A., TONLE S.A. and the bankruptcy trustee of IVV INTERNATIONAL S.A. filed a lawsuit against the parent company
UniCredit S.p.A. in the Court of Milan demanding approximately €68 million in damages. In 2014, the bankruptcy trustees of IVV Holding S.r.l. and
IVV S.p.A. filed two additional lawsuits against the parent company UniCredit S.p.A. in the Court of Milan demanding €48 million and €170 million,
respectively, in damages. In October 2019, the bankruptcy trustee of I Viaggi del Ventaglio Resorts Ventaglio Real Estate S.r.l. filed an additional
lawsuit in the Court of Milan against the parent company UniCredit S.p.A. demanding a total of €12.8 million in damages.
The four lawsuits pertain to allegedly unlawful conduct with regard to certain loans and certain derivative transactions. At present, (i) the parent
company UniCredit S.p.A. won the first case both in the first-instance and on appeal; (ii) the Bankruptcy Trustee and the parent company UniCredit
S.p.A. reached a settlement agreement approved by the Court for the second case; (iii) the third case is pending in the first-instance; and (iv) the
fourth case is in the initial stages.
Lawsuit brought by “Paolo Bolici”
In May 2014, the company wholly owned by Paolo Bolici sued the parent company UniCredit S.p.A. in the Court of Rome asking for the return of
approximately €12 million for compound interest (including alleged usury component) and €400 million for damages. The company then went
bankrupt. The parent company UniCredit S.p.A. won the case in the first-instance and the appeal is pending.
Mazza
In 2005 the parent company UniCredit S.p.A. filed a criminal complaint against a Notary, Mr Mazza, representatives of certain companies and
disloyal employees of the parent company UniCredit S.p.A. in relation to unlawful lending transactions in favour of certain clients for approximately
€84 million. The criminal proceedings are on appeal following the acquittal of the defendants in the first-instance by the Court of Rome.
Following the acquittal in the first-instance criminal proceedings, Mr Mazza and other persons involved in the criminal proceedings filed two lawsuits
for compensation claims against the parent company UniCredit S.p.A.: (i) the first (commenced by Mr Mazza with a claimed amount of approx. €15
million) is pending before the Court of Rome; (ii) the second (commenced by Como S.r.l. and Mr. Colella with a claimed amount of approx. €379
million) is also pending before the Court of Rome. In the view of the parent company UniCredit S.p.A., these lawsuits currently appear to be
unfounded.
So.De.Co. - Nuova Compagnia di Partecipazioni S.p.A.
As part of a restructuring, in 2014, Ludoil Energy S.r.l. (Ludoil) acquired the “oil” business from Nuova Compagnia di Partecipazione S.p.A. (NCP). In
March 2016, So.DeCo., a wholly owned subsidiary of Ludoil, filed a lawsuit in the Court of Rome against its former directors, NCP, the parent
company UniCredit S.p.A. (in its capacity as holding company of NCP) and the external auditors (PricewaterhouseCoopers S.p.A. and Deloitte &
Touche S.p.A.) claiming damages of approximately €94 million for allegedly failing to provision properly for supposed environmental risks and
thereby causing the inflation of the sale price paid by Ludoil. In November 2019, the Court rejected So.De.Co.’s claims in their entirety and ordered it
to pay costs in favour of the defendants. In November 2017, So.De.Co. filed a separate lawsuit against NCP and its former directors. The case is
ongoing. In February 2019, NCP commenced an arbitral proceeding against Ludoil (So.De.Co.’s sole shareholder). The proceedings are ongoing.
Criminal proceedings
Certain entities within UniCredit group and certain of its representatives (including those no longer in office), are involved in various criminal
proceedings and/or, as far as the parent company UniCredit S.p.A. is aware, are under investigation by the competent authorities with regard to
various cases linked to banking transactions, including, specifically, in Italy, the offence pursuant to Art.644 (usury) of the Italian Criminal Code.
At present, these criminal proceedings have had no significant negative impact on the operating results and capital and financial position of the
parent company UniCredit S.p.A. and/or the Group, however there is a risk that, if the parent company UniCredit S.p.A. and/or other UniCredit group
entities or their representatives (including those no longer in office) were to be convicted, these events could have an impact on the reputation of the
parent company UniCredit S.p.A. and/or UniCredit group.
In relation to the criminal proceedings pertaining to the Diamonds offer topic see the paragraph included in Part E - Information on risks and hedging
policies - 2.5 Operational risks - Qualitative information - E. Other claims by customers - Diamond offer.
Other proceedings
Proceedings related to claims for withholding tax credits
On 31 July 2014, the Supervisory Board of UCB AG concluded its internal investigation into the so-called “cum-ex” transactions (the short selling of
equities around dividend dates and claims for withholding tax credits on German share dividends) at UCB AG. The findings of the Supervisory
Board’s investigation indicated that the bank sustained losses due to certain past acts/omissions of individuals. The Supervisory Board has brought
proceedings for compensation against three individual former members of the management board, not seeing reasons to take any action against the
current members. These proceedings are ongoing. UniCredit S.p.A., UCB AG’s Parent company, supports the decisions taken by the Supervisory
Board.
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In addition, criminal investigations have been conducted against current or former employees of UCB AG by the Prosecutors in Frankfurt on the
Main, Cologne and Munich with the aim of verifying alleged tax evasion offences on their part. UCB AG cooperated, and continues to cooperate,
with the aforesaid Prosecutors who investigated offences that include alleged tax evasion in connection with cum-ex transactions both for UCB AG’s
own book as well as for a former customer of UCB AG. Proceedings in Cologne against UCB AG and its former employees were closed in
November 2015 with, inter alia, the payment of a fine of €9.8 million by UCB AG. The investigations by the Frankfurt on the Main Prosecutor against
UCB AG under section 30 of the Administrative Offences Act (the Ordnungswidrigkeitengesetz) were closed in February 2016 with the payment of a
fine of €5 million. The investigation by the Munich Prosecutor against UCB AG was closed in April 2017 with legally binding effect following the
payment of a forfeiture of €5 million.
In December 2018, in connection with an ongoing investigation against former bank employees by the Cologne prosecutor, UCB AG was informed
of the initiation of an investigation in connection with an administrative offence regarding “cum-ex” transactions involving Exchange Traded Funds
(“ETF”). In April 2019, these investigations were extended to so called Ex/Ex-transactions, in which an involvement of the bank in the sourcing of
cum/ex transactions of other market participants on the ex-day is suspected. The facts are being examined internally. UCB AG is cooperating with
the authorities.
The Munich tax authorities are currently performing a regular field audit of UCB AG for the years 2013 to 2016, which includes, among other things,
review of other transactions in equities around the dividend record date. During these years, UCB AG performed, among other things, securities-
lending transactions with different domestic counterparties which include, but are not limited to, different types of security transactions around the
dividend date. It remains to be clarified whether, and under what circumstances, tax credits can be obtained or taxes refunded with regard to
different types of transactions carried out close to the dividend record days, and what the further consequences for the bank will be in the event of
different tax treatment. It cannot be ruled out that UCB AG might be exposed to tax-claims in this respect by relevant tax-offices or third party claims
under civil law. UCB AG is in constant communication with relevant regulatory authorities and the competent tax authorities regarding these matters.
UCB AG has made provisions deemed appropriate.
Medienfonds/closed-end funds
Various investors in Film & Entertainment VIP Medienfonds 4 GmbH & Co. KG to whom UCB AG issued loans to finance their participation, brought
legal proceedings against UCB AG. In the context of the conclusion of the loan agreements, the plaintiffs claim that the Bank provided inadequate
disclosure about the fund structure and the related tax consequences. A settlement was reached with the vast majority of the plaintiffs. An
outstanding final decision with respect to the question of UCB AG's liability for the prospectus in the proceeding pursuant to the Capital Markets Test
Case Act (Kapitalanleger-Musterverfahrensgesetz) which is pending at Munich Higher Regional Court, will affect only a few pending cases.
Alpine Holding GmbH
Legal proceedings against UCB Austria arose from bondholders’ claims commenced in June/July 2013. The claims stemmed from the insolvency of
Alpine Holding GmbH, as UCB Austria acted as joint lead manager, together with another bank, for the undertaking of Alpine Holding GmbH bond
issues in 2010, 2011 and 2012. Bondholders’ claims are mainly referred to prospectus liability of the joint lead manager, whereas a minority of the
cases is based on misselling due to allegedly unlawful investment advice. The damage claims amount to €20.26 million. These proceedings are
mainly pending in the first instance and may be adverse to UCB Austria.
Several involved persons had been named as defendants in pre-trial criminal proceedings in Austria which concern the Alpine bankruptcy case.
UCB Austria had joined these proceedings as private party. Also, unknown responsible persons of the issuing banks involved had formally been
investigated by the public prosecutor’s office. In the course of 2019, the public prosecutor’s office has closed the proceedings against all defendants
without indictments. All appeals against this decision have been rejected.
Valauret S.A.
Civil claim filed in 2004 by Valauret S.A. and Hughes de Lasteyrie du Saillant for losses resulting from the drop in the share price, between 2002 and
2003, including allegations on alleged fraudulent actions by members of the company’s Board of directors and others. UCB Austria (as successor to
Creditanstalt) was joined as the fourteenth defendant in 2007 based on the fact that it was banker to one of the defendants. The total claimed
amount is equal to €129.86 million (plus costs €4,39 million). Furthermore, in 2006, before the action was extended to UCB Austria, the civil
proceedings were suspended following the opening of criminal proceedings by the French State that are underway. In December 2008, the civil
proceedings were also suspended against UCB Austria. Nevertheless, the proceedings are still pending and may be adverse to UCB Austria,
although the alleged claims are considered unfounded.
C. Risks arising from employment law cases
UniCredit is involved in employment law disputes. In general, all employment law disputes are supported by provisions made to meet any
disbursements incurred and in any case UniCredit does not believe that any liabilities relating to the outcome of the pending proceedings could have
a significant impact on its economic and/or financial standing.
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Lawsuits filed against UniCredit S.p.A. by members of the former Cassa di Risparmio di Roma Fund
Lawsuits brought against UniCredit S.p.A. aimed to reconstitute the patrimony of the fund, ascertain and quantify social security individual position of
each member, are pending before the Supreme Court following previous degree decisions favourable towards the Bank. Claims’ value is about €384
millions. No provisions have been made as these claims are considered groundless.
D. Risks arising from tax disputes
The following information pertains to the most relevant litigations born in 2019 and to those already pending at the beginning of the fiscal year, which
have been decided or otherwise defined. For the litigations which are not mentioned, reference must be made to the financial statements of previous
fiscal years.
Pending cases arising during the period
In 2019 the Tax Authorities have notified the following requests of information:
to UniCredit S.p.A., two requests pursuant to Art.36-bis of D.P.R. 600/1973, regarding all the details of the computation of IRAP for the fiscal years
2010 and 2011. With respect to such fiscal years, UniCredit S.p.A. had requested the refund of the IRAP tax paid with reference to certain
dividends received, for €36.7 million (2010) and €34.7 million (2011); moreover, to UniCredit S.p.A., a request of information, pursuant to Art.36-bis
of D.P.R. 600/1973, regarding certain amounts indicated in the 2015 IRAP tax return;
to Bank Austria A.G., a request regarding income from capital of Italian source received from 2014 to 2018.
All the requests of information have been answered within the due date indicated by the Tax Authorities.
Moreover:
in October 2019 the Italian Tax Police (Guardia di Finanza) has carried out a tax audit with respect to UniCredit Leasing S.p.A. for 2014.
Subsequently, it has notified a tax audit report related to allegedly unpaid VAT for a total amount of €0,1 million. For the same fiscal year, the
position of the company has been considered regular for the purposes of IRES and IRAP taxes;
pursuant to two decisions of the Supreme Court, which have referred the parties to the second degree tax Court, to UniCredit S.p.A. have been
served two requests of payment for a total amount of €1.78 million (of which one for €0.48 million and another for €1.3 million). Such requests had
been already notified and, therefore, they are duplications. Subsequently, claims with the Tax Court have been filed and the litigations are pending.
The litigation regarding the first request of payment (€0.48 million) has been settled out of Court for a total amount of €0.18 million e the
cancellation of the request previously notified.
Updates on pending disputes and tax audits
As for 2019, the following information is reported:
with respect to the registration tax allegedly due for the registration of the rulings that had settled a number of opposition proceedings regarding
the liability status of the companies of the “Costanzo Group”, the Tax Authorities have recognized as not due an additional amount of the
registration tax requested. Therefore, with reference to all the requests of payment notified, the tax requested is reduced to €12.05 million. All the
litigations, already decided by the second degree Tax Court in favour of UniCredit S.p.A., are currently pending in front of the Supreme Court.
Finally, in January 2020 the Tax Authorities have reimbursed the amounts previously paid with respect to these litigations, for €7.3 million;
the notice of assessment regarding IRES 2013 referred to Pioneer Investment Management S.G.R.p.A., regarding transfer pricing issues, has
been settled out of Court, similarly to what happened with respect to previous fiscal years. The higher tax requested was equal to €4.4 million, plus
interest, and the litigation has been settled by means of the payment of €2.34 million plus interest. No penalty has been applied since the Tax
Authorities have expressly recognized the compliance with the transfer pricing documentation regime;
the Supreme Court took a favourable decision for UniCredit S.p.A. for a notice of assessment regarding VAT 2000. The amount of the litigation is
€6.7 million.
With reference to the settlement of the pending tax litigations, provided for by Law Decree No.119/2018, the following information is reported:
UniCredit S.p.A. has settled pending litigations for a total amount of €54 million, by means of the payment of €2.1 million. The litigations which
have been settled refer mainly to VAT and Corporate Income Tax;
UniCredit Leasing S.p.A. has settled pending litigations for a total amount of €84.9 million, by means of the payment of €3.7 million. The litigations
which have been settled refer mainly to VAT and, for a small amount, to other indirect taxes and to IRAP.
Both for UniCredit S.p.A. and for UniCredit Leasing S.p.A., the amount paid depends on the fact that, for the most part, with respect to the litigations
which have been settled, favourable decisions had already been issued.
As at 31 December 2018, the provisions for tax risks amounted to about €182.1 million (including provisions for legal expenses). As at 31 December
2019, the provisions amount to €177.9 million, of which €6.5 million for legal expenses.
Tax proceedings in Germany
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.5 Operational risk - Qualitative information -
“B Legal risks” - Part E of the Notes to the consolidated accounts.
E. Other claims by customers
Reference is made to the same paragraph Section 5 Operational Risk - Qualitative information - E. Other claims by customers - Part E of the Notes
to the accounts of the parent company UniCredit S.p.A. which is herewith quoted entirely.
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Diamond offer
Reference is made to the same paragraph Section 5 - Operational Risk - Qualitative information - E - Other claims by customers - Diamond offer -
Part E of the Notes to the accounts of the parent company UniCredit S.p.A. which is herewith quoted entirely.
Quantitative information
Detailed below is the percentage composition at Group Level, by type of event, of operational risk sources as defined by the New Basel Capital
Accord and acknowledged by the Regulations for the Prudential Supervision of Banks issued by Banca d’Italia in December 2013 (Circular
No.285/2013 and following updates).
Regarding the quantitative information of UniCredit S.p.A., reference is made to the paragraph of Part E - Notes to the accounts of the parent
company UniCredit S.p.A. - Section 5 - Operational Risks - Quantitative Information which is herewith quoted entirely.
The risk categories for event type are the following:
internal fraud: losses owing to unauthorised activity, fraud, embezzlement or violation of laws, regulations or business directives that involve at
least one internal member of the bank;
external fraud: losses owing to fraud, embezzlement or violation of laws by subjects external to the bank;
employment practices and workplace safety: losses arising from actions in breach of employment, health and workplace safety laws or
agreements, from personal injury compensation payments or from cases of discrimination or failure to apply equal treatment;
clients, products and business practices: losses arising from non-fulfilment of professional obligations towards clients or from the nature or
characteristics of the products or services provided;
damage from external events: losses arising from external events, including natural disasters, acts of terrorism and vandalism;
business disruption and system failures: losses owing to business disruption and system failures or interruptions;
process management, execution and delivery: losses owing to operational or process management shortfalls, as well as losses arising from
transactions with commercial counterparties, sellers and suppliers.
Operational losses 2019 divided by risk category
76.63%
16.44%
6.00%
Business practices
External fraud
Process execution
Material damage
IT Systems
Internal fraud
Employment practices
0.48%
0.39%
0.06%
The category “Employment practices” is not shown in the chart since it has a positive impact in the reference period due to the effects of recoveries
and releases of funds.
In 2019, the main source of operational risk (for this purpose, the positive effect due to the release of provisions set aside in previous years, as a
consequence of the settlement with US Authorities, has not been considered) was "Clients, products and business practices”, a category which
includes losses arising from the non-fulfilment of professional obligations towards clients or from the nature or characteristics of the products or
services provided, as well as any sanctions for violating regulations. The second largest contribution to losses refers to external fraud, followed by
errors in process management, execution and delivery due to operational or process management shortage.
There were also, in decreasing order, losses stemming from damage to physical assets from external events, IT Systems and internal fraud.
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2.6 Other risks
Other risks included in Economic Capital
The so-called Pillar 1 risk types (credit risk, market risk, operational risk, as described in dedicated chapters) are considered as primary risks, but
there are also other risks the Group considers as significant, namely:
1. Business risk;
2. Real estate risk;
3. Participation risk.
These risks are defined as follows.
1. Business risk
Business risk is defined as adverse, unexpected changes in business volume and/or margins that are not due to credit, market and operational risks.
Business risk can result, above all, from changes in the competitive situation or customer behaviour, but may also result from changes in the legal
framework.
The exposure data used to calculate business risk are taken from the income statements of each Entity of the Group for which the risk is significant.
Volatility and correlations are derived from the time series of relevant items of Income statement reports. Business risk focuses on the impact of
unexpected shocks on future margins on a one year time horizon; in this context the margin is defined as the difference between earnings and costs
not explained by risk factors already included e.g. in credit, market, operational risk.
Business risk is calculated on a quarterly basis for monitoring and budgeting purposes according to planning time scheduling.
2. Real estate risk
Real estate risk is defined as the potential loss resulting from market value fluctuations of the Group’s Real Estate portfolio, including real estate
Special purpose vehicles. It does not take into consideration properties held as collateral which are evaluated inside credit risk.
The relevant data for the real estate risk calculation include general information related to properties and area or regional price indexes for each
property to enable calculation of volatility and correlation in the model.
The real estate risk model estimates the maximum potential loss with a confidence level set according to the rating target over a one-year time
horizon, using a Monte Carlo simulation approach and assuming real estate returns are correlated and have a non-Gaussian distribution.
Real estate risk is calculated quarterly for monitoring purposes with a portfolio updated every six months and for budgeting purposes according to
the timelines scheduled in the planning process.
3. Financial investments risk
Financial investments risk stems from the equity investments held in companies not included in the Group and not held in the Trading Book.
The relevant portfolio mainly includes listed and unlisted shares, derivatives with underlying equity, private equity, units of mutual, hedge and private
equity funds.
For all Group equity positions, capital charges may be calculated using either a PD/LGD-based approach or a market-based one. The PD/LGD
approach is used for unlisted or listed but not liquid equities, including direct private equity holdings. The market-based approach is used for traded
equities, equity hedges and all mutual, hedge and private equity funds through the mapping to market risk factors.
The calculation of the risk is based on the maximum potential loss, i.e. Value at Risk (VaR), with a confidence level set according to the rating target
and over a one-year time horizon and is executed inside credit and market risk models according to the nature of the underlying portfolio. Financial
investments risk is calculated quarterly for monitoring and for budgeting purposes according to the timelines scheduled in the planning process.
Risk measurement methods
Within the Internal Capital Adequacy Assessment Process (ICAAP) and in line with the proportionality principle defined in Pillar II of Basel 2, the risk
profile of the Group and the main material Legal Entities is assessed for all the Pillar 2 risk types.
Credit, market, operational, business and real estate risks are measured quantitatively, by:
Economic Capital and aggregation as an input for Internal Capital;
Stress test.
The Internal Capital represents the capital needed to face the potential losses inherent in the Group’s business activities and takes into
consideration all the Pillar 2 risk types identified by the Group and which are quantifiable in terms of Economic Capital: credit, market, operational,
business, participation and real estate risks. The effect of the diversification between risk types (“inter-risk diversification”) and of the diversification
at portfolio level (“intra-risk diversification”) are calculated. In addition a Capital add-on is calculated as prudential cushion in order to account for
model risk uncertainty.
Internal Capital is calculated using a Bayesian Copula with a one year time horizon and a confidence level in line with the Group rating target. For
control purposes, the Internal Capital is calculated quarterly; it is also projected for budgeting purposes.
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The multidimensional nature of risk makes it necessary to supplement the measurement of economic capital with stress testing, not only in order to
estimate losses in certain scenarios, but also to assess their impacts in terms of capital requirements. Stress testing is a key risk management tool
for the management of the relevant risks in order to assess the bank's vulnerability with respect to exceptional but plausible events, providing
additional information to the monitoring activities.
Stress testing activities, consistently with regulatory requirements, are performed on the basis of a set of internally defined stress scenarios.
The stress test activities also assess the capital requirements for the main regions where the Group is active, and are carried out at least twice a
year.
In the context of the activities of risk measurement prescribed by Pillar II, the Group-wide stress test considers the various impacts of a given macro-
economic scenario on all relevant risks with the aim of giving a complete and thorough representation of the behaviour of the Group in stressed
conditions. These scenarios are drawn analysing both significant market events happened in the past and plausible worst-case events not yet
occurred.
Stress test is performed for both single risk types and risk aggregation and produces conditional losses and stressed Economic Capital as outputs.
Estimate of aggregate stress test accounts for the change of materiality of single risks as well as for the change of diversification benefit in stressed
conditions.
Since 2017 two complementary approaches are applied in stress testing activities: “Normative Perspective” focuses on the effects of stressed
scenarios on regulatory capital metrics while “Economic Perspective” deals with economic value changes evaluated at portfolio level.
The Group Top Management is involved in the ex-ante as well as in the ex-post stress analysis in the following way:
before the exercise is finalised, with a presentation regarding the selected scenarios and the underlying assumptions;
after the exercise is finalised, with the disclosure of the results and a potential discussion of a contingency plan, if needed.
The adequacy of the risk measurement methodologies supporting the ICAAP, including stress testing and risk aggregation, is checked by internal
validation functions.
Consistently with the corporate governance system, UniCredit S.p.A. Group Risk Management is responsible for the Group Economic and Internal
Capital methodology development and their measurement, as well as for the setting and implementation of the Group related processes. The "Group
Rules", after the approval, are sent to relevant Legal Entities for approval and implementation.
Reputational risk
Reputational risk is defined as the current or prospective risk to earnings and capital arising from the adverse perception of the image of the financial
institution on the part of customers, counterparties (including also debt-holders, market analysts, other relevant parties), shareholders/investors,
regulators or employees (stakeholders).
Reputational risk is a secondary risk generated as a "knock-on effect" from risk categories, such as credit, market, operational and liquidity risks and
all others risks types (e.g. business risk, strategy risk, ESG risk which considers the environmental, social and governance aspects of responsible
investments). Reputational risk could also be generated from material events.
Since 2010 UniCredit group has ruled the reputational risk and the policy currently in place is the Group Reputational Risk management policy which
aims at defining a general set of principles and rules for assessing and controlling reputational risk. In addition, since 2017 the Global Process
Regulation “Reputational Risk management for Material Events” has been in force with the aim of defining a straightforward escalation process to
the Parent company’s Senior Management for events not managed via existing Reputational Risk processes in order to allow it to react promptly in
managing the potential consequences.
The reputational risk management is in charge to the Group Operational & Reputational Risks Department of UniCredit S.p.A. and to dedicated
functions within the Group legal entities.
The Reputational risk Committee is in charge of evaluating possible Reputational risks inherent transactions, on the basis of the current Reputational
risk guidelines and policies.
In addition, the setup of the Group Risk & Internal Control Committee ensures consistency in Reputational risk policies, methodologies and practices
controlling and monitoring the Group Reputational risk portfolio.
The current policies mitigating specific Reputational risk topics regard “Defense/Weapons Industry”, “Nuclear Energy”, “Mining”, “Water
Infrastructure (dam)” and “Coal fired power generation”.
Top and emerging risks
In UniCredit, the management and monitoring of risks is based on a dynamic approach; Top Management is promptly informed on top risks and/or
emerging risks through a strict monitoring process embedded in the risk assessment process.
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The Risk Management identifies and estimates these risks and submits them regularly to senior/top management and Board of Directors which take
the appropriate actions to manage and mitigate risks.
Top and/or emerging risks in 2019 were the followings (the sequence of risk drivers in the list below, doesn’t reflect the probability of occurrence or
severity, if materialised):
1. Macroeconomic and (geo-)political challenges around the globe;
2. Risks accompanying the “Brexit”;
3. Cyber security and climate change risks;
4. Risks stemming from the current Regulatory developments.
1. Macroeconomic and (geo-)political risks
Risks to the global economy remained tilted to the downside, mainly against the backdrop of looming trade tensions, geopolitical instability
(especially in the Middle-East region), externally and/ or internally driven weaknesses in some of the main emerging market economies and political
uncertainties, including those in the continental Europe. All these have been weighing on business/ investor sentiment and translating to a global
economic slowdown, despite being shored up by the accommodative monetary policy stance across most of the world. Notwithstanding some recent
signs of fading trade tensions, the risk of escalation (potentially extended to the financial world) remains material and hence, one of the main
sources of impacts to global trade and growth.
With special regard to the countries where UniCredit has an important stake, the positive developments in Turkey, marked by a recovery from
recession, cyclical adjustment in external accounts and normalising monetary conditions, remain weighed down by the sustainability risks to its
growth model and the financial and geopolitical vulnerability.
The Russian economy kept recording a subdued activity throughout the year, that goes along with low growth prospects going forward, however its
fundamentals remain sound in general with public and external finances being favourable and ensuring important buffers to potential adverse
external factors. At the same time, structural specific vulnerabilities remain, in particular to the global commodity price-cycle, and are exacerbated
also by persistent challenges stemming from the existing and potential extension of external sanctions regime.
2. Risks related to the UK’s exit from the European Union
With reference to the Brexit, while the December 2019 (early) general election broke the political stalemate, the uncertainty remains high around the
UK’s future relationship with the international community.
That said, the UK enters a transition period to end-2020 and will be treated as if it were an EU member state (though without voting rights) but the
settlement of its post-Brexit arrangements, including those with its global trading partners, is expected to be challenging, especially in light of the
time constraints, which leaves risks to the outlook and the probability of no-deal Brexit by 2021 elevated.
In general, major sources of concern are related to the uncertainty on legal aspects affecting continuity of cross-border financial contracts, the cross
border transfer of personal data and access to UK market infrastructure; notwithstanding the ramifications to the UK’s economy.
With the aim of alleviating risks related to a worst scenario (no-deal Brexit), and in particular the risk related to the close-out transactions with UK
Central Counterparties, UniCredit S.p.A. seeks to manage a Subsidiary in UK, to be part of Banking Group that will may centralise transactions with
the aforementioned Central Counterparties. This entity, when operative, will be fully consolidated within UniCredit group.
3. Systemic threats
3.1 Systemic threats associated with cybercrime
Along with the continuous digitalisation of banking services, both the financial industry itself and its clients are increasingly exposed to cyber-attacks;
also exacerbated by the heightened geopolitical tensions around the globe. This requires reinforced governance with a continuous strong focus on
data protection and security.
Possible IT risks can be caused by interruptions, faults, damage, inappropriate uses, ineffective changes, incorrect procedures, design errors, which
can affect ICT infrastructures and related software applications, causing potential damages due the loss of integrity and availability of data and
information.
This risk is increasing as, in addition to the above mentioned risks, further risks deriving from threats perpetrated are getting relevant through the
use of networks with which the Group is interconnected, both internally and towards the outside world. These attacks are aimed at the theft of data
and information injections of malware and viruses through social engineering techniques or through DDoS (Distributed Denial of Service) attacks in
order to cause system overloads that hamper the proper services’ performance.
Considering the above, it should be noted that UniCredit group, over the past few years, has been subject to some cyber attacks which led, even
though only in a few limited cases, to the theft of personal data. In this regard, taking into account the type of risks detected, UniCredit, in addition to
strengthening the protection measures already in place, carried out a wide and in-depth assessment of the effects that may derive also for financial
statements purposes.
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3.2 Systemic threats associated with climate change
Climate change-related risks (both physical and transition) and the accompanying shift towards sustainable finance are mounting challenges to the
financial sector and may impact credit and market risks.
In context of an evolving regulatory framework, the Group aims to proactively address these challenges my means of increased commitment to
sustainability and tangible initiatives aimed at improving the management of market financing risks to anticipate the possible increases in the
riskiness of specific sectors and to analyse the possible requests of the regulatory Authorities.
A very first step in the achievement of this important aspiration was the setting up of a dedicated team within the Group Risk Management (GRM)
function, responsible for the supervision and management of issues related to climate change risks and UniCredit’s approach to sensitive sectors.
The first activity put in place by the team is focused on assessing the transition risk of corporate and investment banking listed companies to define
more in detail climate change impact on the risk profile. With reference to physical risk it has been performed a preliminary estimation of potential
impact of sea-level rise on the value of individuals mortgage collaterals related to properties located along the Italian coastline.
UniCredit group endorsed the Task Force on Climate-Related Financial Disclosures (TCFD) recommendations, signed up to the Principles for
Responsible Banking (PRB), launched by the United Nations Environment Programme to help banks align their business strategy with society’s
goals, and was among the group of banks who agreed on road testing the Paris Agreement Capital Transition Assessment (PACTA) methodology
developed by 2° Investing Initiative (2°ii). The Group also support European Banking Authority 2020 voluntary pilot sensitivity exercise.
For further details on climate change’s impact refer also to the Integrated Report published on UniCredit website.
3.3 Systemic threats associated with coronavirus outbreak
Following the coronavirus outbreak, UniCredit is continuing to monitor the situation carefully and taking precautions in line with the recommendations
of the World Health Organization and local authorities.
As a precautionary measure, international business travels to/from and within Asia, where UniCredit holds some branches, were suspended until
further notice. With specific reference to Asian branches, critical activities and processes are constantly monitored, assessing the potential
evolutions and impacts on business activities.
It cannot be excluded that, with reference to the main businesses, an economic slowdown could emerge, also in the Eurozone, with potential
impacts, as at 5 February 2020 not yet quantifiable, also on the Group profitability, mainly with reference to the operating income and cost of risk.
4. Developments in the Regulatory environment
Over the last few years the regulatory framework in which financial institutions act has become increasingly complex and stricter. This complexity
has further increased following the introduction of new financial regulations, some of them being still under discussion, and by the ECB central role
in the supervision of a large portion of the European banking system. All these changes might significantly affect Group UniCredit and introduce
additional challenges for the general banking sector profitability and capital requirements.
The most relevant changes are the following:
Revision to the Basel 3 framework for the calculation of risk weighted assets for credit, operational, credit valuation adjustment (CVA) risks
published in December 2017 (known as Basel 4). The regulator’s ultimate goal is to restrict the usage of internal models for measuring credit risk
on some specific portfolios and to return to a more stringent standardised approach as well as to eliminate internal models for operational risks.
Basel 4 also introduces an aggregate Output Floor. These revisions are complemented by the change to the market risk framework (Fundamental
Review of Trading Book, FRTB) finalised in January 2019, which envisages the introduction of more stringent and sophisticated internal models
and standardised approaches for measuring market risk in the trading portfolios. The Basel Committee is currently considering a set of targeted
changes to the credit valuation adjustment (CVA) risk framework issued in December 2017 in order to ensure an alignment with the more recent
FRTB. Proposals to accommodate the revised Basel 3 into European Union standards could probably materialise in 2020 (CRRIII), with entry into
force not earlier than end 2022 or the beginning of 2023.
With regard to internal models for credit risk, alongside the regulatory proposal of the Basel Committee, EBA issued new guidelines which will
impose tighter criteria for risk parameter estimation, further increasing capital requirements for banks that use internal models extensively.
In March 2018 the ECB published the Addendum to the Guidance on NPL which sets out supervisory expectations for the provisioning of
exposures reclassified from performing to non-performing exposures (NPEs) after 1 April 2018. In April 2019 however the European Commission’s
amendment to Capital Requirements Regulation (CRR) introduced a minimum loss coverage ratio for new loans becoming NPEs after 26 April
2019 (the “statutory backstop”). On 22 August 2019, the ECB decided to revise its supervisory expectations for prudential provisioning of new non-
performing exposures. The decision was made after considering the adoption of the new EU regulation that outlines the Pillar I treatment for NPEs.
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The initiatives that originate from the ECB are strictly supervisory (Pillar II) in nature. In contrast, the European Commission’s requirement is legally
binding (Pillar I). The above-mentioned developments result in three “buckets” of NPEs based on the date of the exposure’s origination and the
date of NPE’s classification:
- NPEs classified before 1 April 2018 (Pillar II - Stock): 2/7 years vintage buckets for unsecured/secured NPEs, subject to supervisory coverage
recommendations and phase-in paths as communicated in SREP letters;
- NPEs originated before 26 April 2019 (Pillar II - ECB Flows): 3/7/9 years vintage buckets for unsecured/secured other than by immovable
property/secured by immovable property, progressive path to 100%;
- NPEs originated on or after 26 April 2019 (Pillar I - CRR Flows): 3/7/9 years vintage buckets for unsecured/secured other than by immovable
property/secured by immovable property, progressive path to 100%
Entry into force of a binding 3% minimum leverage ratio, an additional regulatory requirement compared to the risk-based indicators envisaged in
the Basel 3 package. The leverage ratio aims to constrain the building up of financial leverage in the banking industry, as well as to reinforce the
capital requirements with a supplementary measure not based on risk parameters. The final regulation for the European Union (CRRII), including
the binding leverage ratio, has been published last June and defines the entry into force of this new regulatory requirement in June 2021, with a
subsequent implementation of the G-SIB buffer starting in 2022 (in line with the Basel 4 implementation timeline). In addition to changes
implemented in the CRRII, also the revision to the leverage ratio calculation (mainly on exposure measure) introduced by the Basel 4 package will
have to be implemented in Europe through the further revision of the CRR (CRRIII) and enter into force not earlier than end 2022 or the beginning
of 2023.
Entry into force of the liquidity requirements envisaged in Basel 3: a short term indicator (liquidity coverage ratio, “LCR”), with the goal to have
banks to maintain a liquidity buffer to survive a 30-days period of stress, and a structural liquidity indicator (the net stable funding ratio, “NSFR”)
referring to a time horizon over one year, introduced to ensure that assets and liabilities have a sustainable structure in terms of maturity. While the
LCR is already in force, the NSFR has been introduced as a requirement in the CRRII published last June and will apply from June 2021.
TLAC/MREL introduction: the Total Loss Absorbing Capacity (“TLAC”) introduced by the Financial Stability Board as a global standard for G-SIBs,
and aimed at ensuring that institutions maintain a sufficient amount of financial resources to absorb losses and recapitalise in case of stress, is
being implemented in Europe through the BRRD2 and the CRRII/CRDIV, published last June. The European transposition of TLAC, i.e. the “Pillar
1” Minimum Requirement for Own Funds and Eligible Liabilities (Pillar 1 MREL) applies to all G-SIBs; “Pillar 2” MREL instead is bank-specific.
TLAC (Pillar 1 MREL) has become binding in June 2019 as a transitional requirement, equal to 16% + Combined Capital Buffer of Risk Weighted
Assets (RWAs) and will reach its fully loaded shape (18% + Combined Capital Buffer of RWAs) in 2022 (with no intermediate levels envisaged in
terms of calibration). MREL, instead, is being phased-in and reaches its fully loaded shape in 2024 (with intermediate levels, in terms of calibration,
to be discretionally set by the Resolution Authority).
Discussion of preferential treatment of sovereign exposure in banks’ banking book: banks‘ exposures to the home sovereign currently benefit of a
zero risk weight. There is no concrete proposal under consultation yet, but policy makers and regulators are discussing which approach to adopt, if
any, to remove this preferential treatment. On the one hand, the European Commission (DG FISMA) is drafting a document which allegedly sets
out EC's priorities for completing the Banking Union: these include the revision of the treatment of sovereign exposure which might foresee
application of concentration charges. On the other hand, in 2018 the European Parliament issued a proposal, currently under discussion, to allow
preferential treatment to a new class of state bond-backed securities (SBBS), to encourage diversification of banks’ holdings of euro zone bonds.
SBBS would be a new type of asset created by the private sector based on a pre-defined pool of sovereign bonds of the Euro area Member
States.
UniCredit ·2019 Annual Report and Accounts 379
Consolidated financial statements | Notes to the consolidated accounts
Part F - Consolidated shareholders’ equity
Part F - Consolidated shareholders’ equity
Section 1 - Consolidated Shareholders’ Equity
A. Qualitative information
UniCredit group deems as priority the activities of capital management and capital allocation based on the risks taken, with the aim of expanding the
Group’s operations in a value creation perspective. These activities are structured in the different phases of the Group planning and monitoring
process and, in particular, in:
planning and budgeting processes:
- proposals of risks appetite and capitalisation objectives;
- analysis of risks associated with value drivers and allocation of capital to business areas and units;
- assignment of risk-adjusted performance objectives;
- analysis of the impact on the Group’s value and the creation of value for shareholders;
- preparation and proposal of the equity plan and dividend policy;
monitoring processes:
- analysis of performance achieved at Group and business unit level and preparation of managerial reports for internal and external use;
- analysis and monitoring of limits;
- analysis and performance monitoring of the capital ratios of the Group and single entities.
The Group has committed itself to generate income in excess to the one necessary to remunerate risk (cost of equity) and to create value for its
shareholders by allocating capital to the various business areas and business units on the basis of specific risk profiles. In order to support the
planning and monitoring processes, the Group adopts a methodology based on risk-adjusted performance measurement (RAPM) which provides a
number of indicators that combine and summarise the operating, financial and risk-related variables to be considered.
Therefore, the Group capital and its allocation are of paramount importance in the definition of corporate strategies, as, on the one hand, the Group
Capital represents the shareholders’ investment in the Group, which needs to be adequately remunerated, and on the other hand, it is a scarce
resource subject to the external constraints set by the regulators.
In the allocation process, the definitions of capital adopted are the following:
risk or employed capital: this is the equity component provided by shareholders (employed capital) which must be remunerated through an income
generation higher than or equal to expectations (cost of equity);
capital at risk: this is the portion of capital and reserves that is used (the budgeted amount or allocated capital) or was used to cover (at
period-end - absorbed capital) the risks taken to pursue the objective of creating value.
If capital at risk is measured through risk management methods, then it is defined as internal capital; if it is measured through regulatory provisions,
then it is defined as regulatory capital.
Internal capital and regulatory capital differ in terms of their definition and the categories of risk covered. The former is based on the actual
measurement of the exposure taken, while the latter is based on schedules specified in regulatory provisions.
Internal capital is set at such a level to cover adverse events with a high level of probability, while regulatory capital is quantified on the basis of a
CET1 target ratio in line with the one of major international banking groups and taking into account the impacts of the supervisory regulations in
force or that will be adopted. Capital Allocated to Business Segment is quantified by regulatory capital.
The capital management activity, performed by the Capital Management unit of Group Planning and Capital Management, aims at defining the
target level of capitalisation for the Group and its companies in line with supervisory regulations and the risk appetite.
UniCredit group has identified a Common Equity Tier 1 Ratio MDA buffer target between 200 and 250 basis points, as announced during the “Team
23” Capital Markets Day held in London on 03 December 2019 (https://www.unicreditgroup.eu/content/dam/unicreditgroup-
eu/documents/en/investors/Capital-Markets-Day/2019/UniCredit_PR_Team23_ENG.pdf).
In the dynamic activity of capital management, the Capital Management unit defines the capital plan and monitors the regulatory capital ratios.
The monitoring activity is focused, on the one hand, on capital, according to both accounting and regulatory definition (Common Equity Tier 1,
Additional Tier 1, Tier 2 Capital and TLAC), and, on the other hand, on the planning and performance of Risk-Weighted Assets (RWA).
The dynamic approach to the capital management activity aims at identifying the most suitable investment and capital instruments (ordinary shares
and other capital instruments) for achieving the defined targets. If there is a capital shortfall, the gaps to be filled and capital generation measures
are indicated, and their cost and efficiency are measured through the RAPM methodology. In this context, value analysis is enhanced by the joint
role played by the Capital Management unit in the fields of, among others, regulatory, accounting, financial, tax-related, risk management, etc. and
with respect to the changing regulations affecting these aspects; in this way, the Capital Management unit will be able to perform the necessary
assessments and to provide with the necessary instructions the other Group HQ areas or companies asked to perform these tasks.
380 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part F - Consolidated shareholders’ equity
B. Quantitative information
B.1 Consolidated Shareholders' Equity: breakdown by type of company
NET EQUITY ITEMS
1. Share Capital
2. Share premium reserve
3. Reserves
4. Equity instruments
5. Treasury shares
6. Revaluation reserves
- Equity instruments designated at fair value
through other comprehensive income
- Hedge accounting of equity instruments
designated at fair value through other
comprehnsive income
- Financial assets (different from equity
instruments) at fair value through other
comprehnsive income
- Property, plant and equipment
- Intangible assets
- Foreign investments hedging
- Cash flow hedging
- Hedging instruments (non-designated items)
- Foreign Exchange differences
- Non-current assets and disposal groups
classified as held for sale
- Financial liabilities designated at fair value
through profit or loss (own creditworthiness
changes)
- Actuarial gains (losses) on defined benefit
plans
- Part of valuation reserves from investments
valued at equity method
- Special revaluation laws
7. Profit (Loss) of the year (+/-) Minority
interests
Total
AMOUNTS AS AT 12.31.2019
BANKING GROUP
21,149
13,311
24,464
5,602
(3)
(6,109)
INSURANCE
COMPANIES
-
-
106
-
-
106
OTHER
COMPANIES
17
-
477
-
-
(3,003)
CONSOLIDATION
ADJUSTMENTS
AND
ELIMINATIONS
-
-
(720)
-
-
2,897
(259)
-
991
1,438
-
-
(71)
-
(4,964)
16
(84)
(3,591)
138
277
3,481
61,895
-
-
-
-
-
-
-
-
-
-
-
-
106
-
123
335
32
-
-
7
-
-
-
-
-
(676)
-
-
(2,366)
-
488
(2,021)
-
-
2
-
-
-
89
-
2,927
-
-
18
(139)
-
(601)
1,576
B.2 Revaluation reserves of financial assets at fair value through other comprehensive income: brekdown
(€ million)
TOTAL
21,166
13,311
24,327
5,602
(3)
(6,109)
(227)
-
993
1,445
-
-
18
-
(2,037)
(660)
(84)
(3,573)
(2,261)
277
3,491
61,785
(€ million)
ASSETS/VALUES
1. Debt securities
2. Equity securities
3. Loans
Total 12.31.2019
Total 12.31.2018
AMOUNTS AS AT 12.31.2019
PRUDENTIAL
CONSOLIDATED
POSITIVE
RESERVE
1,125
254
-
1,379
1,124
NEGATIVE
RESERVE
(134)
(513)
-
(647)
(1,316)
INSURANCE COMPANIES
NEGATIVE
POSITIVE
RESERVE
RESERVE
-
-
-
-
-
-
-
-
-
-
OTHER COMPANIES
POSITIVE
RESERVE
-
32
-
32
-
NEGATIVE
RESERVE
-
-
-
-
-
CONSOLIDATION
ADJUSTMENTS AND
ELIMINATIONS
POSITIVE
RESERVE
(20)
-
-
(20)
(6)
NEGATIVE
RESERVE
22
-
-
22
118
TOTAL
POSITIVE
RESERVE
1,105
286
-
1,391
1,118
NEGATIVE
RESERVE
(112)
(513)
-
(625)
(1,197)
UniCredit ·2019 Annual Report and Accounts 381
Consolidated financial statements | Notes to the consolidated accounts
Part F - Consolidated shareholders’ equity
B.3 Revaluation reserves of financial assets at fair value through other comprehensive income: annual change
ASSETS/VALUES
1. Opening balance
2. Positive changes
2.1 Fair value increases
2.2 Net losses on impairment
2.3 Reclassification through profit or loss of negative reserves:
following disposal
2.4 Transfers to other comprehensive shareholders' equity (equity
instruments)
2.5 Other changes
3. Negative changes
3.1 Fair value reductions
3.2 Recoveries on impairment
3.3 Reclassification throught profit or loss of positive reserves:
following disposal
3.4 Transfers to other comprehensive shareholders' equity (equity
instruments)
3.5 Other changes
4. Closing balance
DEBT
SECURITIES
186
1,595
1,336
2
CHANGES IN 2019
EQUITY
SECURITIES
(265)
116
84
-
252
-
5
(788)
(538)
(4)
(241)
-
(5)
993
-
26
6
(78)
(78)
-
-
-
-
(227)
B.4 Revaluation reserves related to defined benefit plans: annual changes
1. Opening balance
2. Increases
2.1 Increases in fair value
2.2 Transfers to other net equity items
2.3 Other changes
3. Decreases
3.1 Decreases in fair value
3.2 Transfers to other net equity items
3.3 Other changes
4. Closing balance
CHANGES IN 2019
OTHER
COMPANIES
(1)
1
-
-
1
-
-
-
-
-
CONSOLIDATION
ELIMINATIONS
AND
ADJUSTMENTS
16
(1)
-
-
(1)
3
3
-
-
18
INSURANCE
COMPANIES
-
-
-
-
-
-
-
-
-
-
BANKING GROUP
(2,730)
16
6
-
10
(877)
(876)
-
(1)
(3,591)
Section 2 - Own funds and banking regulatory ratios
For this section refer to the own funds disclosure and capital adequacy reported into the UniCredit group disclosure (Pillar III).
(€ million)
LOANS
-
-
-
-
-
-
-
-
-
-
-
-
-
-
(€ million)
TOTAL
(2,715)
16
6
-
10
(874)
(873)
-
(1)
(3,573)
382 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part G - Business combinations
Part G - Business combinatios
Section 1 - Business combinations completed in the year
1.1 Business combinations
Business combinations with counterparties outside the Group are carried out using the “purchase method” prescribed by the accounting standard
IFRS3 “Business Combinations”.
In 2019 the Group has performed no relevant business combinations outside the Group.
For further details refer to Part A, Section 3 - Consolidation scope and methods of Notes to the consolidated accounts.
Under its reorganisation programme, in 2019 the Group carried out business combinations involving companies or businesses which were already
directly or indirectly controlled by UniCredit S.p.A.
These transactions have no economic substance and are accounted for in the acquirer’s and acquired entity’s accounts in accordance with the
continuity principle. These transactions have no effect on consolidated level.
The main transactions inside the Group refer to:
in April 2019 set up of UniCredit Leased Asset Management S.p.A., a company entirely owned by UniCredit Leasing S.p.A., that became operative
after the spin-off of the Leased Asset Management branch division and the previously repossessed property of UniCredit Leasing.
in September 2019 the completion of partial demerger of the activities related to Italian operations and real estate and logistics businesses of
UniCredit Services S.C.p.A. in favour of UniCredit S.p.A.; reference is made to the paragraph of Part G - Notes to the accounts of the parent
company UniCredit S.p.A. - Section 1 - Business combinations completed in the year.
Section 2 - Business combinations completed after year-end
No business combinations have been completed after year end.
Section 3 - Retrospective adjustments
No retrospective adjustments have been applied in 2019 on business combinations competed in previous years.
UniCredit ·2019 Annual Report and Accounts 383
Consolidated financial statements | Notes to the consolidated accounts
Part H - Related-party transactions
Part H - Related-party transactions
Introduction
For the purposes of financial disclosure, in accordance with the Commission Regulation (EU) No.632/2010 of 19 July 2010, the text of IAS24
applies, which defines the concept of related party and identifies the relations between that party and the entity producing the financial statements.
IAS24 also explains that the disclosure should include transactions entered into with subsidiaries of associates and subsidiaries of joint ventures.
Pursuant to IAS24, UniCredit S.p.A.’s related parties include:
companies belonging to UniCredit group and companies controlled by UniCredit but not consolidated;
associates and joint ventures, as well as their subsidiaries;
UniCredit’s “Key management personnel”;
close family members of “key management personnel” and companies controlled (or jointly controlled) by key management personnel or their
close family members;
UniCredit group employee post-employment benefit plans.
Key management personnel are persons having authority and responsibility for planning, directing, and controlling UniCredit’s activities, directly or
indirectly. Key management personnel include the Chief Executive Officer and the other members of the Board of Directors, the Standing Auditors,
the General Manager and the other Senior Executive Vice Presidents directly reporting to the Board of Directors or to the Chief Executive Officer.
Also for the management of related-party transactions refer to the discipline established by Consob Regulation No.17221/2010 (deriving from the
provisions of Art.2391-bis of the Italian Civil Code) and by Banca d’Italia Circular No.263/2006 (Title V, Chapter 5) introduced in 2011 as well as the
provisions pursuant to Art.136 of Legislative Decree No.385/1993, under which corporate officers may assume obligations towards the bank they
manage, direct or control, only upon unanimous approval of the board of the bank and positive opinion of the Board of Statutory Auditors.
In this regard, UniCredit, as a listed issuer and subject to Banca d’Italia regulations, has adopted the Global Policy “Transactions with related parties,
associated persons and Corporate Officers ex art.136 CBA”, approved by UniCredit’s Board of Directors with the positive opinion of the Related-
Parties Committee and of the Board of Statutory Auditors, which is published on UniCredit website (www.unicreditgroup.eu), designed to define
preliminary and conclusive rules with respect to transactions initiated by UniCredit, including those conducted through subsidiaries, with related
parties, and the manner in which information is disclosed to corporate bodies, the supervisory authorities and the market.
Specific guidelines contained in the Global Policy have been distributed to the company’s functions and Group Legal Entities in order to
systematically abide to the above-mentioned reporting requirements.
UniCredit has also established, in accordance with those guidelines, the abovementioned Related-Parties Committee and Equity Investments,
consisting of three members appointed by the Board of Directors among its members qualified as "independent" within the meaning of Art.3 of the
Corporate Governance Code.
In addition UniCredit applies specific procedures regarding internal controls on risk activities with subjects in conflict of interests regulated in the
Global Policy “Transactions with related parties, associated persons and Corporate Officers ex art.136 CBA”.
During 2019, transactions carried out with related parties reported in the data streams provided by the reference standards, were executed and
carried out based on assessments of the economic convenience and interests of the Group.
384 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part H - Related-party transactions
1. Details of Key management personnels’ compensation
Details of Key management personnel’s 2019 remuneration are given below pursuant to IAS24 and to Banca d’Italia Circular 262 dated 22
December 2005 (6th update of 30 November 2018) requiring that also the Statutory Auditors’ compensation be included.
Key management personnel are persons having authority and responsibility for planning, directing, and controlling UniCredit’s activities, directly or
indirectly. Key management personnel include the Chief Executive Officer and the other members of the Board of Directors, the Standing Auditors,
the General Manager and the other Senior Executive Vice Presidents directly reporting to the Board of Directors or to the Chief Executive Officer.
Remuneration paid to key management personnel (including directors)
a) short-term employee benefits
b) post-retirement benefits
of which: under defined benefit plans
of which: under defined contribution plans
c) other long-term benefits
d) termination benefits
e) share-based payments
Total
YEAR 2019
17
1
-
1
-
4
5
27
(€ million)
YEAR 2018
16
1
-
1
-
-
6
23
The information reported above include the compensation paid to Directors (€4 million), Statutory Auditors (€0.9 million), General Manager
(€0.1million) and other Managers with strategic responsibilities (€10 million), as shown in the document "Information Tables Pursuant Art.84 -quarter
“Annual Report - Section II” of the Regulation No.11971 Issued by Consob" attached to the “2020 Group Remuneration Policy”, and €12 million
relating to other costs borne in 2019 (the company share of social security contributions, accruals to severance pay funds and share-based
payments using UniCredit and its subsidiaries’ equity instruments).
The compensation paid shows a substantial stability versus 2018, in line with the conservative approach to remuneration that has been adopted
during Transform 2019 plan. The €4 million increase in the Total Compensation versus the previous year is linked to severance payments related to
employment terminations, having by their own nature a non-recurring nature.
UniCredit ·2019 Annual Report and Accounts 385
Consolidated financial statements | Notes to the consolidated accounts
Part H - Related-party transactions
2. Related-party transactions
The following table sets out the assets, liabilities, guarantees and commitments, for each group of related parties, pursuant to IAS24.
Related-party transactions: balance sheet items
AMOUNTS AS AT
12.31.2019
CONTROLLED
NOT
CONSOLIDATED
ENTITIES
JOINT
VENTURES
ASSOCIATED
COMPANIES
KEY
MANAGEMENT
PERSONNEL
OTHER
RELATED
PARTIES
% ON
ACCOUNTS
TOTAL
ITEM SHAREHOLDERS(*)
Financial assets at fair value through
profit or loss
a) Financial assets held for trading
b) Financial assets designated at
fair value
c) Other financial assets
mandatorily at fair value
Financial assets at fair value through
other comprehensive income
Financial assets at amortised cost
a) Loans and advances to banks
b) Loans and advances to
customers
Hedging derivatives (assets)
Non-current assets and disposal
groups classified as held for sale
Other assets
Total assets
Financial liabilities at amortised cost
a) Deposits from banks
b) Deposits from customers
c) Debt securities in issue
Financial liabilities held for trading
and designated at fair value
Hedging derivatives (liabilities)
Liabilities associated with disposal
groups classified as held for sale
Other liabilities
Total liabilities
Guarantees given and commitments
-
-
-
-
-
2
-
2
-
-
-
2
62
-
62
-
-
-
-
-
62
-
147
147
-
-
-
2,257
1,522
735
-
840
5
3,249
7
3
4
-
1
-
-
1
9
2,196
120
40
-
80
115
1,029
215
814
-
-
122
1,386
9,456
7,580
1,876
-
33
-
-
46
9,535
1,799
-
-
-
-
-
2
-
2
-
-
-
2
6
-
6
-
-
-
-
-
6
-
-
-
-
-
-
2
-
2
-
-
-
2
162
-
162
-
-
-
-
-
162
2
267
187
-
80
115
3,292
1,737
0.33%
0.30%
-
0.43%
0.14%
0.53%
1.71%
1,555
0.30%
-
-
840
127
4,641
9,693
7,583
2,110
-
34
-
-
47
9,774
3,997
33.44%
1.83%
0.58%
1.38%
5.59%
0.45%
-
0.07%
-
-
0.37%
1.26%
-
22
22
-
-
-
192
-
192
-
-
-
214
24
23
1
-
-
-
-
-
24
659
(€ million)
% ON
ACCOUNTS
ITEM
0.03%
0.03%
-
-
-
0.03%
-
0.04%
-
-
-
0.03%
0.00%
0.02%
0.00%
-
-
-
-
-
0.00%
Notes:
(*) Shareholders and related companies holding more than 2% of voting shares in UniCredit.
(**) It should be noted that the item “Guarantees given and commitments” includes revocable commitments.
386 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part H - Related-party transactions
The following table sets out the impact of transactions, for each group of related parties, on income statements, pursuant to IAS24.
Related-party transactions: profit and loss items
AMOUNTS AS AT
12.31.2019
CONTROLLED
NOT
CONSOLIDATED
ENTITIES
JOINT
VENTURES
ASSOCIATED
COMPANIES
KEY
MANAGEMENT
PERSONNEL
OTHER
RELATED
PARTIES
% ON
ACCOUNTS
TOTAL
ITEM SHAREHOLDERS(*)
10. Interest income and similar
revenues
20. Interest expenses and similar
charges
30. Net interest margin
40. Fees and commissions income
50. Fees and commissions expenses
60. Net fees and commissions
70. Dividend income and similar
revenues
80. Net gains (losses) on trading
90. Net gains (losses) on hedge
accounting
100. Gains (Losses) on disposal and
repurchase of
a) Financial assets at amortised
cost
b) Financial assets at fair value
through other comprehensive
income
c) Financial liabilities
110. Net gains (losses) on other
financial assets/liabilities at fair value
through profit or loss
a) Financial assets/liabilities
designated at fair value
b) Other financial assets
mandatorily at fair value
120. Operating income
130. Net losses/recoveries on credit
impairment relating to
a) Financial assets at amortised
cost
b) Financial assets at fair value
through other comprehensive
income
140. Gains/Losses from contractual
changes with no cancellations
190. Administrative expenses
a) Staff costs
b) Other administrative expenses
200. Net provisions for risks and
charges
230. Other operating
expenses/income
240. Operating costs
-
-
-
-
(5)
(5)
-
-
-
-
-
-
-
-
-
-
(5)
-
-
-
-
1
1
-
-
1
2
117
-
117
4
-
4
-
-
(32)
-
-
-
-
-
-
-
89
(6)
(6)
-
-
1
1
-
1
6
8
72
(42)
30
768
(12)
756
46
6
-
-
-
-
-
2
-
2
840
(42)
(42)
-
-
(428)
7
(435)
6
(37)
(459)
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
(23)
(16)
(7)
-
-
(23)
189
(42)
147
772
(17)
755
46
6
1.28%
0.93%
1.43%
10.15%
1.32%
11.95%
15.59%
0.46%
(32)
76.19%
-
-
-
-
2
-
2
924
(48)
(48)
-
-
(449)
(7)
(442)
-
-
-
-
0.54%
-
1.25%
5.09%
1.38%
1.38%
-
-
4.20%
0.11%
10.79%
7
6.80%
(30)
(472)
3.34%
4.77%
Note:
(*) Shareholders and related companies holding more than 2% of voting shares in UniCredit.
2
(1)
1
1
-
1
-
7
-
-
-
-
-
-
-
-
9
-
-
-
-
-
-
-
-
-
-
(€ million)
% ON
ACCOUNTS
ITEM
0.01%
0.02%
0.01%
0.01%
-
0.02%
-
0.54%
-
-
-
-
-
-
-
-
0.05%
-
-
-
-
-
-
-
-
-
-
UniCredit ·2019 Annual Report and Accounts 387
Consolidated financial statements | Notes to the consolidated accounts
Part H - Related-party transactions
The “Other related-parties IAS” category includes:
close family members of key management personnel (i.e. those family members who, as is expected, may influence, or be influenced by, the
person in question);
companies controlled (or jointly controlled) by key management personnel or their close family members;
Group employee post-employment benefit plans.
The main related-party transactions are the following:
In 2012 the subsidiary UniCredit Services S.C.p.A. (US) formerly UniCredit Business Integrated Solutions S.C.p.A. (UBIS), assumed the role of
operating sub-holding to provide the Group’s support services both in Italy and abroad.
On 19 April 2013, the Board of Directors of US approved the executive plan of the project aimed at establishing a joint venture with another major
player in the industry, IBM Italia S.p.A. (IBM), for the provision of technological infrastructure services (hardware, data center, etc.) to Commercial
Banking. The transaction was completed when US transferred, with effect from 1 September 2013, of “Information Technology" business unit to
the company "Value Transformation Services S.p.A.” (V-TServices), formed and controlled by IBM Italia S.p.A. Following the transaction, US holds
49% of V-TServices’s share capital; the remaining 51% is held by IBM (which is therefore the controlling shareholder). In December 2016 a
contractual renegotiation, with extention of expiry to December 2026, between US and V-TService has been concluded with the aim of increasing
value creation and ability to catch new opportunities from technological evolution.
The services provided to UniCredit group by the abovementioned companies result in an exchange of fees (administrative costs).
With reference to transactions with Mediobanca S.p.A. (“Mediobanca”), entirely sold at the end of 2019, in addition to the transactions falling within
the ordinary course of business and financial activity, UniCredit S.p.A. has entered into a thirty-year usufruct contract on UniCredit S.p.A. shares
with Mediobanca, under which Mediobanca gives back to UniCredit S.p.A., in return for a consideration (recorded as a reduction in Shareholders’
Equity), the right to vote and receive dividends on UniCredit S.p.A. shares subscribed in January 2009, as part of the capital increase approved by
UniCredit S.p.A. in November 2008. These shares were concomitantly used, by Mediobanca, in support of the issuance of convertible securities
denominated “Cashes”.
Following the resolutions of UniCredit S.p.A.’s Extraordinary Shareholders’ Meeting of December 2011, the number of shares underlying the
usufruct contract and the formula for calculating the remuneration fees in favor of Mediobanca were adjusted to reflect (i) the reverse split of
UniCredit S.p.A. shares and (ii) the free capital increase of December 2011 carried out through the allocation to capital of an equivalent amount
transferred from the issue-premium reserve recorded in January 2009. A further reverse split of UniCredit S.p.A. shares underlying the usufruct
agreement has been approved by the Extraordinary Shareholders’ Meeting of January 2017. In 2019 the fourth installment referred to the 2017
result has been paid for €31 million and the first three installments referred to the 2018 result has been paid respectively for €32 million, €31 million
and €30 million.
With regard to UniCredit’s current strategy of reduction of non-performing exposures in order to strengthen the Group’s risk profile as per the
Transform 2019 plan, UniCredit S.p.A. and MBCredit Solutions S.p.A., member of Mediobanca group, in 2019, following other transactions
realised in 2018, have reached an agreement for the disposal of non-performing customer loans originated in 2018. UniCredit S.p.A. and MBCredit
Solutions S.p.A. have also reached an agreement for the sale of similar loans that arised in 2019.
In 2018, through a competitive auction process, UniCredit S.p.A. has signed long-term partnership with Allianz for the exclusive distribution of Life
and Non-Life bancassurance products (excluding Credit Protection products) in Bulgaria, Croatia, Hungary, Romania, Slovenia, Czech Republic
and Slovakia (and potentially in Bosnia in case the conditions are met). The partnership was implemented in these countries, through local
distribution agreements, in compliance with the all the local regulations, in the second half of 2018.
It should be noted that distribution agreements concerning insurance products were signed with the following associates:
- Aviva S.p.A.;
- CNP UniCredit Vita S.p.A.;
- Creditras Assicurazioni S.p.A.;
- Creditras Vita S.p.A.;
- Incontra Assicurazioni S.p.A.
The relationships with other related parties include the relationships with external pension funds (for UniCredit S.p.A. employees), since they have
separate legal personality. These transactions were conducted on the same terms and conditions as those applied to transactions with
independent third parties. The relationships with these pension funds are almost entirely represented by the relationships included in Deposits
from customers (and related interests).
388 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part I - Share-based payments
Part I - Share-based payments
Qualitative information
1. Description of payment agreements based on own equity instruments
1.1 Outstanding instruments
Group Medium & Long Term Incentive Plans for selected employees include the following categories:
Equity-Settled Share Based Payments, which provide for the delivery of shares;
This category includes the following:
Stock Options allocated to selected top & senior managers and key talents of the Group and represented by subscription rights of UniCredit
shares;
Group Executive Incentive System that offers to eligible Group executive a variable remuneration for which payment will be made within five
years. The beneficiary will receive the payment in cash and/or in UniCredit shares; the payment is related to the achievement of performance
conditions (other than market conditions) stated in the plan rules;
Group Executive Incentive System (Bonus Pool) that offer to eligible Group executives and relevant employees identified following regulatory
rules, a bonus structure composed by upfront (following the moment of performance evaluation) and deferred payments in cash and in shares, to
be paid over a period of ranging from 1 to 6 years. This payment structure will guarantee the alignment to shareholder interest and will be
subjected to malus (which applies in case specific profitability, capital and liquidity thresholds are not met at both Group and country/division level)
and claw back conditions (as legally enforceable) according to the plan rules (both non-market vesting conditions);
Employee Share Ownership Plan (ESOP - Let’s Share) that offers to eligible Group employees the opportunity to buy UniCredit ordinary shares
with the advantages to foresee the granting of free ordinary shares (“free shares”) or rights to receive them measured on the basis of the shares
purchased by each participant (“investment shares”) during the “enrolment period”. The granting of free ordinary shares is subordinated to the plan
rules;
Long Term Incentive 2017-2019 that offers to eligible executives and key players of the Group an incentive 100% based on ordinary UniCredit
shares, subject to 3-years deferral and to malus and claw-back conditions, as legally enforceable, according to the plan rules. The plan is
structured on 3-years performance period, aligned to the new UniCredit strategic plan and provides for the allocation of an award based on
gateway conditions on profitability, liquidity, capital and risk position and a set of performance conditions focused on Group targets, aligned with
Transform 2019.
It is also noted that, according to Banca d’Italia Circular 285 (20th update dated 22 November 2017), the equity-settled share based payments,
represented by deferred payments in UniCredit ordinary shares not subject to vesting conditions, are used for the settlement of the so-called golden
parachute (e.g. severance) for the relevant employees.
1.2 Measurement model
1.2.1 Stock Options
The Hull and White evaluation model has been adopted to measure the economic value of stock options.
This model is based on a trinomial tree price distribution using the Boyle’s algorithm and estimates the early exercise probability on the basis of a
deterministic model connected to:
reaching a market share value equals to an exercise price-multiple (M);
probability of beneficiaries’ early exit (E) after the end of the vesting period.
Economic and equity effects will be recognised on a basis of instrument vesting period.
Any new stock options’ plans haven’t been granted during 2019.
1.2.2 Group Executive Incentive System
The amount of the incentive is determined on a basis of the achievement of quantitative and qualitative goals stated by the plan. In particular, the
overall evaluation of the employee’s relevant manager is expressed as a percentage, from a minimum of 0% to a maximum of 150% (non-market
vesting conditions).
This percentage, adjusted by the application of a risk/opportunity factor - Group gate - at first payment multiplied by the bonus opportunity,
determines the effective amount that will be paid to the beneficiary.
Economic and net equity effects will be accrued on a basis of instruments’ vesting period.
UniCredit ·2019 Annual Report and Accounts 389
Consolidated financial statements | Notes to the consolidated accounts
Part I - Share-based payments
1.2.3 Group Executive Incentive System (Bonus Pool)
The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future
dividends during the vesting period.
Economic and net equity effects will be accrued on a basis of instruments’ vesting period.
Group Executive Incentive System “Bonus Pool 2018” - Shares
The plan is divided into clusters, each of which can have three or four installments of share-based payments spread over a period defined according
to plan rules.
Date of bonus opportunity economic value granting
Date of Board resolution (to determine number of shares)
Vesting period start date
Vesting period end date
UniCredit share market price [€]
Economic value of vesting conditions [€]
Performance shares' fair value per unit at grant date [€]
SHARES GRANTED
GROUP EXECUTIVE INCENTIVE SYSTEM - BONUS POOL 2018
INSTALLMENT
(2021)
Feb-07-2018
Mar-07-2019
Jan-01-2018
Dec-31-2018
11.015
-0.908
10.107
INSTALLMENT
(2022)
Feb-07-2018
Mar-07-2019
Jan-01-2018
Dec-31-2020
11.015
-1.557
9.458
INSTALLMENT
(2023)
Feb-07-2018
Mar-07-2019
Jan-01-2018
Dec-31-2021
11.015
-2.329
8.686
INSTALLMENT
(2024)
Feb-07-2018
Mar-07-2019
Jan-01-2018
Dec-31-2022
11.015
-3.237
7.778
Group Executive Incentive System 2019 (Bonus Pool)
The new Group Incentive System 2019 is based on a bonus pool approach, aligned with regulatory requirements and market practices, which
defines:
sustainability, through direct link with entity results and alignment with relevant risk categories, using specific indicators linked to risk-appetite
framework;
link between bonuses and organisation structure, defining the pool at country/division level with further review at Group level;
bonuses allocated to executives and other relevant employee, identified on a basis of European Bank Authority (EBA) rules, according to local
regulations;
payment structure has been defined in accordance with regulatory provisions qualified by Directive 2013/36/EU (CRD IV) and will be distributed in
a period of six years by using a mix of shares and cash.
All profit and loss and net equity effects related to the plan will be booked during the vesting period.
1.2.4. Long Term Incentive Plan 2017-2019
The economic value of performance shares is measured considering the share market price at the grant date less the present value of the future
dividends during the vesting period.
The plan is divided into clusters, based on the beneficiary position, each of which can have from one to four installments of share-based payments
spread over a period defined according to plan rules.
390 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part I - Share-based payments
Quantitative information
1. Annual changes
Stock Option and Performance Stock Option UniCredit
ITEMS/NUMBER OF OPTIONS AND
EXERCISE PRICE
A.
Outstanding at
beginning of period
Increases
New issues
Other
Decreases
Forfeited
Exercised
Expired
Other
Outstanding
at end of period
Vested Options
at end of period
B.
B.1
B.2
C.
C.1
C.2
C.3
C.4
D.
E.
YEAR 2019(1)
YEAR 2018(1)
NUMBER
OF OPTIONS
AVERAGE EXERCISE
PRICE [€]
AVERAGE
MATURITY
NUMBER
OF OPTIONS
AVERAGE EXERCISE
PRICE [€]
AVERAGE
MATURITY
776,926
-
-
-
446,500
13,268
-
433,232
-
330,426
330,426
Jun-2019
148.718
-
-
-
-
166.399
-
-
-
Oct-2018
2,885,799
-
-
-
2,108,873
146,054
-
1,962,819
-
126.261
-
-
-
-
138.239
-
-
-
166.399
Dec-2019
776,926
148.718
Jun-2019
166.399
Dec-2019
776,926
148.718
Jun-2019
Note:
(1) The information related to Number of options and Average exercise price had been modified following the grouping operations resolved by UniCredit Extraordinary Shareholders’ Meeting held on 15 December 2011 and
the UniCredit Extraordinary Shareholders’ Meeting on 12 January 2017 and following the application of “adjustment factors” recommended by AIAF (Associazione Italiana Analisti Finanziari) equal to:
0.88730816 as the free capital increase resolved by the UniCredit Annual General Meeting on 29 April 2009 (“scrip dividend”);
0.95476659 as the capital increase resolved by the UniCredit Extraordinary Shareholder Meeting on 16 November 2009 and finalised on 24 February 2010;
0.6586305 as the capital increase resolved by the UniCredit Extraordinary Shareholders’ Meeting on 15 December 2011 and finalised in 2012;
0.50112555 as the capital increase resolved by the UniCredit Extraordinary Shareholders’ Meeting on 12 January 2017 and finalised on 2 March 2017.
Other UniCredit equity instruments: Performance Shares
ITEMS/NUMBER OF OTHER EQUITY
INSTRUMENTS AND EXERCISE
PRICE
A.
Outstanding at
beginning of period
Increases
New issues
B.
B.1
B.2 Other
C.
C.1
C.2
C.3
C.4
D.
Decreases
Forfeited
Exercised(2)
Expired
Other
Outstanding
at end of period(3)
E.
Vested instruments
at end of period
YEAR 2019(1)
YEAR 2018(1)
NUMBER OF
OTHER EQUITY
INSTRUMENTS
AVERAGE EXERCISE
PRICE [€]
AVERAGE
MATURITY
NUMBER OF
OTHER EQUITY
INSTRUMENTS
AVERAGE EXERCISE
PRICE [€]
AVERAGE
MATURITY
15,484,129
5,225,207
5,225,207
-
3,618,336
418,159
3,200,177
-
-
17,091,000
3,916,274
-
-
-
-
-
-
-
-
-
-
-
Dec-2019
15,773,637
3,524,219
3,524,219
-
3,813,727
286,259
3,527,468
-
-
Jun-2020
15,484,129
2,289,712
Aug-2019
Dec-2019
-
-
-
-
-
-
-
-
-
-
-
Notes:
(1) The information related to number of options and average exercise price had been modified following the grouping operation resolved by UniCredit Extraordinary Shareholders’ Meeting held on 12 January 2017 and
following the application of “adjustment factor” equal to 0.50112555 recommended by AIAF (Associazione Italiana Analisti Finanziari) for the capital increase resolved by the UniCredit Extraordinary Shareholder Meeting on
12 January 2017 and finalised on 2 March 2017.
(2) As far as the 2019 movement is concerned, the average market price at the exercise date is equal to €11.82 (€16.48 was the price observed at exercise date for 2018 movimentation).
(3) UniCredit undertakes to grant, conditional upon achieving performance targets set in the strategic plan 17,091,000 ordinary shares at the end of 2019 (15,484,129 ordinary shares at the end of 2018).
UniCredit ·2019 Annual Report and Accounts 391
Consolidated financial statements | Notes to the consolidated accounts
Part I - Share-based payments
2. Other Information
Effects on Profit and Loss
All Share-Based Payment granted after 7 November 2002 whose vesting period ends after 1 January 2005 are included within the scope of the
IFRS2.
Financial statement presentation related to share based payments
(Costs)/Revenues
- connected to equity-settled plans(1)
- connected to cash-settled plans
Debts for cash-settled plans
Notes:
(1) Includes costs for €1.8 million related to golden parachute.
2019
TOTAL
(69)
(67)
(2)
4
VESTED PLANS
-
2018
TOTAL
(73)
(71)
(2)
4
(€ million)
VESTED PLANS
-
392 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part L - Segment reporting
Part L - Segment reporting
Organisational structure
The format for segment information reflects the organisational structure currently used in management reporting for monitoring the Group’s results,
which is broken down into the following business segments: Commercial Banking Italy, Commercial Banking Germany, Commercial Banking Austria,
Corporate & Investment Banking (CIB), Central and Eastern Europe (CEE), Group Corporate Centre and Non-Core.
Commercial Banking Italy
Commercial Banking Italy is composed by UniCredit SpA commercial network limited to Core clients (excluding Corporate clients, supported by
Corporate and Investment Banking Division and clients supported by Foreign Branches), Leasing (excluding Non-Core clients), Factoring and
UniCredit SpA structures included in local Corporate Centre that support the Italian business network.
In relation to individual clients (Mass market, Affluent, Private and Wealth), Commercial Banking Italy’ s goal is to offer a full range of products,
services and consultancy to fulfill transactional, investments and credit needs, relying on branches and multichannel services provided thanks to
new technologies.
The territorial organisation promotes a bank closer to customers and faster decision-making processes, while the belonging to UniCredit group
allows to support companies in developing International attitudes.
Commercial Banking Germany
Commercial Banking Germany provides all German customers (excluding Large Corporate and Multinational clients, supported by Corporate and
Investment Banking Division) with a complete range of banking products and services. It is composed of:
“Privatkundenbank” (Individual Clients segment) that serves retail and private banking customers with banking and insurance solutions across all
areas of demand and all-round advisory services reflecting the individual and differentiated needs in terms of relationship model and product
offering;
“Unternehmerbank” (Corporate segment) that employs a different “Mittelstand” bank model to its competitors in that it serves both business and
personal needs across the whole bandwidth of German enterprises and firms operating in Germany;
local Corporate Centre.
Different service models are applied in line with the needs of its various customer groups: retail customers, private banking customers, small
business and corporate customers, real estate customers and wealth management customers.
Commercial Banking Germany holds large market shares and a strategic market position in retail banking, in private banking and especially in
business with local corporate customers (including factoring and leasing).
Commercial Banking Austria
Commercial Banking Austria provides its Austrian customers (excluding Large Corporate and Multinational clients, supported by Corporate and
Investment Banking Division) with a complete range of banking products and services. It is composed of:
“Privatkundenbank” (Private Customer Bank) that covers private individuals, ranging from mass-market to affluent customers, high net-worth
individuals and business customers; it includes Schoellerbank, a well-established subsidiary servicing wealthy customer;
“Unternehmerbank” (Corporate Customer Bank, excluding CIB clients) servicing the entire range of SMEs, medium-sized and large companies,
which do not access capital markets (including real estate and public sector); it includes the product factories Factoring and Leasing;
Local Corporate Centre.
A broad coverage of individual clients and companies is ensured through its nation-wide branch network. Commercial Banking Austria holds
significant market shares and a strategic market position in retail banking, private banking and especially in business with local corporate customers
and is one of the leading providers of banking services in Austria.
Commercial Banking Austria applies an integrated service model, allowing clients to decide when, where and how they contact UniCredit Bank
Austria. This approach combines classic branches which are continuously modernized, new formats of advisory service centres and modern self-
service branches, internet solutions, mobile banking with innovative apps and contact to relationship managers via video-telephony.
Corporate & Investment Banking (CIB)
The CIB Division targets mainly Large Corporate and Multinational clients with highly sophisticated financial profile and needs for investment
banking services, as well as institutional clients of UniCredit Group. CIB serves UniCredit Group’s clients across 32 countries with a wide range of
specialized products and services, combining geographical proximity with an high expertise in all segments in which it is active.
Moreover, CIB acts as products and solutions provider for the commercial network, provides structured financing, hedging and treasury solutions for
corporate and investment products for private and retail, according to the “CIB fully plugged-in concept”. In the light of a more integrated client
offering, Joint Venture between Commercial Banking and CIB division have been set up in Italy and Germany, with the objective to increase cross
selling of investment banking products (M&A, Capital Markets and derivatives) to commercial banking clients.
UniCredit ·2019 Annual Report and Accounts 393
Consolidated financial statements | Notes to the consolidated accounts
Part L - Segment reporting
The organisational structure of CIB is based on a matrix that integrates market coverage (carried out through an extensive commercial network in
Western Europe and an international network of branches and representative offices) and product offering (divided into three Product Lines that
consolidate the breadth of the Group’s CIB know-how).
The dedicated commercial networks (CIB Network Italy, CIB Network Germany, CIB Network Austria, CIB Network France, International Network,
Financial Institutions Group) are responsible for the relationships with corporate clients, banks and financial institutions as well as the sale of a broad
range of financial products and services, ranging from traditional lending and merchant banking operations to more sophisticated services with high
added value, such as project finance, acquisition finance and other investment banking services and operations in international financial markets.
The three following Product Lines supplement and add value to the activities of the commercial networks:
Financing and Advisory (F&A) - F&A is the expertise center for all business operations related to credit and advisory services for corporate and
institutional clients. It is responsible for providing a wide variety of products and services ranging from plain vanilla and standardized products,
extending to more sophisticated products such as Capital Markets (Equity and Debt Capital Markets), Corporate Finance and Advisory,
Syndications, Leverage Buy-Out, Project and Commodity Finance, Real Estate Finance, Structured Trade and Export Finance.
Markets - Markets is the centre specialized for all financial markets activities and serves as the Group’s access point to the capital markets. This
results in a highly complementary international platform with a strong presence in emerging European financial markets. As a centralized product
line, it is responsible for the coordination of financial markets-related activities, including the structuring of products such as FX, Rates, Equities
and credit related activities.
Global Transaction Banking (GTB) - GTB is the centre for Cash Management, e-banking, Supply Chain Finance, Trade Finance products and
global securities services.
Moreover, the controlled company UCI International Luxembourg operates in Global Family Office and Wealth Management activities.
Central and Eastern Europe (CEE)
The Group, through the CEE business segment, offers a wide range of products and services to retail, corporate and institutional clients in 12
Central and Eastern Europe countries: Azerbaijan, Bosnia- Herzegovina, Bulgaria, Croatia, Czech Republic, Hungary, Romania, Russia, Serbia,
Slovakia, Slovenia and Turkey; having, in addition, Leasing activities in the 3 Baltic countries.
UniCredit Group is able to offer its retail customers in the CEE countries a broad portfolio of products and services similar to those offered to its
Italian, German and Austrian customers.
With respect to corporate clients, UniCredit group is constantly engaged in standardizing the customer segments and range of products. The Group
shares its business models on an international level in order to ensure access to its network in any country where the Group is present. This
approach is vital due to the variety of global products offered, particularly cash management and trade finance solutions to corporate customers
operating in more than one CEE country.
Group Corporate Centre
The Group Corporate Centre’s objective is to lead, control and support the management of the assets and related risks of the Group as a whole and
of the single Group companies in their respective areas of competence. In this framework, an important objective is to optimize costs and internal
processes guaranteeing operating excellence and supporting the sustainable growth of the Business Lines. In the Group Corporate Centre are
included also the Group’s Legal Entities that are going to be dismissed.
Non Core
Starting from the first quarter 2014 the Group decided to introduce a clear distinction between above described activities defined as core segment,
meaning strategic business segments and in line with risk strategies, and activities defined as non-core segment, including non-strategic assets and
those with a poor fit to the Group’s risk-adjusted return framework, with the aim of reducing the overall exposure of this last segment in the course of
time and to improve the risk profile. Specifically, the non-core segment includes selected assets of Commercial Banking Italy (identified on a single
deal/client basis) to be managed with a risk mitigation approach and some special vehicles for securitisation operations.
394 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part L - Segment reporting
A - Primary segment
A.1 - Breakdown by business segment: income statement
Net interest
Dividends and other income from equity investments
Net fees and commissions
Net trading income
Net other expenses/income
OPERATING INCOME
Payroll costs
Other administrative expenses
Recovery of expenses
Amortisation, depreciation and impairment losses on tangible and
intangible assets
Operating expenses
OPERATING PROFIT
Net writedowns of loans and provisions for guarantees and
commitments
OPERATING NET PROFIT
Other charges and provisions
Integration costs
Net income from investments
PROFIT BEFORE TAX
COMMERCIAL
BANKING
ITALY
COMMERCIAL
BANKING
GERMANY
COMMERCIAL
BANKING
AUSTRIA
3,366
123
3,672
79
(91)
7,148
(2,173)
(1,939)
416
(91)
(3,786)
3,362
(1,044)
2,318
(342)
(82)
(83)
1,811
1,517
2
717
59
97
2,392
(947)
(670)
10
(20)
(1,627)
765
(100)
665
69
(219)
335
849
698
179
607
35
38
1,558
(542)
(426)
-
(7)
(975)
583
(41)
542
(72)
(133)
(5)
332
CENTRAL
EASTERN
EUROPE
2,726
246
835
407
37
4,251
(796)
(599)
49
(190)
(1,535)
2,716
(456)
2,260
(256)
(19)
(22)
1,962
A.2 - Breakdown by business segment: balance sheet amounts and RWA
CORPORATE &
INVESTMENT
BANKING
GROUP
CORPORATE
CENTRE
NON
CORE
(11)
-
10
(20)
(21)
(41)
(31)
(207)
59
(0)
(180)
(221)
(1,632)
(1,854)
(157)
(8)
(252)
(341)
86
(72)
(24)
(20)
(371)
(1,058)
1,476
55
(774)
(300)
(671)
(2)
(673)
(360)
(108)
(518)
(1,660)
(2,270)
2,247
1
536
1,000
116
3,901
(599)
(914)
2
(15)
(1,526)
2,375
(106)
2,270
165
(95)
(299)
2,041
BALANCE SHEET AMOUNTS
CUSTOMERS LOANS (NET REPOS AND IC)
CUSTOMERS DEPOS (NET REPOS AND IC)
TOTAL RISK WEIGHTED ASSETS (BASEL 3)
A.3 - Staff
STAFF
Employees (FTE)
(€ million)
CONSOLIDATED
GROUP TOTAL
12.31.2019
10,203
637
6,304
1,538
156
18,839
(6,146)
(3,279)
592
(1,096)
(9,929)
8,910
(3,382)
5,527
(954)
(664)
(844)
3,065
(€ million)
CONSOLIDATED
GROUP TOTAL
12.31.2019
424,352
420,448
378,718
COMMERCIAL
BANKING
ITALY
COMMERCIAL
BANKING
GERMANY
COMMERCIAL
BANKING
AUSTRIA
CENTRAL
EASTERN
EUROPE
CORPORATE &
INVESTMENT
BANKING
GROUP
CORPORATE
CENTRE
141,308
152,889
99,784
87,172
92,742
36,388
45,269
48,459
23,857
67,534
70,745
90,028
78,888
52,794
80,648
NON
CORE
1,886
488
2,295
2,331
37,047
10,966
COMMERCIAL
BANKING
ITALY
COMMERCIAL
BANKING
GERMANY
COMMERCIAL
BANKING
AUSTRIA
CENTRAL
EASTERN
EUROPE
CORPORATE &
INVESTMENT
BANKING
GROUP
CORPORATE
CENTRE
NON
CORE
CONSOLIDATED
GROUP TOTAL
12.31.2019
28,640
9,120
4,833
24,229
3,161
13,968
295
84,245
UniCredit ·2019 Annual Report and Accounts 395
Consolidated financial statements | Notes to the consolidated accounts
Part L - Segment reporting
A.1 - Breakdown by business segment: income statement
Net interest
Dividends and other income from equity investments
Net fees and commissions
Net trading income
Net other expenses/income
OPERATING INCOME
Payroll costs
Other administrative expenses
Recovery of expenses
Amortisation, depreciation and impairment losses on tangible and
intangible assets
Operating expenses
OPERATING PROFIT
Net writedowns of loans and provisions for guarantees
and commitments
OPERATING NET PROFIT
Other charges and provisions
Integration costs
Net income from investments
PROFIT BEFORE TAX
COMMERCIAL
BANKING
ITALY
COMMERCIAL
BANKING
GERMANY
COMMERCIAL
BANKING
AUSTRIA
3,498
76
3,635
50
(97)
7,163
(2,304)
(2,062)
422
(90)
(4,033)
3,130
(1,046)
2,083
(314)
(2)
111
1,879
1,519
(1)
720
93
114
2,445
(964)
(674)
14
(16)
(1,641)
804
(145)
659
(361)
(24)
453
727
685
155
614
69
39
1,561
(562)
(447)
0
(11)
(1,021)
541
25
565
(120)
(1)
(7)
437
CENTRAL
EASTERN
EUROPE
2,709
322
816
325
27
4,199
(756)
(610)
48
(182)
(1,501)
2,699
(457)
2,241
(193)
(5)
(14)
2,030
CORPORATE &
INVESTMENT
BANKING
GROUP
CORPORATE
CENTRE
2,289
36
595
790
88
3,799
(590)
(965)
3
(5)
(1,556)
2,243
(76)
2,167
(817)
(0)
20
(228)
83
(82)
7
(25)
(245)
(1,126)
1,459
69
(751)
(349)
(595)
7
(587)
(379)
23
(738)
NON
CORE
99
-
28
(55)
(30)
42
(35)
(246)
75
(0)
(206)
(163)
(921)
(1,085)
(88)
0
(22)
1,369
(1,681)
(1,194)
A.2 - Breakdown by business segment: balance sheet amounts and RWA
BALANCE SHEET AMOUNTS
CUSTOMERS LOANS (NET REPOS AND IC)
CUSTOMERS DEPOS (NET REPOS AND IC)
TOTAL RISK WEIGHTED ASSETS (BASEL 3)
A.3 - Staff
STAFF
Employees (FTE)
COMMERCIAL
BANKING
ITALY
COMMERCIAL
BANKING
GERMANY
COMMERCIAL
BANKING
AUSTRIA
CENTRAL
EASTERN
EUROPE
CORPORATE &
INVESTMENT
BANKING
GROUP
CORPORATE
CENTRE
145,641
146,236
95,753
83,741
91,694
36,642
44,808
47,380
23,496
65,344
65,744
86,572
81,354
45,301
81,598
NON
CORE
6,612
528
3,274
2,985
33,898
12,221
COMMERCIAL
BANKING
ITALY
COMMERCIAL
BANKING
GERMANY
COMMERCIAL
BANKING
AUSTRIA
CENTRAL
EASTERN
EUROPE
CORPORATE &
INVESTMENT
BANKING
GROUP
CORPORATE
CENTRE
NON
CORE
CONSOLIDATED
GROUP TOTAL
12.31.2018
29,582
9,167
4,873
24,214
3,234
14,247
345
85,662
(€ million)
CONSOLIDATED
GROUP TOTAL
12.31.2018
10,570
672
6,328
1,279
116
18,965
(6,336)
(3,545)
631
(1,057)
(10,307)
8,658
(2,614)
6,044
(2,271)
(9)
(198)
3,566
(€ million)
CONSOLIDATED
GROUP TOTAL
12.31.2018
430,774
399,867
370,180
396 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part L - Segment reporting
B - Secondary segment
AMOUNTS AS AT 12.31.2019
Italy
Germany
Austria
Total other european countries
of which: Western Europe
of which: Central and Eastern Europe
America
Asia
Rest of the world
Total
Note:
(*) Item 120 in Income statement.
AMOUNT AS AT 12.31.2018
Italy
Germany
Austria
Total other european countries
of which: Western Europe
of which: Central and Eastern Europe
America
Asia
Rest of the world
Total
Note:
(*) Item 120 in Income statement.
TOTAL ASSETS
368,220
270,289
97,602
119,226
21,655
97,571
309
1
-
855,647
TOTAL ASSETS
368,269
255,512
93,552
114,389
21,099
93,290
450
-
-
832,172
OPERATING
INCOME(*)
8,487
3,874
1,664
4,115
212
3,903
2
-
-
18,142
OPERATING
INCOME(*)
8,771
3,956
1,783
4,181
332
3,849
4
(2)
-
18,693
(€ million)
COST
OF INVESTMENT
278
53
128
252
1
251
-
-
-
711
(€ million)
COST
OF INVESTMENT
356
151
134
313
1
312
-
-
-
954
The amounts of each country are aggregated by country of residence of the relevant legal entity’s Head Office (i.e.: foreign branches are generally
included in the relevant parent company or conventionally attributed to another country).
UniCredit ·2019 Annual Report and Accounts 397
Consolidated financial statements | Notes to the consolidated accounts
Part M - Information on leases
Part M - Information on leases
Section 1 - Lessee
Qualitative information
The Group in conducting its business, signs lease contracts for which accounts for rights of use that mainly relate to the following type of tangible
assets:
land;
buildings;
office furniture and fitting;
electronic systems;
others (e.g. cars).
These contracts are accounted for in accordance with rules set in accounting standard IFRS16 further detailed in Part A - Accounting policies - A.2 -
Main items of the accounts (please refer to this section).
The rights of use deriving from these lease contracts are mainly used to provide for services or for administrative purposes and accounted for
according to the cost method. If these rights of use are sub-leased to third parties, a financial or operating lease contract is booked based on their
characteristics.
As allowed by the accounting standard, the Group has decided not to account for rights of use or lease liabilities in case of:
short-term leases, lower than 12 months; and
lease of low value assets. In this regard, in this respect an asset is considered as low value if its fair value when new is equal to or lower than €5
thousand. This category mainly includes office machines (PCs, monitors, tablets, etc.) as well as fixed and mobile telephony devices.
The lease payments deriving from this type of activity are booked in item “190. Administrative expenses” on an accrual basis.
Finally, please note that the Group has entered into sale and lease back transactions concerning properties sold during the period, determining the
reduction of the corresponding right of use from €12.7 million to €6.4 million.
Quantitative information
The book value of the rights of use arising from lease contracts are exposed in Part B - Consolidated balance sheet - Assets - Section 9 - Property,
plant and equipment - Item 90 of the Notes to the consolidated accounts.
During the year, these rights of use resulted in the recognition of depreciations for €330.6 million of which:
€0.1 million relating to land;
€308.5 million relating to buildings;
€0.3 million relating to office furniture and fitting;
€0.4 million relating to electronic systems;
€21.3 million relating to the category other (eg cars).
In addition, impairment (net of reversal) for €12.7 million has been booked.
With reference to lease liabilities, the related book value is shown in Part B - Consolidated balance sheet - Liabilities - Section 1 - Financial liabilities
at amortised cost - Item 10 of the Notes to the consolidated accounts (please refer to this section).
During the year, these lease liabilities led to the recognition of interest expenses shown in Part C - Consolidated income statement - Section 1 -
Interests - Items 10 and 20 of Consolidated income statement of the Notes to the consolidated accounts.
With reference to short-term leases and leases of low value assets, it should be noted that during the year, rentals were accounted for €114.8
million. Please note that such amount also includes VAT on rentals which is not included in the lease liability calculation.
Finally, with reference to the sublease contracts, it should be noted that these contracts determined interest income for €0.6 million during the year if
classified as financial leases and other operating income for €52.5 million if classified as operating leases.
For the purposes of determining the lease term, the Group considers the non-cancellable period established by the contract, during which the lessee
has the right to use the underlying asset as well as any renewal options where the lessee has reasonable expectation to proceed with the renewal.
In particular, with reference to contracts that provide the lessee with the option to automatically renew the lease at the end of a first period, the lease
term is determined considering elements such as the duration of the first period, the existence of any plan leading to the disposal of the asset leased
as well as any other circumstance indicating the reasonable certainty of renewal.
Therefore, the amount of cash flows, not reflected in the calculation of the lease liability, to which the Group is potentially exposed, is essentially due
to the possible renewal of lease contracts and the subsequent extension of the lease term not included in the original calculation of the lease
liabilities taking into account the information available and expectations existing as at 1 January 2019 (date of initial application of IFRS16) or on the
starting date of the lease.
398 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Notes to the consolidated accounts
Part M - Information on leases
Section 2 - Lessor
Qualitative information
The Group mainly carries out financial leasing activities, particularly through its leasing companies.
These contracts are exposed through the recognition of a credit for financial leases recognized in Item 40 - Financial assets at amortised cost, of the
related income on an accrual basis in item "10. Interest income and similar revenues" and of the impairment for the expected credit loss in item 130
“Net losses/recoveries on credit impairment”.
Operating leasing activities, on the other hand, are essentially attributable to the leasing of owned properties to parties external to the Group.
These contracts are represented through the recognition, on an accrual basis, of the rentals received in item 230 - Other operating expenses/
income.
Quantitative information
1. Balance sheet and Income statement information
With reference to financial lease contracts, the book value of credit for financial leases is shown in Part B - Consolidated balance sheet -
Assets - Section 4 - Financial assets at amortised cost - Item 40 of Assets of the Notes to the consolidated accounts.
Such loans determined, during the year, interest income shown in Part C - Consolidated income statement - Section 1 - Interests - Items 10 and 20
of the income statement of the Notes to the consolidated accounts.
With reference to operating lease contracts, it should be noted that the book value of the owned assets granted under operating lease is composed
as follows:
land: €339.7 million;
buildings: €532.4 million;
office furniture and fitting: €0.8 million;
other: €738.2 million.
Rentals recognized on an accrual basis during the year for leasing of these activities are shown in Part C - Consolidated income statement - Section
16 - Other operating expenses/income - Item 230 - of the income statement of the Notes to the consolidated accounts.
2. Financial leases
2.1 Classification for time bucket of Payments to be received and Reconciliation with Lease Loans booked in the Assets
TIME BUCKET
Up to 1 year
1 year to 2 years
2 year to 3 years
3 year to 4 years
4 year to 5 years
Over 5 years
Total Payments to be received for lease
RECONCILIATION WITH LOANS
Unpaid Financial Profits (-)
Not guaranteed Residual Amount (-)
Lease Loans
(€ million)
12.31.2019
PAYMENTS TO BE RECEIVED FOR
LEASE
3,751
3,007
3,057
1,958
1,668
9,336
22,777
2,116
-
20,661
Note that the Group has decided, as permitted by the accounting standard, not to restate comparative information as a result of the first adoption of
accounting standard IFRS16. Consequently, the table does not report the balances as at 31 December 2018.
The value shown in the table represents the gross exposure. This value is decreased by impairment, equal to €2,024 million on a cumulated basis,
leading to the amount of €18,637 million shown in the Assets - Section 4 - Financial assets at amortised cost - Item 40 of Assets of the Notes to the
consolidated accounts.
UniCredit ·2019 Annual Report and Accounts 399
Consolidated financial statements | Notes to the consolidated accounts
Part M - Information on leases
2.2 Other information
With regard to financial leases, the credit risk associated with the contract is managed according to what is stated in Part E - Information on risks
and hedging policies - Section 2 - Risks of the prudential consolidated - 2.1 Credit risk of the Notes to the consolidated accounts (please refer to this
section).
The classification of the contract as a financial lease is determined by the fact that the risks and rewards of ownership of the asset are transferred to
the lessee for the whole lease term and the contract contains an option to purchase the asset at conditions that determines non-economic the non-
exercise of the option, or the contract has a duration substantially aligned with the useful life of the asset leased. Such condition is also satisfied in
case of contracts that do not contain an option to purchase the asset or have a lease term significantly lower than useful life of the asset leased, but
are complemented by agreements with third parties that guarantee the purchase of the asset at the end of the lease contract.
3. Operating leases
3.1 Classification for time bucket of Payments to be received
TIME BUCKET
Up to 1 year
1 year to 2 years
2 year to 3 years
3 year to 4 years
4 year to 5 years
Over 5 years
Total
(€ million)
12.31.2019
PAYMENTS TO BE RECEIVED FOR
LEASE
153
74
61
45
36
229
598
Note that the Group has decided, as permitted by the accounting standard, not to restate comparative information as a result of the first adoption of
accounting standard IFRS16. Consequently, the table does not report the balances as at 31 December 2018.
3.2 Other information
There is no further significant information to report compared to the above.
400 2019 Annual Report and Accounts · UniCredit
UniCredit ·2019 Annual Report and Accounts 401
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
402 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Certification
Consolidated Financial Statements Certification pursuant to Art.81-ter of Consob
Regulation No.11971/99, as amended
Certification
1. The undersigned Jean Pierre Mustier (as Chief Executive Officer) and Stefano Porro (as the Manager charged with preparing the financial
reports) of UniCredit S.p.A., also in compliance with Art.154-bis, (paragraphs 3 and 4) of Italian Legislative Decree No.58 of 24 February 1998, do
hereby certify:
the adequacy in relation to the Legal Entity’s features and
the actual application
of the administrative and accounting procedures employed to draw up the 2019 Consolidated Financial Statements.
2. The adequacy of administrative and accounting procedures employed to draw up the 2019 Consolidated Financial Statements has been
evaluated by applying a model developed by UniCredit S.p.A., in accordance with the “Internal Control - Integrated Framework (CoSO)” and the
“Control Objective for IT and Related Technologies (Cobit)”, which represent generally accepted international standards for internal control
system and for financial reporting in particular.
3. The undersigned also certify that:
3.1 the 2019 Consolidated Financial Statements:
a) were prepared in compliance with applicable international accounting standards recognized by the European Community pursuant to
European Parliament and Council Regulation No.1606/2002 of 19 July 2002;
b) correspond to the results of the accounting books and records;
c) are suitable to provide a fair and correct representation of the economic and financial situation of the issuer and of the group of
companies included in the scope of consolidation;
3.2 the Report on Operations includes a reliable analysis of the operating trend and results, as well as of the situation of the issuer and of the
Legal Entities included in the scope of consolidation, together with a description of the main risks and uncertainties they are exposed to.
Milan, 5 February 2020
Certification
Jean Pierre MUSTIER
Stefano PORRO
UniCredit ·2019 Annual Report and Accounts 403
I
UniCredit Group - Internal Use Only
404 2019 Annual Report and Accounts · UniCredit
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Report of the External Auditors
416 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 1 - Reconciliation between reclassified balance sheet and
income statement accounts and mandatory reporting schedules
Annexes
A reconciliation of the reclassified balance sheet and profit and loss account to the mandatory reporting schedules, is provided below.
Any discrepancy in the data shown in this table is solely due to roundings.
An explanation for the restatement of comparative figures is provided in the previous sections.
Consolidated balance sheet
ASSETS
Cash and cash balances
Item 10. Cash and cash balances
Financial assets held for trading
Item 20. Financial assets at fair value through profit and loss: a) Financial assets held for trading
Loans to banks
Item 40. Financial assets at amortised cost: a) Loans and receivables with banks
less: Reclassification of debt securities in Other financial assets
+ Reclassification of loans from Other financial assets - Item 20 c)
Loans to customers
Item 40. Financial assets at amortised cost: b) Loans and receivables with customers
less: Reclassification of debt securities in Other financial assets
less: Reclassification of leasing assets IFRS16 in Other financial liabilities
+ Reclassification of loans from Other financial assets - Item 20 c)
Other financial assets
Item 20. Financial assets at fair value through profit and loss: c) Other financial assets mandatorily at fair value
less: Reclassification of loans in Loans to banks
less: Reclassification of loans in Loans to customers
Item 30. Financial assets at fair value through other comprehensive income
Item 70. Equity investments
+ Reclassification of debt securities from Loans to banks - Item 40 a)
+ Reclassification of debt securities from Loans to customers - Item 40 b)
+ Reclassification of leasing assets IFRS16 from Loans to customers - Item 40 b)
Hedging instruments
Item 50. Hedging derivatives
Item 60. Changes in fair value of portfolio hedged items (+/-)
Property, plant and equipment
Item 90. Property, plant and equipment
Goodwill
Item 100. Intangible assets of which: goodwill
Other intangible assets
Item 100. Intangible assets net of goodwill
Tax assets
Item 110. Tax assets
Non-current assets and disposal groups classified as held for sale
Item 120. Non-current assets and disposal groups classified as held for sale
Other assets
Item 130. Other assets
Total assets
Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules
AMOUNTS AS AT
12.31.2019
17,305
17,305
63,280
63,280
97,888
101,669
(3,826)
45
482,574
524,794
(45,093)
(56)
2,929
149,091
18,600
(45)
(2,929)
79,702
4,787
3,826
45,093
56
9,230
5,934
3,296
11,097
11,097
886
886
1,914
1,914
12,922
12,922
2,512
2,512
6,949
6,949
855,647
(€ million)
12.31.2018
30,991
30,991
65,231
65,231
69,850
73,643
(3,839)
47
471,839
505,668
(36,304)
-
2,475
152,310
20,906
(47)
(2,475)
88,280
5,502
3,839
36,304
-
7,120
4,682
2,439
8,804
8,804
1,484
1,484
2,024
2,024
12,944
12,944
2,241
2,241
7,334
7,334
832,172
UniCredit ·2019 Annual Report and Accounts 417
Consolidated financial statements | Annexes
Annex 1 - Reconciliation between reclassified balance sheet and
income statement accounts and mandatory reporting schedules
continued: Consolidated balance sheet
LIABILITIES AND SHAREHOLDERS' EQUITY
Deposits from banks
Item 10. Financial liabilities at amortised cost: a) Deposits from banks
less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities
Deposits from customers
Item 10. Financial liabilities at amortised cost: b) Deposits from customers
less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities
Debt securities issued
Item 10. Financial liabilities at amortised cost: c) Debt securities in issue
Financial liabilities held for trading
Item 20. Financial liabilities held for trading
Other financial liabilities
Item 30. Financial liabilities designated at fair value
+ Reclassification of leasing liabilities IFRS16 from Deposits from banks
+ Reclassification of leasing liabilities IFRS16 from Deposits from customers
Hedging instruments
Item 40. Hedging derivatives
Item 50. Value adjustment of hedged financial liabilities (+/-)
Tax liabilities
Item 60. Tax liabilities
Liabilities included in disposal groups classified as held for sale
Item 70. Liabilities referrable to disposal groups classified as held for sale
Other liabilities
Item 80. Other liabilities
item 90. Provision for employee severance pay
Item 100. Provisions for risks and charges
Minorities
Item 190. Minority shareholders' equity (+/-)
Group shareholders' equity:
- Capital and reserves
Item 120. Valuation reserves
Item 140. Equity instruments
Item 150. Reserves
Item 160. Share premium
Item 170. Share capital
Item 180. Treasury shares (-)
- Net profit (loss)
Item 200. Profit (Loss) for the period (+/-)
Total liabilities and shareholders' equity
AMOUNTS AS AT
12.31.2019
135,563
135,572
(9)
470,570
472,967
(2,397)
96,301
96,301
41,483
41,483
12,083
9,678
9
2,397
12,150
7,186
4,964
1,378
1,378
725
725
23,608
12,549
661
10,398
369
369
61,416
58,042
(6,120)
5,602
24,344
13,225
20,995
(3)
3,373
3,373
855,647
(€ million)
12.31.2018
125,895
125,895
-
478,988
478,988
-
81,153
81,153
43,111
43,111
9,318
9,318
-
-
9,262
6,032
3,230
945
945
540
540
25,609
13,951
698
10,961
961
961
56,389
52,282
(7,489)
4,610
20,836
13,393
20,940
(9)
4,107
4,107
832,172
418 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 1 - Reconciliation between reclassified balance sheet and
income statement accounts and mandatory reporting schedules
Consolidated income statement
Net interest
Item 30. Net interest margin
less: Net interest margin of industrial companies
less: Reclassification "loss of control" on FinecoBank S.p.A.(*)
+ Reclassification for IFRS16
+ Derivatives instruments - Economic Hedges - Others - Interest component
Dividends and other income from equity investments
Item 70. Dividend income and similar revenue
less: Dividends from held for trading equity instruments included in Item 70
less: Dividends on equity investments, shares and equity instruments mandatorily at fair value
Item 250. Profit (Loss) of equity investments - of which: Profit (Loss) of equity investments valued at equity
Net fees and commissions
Item 60. Net fees and commissions
less: Recovery of expenses for financial transactions taxes recharged to customers
+ Non-recoverable expenses incurred for customers financial transactions taxes (from Item 190 b)
+ Expenses for payment services and cards
Net trading income
Item 80. Net gains (losses) on trading
less: Derivatives instruments - Economic Hedges - Others - Interest component
Item 90. Net gains (losses) on hedge accounting
Item 100. Gains (Losses) on disposal and repurchase of: c) financial liabilities
Item 100. Gains (Losses) on disposal or repurchase of: b) financial assets at fair value through other comprehensive income
Item 110. Net gains (losses) on other financial assets/liabilities at fair value through profit and loss
+ Gains (Losses) on disposal and repurchase of financial assets at amortised cost - different from loans (from Item 100 a)
+ Dividends from held for trading equity instruments (from Item 70)
+ Dividends on equity investments, shares and equity instruments mandatorily at fair value (from Item 70)
+ Net results from trading of gold and precious metals (from Item 230)
Net other expenses/income
Item 230. Other operating expenses/income
less: Integration costs
less: Recovery of expenses
less: Transitional revenues from Pekao and Pgam
less: Net value adjustments/write-backs on leasehold improvements (on non-separable assets)
less: Other operating income - Other income from invoicing JVs
less: Net results from trading of gold, precious stones and metals
+ Result of industrial companies
+ Gains (Losses) on disposal and repurchase of financial assets at amortised cost - performing loans (from Item 100 a)
+ Net value adjustments/write-backs on property, plant and equipment in operating lease assets (from Item 210)
+ Gains (Losses) on disposals of investments in operating lease assets (from Item 280)
OPERATING INCOME
(€ million)
YEAR
2019
10,203
10,272
-
(51)
-
(18)
637
295
(188)
(86)
616
6,304
6,318
-
(13)
-
1,538
1,298
18
42
(11)
160
(370)
60
188
86
67
156
897
-
(557)
-
56
(35)
12
(88)
(1)
(131)
4
18,839
2018
10,570
10,751
2
(162)
(21)
-
672
413
(320)
(65)
644
6,328
6,552
(47)
(13)
(164)
1,279
373
-
17
(5)
174
291
23
320
65
22
116
907
2
(542)
(3)
60
(43)
(19)
(133)
26
(146)
7
18,965
UniCredit ·2019 Annual Report and Accounts 419
Consolidated financial statements | Annexes
Annex 1 - Reconciliation between reclassified balance sheet and
income statement accounts and mandatory reporting schedules
continued: Consolidated income statement
OPERATING INCOME
Payroll costs
Item 190. Administrative expenses: a) staff costs
less: Staff costs of industrial companies
less: Integration costs
Other administrative expenses
Item 190. Administrative expenses: b) other administrative expenses
less: Administrative expenses: b) other administrative expenses of industrial companies
less: Contributions to the Resolution Funds, Deposit Guarantee Schemes (DGS), Bank Levy and Guarantee fees for DTA
less: Reclassification for IFRS16
less: Integration costs
less: Expenses for local tax on corporate revenues
less: Non-recoverable expenses incurred for customers financial transactions taxes
less: Expenses for payment services and cards (from Item 60)
+ Net value adjustments/write-backs on leasehold improvements (on non-separable assets) classified as "Other assets" (from Item 230)
Recovery of expenses
+ Recovery of expenses (from Item 230)
+ Transition revenues from Pekao and Pgam (from Item 230)
+ Reclassification for IFRS16
+ Other operating income - Other income from invoicing JVs
+ Recovery of expenses for financial transactions taxes recharged to customers
Amortisation, depreciation and impairment losses on intangible and tangible assets
Item 210. Net value adjustments/write-backs on property, plant and equipment
less: Reversal of impairment losses/write backs on property owned for investment
less: Impairment/writebacks of inventories assets (IAS2) obtained from recovery procedures of NPE
less: Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net
equity method
less: Net value adjustments/write-backs of tangible in operating lease assets
less: Integration costs
Item 220. Net value adjustments/write-backs on intangible assets
less: Integration costs
less: Net write-downs on property, plant and equipment and intangible assets of industrial companies
+ Reclassification for IFRS16
less: Purchase Price Allocation effect
Operating costs
OPERATING PROFIT (LOSS)
Net write-downs on loans and provisions for guarantees and commitments
Item 100. Gains (Losses) on disposal and repurchase of: a) financial assets at amortised cost
less: Gains (Losses) on disposals/repurchases on loans and receivables - performing loans
less: Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities
Item 130. Net losses/recoveries on impairment relating to: a) financial assets at amortised cost
less: Net losses/recoveries on impairment relating to: a) financial assets at amortised cost - debt securities
Item 130. Net losses/recoveries on impairment relating to: b) Financial assets at fair value through other comprehensive income
less: Net losses/recoveries on impairment relating to: b) Financial assets at fair value through other comprehensive income - debt securities
Item 140. Gains/Losses from contractual changes with no cancellations
Item 200. Net provisions for risks and charge - of which: a) commitments and financial guarantees given
less: Net provisions for risks and charge - Ex Post Contributions to Deposit Guarantee Schemes (DGS)
NET OPERATING PROFIT (LOSS)
(€ million)
YEAR
2019
18,839
(6,146)
(6,588)
5
438
(3,279)
(4,096)
12
841
-
7
-
13
-
(56)
592
557
-
-
35
-
(1,096)
(1,425)
236
8
325
131
10
(746)
200
64
-
101
(9,929)
8,910
(3,382)
138
1
(60)
(3,478)
(10)
(11)
11
(20)
45
2
5,527
2018
18,965
(6,336)
(6,350)
4
10
(3,545)
(4,807)
14
807
323
(11)
12
13
164
(60)
631
542
3
(4)
43
47
(1,057)
(633)
28
2
-
146
2
(420)
1
113
(299)
4
(10,307)
8,658
(2,614)
129
(26)
(23)
(2,655)
(17)
(19)
19
(3)
(19)
2
6,044
420 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 1 - Reconciliation between reclassified balance sheet and
income statement accounts and mandatory reporting schedules
continued: Consolidated income statement
NET OPERATING PROFIT (LOSS)
Other charges and provisions
Item 200. Net provisions for risks and charges - of which: b) other net provision
less: Net provisions for risks and charges of industrial companies
less: Tax disputes relating to income tax (interests and sanctions excluded)
less: Integration costs
less: Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net
equity method
+ Contributions to Resolution Funds (SRF), Deposit Guarantee Schemes (DGS), Bank Levy and Guarantee fees for DTA (from Item 190 b)
+ Net provisions for risks and charge - Ex Post Contributions to Deposit Guarantee Schemes (DGS) - (from Item 200)
Integration costs
+ Payroll costs - Administrative expenses - of which a) staff costs - integration costs (from Item 190)
+ Other administrative expenses - Administrative expenses - of which b) other administrative expenses - integration costs (from Item 190)
+ Amortisation, depreciation and impairment losses on intangible and tangible assets - Net value adjustments/write-backs on property, plant and
equipment - integration costs (from Item 210)
+ Amortisation, depreciation and impairment losses on intangible and tangible assets - Net value adjustments/write-backs on intangible assets -
integration costs (from Item 220)
+ Other charges and provisions - Net provisions for risks and charges - integration costs (from Item 200)
+ Net other expenses/income - Other operating expenses/income - integration costs (from Item 230)
Net income from investments
Item 250. Profit (Loss) of equity investments - of which: write-backs/impairment losses and gains/losses on disposal of associates valued at equity
escluded IFRS5
Item 260. Net gains (losses) on tangible and intangible assets measured at fair value
Item 280. Gains (Losses) on disposal on investments
less: Gains (Losses) on disposals on investments in operating lease assets (from Item 280)
less: Industrial companies
+ Net losses/recoveries on impairment relating to: of which: a) financial assets at amortised cost - debt securities (from Item 130)
+ Net losses/recoveries on impairment relating to: of which: b) financial assets at fair value through other comprehensive income - debt securities
(from Item 130)
+ Impairment losses/write backs on property owned for investment (from Item 210)
+ Impairment/writebacks of inventories assets (IAS2) obtained from recovery procedures of NPE
+ Revaluation arising from IFRS5 non-current assets and disposal groups related to equity investment consolidated line by line and at net equity
method
+ Net results from trading of precious stones (from Item 230)
PROFIT (LOSS) BEFORE TAX
Income tax for the period
Item 300. Tax expense (income) from continuing operations
less: Tax expense related to profit from continuing operations of industrial companies
+ Expenses for local tax on corporate revenues
+ Other changes and provisions - Tax disputes relating to income tax (interests and sanctions excluded) - (from Item 200 b)
less: Purchase Price Allocation effect
NET PROFIT (LOSS)
Profit (Loss) from non-current assets held for sale after tax
Item 320. Profit (Loss) after tax from discontinued operations
+ Reclassification "loss of control" on FinecoBank S.p.A.(*)
PROFIT (LOSS) FOR THE PERIOD
Minorities
Item 340. Minorities' profit (loss) for the period
NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP BEFORE PPA
Purchase Price Allocation effect
Goodwill impairment
Item 270. Goodwill Impairment
NET PROFIT (LOSS) ATTRIBUTABLE TO THE GROUP
Note:
(*) In 2019 the amount refers to the reclassification of net interests Group vs FinecoBank S.p.A. accrued up to the date of the "loss of control".
(€ million)
YEAR
2019
5,527
(954)
(148)
5
-
10
22
(841)
(2)
(664)
(438)
(7)
(10)
(200)
(10)
-
(844)
15
4
129
(4)
(3)
10
(11)
(236)
(8)
(662)
(78)
3,065
(890)
(862)
5
-
-
(33)
2,176
1,383
1,332
51
3,559
(118)
(118)
3,441
(68)
-
-
3,373
2018
6,044
(2,271)
(1,497)
1
28
5
-
(807)
(2)
(9)
(10)
11
(2)
(1)
(5)
(2)
(198)
(742)
417
174
(7)
(6)
17
(19)
(28)
(2)
-
(2)
3,566
489
523
7
(12)
(28)
(1)
4,055
288
126
162
4,343
(233)
(233)
4,111
(3)
-
-
4,108
UniCredit ·2019 Annual Report and Accounts 421
Consolidated financial statements | Annexes
Annex 2 - Fees for annual audits and related services
UniCredit group 2019 - Deloitte Network
As prescribed by Art.149-duodecies of the Consob Issuers Regulation, the following table gives fees paid in 2019 for services rendered by Deloitte &
Touche S.p.A. and firms in its network.
SERVICE TYPE
Audit(2)
Certification, letters of comfort, etc(3)
Other services(4)
Total
SERVICE PROVIDER
Deloitte & Touche S.p.A.
Deloitte & Touche S.p.A.
Deloitte Network
Deloitte & Touche S.p.A
Deloitte & Touche S.p.A.
Deloitte Network
Deloitte Network
Deloitte & Touche S.p.A.
Deloitte & Touche S.p.A.
Deloitte Network
Deloitte Network
USER
Parent company - UniCredit S.p.A.
Subsidiaries
Subsidiaries
Parent company - UniCredit S.p.A.
Subsidiaries
Parent company - UniCredit S.p.A.
Subsidiaries
Parent company - UniCredit S.p.A.
Subsidiaries
Parent company - UniCredit S.p.A.
Subsidiaries
(€ million)
FEES(1)
3.4
1.5
15.7
2.1
0.3
0.2
5.1
0.2
-
0.7
4.6
33.9
Notes:
(1) Excl. VAT and expenses.
(2) Does not include fees for audits of investment funds.
(3) Mainly verification services provided to UniCredit S.p.A. (e.g. Limited review on 2019 non financial information, Limited review on 1Q 2019 and 3Q 2019 Consolidated Reports for the inclusion of interim net profit in
Common Equity Tier 1 Capital, Issuing Comfort Letters concerning bond issues,Statutory audit of foreign branches financial statements according to local regulations), other verification services required by regulations/local
Supervisory Authorities in Germany and Austria.
(4) Mainly other services provided to UniCredit S.p.A. (e.g. Agrees upon procedure on Own Funds, Support to Projects "Mobile Leadership Evolution Projects", "Evoluzione App Mobile Banking", "Liquidity Risk Model
enhancements", "My Credit Program"); services provided to the subsidiary UniCredit Services S.C.p.A.; support provided to the subsidiary UniCredit Bank AG.
Annex 2 - Fees for annual audits and related services
422 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit S.p.A.
Traditional securitisations of Performing and Non-Performing loans
STRATEGIES,
PROCESSES AND
GOALS:
The initiatives are a part of the Group's strategies, one of the objectives of which is to finance, at competitive rates (and in large amounts), the
development of medium and long-term through the disposal of existing "Performing" and "Non-Performing" loan portfolios and also creating
eligible securities for refinancing operations with the ECB and/or with third parties (counterbalancing capacity).
The main advantages of the transactions can be summarised as follows:
- improvement in the matching of asset maturities;
- diversification of sources of financing;
- broadening of investor base and resulting optimisation of funding cost;
- creating counterbalancing capacity.
Moreover, securitisation transactions can also be implemented for purposes related to business projects (for better management of assets),
corporate restructuring or deleveraging projects.
INTERNAL
MEASUREMENT
AND RISK
MONITORING
SYSTEMS:
UniCredit S.p.A. acts as "Servicer" for almost all transactions concerned for which is Originator. As per the agreements entered into with
issuing companies (special purpose vehicles - SPV), servicing consists of performing, on behalf of these companies, administrative, collection
and securitised loan collection activities as well as the management of any recovery procedures for impaired loans. Thus, as Servicer,
UniCredit S.p.A. is charged with continually tracking cash flows from securitised loans and constantly monitoring their collection, with the
assistance of third party companies (especially for the recovery of impaired loans; the company involved is DoValue S.p.A., which operates as
an assistant to the Servicer, governed by a special agreement).
ORGANISATIONAL
STRUCTURE AND
SYSTEM FOR
REPORTING TO
SENIOR
MANAGEMENT:
The Servicer provides the Special Purpose Vehicle (and other counterparties indicated in the servicing agreements) information on the activity
performed by, periodically reports that indicate, among other things, the collection and transfer of the income stream sold, the amount of
default positions and recoveries completed, overdue installments, etc., with all information broken down in relation to specific transactions.
These reports (which are usually quarterly) are periodically checked (if contractually required) by an auditing firm.
From a strategic point of view, Group Finance Department is responsible for central coordination. In this context, the above structure plays:
a) in the launch phase of the operation the role of proposer and provides support to the other Bank’s Divisions and to the individual Legal
Entities in conducting transactions, cooperating with all the other departments (Planning & Capital Management, Group Risk Management,
M&A etc.) in identifying the characteristics and the distinctive features of "true sale" securitisations loans in order to achieve the targets set in
the Group’s Funding Plan and in the Contingency Funding Plan, approved by the Board of Directors, in the ordinary plan of creating
counterbalancing capacity, as well as in organisational strategy and business of Top Management. Specific transactions are subject to prior
approval by the competent departments of the Holding and of the Originator Bank (during approval, among other things, the structure, costs
and impacts in terms of liquidity, counterbalancing capacity, organisational, business and/or any capital relief are discussed and analysed),
and to final approval by the Board of Directors of the Originator Bank;
b) in the management phase of the operation, the monitoring role of the securitised portfolios performances and any rating action published by
Ratings Agencies, the interactions with the Ratings Agencies in order to submit regular information on portfolios and, more generally, the role
of coordination of the Originator Bank to facilitate the solution of events relating to the securitised portfolios (management of actions of
payments holidays, downgrading, restructurings, etc.).
The Bank has established a special coordination unit (General Ledger & Securitisation Reporting) within the Group Accounting & Regulatory
Reporting Department. This unit has been tasked with administrative activities connected to the Servicer and Account Bank related-duties,
and to carry out these duties, it works in close cooperation with specific, qualified areas of the Bank (Group Risk Management, Group
Finance, Group Legal Advice & Contracts, etc.) and the Group (UniCredit Services S.C.p.A., etc.). It also provides a technical and operational
support to network units. The information regarding the monitoring of collections and the performance of the securitised portfolio is periodically
submitted to the Servicer's Board of Directors.
HEDGING POLICIES:
By agreement, securitised portfolios can be protected from interest rate risk by means of the Special Purpose Vehicle entering into Interest
Rate Swap (IRS) agreements to hedge a fixed-rate portfolio, and Basis Swaps to hedge an indexed rate portfolio. In connection with these
swaps, always if required by agreements, related back-to-back swap contracts are entered into between the Swap counterparty and UniCredit
S.p.A. as Originator, interfaced in some cases by UniCredit Bank AG.
OPERATING
RESULTS:
At the end of December 2019, the operating results related to existing securitisation transactions essentially reflected the performance of
underlying portfolios and the resulting cash flows, and obviously are affected by the amount of defaults and prepayments during the period,
which, moreover, are in line with the performance seen in other assets of this kind that are not securitised. The exercise of the option to
repurchase the securitized portfolio underlying operation "Cordusio RMBS Securitisation - Serie 2006" did not result in significant additional
economic impacts.
UniCredit ·2019 Annual Report and Accounts 423
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit S.p.A.
New transacions year 2019
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio (€ million):
Net amount of preexisting writedown/writebacks (€ million):
Disposal Profit & Loss realized (€ million):
Portfolio disposal price (€ million):
Issued guarantees by the Bank (€):
Issued guarantees by third parties (€):
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount of CDS or other risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordination level
. Nominal Value Issued (€ million)
. Nominal value at the end of accounting period (€ million)
. Security subscribers
Distributuion of securitsed assets by area (€):
Italy - Northwest
Italy - Northeast
Italy - Central
Italy - South and Isalnds
Other European Countries - E.U. countries
Other European Countries - non-E.U. countries
America
Rest of the World
Total
Distribution of securitised assets by business sector of the borrower (€):
Governments
Other governments
Banks
Financial Companies
Insurance Companies
Non-financial Companies
Other entities
Total
IMPRESA TWO
Traditional
UniCredit S.p.A.
Impresa Two S.r.l.
UniCredit S.p.A.
UniCredit Bank AG
Funding/Counterbalancing capacity
Corporate Loans
Performing
11.08.2019
11,066
-
-
11,066
-
-
UCI has issued credit lines for a €2 billion maximum amount in order to fund, subject to
some conditions, a Cash Reserve to cover Set-Off and Commingling risks.
-
€116
€30
Moody's/DBRS
-
IT0005389520
Senior
A
Aa3/AL
Luxembourg Stock Exchange
11.11.2019
12.31.2061
Clean-up Call
3.5
Euribor 3m + 65 b.p. with a 1,5% Cap up
to 24 months, 2,50% from 24 to 36
months and 3,50% after 36 months
senior
7,746
7,746
UniCredit S.p.A.
IT0005389538
Junior
B
-
-
11.11.2019
12.31.2061
Clean-up Call
6.75
2,5%+variable return
junior
3,320
3,320
UniCredit S.p.A.
936
6,039
2,437
1,654
-
-
-
-
11,066
-
-
-
631
-
10,435
-
11,066
The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed.
424 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit S.p.A.
Transaction from previous years
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million)(*):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Nominal value issued (€ million)(*)
. Nominal value at the end of accounting period (€ million)(*)
CONSUMER THREE
Traditional
UniCredit S.p.A.
Consumer Three S.r.l.
UniCredit S.p.A.
UniCredit S.p.A.
Counterbalancing capacity
Personal loans
Performing
04.20.2016
6,077
-
-
-
-
UniCredit S.p.A. has granted SPV a subordinated loan of €50 million for loans renegotiation.
Consumer Three also constituited for ABS investors benefit into an eligible entity a cash
reserve amount outstanding, at the end of accounting period, for €51 million
Self-securitisation
Moody's/Fitch
IT0005176505
Senior
A
Aa3/A
4,679
4,679
IT0005176513
Junior
J
-
1,398
1,398
Note:
(*) In the 2018 third quarter an amendment has been performed in order to postope the revolving period until June 2020. Moreover an extraordinary new transfer has been settled along the 2018 fourth quarter, increasing the
nominal value of the disposal portfolio at € 2,000 million, the Senior Note nominal value at €1,664 million and the Junior Note nominal value at €335 million. The Notes Final Maturity Date has been posponed to December
2056. The Cash Reserve Required Amount has decreased from €60 million to €51 million.
The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed.
UniCredit ·2019 Annual Report and Accounts 425
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit S.p.A.
Transaction from previous years
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio (€ million):
Issued guarantees by the Bank (€):
Issued guarantees by third parties (€):
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount of CDS or other risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Nominal Value Issued (€ million)
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
LARGE CORPORATE ONE
Traditional
UniCredit S.p.A.
Large Corporate ONE S.r.l.
UniCredit S.p.A.
-
Funding/Counterbalancing capacity
Large Corporate Loans
Performing
08.13.2013
279
Senior Notes Guarantee amounting to €258 million
-
Interest Shortfall Facility amounting to €9 million
-
-
The credit line of Interest Shortfall Facility, of the original value of €15
million, was used, online capital for €6 million.
Standard & Poor's
-
IT0004955776
Senior
A
BBB
897
250
250
IT0004955479
Junior
B
-
103
29
29
The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed.
426 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit S.p.A.
Transaction from previous years
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Conditions of tranching:
. ISIN
. Type of security
. Class
. Rating
. Nominal value issued (€ million):
. Nominal value at the end of accounting period (€ million):
. ISIN
. Type of security
. Class
. Rating
. Nominal value issued (€ million):
. Nominal value at the end of accounting period (€ million):
. ISIN
. Type of security
. Class
. Rating
. Nominal value issued (€ million):
. Nominal value at the end of accounting period (€ million):
CORDUSIO RMBS UCFIN - SERIE 2006 (EX CORDUSIO RMBS 3 - UBCASA
1)
Traditional
UniCredit S.p.A. (ex Banca per la Casa S.p.A.)
Cordusio RMBS UCFin S.r.l. (ex Cordusio RMBS 3 - UBCasa 1 S.r.l.)
UniCredit S.p.A.
UCB AG London Branch
Funding/Counterbalancing capacity
Private Mortgage Loans
Performing
11.16.2006
2,496
-
-
-
-
UniCredit S.p.A. has granted SPV a subordinated loan of €15 million,
which at the end of accounting period is fully reimbursed.
Following its downgrade by debt-rating agencies, UniCredit S.p.A. paid
€160 million of funds into an eligible entity to maintain its role as an
Account Bank; during the year 2017, as a result of the contractual
amendment and the contextual outsourcing of the role of the Account
Bank, the fund was fully repaid. Moreover UniCredit S.p.A., on 2013,
has been replaced as swap counterparty with another Bank rated as
eligible by ratings Agencies.
Fitch/Moody's/Standard & Poor's
-
IT0004144884
Senior
A1
-
600
-
IT0004144900
Mezzanine
B
AA/Aa3/AA
75
75
IT0004144959
Mezzanine
D
BBB/Baa1/AA
48
48
IT0004144892
Senior
A2
AA/Aa3/AA
1,735
187
IT0004144934
Mezzanine
C
A+/Aa3/AA
25
25
IT0004144967
Junior
E
-
13
13
The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed.
UniCredit ·2019 Annual Report and Accounts 427
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit S.p.A.
Transaction from previous years
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Conditions of tranching:
. ISIN
. Type of security
. Class
. Rating
. Nominal value issued (€ million):
. Nominal value at the end of accounting period (€ million):
. ISIN
. Type of security
. Class
. Rating
. Nominal value issued (€ million):
. Nominal value at the end of accounting period (€ million):
. ISIN
. Type of security
. Class
. Rating
. Nominal value issued (€)
. Nominal value at the end of accounting period (€)
. ISIN
. Type of security
. Class
. Rating
. Nominal value issued (€ million):
. Nominal value at the end of accounting period (€ million):
CORDUSIO RMBS SECURITISATION - SERIE 2007
Traditional
UniCredit Banca S.p.A.
Cordusio RMBS Securitisation S.r.l.
UniCredit S.p.A.
UCB Ag London Branch (ex Bayerische Hypo und Vereinsbank AG, London Branch)
Funding/Counterbalancing capacity
Private Mortgage Loans
Performing
05.22.2007
3,908
-
-
-
-
UniCredit S.p.A. has granted SPV a subordinated loan of €6.253 million, at the end of
accounting period that amount is fully reimbursed
Following its downgrade by debt-rating agencies, UniCredit S.p.A. paid €236 million of
funds into an eligible entity to maintain its role as an Account Bank; during the year
2017, as a result of the contractual amendment and the contextual outsourcing of the
role of the Account Bank, the fund was fully repaid. Moreover, in 2013, UniCredit S.p.A.
has been replaced as swap counterparty with another Bank rated as eligible by ratings
Agencies.
Fitch/Moody's/Standard & Poor's
-
IT0004231210
Senior
A1
-
704
-
IT0004231244
Senior
A3
A+/Aa3/AA
739
397
IT0004231293
Mezzanine
C
A+/Aa3/AA
44
44
IT0004231319
Mezzanine
E
B/Caa1/B-
20
20
IT0004231236
Senior
A2
-
2,228
-
IT0004231285
Mezzanine
B
A+/Aa3/AA
71
71
IT0004231301
Mezzanine
D
BBB-/Ba1/BBB
102
102
IT0004231327
Junior
F
-
2
2
The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed.
428 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit S.p.A.
Transaction from previous years
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Conditions of tranching:
. ISIN
. Type of security
. Class
. Rating
. Nominal value issued (€ million):
. Nominal value at the end of accounting period (€ million):
. ISIN
. Type of security
. Class
. Rating
. Nominal value issued (€)
. Nominal value at the end of accounting period (€)
. ISIN
. Type of security
. Class
. Rating
. Nominal value issued (€ million):
. Nominal value at the end of accounting period (€ million):
. ISIN
. Type of security
. Class
. Rating
. Nominal value issued (€ million):
. Nominal value at the end of accounting period (€ million):
BIPCA CORDUSIO RMBS
Traditional
UniCredit S.p.A. (ex Bipop Carire, Società per Azioni)
Capital Mortgage Srl
UniCredit S.p.A.
UniCredit S.p.A. (ex Bipop Carire, Società per Azioni)
Funding/Counterbalancing capacity
Private Mortgage Loans
Performing
12.17.2007
952
-
-
-
-
UniCredit S.p.A. has granted SPV a subordinated loan of €10 million.
At the end of accounting period it is fully reimbursed.
All securities issued outstanding from 31 December 2010 have been
retained by UniCredit S.p.A. Following its downgrade by debt-rating
agencies, UniCredit S.p.A. paid €59 million of funds into an eligible
entity to maintain its role as an Account Bank; during the year 2017, as
a result of the contractual amendment and the contextual outsourcing
of the role of the Account Bank, the fund was fully repaid. Moreover, in
2013, UniCredit S.p.A. has been replaced as swap counterparty with
another Bank rated as eligible by ratings Agencies.
Standard & Poor's/Moody's
-
IT0004302748
Senior
A2
AA/Aa3
186
151
IT0004302763
Mezzanine
C
AA/A1
14
14
IT0004302854
Mezzanine
E
B-/Baa3
6
6
IT0004302730
Senior
A1
-
666
-
IT0004302755
Mezzanine
B
AA/Aa3
62
62
IT0004302797
Mezzanine
D
BB-/Baa1
18
18
IT0004302912
Junior
F
-
0.3
0.3
The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed.
UniCredit ·2019 Annual Report and Accounts 429
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit S.p.A.
Transaction from previous years
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Conditions of tranching:
. ISIN
. Type of security
. Class
. Rating
. Nominal value issued (€ million):
. Nominal value at the end of accounting period (€ million):
. ISIN
. Type of security
. Class
. Rating
. Nominal value issued (€ million):
. Nominal value at the end of accounting period (€ million):
CAPITAL MORTGAGE 2007 - 1
Traditional
UniCredit S.p.A. (ex Banca di Roma S.p.A.)
Capital Mortgage S.r.l.
UniCredit S.p.A.
UCB AG (ex Capitalia S.p.A.)
Funding/Counterbalancing capacity
Private Mortgage Loans
Performing
05.14.2007
2,183
-
-
-
-
UniCredit S.p.A. has granted SPV a subordinated loan of €37 million
(as equity).
Tranching based on an original assets portfolio €2,479 million, reduced
to €2,183 million due to checks after closing date. Following its
downgrade by debt-rating agencies, UniCredit S.p.A. paid funds into an
eligible entity (amounting to €156 million at 31 December 2016) to
maintain its role as Account Bank; during the 2017, as a result of the
contractual amendment and the contextual outsourcing of the role of
the Account Bank, the fund was fully repaid.
S & P/Moody's/Fitch
-
IT0004222532
Senior
A1
AA/A3/A+
1,736
157
IT0004222557
Mezzanine
B
BB/B3/B-
74
74
IT0004222540
Senior
A2
AA/A3/A+
644
238
IT0004222565
Junior
C
D/Ca/CC
25
25
The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed.
430 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit S.p.A.
Transaction from previous years
NAME:
Type of securitisation:
F-E MORTGAGES 2005
Traditional
F-E MORTGAGES SERIES 1-2003
Traditional
HELICONUS
Traditional
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€
million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
UniCredit S.p.A. (ex FinecoBank
S.p.A.)
UniCredit S.p.A. (ex Fin-eco Banca ICQ
S.p.A.)
UniCredit S.p.A. (ex Fin-eco Banca ICQ
S.p.A.)
F-E Mortgages S.r.l.
UniCredit S.p.A.
F-E Mortgages S.r.l.
UniCredit S.p.A.
Heliconus S.r.l
UniCredit S.p.A.
UniCredit S.p.A. (ex MCC S.p.A. -
Capitalia Gruppo Bancario)
UniCredit S.p.A. (ex MCC S.p.A. - Capitalia
Gruppo Bancario)
UniCredit S.p.A. (ex MCC S.p.A. -
Capitalia Gruppo Bancario)
Funding/Counterbalancing capacity
Private Mortgage Loans
Performing
04.06.2005
Funding/Counterbalancing capacity
Private Mortgage Loans
Performing
11.27.2003
Funding/Counterbalancing capacity
Private Mortgage Loans
Performing
11.08.2002
1,029
-
-
-
-
UniCredit S.p.A. has granted SPV a
subordinated loan of €15 million (as
Equity).At the end of accounting
period the amount of capital tranche is
fully reimboursed
749
-
-
409
-
-
UniCredit S.p.A. issued a credit line for €20
million (jointly with The Royal Bank of
Scotland Milan Branch). The amount of line
of credit is totally redeemed
UniCredit S.p.A. issued a credit line for
€10 million. The amount of the credit line
is totally redeemed
-
-
-
-
Other relevant information:
-
Following the downgrade of Royal Bank of
Scotland Plc by Moody's, on 3 August 2012
UniCredit S.p.A. made a reserve of €20
million for the SPV, corresponding to the
liquidity line
Following its downgrade by Moody's, on
12 January 2012 UniCredit S.p.A. made a
reserve of €10 million for the SPV,
corresponding to the liquidity line
Rating Agencies:
Amount of CDS or other supersenior
risk transferred (€ million):
Amount and Conditions of tranching:
. ISIN
. Type of security
. Class
. Rating
. Nominal value issued (€ million):
. Nominal value at the end of
accounting period (€ million):
. ISIN
. Type of security
. Class
. Rating
. Nominal value issued (€ million):
. Nominal value at the end of
accounting period (€ million):
S & P/Moody's/Fitch
S & P/Moody's/Fitch
S & P/Moody's/Fitch
-
-
-
IT0003830418
Senior
A
AA/Aa3/AA
952
IT0003830426
Mezzanine
B
AA/Aa3/AA
41
IT0003575039
Senior
A1
-
682
IT0003575070
Mezzanine
B
AA/Aa3/AA
48
IT0003383855
Senior
A
-
369
IT0003383871
Mezzanine
B
- /Aa3/AA
31
65
37
-
46
-
27
IT0003830434
Junior
C
BBB-/Aa3/A+
36
32
IT0003575088
Mezzanine
C
AA/Aa3/AA
11
IT0003575096
Junior
D
-
8
IT0003383939
Junior
C
-
9
11
8
9
The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed.
UniCredit ·2019 Annual Report and Accounts 431
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit S.p.A.
Transaction from previous years
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction :
Type of asset:
Quality of asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Nominal value issued (€ million):
. Nominal value at the end of accounting period (€ million):
ARENA NPL ONE
Self-securitisation
UniCredit SpA (ex UCCMB S.p.A.)
Arena NPL One S.r.l.
UniCredit S.p.A.
UBS
Funding
Unsecured loans - mortgage loans
Non-Performing
12.04.2014
8,461
-
-
UniCredit S.p.A. issued a line of Liquidity Facility revolving amounts to
€100 million, used for €30 million at the end of accounting period.
-
-
UniCredit S.p.A. has granted SPV a loans facility of €30 million, used
for legal expenses and refunded for an amount of €24.
No Rating Agency
-
IT0005070120
Senior
A
-
304
-
IT0005070138
Junior
B
-
913
913
The "Closing date" is the date when the securitisation transaction was completed, i.e. the date when all contractual documents were signed.
432 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit S.p.A.
Transaction from previous years
STRATEGIES, PROCESSES AND
GOALS:
The following initiatives, called Pillarstone Italy, were undertaken to allow the Group to improve the management of
loan restructuring, also through the innovative use (for this purpose) of securitisation. The goal is to facilitate and
increase recoveries of the exposures under securitisation thanks to:
- restructuring with long-term industrial logic, focusing on introducing new finance (by third parties) in favour of the
debtors sold, with focus on concrete needs and opportunities for the companies involved;
- efficient and targeted restructuring and turnaround processes.
Shared acceptance of the economic principles that guide the transactions in question and a strong alignment of the
interests between the parties involved, ensures the asset manager 's commitment to maximize the value of the said
assets, optimising therefore the expected recovery on the junior notes bought by UniCredit S.p.A., through the
transferred management of the securitised portfolio.
INTERNAL MEASUREMENT AND
RISK MONITORING SYSTEMS:
UniCredit S.p.A. does not act as Servicer. The business of servicing is carried out by third parties outside the
Group, as per the contracts stipulated with the Special Purpose Vehicle issuing the ABS securities, and involves
the administration, encashment, restructuring and collection of securitised loans, on behalf thereof, as well as
managing any recovery proceedings on Non-Performing loans. The Servicer of the assets, therefore, has the task,
on an ongoing basis, of following the financial flows arising from the securitised loans, constantly monitoring the
encashment, also where appropriate making use of third party companies.
For each specific transaction, the Servicer provides the Special Purpose Vehicle (in addition to other counterparties
as defined in the servicing contracts, including UniCredit S.p.A.) with information on the activities carried out via
periodic reports which show, inter alia, the collection and realization of the assigned receivables, the number of
defaulted positions and the successfully completed recoveries, the instalments in arrears, restructuring activities,
etc. Where contractually provided for, these reports are periodically checked by an independent auditors' firm.
ORGANIZATIONAL STRUCTURE
AND SYSTEM FOR REPORTING TO
SENIOR MANAGEMENT:
The Servicer provides UniCredit S.p.A. with a series of reports that enable the evaluation and monitoring of the
underlying portfolios. On a quarterly basis the performances are also presented in the reference internal Credit
Committees.
HEDGING POLICIES:
There are no risk hedging derivatives.
OPERATING RESULTS:
We implemented a set of monitoring initiatives, focused on one side on the single company performances and, on
the other side, on the evolution of the Pillartsone project as a whole.
UniCredit ·2019 Annual Report and Accounts 433
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit S.p.A.
Operations of securitisation of Non-Performing credits
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Net amount of pre-existing writedown/writebacks:
Disposal Profit & Loss realised (€ million):
Portfolio disposal price (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit :
Third Parties Lines of Credit (€ million):
Other Credit Enhancements (€ million):
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred:
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
. Security subscribers
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
. Security subscribers
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
. Security subscribers
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
. Security subscribers
434 2019 Annual Report and Accounts · UniCredit
SANDOKAN
Traditional
UniCredit S.p.A.
Yanez S.r.l.
Securitisation Services S.p.A.
-
Innovative structure of securitisation to manage and overcome the temporary difficulties of the debtors
sold, in order to optimise the reimbursement of the securitised portfolio.
Corporate loans
Unlikely to pay + NPL
11.12.2016
861
-
-
861
-
-
10
-
-
-
21.11.2017
240
-
-
240
-
-
-
-
-
-
-
-
17.10.2018
18
-
-
18
-
-
-
-
-
-
12.12.2018
96
-
-
96
-
-
-
-
-
-
IT0005382103
Senior(*)(**)
AS1
-
-
11.08.2019
11.30.2025
-
5.1
4.5%
pari passu AS2
150
4
D2 Europe I S.à r.l./Banca Finanziaria
Internazionale
IT0005273674
Senior(*)(**)
AS2
-
-
07.31.2017
11.30.2050
-
6.9
4.0%
pari passu AS1
100
1
Celidoria S.a.r.l./Europa Plus SCA SIF/Banca
Finanziaria Internazionale
IT0005382111
Senior(*)(**)
AJ1
-
-
11.08.2019
11.30.2050
-
5.1
14.0%
Sub AS1, AS2, pari passu AJ2, AX
10
0.2
Celidoria S.a.r.l./Europa Plus SCA SIF
IT0005273666
Senior(*)(**)
AX
-
-
31.07.2017 - 08.11.2019
11.30.2050
-
7.4
14.0%
Sub AS1, AS2, pari passu AJ1, AJ2 and AX
10
0.0
Banca Finanziaria Internazionale
IT0005273724
Mezzanine(*)
B2
-
-
31.07.2017 - 10.05.2019 (size increase)
11.30.2050
-
1.6
7.5%
Sub AS1, AS2, AJ, AX, B1
45(***)
10
Celidoria S.a.r.l./Europa Plus SCA SIF/FR Invest
IT0005273690
Senior(*)(**)
AJ2
-
-
07.31.2017
11.30.2050
-
6.9
14.0%
Sub AS1, AS2, pari passu AJ1 and AX
10
0.1
Celidoria S.a.r.l./Europa Plus SCA SIF
IT0005273708
Mezzanine(*)
B1
-
-
31.07.2017 - 10.05.2019 (size increase)
11.30.2050
-
1.6
3.0%
Sub AS1, AS2, AJ, AX
181(***)
39
UniCredit Spa
IT0005273732
Mezzanine(*)
C1
-
-
31.07.2017 - 10.05.2019 (size increase)
11.30.2050
-
3.9
3.5%
Sub AS1, AS2, AJ, AX, B1, B2
62(**)
62
UniCredit S.p.A.
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
continued from previous page
NAME:
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
. Security subscribers
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
. Security subscribers
Distribution of securitised assets by area (€):
Italy
Other European Countries - E.U. countries
- non-E.U. countries
America
Rest of the World
Total
Distribution of securitised assets by business sector of
the borrower (€):
Governments
other governments agencies
Banks
Financial Companies
Insurance Companies
Non-financial companies
Other entities
Total
SANDOKAN
IT0005273740
Mezzanine(*)
C2
-
-
31.07.2017 - 10.05.2019 (size increase)
11.30.2050
-
4.9
15.0%
Sub AS1, AS2, AJ, AX, B1, B2, C1
15(***)
16
Celidoria S.a.r.l./Europa Plus SCA SIF/FR Invest
IT0005273773
Mezzanine(*)
D2
-
-
31.07.2017 - 10.05.2019 (size increase)
11.30.2050
-
6.9
19.0%
Sub AS1, AS2, AJ, AX, B1, B2, C1, C2, D1
8(***)
8
Celidoria S.a.r.l./Europa Plus SCA SIF/FR Invest
IT0005273757
Mezzanine(*)
D1
-
-
31.07.2017 - 10.05.2019 (size increase)
11.30.2050
-
6.3
4.0%
Sub AS1, AS2, AJ, AX, B1, B2, C1, C2
153(***)
153
UniCredit S.p.A.
IT0005273872
Junior(*)
E
-
-
31.07.2017 - 10.05.2019 (size increase)
11.30.2050
-
10.0
5%
Sub AS1, AS2, AJ, AX, B1, B2, C1, C2, D1, D2
750(***)
750
UniCredit S.p.A.
1,215
-
-
-
-
1,215
-
-
-
-
-
1,215
-
1,215
Notes:
(*) The classification of the field "Type of security" refers to Bank of Italy Circular 262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and
junior exposures.
(**) Securities issued to fund new money finance needs.
(***) Nominal Value Issued B1: €172 million at Note Issuance + €9 million due to Size Increase; Nominal Value Issued B2: €43 million + €2 million following Size Increase; Nominal Value Issued C1: €75 million + €5 million
due to Size Increase; Nominal Value Issued C2: €14 million + €1 million following the Size Increase; Nominal Value Issued D1: €126 million + €27 million due to Size Increase; Nominal Value Issued D2: €7 million + €1
million due to Size Increase ; Nominal Value Issued: €442 million + € 308 million due to Size Increase.
The "Closing date"corresponds to the date of portfolio sale.
UniCredit ·2019 Annual Report and Accounts 435
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit S.p.A.
Transaction from previous years
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (million):
Net amount of pre-existing writedown/writebacks:
Disposal Profit & Loss realised (million):
Portfolio disposal price (million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit :
Third Parties Lines of Credit (€ million):
Other Credit Enhancements (€ million):
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred:
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (million)
. Nominal value at the end of accounting period (million)
. Security subscribers
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (million)
. Nominal value at the end of accounting period (million)
. Security subscribers
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (million)
. Nominal value at the end of accounting period (million)
. Security subscribers
PILLARSTONE ITALY - PREMUDA
Traditional
UniCredit S.p.A.
Pillarstone Italy SPV S.r.l.
Securitisation Services S.p.A.
-
Innovative structure of securitisation to manage and overcome the temporary difficulties
of the debtor sold, in order to optimise the reimbursement of the securitised portfolio
Corporate loans
Unlikely to pay
07.14.2016
$78 + €31
$78 + €31
IT0005203937
Senior(*)
A
-
-
07.14.2016
10.20.2030
5.0
8.50%
-
€3
€2
IT0005246712
Mezzanine(*)
B
-
-
04.04.2017
10.20.2030
3.4
3.43%
Sub A
€0,3
€0,3
IT0005204125
Junior(*)
C
-
-
07.14.2016
10.20.2030
5.0
EUR6M(360) +1000pb
Sub A,B
€25
€25
-
-
-
-
-
2
-
-
-
-
-
-
-
04.04.2017
$3
$3
IT0005203952
Mezzanine(*)
B
-
-
07.14.2016
10.20.2030
5.0
2.67%
Sub A
$58
$58
IT0005246761
Junior(*)
C
-
-
04.04.2017
10.20.2030
3.4
EUR6M(360) +1000pb
Sub A,B
€3
€3
IT0005204133
Junior(*)
C
-
-
07.14.2016
10.20.2030
5.0
LIBOR6M(360) +1000pb
Sub A,B
$21
$21
Note:
(*) The classification of the field "Type of security" refers to Banca d’Italia Circular 262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and
junior exposures.
Pillarstone is a multioriginator securitization, with claims transferred by UniCredit and other banks. For representation purposes, securities reported
in the table are those issued in light of the portfolio transferred by UniCredit.
The "Closing date" is the date when the securitisation vehicle has issued the securities of the transaction.
436 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit S.p.A.
Transaction from previous years
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million) :
Net amount of pre-existing writedown/writebacks:
Disposal Profit & Loss realised (€ million):
Portfolio disposal price (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit :
Third Parties Lines of Credit (€ million):
Other Credit Enhancements (€ million):
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred:
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
. Security subscribers
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
. Security subscribers
PILLARSTONE ITALY - BURGO
Traditional
UniCredit S.p.A.
Pillarstone Italy SPV S.r.l.
Securitisation Services S.p.A.
-
Innovative structure of securitisation to manage and overcome the temporary difficulties
of the debtor sold, in order to optimise the reimbursement of the securitised portfolio.
Corporate loans
Unlikely to pay
12.10.2015
151
-
-
151
-
-
-
2
22
Credit Enhancement is represented by the deferred purchase price (DPP),
subordinated to the junior security for the payment, of a convertible loan sold to the
vehicle.
-
-
IT0005154825
Mezzanine(*)
B
-
-
12.10.2015
10.20.2030
5.0
EUR6M(360) + 200bps
Sub A
103
103
-
IT0005154809
Senior(*)
A
-
-
12.10.2015
10.20.2030
5.0
8.50%
-
5
5
IT0005155251
Junior(*)
C
-
-
12.10.2015
10.20.2030
-
5.0
EUR6M(360) + 1000bps
Sub A, B
20
20
Note:
(*) The classification of the field "Type of security" refers to Banca d’Italia Circular 262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and
junior exposures.
Pillarstone is a multioriginator securitization, with claims transferred by UniCredit and other banks. For representation purposes, securities reported
in the table are those issued in light of the portfolio transferred by UniCredit.
The "Closing date" is the date when the securitisation vehicle has issued the securities of the transaction.
UniCredit ·2019 Annual Report and Accounts 437
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit S.p.A.
Transaction from previous years
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Net amount of pre-existing writedown/writebacks (€ million):
Disposal Profit & Loss realised (€ million):
Portfolio disposal price (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit (€ million):
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
PILLARSTONE ITALY - RAINBOW
Traditional
UniCredit S.p.A.
Pillarstone Italy SPV S.r.l.
Securitisation Services S.p.A.
-
Innovative structure of securitisation to manage and overcome the temporary difficulties
of the debtor sold, in order to optimise the reimbursement of the securitised portfolio
Corporate loans
Unlikely to pay
12.10.2015
74
-
-
74
4
-
IT0005154833
Senior(*)
A
-
-
12.10.2015
10.20.2030
5.0
8.50%
-
1
1
-
-
-
-
-
-
-
01.22.2019
17
-
-
17
2
The new issue of securities, occurred on
22 January 2019, resulted in an increase
of mezzanine notes for €2 million and
junior notes for €15 million
IT0005155103
Mezzanine(*)
B
-
-
12.10.2015 - 01.22.2019 (size increase)
10.20.2030
5.0
EUR6M(360) + 144pb
SUB A
19
19
IT0005155111
Junior(*)
C
-
-
12.10.2015 - 01.22.2019 (size increase)
10.20.2030
-
5.0
EUR6M(360)+1000pb
SUB A-B
71
71
Note:
(*) The classification of the field "Type of security" refers to Banca d’Italia Circular 262 "The Bank's Financial Statements" - Chapter 1 General principles - Section 5 Definitions - 5.23 - Securitisations: senior, mezzanine and
junior exposures.
The "Closing date" is the date when the securitisation vehicle has issued the securities of the transaction. In cases where the securities have not yet
been issued, the closing date corresponds to the date of sale of the portfolio.
438 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit S.p.A.
Traditional securitisations of Non-Performing loans
New Transactions 2019
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio (€ million):
Net amount of preexisting writedown/writebacks (€ million):
Disposal Profit & Loss realised (€ million)(*):
Portfolio disposal price (€ million):
Issued guarantees by the Bank:
Issued guarantees by third parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount of CDS or other risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordination level
. Nominal Value Issued (€ million)
. Nominal value at the end of accounting period (€ million)
. Security subscribers
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordination level
. Nominal Value Issued (€ million)
. Nominal value at the end of accounting period (€ million)
. Security subscribers
PRISMA SPV S.R.L.
Traditional
UniCredit S.p.A.
Prisma SPV S.r.l.
doValue S.p.A.
UniCredit Bank A.G.
Decrease of exposure in non-performing residential mortgages (bad-loans)
Residential mortgages granted to retail customers
Bad loans (sofferenze)
10.18.2019
6,101
2,741
-37
1,320
-
Government guarantee is effective on senior notes (i.e. GACS)
-
UniCredit Bank Ag has granted a credit facility of €66 million to the SPV, super-senior in
the priority of payment.
-
UniCredit S.p.A. has originally underwriten the whole of notes issued by the SPV. On
12th November 2019, 95% of junior and mezzanine notes was sold on the market.
Moody's and Scope
-
IT0005387904
Senior
A
(Moody's) Baa1 - (Scope) BBB+
-
10.18.2019
November 2039
-
3.4
6M Eur +1,50%
-
1,210
1,210
UniCredit S.p.A.
IT0005387912
Mezzanine
B
(Moody's) B3 - (Scope) B-
-
10.18.2019
November 2039
-
8.10
6M Eur +9%
SUB A
80
80
UniCredit S.p.A.
IT0005387920
Junior
J
-
-
10.18.2019
November 2039
-
9.1
variable
SUB A-B
30
30
UniCredit S.p.A.
UniCredit ·2019 Annual Report and Accounts 439
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
continued: from previous page
NAME:
Distribution of securitised assets by area (€ million):
Italy - Northwest
Italy - Northeast
Italy - Central
Italy - South and Islands
Other European Countries - E.U. countries
Other European Countries - non-E.U. countries
America
Rest of the World
Total
Distribution of securitised assets by business sector of the borrower (€ million):
Governments
Other public-sector entities
Banks
Financial Companies
Insurance Companies
Non-financial Companies
Other entities
Total
Note:
(*) Amount gross of initial transaction's costs.
PRISMA SPV S.R.L.
2,304
1,017
1,200
1,571
3
4
1
-
6,101
-
-
-
-
-
-
6,101
6,101
440 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit S.p.A.
Traditional securitisations of Non-Performing loans
Transactions from previous years
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Net amount of pre-existing writedown/writebacks (€ million):
Disposal Profit & Loss realised (€ million)(*):
Portfolio disposal price (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit :
Other Credit Enhancements :
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
Note:
(*) Amount gross of initial transaction's costs.
FINO 1
Traditional
UniCredit S.p.A/Arena Npl ONE S.r.l.
FINO 1 Securitisation S.r.l.
Italfondiario S.p.A. (Master Servicer), doValue S.p.A. (Special Servicer)
Morgan Stanley International Plc - UniCredit Bank AG
UniCredit S.p.A. NPL stock reduction
Secured and unsecured loans granted to small and medium enterprises and individuals
Bad loans (sofferenze)
07.31.2017
5,376
890
-96
794
-
-
-
-
-
Moody's - DBRS
-
IT0005277311
Senior
A
(Moody's) A2 / BBB+ - (DBRS) A2 / BBB+
-
07.31.2017
October 2045
IT0005277337
Mezzanine
B
(Moody's) Ba3 /BB+ - (DBRS) Ba3 /BB+
-
07.31.2017
October 2045
not before 07.31.2020
2.2
3M Eur + 1.5%
-
650
380
IT0005277345
Mezzanine
C
(Moody's) B1 / BB - (DBRS) B1 / BB
-
07.31.2017
October 2045
not before 07.31.2020
4.2
3M Eur + 6%
SUB A-B
40
40
4.1
3M Eur + 4%
SUB A
30
30
IT0005277352
Junior
D
-
-
07.31.2017
October 2045
6.8
3M Eur + 12%
SUB A-B-C
50
50
UniCredit ·2019 Annual Report and Accounts 441
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Net amount of pre-existing writedown/writebacks (€ million):
Disposal Profit & Loss realised (€ million)(*):
Portfolio disposal price (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit :
Third Parties Lines of Credit :
Other Credit Enhancements :
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
Note:
(*) Amount gross of initial transaction's costs.
FINO 2
Traditional
UniCredit S.p.A/Arena Npl ONE S.r.l.
FINO 2 Securitisation S.r.l.
Italfondiario S.p.A. (Master Servicer), doValue S.p.A. (Special Servicer)
Morgan Stanley International Plc - UniCredit Bank AG
UniCredit S.p.A. NPL stock reduction
Secured and unsecured loans granted to small and medium enterprises and individuals
Bad loans (sofferenze)
07.31.2017
7,841
822
-181
640
-
-
-
-
-
-
-
-
IT0005277378
Senior
A
-
-
07.31.2017
October 2045
-
1.6
3M Eur + 2%
-
400
267
IT0005277402
Mezzanine
C
-
-
07.31.2017
October 2045
-
4.3
3M Eur + 8%
SUB A-B
76
76
IT0005277394
Mezzanine
B
-
-
07.31.2017
October 2045
-
3.6
3M Eur + 6%
SUB A
125
125
IT0005277410
Junior
D
-
-
07.31.2017
October 2045
-
6.2
3M Eur + 12%
SUB A-B-C
40
40
442 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Net amount of pre-existing writedown/writebacks (€ million):
Disposal Profit & Loss realised (€ million)(*):
Portfolio disposal price net of Lock Box Cash (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit :
Other Credit Enhancements :
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
Note:
(*) Amount gross of initial transaction's costs.
ONIF
Traditional
UniCredit S.p.A
Onif Finance S.r.l.
Zenith Service S.p.A. (Master Servicer) - Phoenix Asset Management S.p.A. (Special Servicer)
Morgan Stanley International Plc - UniCredit Bank AG
UniCredit S.p.A. NPL stock reduction
Secured and unsecured loans granted to large enterprises
Bad loans (sofferenze)
07.26.2017
2,994
402
-84
318
-
-
2
-
Cash reserve for €0,7 million
-
-
-
IT0005277022
Mezzanine
B
-
-
07.26.2017
October 2042
-
4.5
5.00%
SUB A
100
100
IT0005277014
Senior
A
-
-
07.26.2017
October 2042
-
2.0
2.00%
-
150
37
IT0005277030
Junior
C
-
-
07.26.2017
October 2042
-
6.7
10.00%
SUB A-B
80
80
UniCredit ·2019 Annual Report and Accounts 443
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit S.p.A.
Synthetic securitisations of Performing loans
New Transactions 2019
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit :
Other Credit Enhancements :
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
. Risk holder
Distribution of securitised assets by area (€ million):
Italy - Northwest
Italy - Northeast
Italy - Central
Italy - South and Islands
Other European Countries - E.U. countries
Other European Countries - non-E.U. countries
America
Rest of the World
Total
Distribution of securitised assets by business sector of the borrower (€ million):
Governments
Other public-sector entities
Banks
Financial Companies
Insurance Companies
Non-financial Companies
Other entities
Total
TC EaSI Micro Credito
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
Unsecured loans - maturity between 6 and 55 months - to micro enterprises
Performing
11.25.2019
27
-
Financial guarantee to partially hedge the junior risk in the form of personal guarantee
-
-
-
-
No rating agency, use of Supervisory SEC-IRBA Approach(*)
-
-
Junior
B
-
11.25.2019
12.10.2025
-
12.10.2025
-
SUB A
3
3
Partially hedged by protection seller
-
Senior
A
-
11.25.2019
12.10.2025
-
12.10.2025
-
-
24
18
UniCredit S.p.A.
6
7
8
6
-
-
-
-
27
-
-
-
-
-
10
17
27
Note:
(*) Synthetic securitisations carried out using the SEC-IRBA approach as required by art. 258-259 of Regulation (EU) No. 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending
Regulation (EU) No. 575/2013 on prudential requirements for credit institutions and investment firms.
444 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit :
Other Credit Enhancements :
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
. Risk holder
Distribution of securitised assets by area (€ million):
Italy - Northwest
Italy - Northeast
Italy - Central
Italy - South and Islands
Other European Countries - E.U. countries
Other European Countries - non-E.U. countries
America
Rest of the World
Total
Distribution of securitised assets by business sector of the borrower (€ million):
Governments
Other public-sector entities
Banks
Financial Companies
Insurance Companies
Non-financial Companies
Other entities
Total
Bond Italia 7
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises
Performing
11.21.2019
273
-
Financial guarantee to partially hedge the junior risk in the form of personal guarantee
-
-
-
-
No rating agency, use of Supervisory SEC-IRBA Approach(*)
-
-
Junior
B
-
11.21.2019
11.30.2024
-
11.30.2024
-
SUB A
21
21
Partially hedged by protection seller
-
Senior
A
-
11.21.2019
11.30.2024
-
11.30.2024
-
-
252
251
UniCredit S.p.A.
100
74
65
34
-
-
-
-
273
-
-
-
-
-
131
142
273
Note:
(*) Synthetic securitisations carried out using the SEC-IRBA approach as required by art. 258-259 of Regulation (EU) No. 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending
Regulation (EU) No. 575/2013 on prudential requirements for credit institutions and investment firms.
UniCredit ·2019 Annual Report and Accounts 445
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit :
Other Credit Enhancements :
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
. Risk holder
Distribution of securitised assets by area (€ million):
Italy - Northwest
Italy - Northeast
Italy - Central
Italy - South and Islands
Other European Countries - E.U. countries
Other European Countries - non-E.U. countries
America
Rest of the World
Total
Distribution of securitised assets by business sector of the borrower (€ million):
Governments
Other public-sector entities
Banks
Financial Companies
Insurance Companies
Non-financial Companies
Other entities
Total
Bond Italia 6 Investimenti
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises
Performing
11.21.2019
88
-
Financial guarantee to partially hedge the junior risk in the form of personal guarantee
-
-
-
-
No rating agency, use of Supervisory SEC-IRBA Approach(*)
-
-
Junior
B
-
11.21.2019
11.30.2024
-
11.30.2024
-
SUB A
9
9
Partially hedged by protection seller
-
Senior
A
-
11.21.2019
11.30.2024
-
11.30.2024
-
-
79
78
UniCredit S.p.A.
26
28
8
25
-
-
-
-
88
-
-
-
-
-
44
44
88
Note:
(*) Synthetic securitisations carried out using the SEC-IRBA approach as required by art. 258-259 of Regulation (EU) No. 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending
Regulation (EU) No. 575/2013 on prudential requirements for credit institutions and investment firms.
446 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit (€ million):
Other Credit Enhancements (€ million):
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred:
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
. Risk holder
Distribution of securitised assets by area (€ million):
Italy - Northwest
Italy - Northeast
Italy - Central
Italy - South and Islands
Other European Countries - E.U. countries
Other European Countries - non-E.U. countries
America
Rest of the World
Total
Distribution of securitised assets by business sector of the borrower (€ million):
Governments
Other public-sector entities
Banks
Financial Companies
Insurance Companies
Non-financial Companies
Other entities
Total
Bond Italia 6 Misto
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
Unsecured loans - maturity between 30 and 72 months - to small and medium enterprises
Performing
12.18.2018
210
-
Financial guarantee to partially hedge the junior risk in the form of personal guarantee
-
-
-
-
No rating agency, use of Supervisory Formula Approach(*)
-
-
Senior
A
-
12.18.2018
11.30.2024
-
11.30.2024
-
-
192
189
-
Junior
B
-
12.18.2018
11.30.2024
-
11.30.2024
-
SUB A
18
18
UniCredit S.p.A.
Partially hedged by protection seller
76
45
39
50
-
-
-
-
210
-
-
-
-
-
94
116
210
Notes:
(*) Synthetic securitisations carried out using the Supervisory Formula Approach ("Supervisory Formula Approach - SFA") as required by Art.262 of Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR)
and earlier by circular 263/2006 of the Banca d’Italia.
In case of absence of eligible external rating and if PD and LGD estimations can be provided, the CRR (Art.259 1. b )) requires that the calculation of capital requirements for the various tranches of the securitisation shall be
performed using the Supervisory formula , in accordance with Art.262, taking care to provide the following five elements:
1. the capital requirement on the securitised assets calculated using the IRB approach (kIRB);
2. the level of credit support of the concerned tranche;
3. the thickness of the tranche;
4. the number of securitised assets;
5. the average LGD.
Then, using the Supervisory Formula Approach, it is possible to calculate the risk equivalent amount for a securitisation tranche related to its seniority, granularity, support level and risk of the underlying.
UniCredit ·2019 Annual Report and Accounts 447
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit S.p.A.
Synthetic securitisations of Performing loans
Transactions from previous years
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit :
Other Credit Enhancements :
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
Bond Italia 5-bis
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises
located in Southern Italy
Performing
10.19.2018
34
-
Financial guarantee to partially hedge the junior risk in the form of personal guarantee
-
-
-
-
No rating agency, use of Supervisory Formula Approach(*)
-
-
Senior
A
-
10.19.2018
08.31.2024
-
-
-
-
32
28
-
Junior
B
-
10.19.2018
08.31.2024
-
-
-
SUB A
2
2
Notes:
(*) Synthetic securitisations carried out using the Supervisory Formula Approach ("Supervisory Formula Approach - SFA") as required by Art.262 of Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR)
and earlier by circular 263/2006 of the Banca d’Italia.
In case of absence of eligible external rating and if PD and LGD estimations can be provided, the CRR (Art.259 1. b )) requires that the calculation of capital requirements for the various tranches of the securitisation shall be
performed using the Supervisory formula , in accordance with Art.262, taking care to provide the following five elements:
1. the capital requirement on the securitised assets calculated using the IRB approach (kIRB);
2. the level of credit support of the concerned tranche;
3. the thickness of the tranche;
4. the number of securitised assets;
5. the average LGD.
Then, using the Supervisory Formula Approach, it is possible to calculate the risk equivalent amount for a securitisation tranche related to its seniority, granularity, support level and risk of the underlying.
448 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit :
Other Credit Enhancements :
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
Bond del Mezzogiorno 1
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises
located in Southern Italy
Performing
09.19.2018
92
-
Financial guarantee to partially hedge the junior risk in the form of personal guarantee
-
-
-
-
No rating agency, use of Supervisory Formula Approach(*)
-
-
Senior
A
-
09.19.2018
02.29.2024
-
-
-
-
80
51
-
Junior
B
-
09.19.2018
02.29.2024
-
-
-
SUB A
11
11
Notes:
(*) Synthetic securitisations carried out using the Supervisory Formula Approach ("Supervisory Formula Approach - SFA") as required by Art.262 of Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR)
and earlier by circular 263/2006 of the Banca d’Italia.
In case of absence of eligible external rating and if PD and LGD estimations can be provided, the CRR (Art.259 1. b )) requires that the calculation of capital requirements for the various tranches of the securitisation shall be
performed using the Supervisory formula , in accordance with Art.262, taking care to provide the following five elements:
1. the capital requirement on the securitised assets calculated using the IRB approach (kIRB);
2. the level of credit support of the concerned tranche;
3. the thickness of the tranche;
4. the number of securitised assets;
5. the average LGD.
Then, using the Supervisory Formula Approach, it is possible to calculate the risk equivalent amount for a securitisation tranche related to its seniority, granularity, support level and risk of the underlying.
UniCredit ·2019 Annual Report and Accounts 449
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit :
Other Credit Enhancements :
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
Agribond 2
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
Unsecured loans - maturity 72 months - to small and medium enterprises pertaining to the
agricolture sector
Performing
09.05.2018
166
-
Financial guarantee to partially hedge the junior risk in the form of personal guarantee
-
-
-
-
No rating agency, use of Supervisory Formula Approach(*)
-
-
Senior
A
-
09.05.2018
12.31.2026
-
-
-
-
154
117
-
Junior
B
-
09.05.2018
12.31.2026
-
-
-
SUB A
12
12
Notes:
(*) Synthetic securitisations carried out using the Supervisory Formula Approach ("Supervisory Formula Approach - SFA") as required by Art.262 of Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR)
and earlier by circular 263/2006 of the Banca d’Italia.
In case of absence of eligible external rating and if PD and LGD estimations can be provided, the CRR (Art.259 1. b )) requires that the calculation of capital requirements for the various tranches of the securitisation shall be
performed using the Supervisory formula , in accordance with Art.262, taking care to provide the following five elements:
1. the capital requirement on the securitised assets calculated using the IRB approach (kIRB);
2. the level of credit support of the concerned tranche;
3. the thickness of the tranche;
4. the number of securitised assets;
5. the average LGD.
Then, using the Supervisory Formula Approach, it is possible to calculate the risk equivalent amount for a securitisation tranche related to its seniority, granularity, support level and risk of the underlying.
450 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit :
Other Credit Enhancements :
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
Puglia Sviluppo 1
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
Unsecured loans - maturity between 18 and 60 months - to small and medium enterprises
located in Apulia
Performing
03.31.2017
21
-
Junior risk partially cash collateralised
-
-
-
-
No rating agency, use of Supervisory Formula Approach(*)
-
-
Senior
A
-
03.31.2017
12.31.2025
-
-
-
-
19
2
-
Junior
B
-
03.31.2017
12.31.2025
-
-
-
SUB A
2
2
Notes:
(*) Synthetic securitisations carried out using the Supervisory Formula Approach ("Supervisory Formula Approach - SFA") as required by Art.262 of Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR)
and earlier by circular 263/2006 of the Banca d’Italia.
In case of absence of eligible external rating and if PD and LGD estimations can be provided, the CRR (Art.259 1. b )) requires that the calculation of capital requirements for the various tranches of the securitisation shall be
performed using the Supervisory formula , in accordance with Art.262, taking care to provide the following five elements:
1. the capital requirement on the securitised assets calculated using the IRB approach (kIRB);
2. the level of credit support of the concerned tranche;
3. the thickness of the tranche;
4. the number of securitised assets;
5. the average LGD.
Then, using the Supervisory Formula Approach, it is possible to calculate the risk equivalent amount for a securitisation tranche related to its seniority, granularity, support level and risk of the underlying.
UniCredit ·2019 Annual Report and Accounts 451
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio (€ million):
Issued guarantees by the Bank:
Issued guarantees by third parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount and Conditions of tranching:
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
. Expected duration
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
. Expected duration
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
. Expected duration
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
SME Initiative 2017
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
Pool of UniCredit's SME loans, concentrated in South of Italy for at least 50%
Performing
12.22.2017
460
-
Financial guarantee to hedge the mezzanine and junior risk in the form of personal guarantee
-
-
-
-
No rating agency, use of Supervisory Formula Approach(*)
-
Senior
A
-
12.22.2017
11.13.2030
-
Upper Mezzanine
B1
-
12.22.2017
11.13.2030
Clean-up call, regulatory call,Time call
11.13.2030
-
-
395
100
-
Middle Mezzanine
B2
-
12.22.2017
11.13.2030
11.13.2030
-
SUB A
2
2
-
Lower Mezzanine
B3
-
12.22.2017
11.13.2030
Clean-up call, regulatory call,Time call
11.13.2030
-
SUB A-B1
1
1
-
Second Loss
C
-
12.22.2017
11.13.2030
11.13.2030
-
SUB A-B1-B2-B3
14
14
11.13.2030
-
SUB A-B1-B2
12
12
-
Junior
D
-
12.22.2017
11.13.2030
11.13.2030
-
SUB A-B1-B2-B3-C
36
36
Clean-up call, regulatory call,Time call
Notes:
(*) Synthetic securitisations carried out using the Supervisory Formula Approach ("Supervisory Formula Approach - SFA") as required by Art.262 of Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR)
and earlier by circular 263/2006 of the Banca d’Italia.
In case of absence of eligible external rating and if PD and LGD estimations can be provided, the CRR (Art.259 1. b )) requires that the calculation of capital requirements for the various tranches of the securitisation shall be
performed using the Supervisory formula , in accordance with Art.262, taking care to provide the following five elements:
1. the capital requirement on the securitised assets calculated using the IRB approach (kIRB);
2. the level of credit support of the concerned tranche;
3. the thickness of the tranche;
4. the number of securitised assets;
5. the average LGD.
Then, using the Supervisory Formula Approach, it is possible to calculate the risk equivalent amount for a securitisation tranche related to its seniority, granularity, support level and risk of the underlying.
452 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio (€ million):
Issued guarantees by the Bank:
Issued guarantees by third parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount and Conditions of tranching:
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
. Expected duration
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
Finpiemonte 2016
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
FILSEC 2016
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
Unsecured loans - maturity between 18 and 60 months -
to small and medium enterprises located in Piemonte
Unsecured loans - maturity between 18 and 60 months -
to small and medium enterprises located in Liguria
Performing
10.31.2017
58
-
Junior risk partially cash collateralised
-
-
-
-
No rating agency, use of Supervisory Formula
Approach(*)
-
Senior
A
-
10.31.2017
12.31.2021
-
Junior
B
-
10.31.2017
12.31.2021
Performing
10.31.2017
28
-
Junior risk partially cash collateralised
-
-
-
-
No rating agency, use of Supervisory Formula
Approach(*)
-
Senior
A
-
06.16.2017
12.31.2021
-
Mezzanine
B
-
06.16.2017
12.31.2021
-
-
12.31.2021
12.31.2021
12.31.2021
12.31.2021
-
-
51
5
-
SUB A
7
7
-
-
25
2
-
SUB A
4
3
Notes:
(*) Synthetic securitisations carried out using the Supervisory Formula Approach ("Supervisory Formula Approach - SFA") as required by Art.262 of Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR)
and earlier by circular 263/2006 of the Banca d’Italia.
In case of absence of eligible external rating and if PD and LGD estimations can be provided, the CRR (Art.259 1. b )) requires that the calculation of capital requirements for the various tranches of the securitisation shall be
performed using the Supervisory formula , in accordance with Art.262, taking care to provide the following five elements:
1. the capital requirement on the securitised assets calculated using the IRB approach (kIRB);
2. the level of credit support of the concerned tranche;
3. the thickness of the tranche;
4. the number of securitised assets;
5. the average LGD.
Then, using the Supervisory Formula Approach, it is possible to calculate the risk equivalent amount for a securitisation tranche related to its seniority, granularity, support level and risk of the underlying.
UniCredit ·2019 Annual Report and Accounts 453
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio (€ million):
Issued guarantees by the Bank:
Issued guarantees by third parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount and Conditions of tranching:
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
. Expected duration
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
BOND ITALIA 5 INV
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
BOND ITALIA 5 MIX
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
Unsecured loans - maturity between 24 and 60 months -
to small and medium enterprises
Unsecured loans - maturity between 18 and 60 months -
to small and medium enterprises
Performing
06.16.2017
72
-
Performing
06.16.2017
297
-
Financial guarantee to partially hedge the junior risk in
the form of personal guarantee
Financial guarantee to partially hedge the junior risk in
the form of personal guarantee
-
-
-
-
No rating agency, use of Supervisory Formula
Approach(*)
-
-
-
-
No rating agency, use of Supervisory Formula
Approach(*)
-
Senior
A
-
06.16.2017
06.30.2022
-
Junior
B
-
06.16.2017
06.30.2022
-
Senior
A
-
06.16.2017
06.30.2022
-
-
-
Mezzanine
B
-
06.16.2017
06.30.2022
06.30.2022
06.30.2022
06.30.2022
06.30.2022
-
-
67
28
-
SUB A
5
5
-
-
278
38
-
SUB A
19
16
Notes:
(*) Synthetic securitisations carried out using the Supervisory Formula Approach ("Supervisory Formula Approach - SFA") as required by Art.262 of Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR)
and earlier by circular 263/2006 of the Banca d’Italia.
In case of absence of eligible external rating and if PD and LGD estimations can be provided, the CRR (Art.259 1. b )) requires that the calculation of capital requirements for the various tranches of the securitisation shall be
performed using the Supervisory formula , in accordance with Art.262, taking care to provide the following five elements:
1. the capital requirement on the securitised assets calculated using the IRB approach (kIRB);
2. the level of credit support of the concerned tranche;
3. the thickness of the tranche;
4. the number of securitised assets;
5. the average LGD.
Then, using the Supervisory Formula Approach, it is possible to calculate the risk equivalent amount for a securitisation tranche related to its seniority, granularity, support level and risk of the underlying.
454 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio (€ million):
Issued guarantees by the Bank:
Issued guarantees by third parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount and Conditions of tranching:
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
BOND ITALIA4 MISTO
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCreditBank A.G.
Credit risk hedging
unsecured loans - maturity between 18 and 60 months -
to small and medium enterprises
Performing
12.07.2016
300
-
Financial guarantee to partially hedge the junior risk in
the form of personal guarantee
-
-
-
-
No rating agency, use of Supervisory Formula
Approach(*)
-
Senior
A
-
12.07.2016
06.30.2023
-
-
Junior
B
-
12.07.2016
06.30.2023
. Expected duration (years)
06.30.2023
06.30.2023
ARTS MIDCAP5
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCreditBank A.G.
Credit risk hedging
Loans to Mid - Corporates
Performing
12.02.2016
2,463
-
Junior risk cash collateralised
-
-
-
-
No rating agency, use of Supervisory Formula
Approach(*)
-
-
Junior
Senior
B
A
-
-
12.02.2016
12.02.2016
12.31.2046
12.31.2046
Clean-up call, Regulatory Call, Time call
WAL 3,58Y; time call
after 5Y; regulatory call
expected Dec 2023
WAL 3,58Y; time call
after 5Y; regulatory call
expected Dec 2023
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
-
-
281
11
-
SUB A
19
16
-
-
2,340
835
-
SUB A
123
115
Notes:
(*) Synthetic securitisations carried out using the Supervisory Formula Approach ("Supervisory Formula Approach - SFA") as required by Art.262 of Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR)
and earlier by circular 263/2006 of the Banca d’Italia.
In case of absence of eligible external rating and if PD and LGD estimations can be provided, the CRR (Art.259 1. b )) requires that the calculation of capital requirements for the various tranches of the securitisation shall be
performed using the Supervisory formula , in accordance with Art.262, taking care to provide the following five elements:
1. the capital requirement on the securitised assets calculated using the IRB approach (kIRB);
2. the level of credit support of the concerned tranche;
3. the thickness of the tranche;
4. the number of securitised assets;
5. the average LGD.
Then, using the Supervisory Formula Approach, it is possible to calculate the risk equivalent amount for a securitisation tranche related to its seniority, granularity, support level and risk of the underlying.
UniCredit ·2019 Annual Report and Accounts 455
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio (€ million):
Issued guarantees by the Bank:
Issued guarantees by third parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount and Conditions of tranching:
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
ARTS MIDCAP4
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCreditBank A.G.
Credit risk hedging
Loans to Small and Mid Corporates
Performing
06.21.2016
2,259
-
Junior risk cash collateralised
-
-
-
-
No rating agency, use of Supervisory Formula
Approach(*)
-
-
Junior
Senior
B
A
-
-
06.21.2016
06.21.2016
01.31.2036
01.31.2036
Clean-up call, Regulatory Call, Time call
WAL 3,8Y; time call after
5Y; regulatory call
expected Mar 2024
WAL 3,8Y; time call after
5Y; regulatory call
expected Mar 2024
AGRIBOND
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
Unsecured loans - maturity 72 months - to small and
medium enterprises pertaining to the agricolture sector
Performing
06.30.2015
172
-
Financial guarantee to partially hedge the junior risk in
the form of personal guarantee
-
-
-
-
No rating agency, use of Supervisory Formula
Approach(*)
-
Senior
A
-
06.30.2015
12.31.2022
-
-
Junior
B
-
06.30.2015
12.31.2022
12.31.2022
12.31.2022
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
-
-
2,146
771
-
SUB A
113
111
-
-
161
32
-
-
11
11
Notes:
(*) Synthetic securitisations carried out using the Supervisory Formula Approach ("Supervisory Formula Approach - SFA") as required by Art.262 of Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR)
and earlier by circular 263/2006 of the Banca d’Italia.
In case of absence of eligible external rating and if PD and LGD estimations can be provided, the CRR (Art.259 1. b )) requires that the calculation of capital requirements for the various tranches of the securitisation shall be
performed using the Supervisory formula , in accordance with Art.262, taking care to provide the following five elements:
1. the capital requirement on the securitised assets calculated using the IRB approach (kIRB);
2. the level of credit support of the concerned tranche;
3. the thickness of the tranche;
4. the number of securitised assets;
5. the average LGD.
Then, using the Supervisory Formula Approach, it is possible to calculate the risk equivalent amount for a securitisation tranche related to its seniority, granularity, support level and risk of the underlying.
456 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio (€ million):
Issued guarantees by the Bank:
Issued guarantees by third parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount and Conditions of tranching:
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
BOND ITALIA 3 INVESTIMENTI
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
BOND ITALIA3 MISTO
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCreditBank A.G.
Credit risk hedging
unsecured loans - maturity between 24 and 60 months -
to small and medium enterprises
unsecured loans - maturity between 18 and 60 months -
to small and medium enterprises
Performing
05.14.2016
99
-
Financial guarantee to partially hedge the junior risk in
the form of personal guarantee
-
-
-
-
No rating agency, use of Supervisory Formula
Approach(*)
Performing
05.14.2016
166
-
Financial guarantee to partially hedge the junior risk in
the form of personal guarantee
-
-
-
-
No rating agency, use of Supervisory Formula
Approach(*)
-
Senior
-
-
05.14.2016
02.28.2022
02.28.2022
-
-
92
16
-
-
Junior
-
-
05.14.2016
02.28.2022
02.28.2022
-
-
7
6
-
Senior
-
-
05.14.2016
02.28.2021
02.28.2021
-
-
156
-
-
-
Junior
-
-
05.14.2016
02.28.2021
02.28.2021
-
-
10
5
Notes:
(*) Synthetic securitisations carried out using the Supervisory Formula Approach ("Supervisory Formula Approach - SFA") as required by Art.262 of Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR)
and earlier by circular 263/2006 of the Banca d’Italia.
In case of absence of eligible external rating and if PD and LGD estimations can be provided, the CRR (Art.259 1. b )) requires that the calculation of capital requirements for the various tranches of the securitisation shall be
performed using the Supervisory formula , in accordance with Art.262, taking care to provide the following five elements:
1. the capital requirement on the securitised assets calculated using the IRB approach (kIRB);
2. the level of credit support of the concerned tranche;
3. the thickness of the tranche;
4. the number of securitised assets;
5. the average LGD.
Then, using the Supervisory Formula Approach, it is possible to calculate the risk equivalent amount for a securitisation tranche related to its seniority, granularity, support level and risk of the underlying.
UniCredit ·2019 Annual Report and Accounts 457
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio (€ million):
Issued guarantees by the Bank:
Issued guarantees by third parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount and Conditions of tranching:
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
SARDAFIDI
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCreditBank A.G.
Credit risk hedging
BOND ITALIA4 INVESTIMENTI
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
unsecured loans to small and medium enterprises
located in Sardinia, originated with the purpose of
financing working capital and/or investments
unsecured loans - maturity between 24 and 60 months -
to small and medium enterprises
Performing
10.15.2015
14
-
Junior risk partially cash collateralised
-
-
-
-
No rating agency, use of Supervisory Formula
Approach(*)
-
Senior
A
-
10.15.2016
06.30.2021
06.30.2021
-
-
13
-
-
-
Junior
B
-
10.15.2016
06.30.2021
06.30.2021
-
-
1
1
Performing
12.07.2016
100
-
Financial guarantee to partially hedge the junior risk in
the form of personal guarantee
-
-
-
-
No rating agency, use of Supervisory Formula
Approach(*)
-
Senior
A
-
12.07.2016
06.30.2023
06.30.2023
-
-
92
39
-
-
Junior
B
-
12.07.2016
06.30.2023
06.30.2023
-
SUB A
8
7
Notes:
(*) Synthetic securitisations carried out using the Supervisory Formula Approach ("Supervisory Formula Approach - SFA") as required by Art.262 of Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR)
and earlier by circular 263/2006 of the Banca d’Italia.
In case of absence of eligible external rating and if PD and LGD estimations can be provided, the CRR (Art.259 1. b )) requires that the calculation of capital requirements for the various tranches of the securitisation shall be
performed using the Supervisory formula , in accordance with Art.262, taking care to provide the following five elements:
1. the capital requirement on the securitised assets calculated using the IRB approach (kIRB);
2. the level of credit support of the concerned tranche;
3. the thickness of the tranche;
4. the number of securitised assets;
5. the average LGD.
Then, using the Supervisory Formula Approach, it is possible to calculate the risk equivalent amount for a securitisation tranche related to its seniority, granularity, support level and risk of the underlying.
458 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio (€ million):
Issued guarantees by the Bank:
Issued guarantees by third parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount and Conditions of tranching:
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
. Expected duration
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
BOND ITALIA1 MISTO
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
BOND ITALIA2 MISTO
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
Unsecured loans - maturity between 18 and 60 months -
to small and medium enterprises
Unsecured loans - maturity between 18 and 60 months -
to small and medium enterprises
Performing
06.30.2015
296
-
Performing
12.31.2015
300
-
Financial guarantee to partially hedge the junior risk in
the form of personal guarantee
Financial guarantee to partially hedge the junior risk in
the form of personal guarantee
-
-
-
-
No rating agency, use of Supervisory Formula
Approach(*)
-
-
-
-
No rating agency, use of Supervisory Formula
Approach(*)
-
Senior
A
-
06.30.2015
12.31.2023
12.31.2023
-
-
277
-
-
-
Junior
B
-
06.30.2015
12.31.2023
12.31.2023
-
SUB A
19
6
-
Senior
A
-
12.31.2015
02.28.2021
02.28.2021
-
-
281
-
-
Junior
B
-
12.31.2015
02.28.2021
02.28.2021
-
SUB A
19
7
-
Notes:
(*) Synthetic securitisations carried out using the Supervisory Formula Approach ("Supervisory Formula Approach - SFA") as required by Art.262 of Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR)
and earlier by circular 263/2006 of the Banca d’Italia.
In case of absence of eligible external rating and if PD and LGD estimations can be provided, the CRR (Art.259 1. b )) requires that the calculation of capital requirements for the various tranches of the securitisation shall be
performed using the Supervisory formula , in accordance with Art.262, taking care to provide the following five elements:
1. the capital requirement on the securitised assets calculated using the IRB approach (kIRB);
2. the level of credit support of the concerned tranche;
3. the thickness of the tranche;
4. the number of securitised assets;
5. the average LGD.
Then, using the Supervisory Formula Approach, it is possible to calculate the risk equivalent amount for a securitisation tranche related to its seniority, granularity, support level and risk of the underlying.
UniCredit ·2019 Annual Report and Accounts 459
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio (€ million):
Issued guarantees by the Bank:
Issued guarantees by third parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount and Conditions of tranching:
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
. Expected duration
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
BOND ITALIA2 INVESTIMENTI
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
ARTS MIDCAP3
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCreditBank A.G.
Credit risk hedging
Unsecured loans - maturity between 24 and 60 months -
to small and medium enterprises
Loans to Mid - Corporates
Performing
12.31.2015
100
-
Performing
11.21.2015
4,367
-
Financial guarantee to partially hedge the junior risk in
the form of personal guarantee
-
-
-
-
No rating agency, use of Supervisory Formula
Approach(*)
Junior risk cash collateralised; financial guarantee to
hedge the mezzanine risk in the form of personal
guarantee
-
-
-
-
No rating agency, use of Supervisory Formula
Approach(*)
-
Senior
A
-
12.31.2015
02.28.2022
-
Junior
B
-
12.31.2015
02.28.2022
-
Senior
A
-
11.21.2015
12.31.2030
-
Mezzanine
B
-
11.21.2015
12.31.2030
-
Clean-up call, regulatory call
02.28.2022
02.28.2022
-
-
92
15
-
SUB A
8
6
WAL 3,36 regulatory call
expected Dec 2022
-
-
4,105
570
-
WAL 3,36 regulatory call
expected Dec 2022
-
SUB A
44
44
Junior
C
-
11.21.2015
12.31.2030
-
SUB A-B
218
201
Notes:
(*) Synthetic securitisations carried out using the Supervisory Formula Approach ("Supervisory Formula Approach - SFA") as required by Art.262 of Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR)
and earlier by circular 263/2006 of the Banca d’Italia.
In case of absence of eligible external rating and if PD and LGD estimations can be provided, the CRR (Art.259 1. b )) requires that the calculation of capital requirements for the various tranches of the securitisation shall be
performed using the Supervisory formula , in accordance with Art.262, taking care to provide the following five elements:
1. the capital requirement on the securitised assets calculated using the IRB approach (kIRB);
2. the level of credit support of the concerned tranche;
3. the thickness of the tranche;
4. the number of securitised assets;
5. the average LGD.
Then, using the Supervisory Formula Approach, it is possible to calculate the risk equivalent amount for a securitisation tranche related to its seniority, granularity, support level and risk of the underlying.
460 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio (€ million):
Issued guarantees by the Bank:
Issued guarantees by third parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount and Conditions of tranching:
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
. Expected duration
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
GEPAFIN
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
Unsecured loans with maturity > 18 months to
corporates located in Umbria
Performing
03.09.2015
7
-
Junior risk partially cash collateralised
-
-
-
-
No rating agency, use of Supervisory Formula
Approach(*)
-
Senior
A
-
03.09.2015
12.31.2019
12.31.2019
-
-
6
-
-
-
Junior
B
-
03.09.2015
12.31.2019
12.31.2019
-
SUB A
1
0
ARTS LEONARDO
Tranched Cover
UniCredit S.p.A.
ARTS LEONARDO 2015-1 S.A.
UniCredit S.p.A.
UniCreditBank A.G.
Credit risk hedging
Project financing Loans and Shipping
Performing
06.26.2015
1,520
-
Junior risk cash collateralised
-
-
-
-
No rating agency, use of Supervisory Formula
Approach(*)
-
Senior
A
-
06.26.2015
2040
-
Junior
B
-
06.26.2015
2040
Clean-up call, regulatory call
2021
-
-
1,414
365
2021
-
SUB A
106
97
Notes:
(*) Synthetic securitisations carried out using the Supervisory Formula Approach ("Supervisory Formula Approach - SFA") as required by Art.262 of Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR)
and earlier by circular 263/2006 of the Banca d’Italia.
In case of absence of eligible external rating and if PD and LGD estimations can be provided, the CRR (Art.259 1. b )) requires that the calculation of capital requirements for the various tranches of the securitisation shall be
performed using the Supervisory formula , in accordance with Art.262, taking care to provide the following five elements:
1. the capital requirement on the securitised assets calculated using the IRB approach (kIRB);
2. the level of credit support of the concerned tranche;
3. the thickness of the tranche;
4. the number of securitised assets;
5. the average LGD.
Then, using the Supervisory Formula Approach, it is possible to calculate the risk equivalent amount for a securitisation tranche related to its seniority, granularity, support level and risk of the underlying.
UniCredit ·2019 Annual Report and Accounts 461
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio (€ million):
Issued guarantees by the Bank:
Issued guarantees by third parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount and Conditions of tranching:
. ISIN
. Type of security
. Class
. Rating
. Issue date
. Legal maturity
. Call option
. Expected duration
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
BOND ITALIA1 INVESTIMENTI
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
Unsecured loans - maturity between 24 and 60 months - to small and medium enterprises
Performing
06.30.2015
94
-
Financial guarantee to partially hedge the junior risk in the form of personal guarantee
-
-
-
-
No rating agency, use of Supervisory Formula Approach(*)
-
Senior
A
-
06.30.2015
02.28.2025
02.28.2025
-
-
87
13
-
-
Junior
B
-
06.30.2015
02.28.2025
02.28.2025
-
SUB A
7
6
Notes:
(*) Synthetic securitisations carried out using the Supervisory Formula Approach ("Supervisory Formula Approach - SFA") as required by Art.262 of Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR)
and earlier by circular 263/2006 of the Banca d’Italia.
In case of absence of eligible external rating and if PD and LGD estimations can be provided, the CRR (Art.259 1. b )) requires that the calculation of capital requirements for the various tranches of the securitisation shall be
performed using the Supervisory formula , in accordance with Art.262, taking care to provide the following five elements:
1. the capital requirement on the securitised assets calculated using the IRB approach (kIRB);
2. the level of credit support of the concerned tranche;
3. the thickness of the tranche;
4. the number of securitised assets;
5. the average LGD.
Then, using the Supervisory Formula Approach, it is possible to calculate the risk equivalent amount for a securitisation tranche related to its seniority, granularity, support level and risk of the underlying.
462 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio (€ million):
Issued guarantees by the Bank:
Issued guarantees by third parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount and Conditions of tranching:
. ISIN
. Type of security
. Class
. Rating
. Legal maturity
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
CONFIDIMPRESA TRENTINO E COOPERATIVA ARTIGIANA DI GARANZIA DELLA
PROVINCIA DI TRENTO
Tranched Cover
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
UniCredit S.p.A.
Credit risk hedging
Loans to small and medium entriprises
Performing
06.30.2014
11
-
Junior risk partially cash collateralised
-
-
-
The Consortia guarantee hedges the 95% of the Junior tranche and the tranche is equal to €0,7
million
No rating agency, use of Supervisory Formula Approach(*)
-
Senior
A
-
03.31.2020
-
10
-
-
Junior
B
-
03.31.2020
SUB A
1
0
Notes:
(*) Synthetic securitisations carried out using the Supervisory Formula Approach ("Supervisory Formula Approach - SFA") as required by Art.262 of Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR)
and earlier by circular 263/2006 of the Banca d’Italia.
In case of absence of eligible external rating and if PD and LGD estimations can be provided, the CRR (Art.259 1. b )) requires that the calculation of capital requirements for the various tranches of the securitisation shall be
performed using the Supervisory formula , in accordance with Art.262, taking care to provide the following five elements:
1. the capital requirement on the securitised assets calculated using the IRB approach (kIRB);
2. the level of credit support of the concerned tranche;
3. the thickness of the tranche;
4. the number of securitised assets;
5. the average LGD.
Then, using the Supervisory Formula Approach, it is possible to calculate the risk equivalent amount for a securitisation tranche related to its seniority, granularity, support level and risk of the underlying.
UniCredit ·2019 Annual Report and Accounts 463
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit Leasing S.p.A.
STRATEGIES, PROCESSES AND GOALS:
INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS:
ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT:
HEDGING POLICIES:
OPERATING RESULTS:
Transactions from previous periods
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Net amount of preexinting writedown/writebacks (€ million):
Disposal Profit & Loss realised (€ million):
Portfolio disposal price (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
464 2019 Annual Report and Accounts · UniCredit
The main reasons for these transactions are:
improve asset allocation, diversification of funding
sources and improve Regulatory Ratios.
Each portfolio is monitored on an ongoing basis and
is described in monthly and quarterly reports
(required by the agreements) with a breakdown of
loans by status and the trend of repayments.
Coordination Structure was set up in the Accounts
Department. The Board of Directors is provided with
a report with a breakdown of repayments and the
status of loans.
The Special Purpose Vehicle bought IRSs as fair
value hedge and Basis Swaps as Cash flow hedge
(and related back to back between Originator and
Counterparty).
Repayments are in line with the schedule provided
on issue (business plan) such that the equity tranche
yield (including extra spread) is in line with expected
yield on investments with similar risk level.
LSV9 - SERIE 2016
Traditional
UniCredit Leasing S.p.A.
Locat SV S.r.l
UniCredit Leasing S.p.A.
UniCredit Bank AG London Branch
Funding/Counterbalancing capacity
Leasing loans bearing car, capital goods and real estate.
Performing
11.11.2016
3,784
-
-
3,784
-
-
-
-
UniCredit Leasing S.p.A. has granted SPV a subordinated loan of €40 million
Self - securitisation (No Revolving)
Moodys/DBRS
-
IT0005219578
Senior
A
A1/AA (low)
Dublin
11.14.2016
12.12.2042
3.14
Euribor 3m + 130bps
-
2,668
1,011
Clean-up call
IT0005219586
Junior
B
-
Dublin
11.14.2016
12.12.2042
-
Euribor 3m + 500 bps
SUB A
1,116
1,116
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit Bank AG
STRATEGIES, PROCESSES AND GOALS:
INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS:
ORGANISATIONAL STRUCTURE AND SYSTEM FOR REPORTING TO SENIOR MANAGEMENT:
HEDGING POLICIES:
OPERATING RESULTS:
Transactions from previous periods
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Net amount of preexinting writedown/writebacks (€ million):
Disposal Profit & Loss realised (€ million):
Portfolio disposal price (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
The main motivation for the Bank's securitisation programs is
the Capital relief and Funding for True Sale Transactions.
Each portfolio is monitored by the servicing department on an
ongoing basis and it is illustrated in the form of quarterly
report (investor report), which provides a breakdown of the
status of loans.
The Board Members approve each new transaction and any
other related decision and they are informed on the expected
performances and on those in the final balance. The bank's
annual/interim report contains information on the bank's own
ABS transactions.
For true sale transactions the issuer hedged portfolio's
interest rate risks through Interest Rate Swaps.
The results achieved up to the present are broadly in line with
expectations; payments received from the portfolio ensured
punctual and full payment to security holders and other
parties to the transaction.
ROSENKAVALIER 2015
Traditional
UniCredit Bank AG
Rosenkavalier 2015 UG
UniCredit Bank AG
UniCredit Bank AG (UniCredit Markets & Investment Banking)
Liquidity
Large Corporate and SME corporate loans
Performing
12.18.2015 (restructured on 11.30.2018)
3,500
-
-
3,500
-
-
-
-
-
Transaction executed to create ECB collateral
Fitch/DBRS
-
DE000A1687E2
Senior
A
A/A
Munich
12.18.2015
08.31.2045
Fixed Coupon 0,35%
Waterfall Position 1
2,104
2,104
Any payment date
DE000A1687F9
Junior
B
-
Munich
12.18.2015
08.31.2045
Fixed Coupon 3,25%
Waterfall Position 2
1,397
1,397
UniCredit ·2019 Annual Report and Accounts 465
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio at the end of the accounting period (€ million):
Net amount of preexinting writedown/writebacks (€ million):
Disposal Profit & Loss realised (€ million):
Portfolio disposal price (€ million):
Garantees issued by the Bank :
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
GELDILUX-TS-2015
Traditional
UniCredit Bank AG
Geldilux-TS-2015 S.A. (Luxembourg)
UniCredit Bank AG
UniCredit Bank AG (UniCredit Markets & Investment Banking)
Liquidity
SME corporate loans
Performing
07.29.2015
2,140
-
-
2,140
-
-
-
-
-
Transaction executed to create ECB collateral, True Sale - Revolving
Moody's/DBRS
-
XS1261582545
Senior
Liqudity Note
-
Luxembourg
07.29.2015
04.11.2023
EUR1M + 130bps
Waterfall Position 2
22
-
XS1261577206
Mezzanine
C
Baa2/-
Luxembourg
07.29.2015
04.11.2023
EUR1M + 150bps
Waterfall Position 4
36
-
Clean-up call
Clean-up call
XS1261539610
Senior
A
Aaa/A
Luxembourg
07.29.2015
07.08.2022
EUR1M (floored to zero) + 50bps
Waterfall Position 1
1,830
1,830
XS1261576810
Mezzanine
B
A2/-
Luxembourg
07.29.2015
04.11.2023
EUR1M + 95bps
Waterfall Position 3
84
-
XS1261577628
Junior
D
-
Luxembourg
07.29.2015
07.08.2022
Clean-up call
EUR1M (floored to zero) + 300bps
Waterfall Position 5
310
310
466 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio at the end of the accounting period (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Legal maturity
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
ROSENKAVALIER 2008
Traditional
UniCredit Bank AG
Rosenkavalier 2008 GmbH
UniCredit Bank AG
UniCredit Bank AG (UniCredit Markets & Investment Banking)
Liquidity
Mortgage loans
Performing
12.12.2008
3,140
-
-
-
-
-
Transaction executed to create ECB collateral
FITCH/Moody's
-
DE000A0AEDB2
DE000A0AEDC0
Senior
A
A+/A2
10.31.2058
-
9,653
2,575
Junior
B
-
10.31.2058
SUB A
2,294
565
UniCredit ·2019 Annual Report and Accounts 467
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit Bank Austria AG
Transactions from previous periods
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio (€ million):
Net amount of preexisting writedown/writebacks (€ million):
Disposal Profit & Loss realised (€ million):
Portfolio disposal price (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount of CDS or other risk transferred (€ million):
Amount and Conditions of tranching:
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration
. Rate
. Subordinated level
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
AMADEUS 2015
Synthetic
UniCredit Bank Austria AG
-
UniCredit Bank Austria AG
UniCredit Bank AG
Risk Transfer and RWA relief
Loans and Guarantees granted to SMEs
Performing
12.21.2015
1,965 (of which securitised 1,867, corresponding to 95% of the portfolio)
-
-
-
-
-
-
-
-
-
No rating agency, use of Supervisory Formula Approach(*)
-
-
Mezzanine
B
-
-
12.21.2015
11.30.2028
10% Clean Up Call
-
-
SUB A
42
42
-
Senior
A
-
-
12.21.2015
11.30.2028
10% Clean Up Call
-
-
-
1,731
253
-
Junior
C
-
-
12.21.2015
11.30.2028
10% Clean Up Call
-
-
SUB A-B
93
81
Notes:
(*) Synthetic securitisations carried out using the Supervisory Formula Approach ("Supervisory Formula Approach - SFA") as required by Art.262 of Regulation (EU) No.575/2013 (Capital Requirements Regulation - CRR)
and earlier by circular 263/2006 of the Banca d’Italia.
In case of absence of eligible external rating and if PD and LGD estimations can be provided, the CRR (Art.259 1. b)) requires that the calculation of capital requirements for the various tranches of the securitisation shall be
performed using the Supervisory formula , in accordance with Art.262, taking care to provide the following five elements:
1. the capital requirement on the securitised assets calculated using the IRB approach (kIRB);
2. the level of credit support of the concerned tranche;
3. the thickness of the tranche;
4. the number of securitised assets;
5. the average LGD.
Then, using the Supervisory Formula Approach, it is possible to calculate the risk equivalent amount for a securitisation tranche related to its seniority, granularity, support level and risk of the underlying.
468 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit Leasing (Austria) GmbH
Transactions from previous periods
NAME:
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of disposal portfolio (€ million):
Net amount of preexinting writedown/writebacks (€ million):
Disposal Profit & Loss realised (€ million):
Portfolio disposal price (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount of CDS or other supersenior risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Quotation
. Issue date
. Legal maturity
. Call option
. Expected duration (years)
. Rate
. Subordinated level
. Nominal value issued (€ million)
. Nominal value at the end of accounting period (€ million)
SUCCESS 2015
Traditional
UniCredit Leasing (Austria) GMBH
Success 2015 B.V.
UniCredit Leasing (Austria) GMBH
UniCredit Bank AG
Funding
Leasing Assets (Vehicle and Equipment)
Performing
11.09.2015
325
-
-
325
-
-
-
-
Subordinated Loan €4.6 million
-
Fitch & DBRS
-
XS1317727698
Senior
A
AAA
Listed Luxembourg Stock Exchange
10% clean up call
11.09.2015
10.31.2029
6.0
EUR3M + 0,47%
-
231
81
XS1317727938
Junior
B
-
-
11.09.2015
10.31.2029
6.0
EUR3M + 2%
SUB A
94
94
UniCredit ·2019 Annual Report and Accounts 469
Consolidated financial statements | Annexes
Annex 3 - Securitisations - qualitative tables
ORIGINATOR: UniCredit Bulbank AD
Transactions from previous periods
NAME
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio (€ million):
Guarantees issued by the Bank:
Guarantees issued by Third Parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Rating Agencies:
Amount of CDS or other risk transferred (€ million):
Amount and Condition of tranching:
. ISIN
. Type of security
. Class
. Rating
. Reference Position (€ million)
. Reference Position at the end of accounting period (€ million)
EIF JEREMIE
Synthetic - First loss Portfolio Guarantees
UniCredit Bulbank AD
European Investment Fund (EIF)
UniCredit Bulbank AD
UniCredit Bulbank AD
Risk transfer and capital relief
Highly diversified and granular pool of UniCredit Bulbank's SME loans
Performing
08.15.2011
6
-
First loss cash collateral EIF
-
-
-
- The agreed portfolio maximum volume is equal to €50 million.
- The guarantee covers 80% of each outstanding loan up to a total amount equal to 25% of the
portfolio volume
No rating agency, use of Supervisory Formula Approach(*)
-
Senior
A
-
-
-
-
Junior
B
-
5
5
Nota:
(*) Synthetic securitisation carried out using the Standardised Approach as required under Basel 3.
Where there is no eligible external rating, the Bank that holds or guarantees such an exposure may determine the risk weight by applying the “look through” treatment, provided the composition of the underlying pool is
known at all times. The unrated most senior position receives the average risk weight of the underlying exposures subject to supervisory review. Where Bank is unable to determine the risk weights assigned to the
underlying credit risk exposures, the unrated position must be deducted from regulatory capital.
470 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 4 - Sales of financial assets to investment funds, receiving
as consideration units issued by the same funds - qualitative
Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative
ORIGINATOR: UniCredit S.p.A.
New transactions 2019
GOALS - STRATEGIES - PROCESSES:
ROLE:
RISKS RELATED TO THE TRANSACTION:
MONITORING SYSTEMS:
UniCredit S.p.A., through the sale of debtors related to the shipping sector, aims to
facilitate companies classified as "unlikely to pay" to improve their strategic
positioning in their industrial sector.
Once the loans have been sold to the fund and UniCredit S.p.A. become a holder of
Fund's units, the bank no longer has a role in managing the debtor, remaining a
financial investor with no possibility of governance and management interference.
UniCredit S.p.A. has all the risks arising from the performance of the fund's units
and therefore from the management of the assets performed by DAVY and by the
Advisor Pillarstone.
UniCredit S.p.A. monitors the manager's performance through quarterly
management reports and participation in supervisory committees (Advisory Board)
without voting mechanisms and therefore without the possibility of management or
administrative interference in the fund.
UniCredit ·2019 Annual Report and Accounts 471
Consolidated financial statements | Annexes
Annex 4 - Sales of financial assets to investment funds, receiving
as consideration units issued by the same funds - qualitative
F.I.NAV
Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund
UniCredit S.p.A.
F.I.NAV
The objective of the transaction is to optimize access to the capital market for debtors sold by UniCredit to the fund,
leveraging on an industrial and strategic partner such as FINAV and on the sector expertise of Pillarstone and the
Private Equity Fund KKR.
Shipping loans
Unlikely to pay
02.19.2019
183$ ; 3€
114
(1)
131$
-
-
-
-
-
Shipping loans
Unlikely to pay
07.11.2019
15$; 6€
8
7
17$
-
-
-
-
-
Shipping loans
Unlikely to pay
08.02.2019
36€
12
1
14$
-
-
-
-
-
The assets sold have been
derecognised from the balance
sheet.
The assets sold have been
derecognised from the balance
sheet.
The assets sold have been
derecognised from the balance
sheet.
UniCredit S.p.A.
IT0005359754
17,367,908
17$
17,367,908
UniCredit S.p.A.
IT0005359754
14,150,677
14$
14,150,677
UniCredit S.p.A.
IT0005359754
130,932,648
131$
130,932,648
131$
-
56 $ 1 €
-
127$ 2 €
-
-
-
-
17$
-
-
6€
15 $
-
-
-
-
183$ ; 3€
15$; 6€
-
-
-
-
-
183$ ; 3€
-
183$ ; 3€
-
-
-
-
-
15$; 6€
-
15$; 6€
14$
-
-
36€
-
-
-
-
-
36€
-
-
-
-
-
36€
-
36€
NAME OF THE TRANSACTION
Type of transaction:
Originator:
Investment Fund underwritten:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio (million):
Net amount of preexisting writedown/writebacks (€ million):
Disposal Profit & Loss realised (€ million):
Portfolio disposal price (million):
Issued guarantees by the Bank:
Issued guarantees by third parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Units of Investment Fund underwritten
. Units subscriber
. ISIN
. N°. of units at the subscription
. Book Value at the subscription (million)
. N°. of units at the end of accounting period
. Book value at the end of accounting period (million)
Distribution of financial assets sold by area (€ million):
Italy - Northwest
Italy - Northeast
Italy - Central
Italy - South and Islands
Other European Countries - E.U. countries
Other European Countries - non-E.U. countries
America
Rest of the World
Total
Distribution of financial assets sold by business sector of the borrower (€ million):
Governments
Other public-sector entities
Banks
Financial Companies
Insurance Companies
Non-financial Companies
Other entities
Total
472 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 4 - Sales of financial assets to investment funds, receiving
as consideration units issued by the same funds - qualitative
ORIGINATOR: UniCredit S.p.A.
Transactions from previous years
GOALS - STRATEGIES - PROCESSES:
ROLE:
RISKS RELATED TO THE TRANSACTION:
MONITORING SYSTEMS:
UniCredit S.p.A., by selling its loans to the fund, aims to facilitate companies
classified as "unlikely to pay" to improve their strategic positioning in their relevant
industrial sector.
Once the loans have been sold to the fund and UniCredit S.p.A. become a holder of
Fund's units, the bank no longer has a role in managing the debtor, remaining a
financial investor with no possibility of governance and management interference.
UniCredit S.p.A. has all the risks arising from the performance of the fund's units
and therefore from the management of the assets performed by Dea Capital.
UniCredit S.p.A. monitors the manager's performance through quarterly
management reports and participation in supervisory committees (Advisory Board)
without voting mechanisms and therefore without the possibility of management or
administrative interference in the fund.
UniCredit ·2019 Annual Report and Accounts 473
Consolidated financial statements | Annexes
Annex 4 - Sales of financial assets to investment funds, receiving
as consideration units issued by the same funds - qualitative
NAME OF THE TRANSACTION
Type of transaction:
Originator:
Investment Fund underwritten:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio (€ million):
Net amount of preexisting writedown/writebacks (€ million):
Disposal Profit & Loss realised (€ million):
Portfolio disposal price (€ million):
Issued guarantees by the Bank:
Issued guarantees by third parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Units of Investment Fund underwritten
. Units subscriber
. ISIN
. N°. of units at the subscription
. Book Value at the subscription (€ million)
. N°. of units at the end of accounting period
. Book value at the end of accounting period (€ million)
Distribution of financial assets sold by area (€ million):
Italy - Northwest
Italy - Northeast
Italy - Central
Italy - South and Islands
Other European Countries - E.U. countries
Other European Countries - non-E.U. countries
America
Rest of the World
Total
Distribution of financial assets sold by business sector of the borrower (€ million):
Governments
Other public-sector entities
Banks
Financial Companies
Insurance Companies
Non-financial Companies
Other entities
Total
DEA CAPITAL CORPORATE CREDIT RECOVERY I
Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund
UniCredit S.p.A.
Dea Capital Corporate Credit Recovery I
The objective of the transaction is to optimize access to the capital market for borrowers
(medium-sized companies, in financial difficulties, but with solid industrial fundamentals) sold
from UniCredit to the fund, leveraging on an industrial and strategic partner as Dea Capital.
Corporate loans
Unlikely to pay
05.31.2016
Corporate loans
Unlikely to pay
07.04.2019
90
52
23
76
-
-
-
-
-
4
2
2
4
-
-
-
-
-
The assets sold have been derecognised
from the balance sheet.
The disposal price also includes the portion
of equity instruments transferred (18%).
The assets sold have been derecognised
from the balance sheet.
UniCredit S.p.A.
IT0005126062
1,593.698
76
1,593.698
UniCredit S.p.A.
IT0005126062
144.672
4
144.672
35
48
24
18
-
-
-
-
-
90
-
-
-
-
-
90
-
90
3
4
-
-
-
-
-
-
-
4
-
-
-
-
-
4
-
4
474 2019 Annual Report and Accounts · UniCredit
Consolidated financial statements | Annexes
Annex 4 - Sales of financial assets to investment funds, receiving
as consideration units issued by the same funds - qualitative
NAME OF THE TRANSACTION
Type of transaction:
Originator:
Investment Fund underwritten:
Target transaction:
Type of asset:
Quality of Asset:
Closing date:
Nominal Value of reference portfolio (€ million):
Net amount of preexisting writedown/writebacks (€ million):
Disposal Profit & Loss realised (€ million):
Portfolio disposal price (€ million):
Issued guarantees by the Bank:
Issued guarantees by third parties:
Bank Lines of Credit:
Third Parties Lines of Credit:
Other Credit Enhancements:
Other relevant information:
Units of Investment Fund underwritten
. Units subscriber
. ISIN
. N°. of units at the subscription
. Book Value at the subscription (€ million)
. N°. of units at the end of accounting period
. Book value at the end of accounting period (€ million)
Distribution of financial assets sold by area (€ million):
Italy - Northwest
Italy - Northeast
Italy - Central
Italy - South and Islands
Other European Countries - E.U. countries
Other European Countries - non-E.U. countries
America
Rest of the World
Total
Distribution of financial assets sold by business sector of the borrower (€ million):
Governments
Other public-sector entities
Banks
Financial Companies
Insurance Companies
Non-financial Companies
Other entities
Total
DEA CAPITAL CORPORATE CREDIT RECOVERY II
Sale of financial assets to Investment Fund with underwriting of units issued by the same Fund
UniCredit S.p.A.
Dea Capital Corporate Credit Recovery II
The objective of the transaction is to optimize access to the capital market for borrowers
(medium-sized companies, in financial difficulties, but with solid industrial fundamentals) sold
from UniCredit to the fund, leveraging on an industrial and strategic partner as Dea Capital.
Corporate loans
Unlikely to pay
01.31.2018
Corporate loans
Unlikely to pay
12.19.2019
88
49
6
55
-
-
-
-
66
22
11
33
-
-
-
-
-
The assets sold have been derecognised
from the balance sheet.
-
The assets sold have been derecognised
from the balance sheet.
UniCredit S.p.A.
IT0005276057
1,122.221
55
1,122.221
UniCredit S.p.A.
IT0005276057
815.752
33
815.752
45
19
67
2
0
-
-
-
-
88
-
-
-
-
-
88
-
88
33
7
24
28
7
-
-
-
-
66
-
-
-
-
-
66
-
66
UniCredit ·2019 Annual Report and Accounts 475
476 2019 Annual Report and Accounts · UniCredit
One Bank,
One Team,
One UniCredit.
2019
Company Report and Accounts
of UniCredit S.p.A.
478 2019 Annual Report and Accounts · UniCredit
Report and accounts 2019 of UniCredit S.p.A.
REPORT AND ACCOUNT S 2019 OF UNICREDIT S.P.A.
Report on operations
Introduction and highlights
Introduction to Report on operations of UniCredit S.p.A.
Highlights, alternative performance indicators and other measures
Reclassified company account
Results of the year
Main results and performance for the period
The income statement
The balance sheet
Capital and Value Management
Principles of value creation and disciplined capital allocation
Capital ratios
Capital strengthening
Shareholders’ equity
Shareholders
Treasury shares
Company activities
Other information
Group activities development operations and other corporate transactions
Conversion of tax credits
Certifications and other communications
Information on risks
Subsequent events and outlook
Subsequent events
Outlook
Proposals to the Shareholders’ Meeting
Company financial statements
Company accounts
Balance sheet
Income statement
Statement of comprehensive income
Statement of changes in shareholders’e equity
Cash flow statement
Notes to the accounts
Parta A - Accounting policies
A.1 - General
Section 1 - Statement of compliance with IFRS
Section 2 - General Preparation Criteria
Section 3 - Subsequent events
Section 4 - Other matters
A.2 - Main items of the accounts
A.3 - Information on transfers between portfolios of financial assets
A.4 - Information on fair value
A.5 - Information on “day one profit/loss”
485
485
485
485
488
493
493
493
497
500
500
500
500
501
502
502
503
505
505
505
505
505
506
506
507
509
509
511
511
512
513
514
516
519
519
519
519
519
520
521
530
550
550
561
UniCredit ·2019 Annual Report and Accounts 479
Report and accounts 2019 of UniCredit S.p.A.
Part B - Balance sheet
Assets
Section 1 - Cash and cash balances - Item 10
Section 2 - Financial assets at fair value through profit or loss - Item 20
Information about the units of Atlante Fund and Italian Recovery Fund (former
Atlante II)
Information about the investment in the Schema Volontario
Section 3 - Financial assets at fair value through other comprehensive income -
Item 30
Information about the shareholding in Banca d'Italia
Section 4 - Financial assets at amortised cost - Item 40
Section 5 - Hedging derivatives - Item 50
Section 6 - Changes in fair value of portfolio hedged items - Item 60
Section 7 - Equity investments - Item 70
Section 8 - Property, plant and equipment - Item 80
Section 9 - Intangible assets - Item 90
Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities)
Section 11 - Non current assets and disposal groups classified as held for sale and
Liabilities associated with assets classified as held for sale - Item 110 (Assets) and
Item 70 (Liabilities)
Section 12 - Other assets - Item 120
Liabilities
Section 1 - Financial liabilities at amortised cost - Item 10
Section 2 - Financial liabilities held for trading - Item 20
Section 3 - Financial liabilities designated at fair value - Item 30
Section 4 - Hedging derivatives - Item 40
Section 5 - Value adjustment of hedged financial liabilities - Item 50
Section 6 - Tax liabilities - Item 60
Section 7 - Liabilities associated with assets classified as held for sale - Item 70
Section 8 - Other liabilities - Item 80
Section 9 - Provision for employee severance pay - Item 90
Section 10 - Provisions for risks and charges - Item 100
Section 11 - Redeemable shares - Item 120
Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180
Other information
Part C - Income statement
Section 1 - Interests - Items 10 and 20
Section 2 - Fees and commissions - Items 40 and 50
Section 3 - Dividend income and similar revenue - Item 70
Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80
Section 5 - Fair value adjustments in hedge accounting - Item 90
Section 6 - Gains (Losses) on disposals/repurchases - Item 100
Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through
profit or loss - Item 110
Section 8 - Net losses/recoveries on credit impairment - Item 130
Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140
562
562
562
562
564
564
566
567
568
571
571
572
574
577
579
584
585
587
587
589
590
591
591
591
592
592
593
594
597
597
602
605
605
607
608
609
610
610
611
612
612
480 2019 Annual Report and Accounts · UniCredit
Report and accounts 2019 of UniCredit S.p.A.
Section 10 - Administrative expenses - Item 160
Contributions to Resolution and Guarantee funds
DTA guarantee fees
Section 11 - Net provisions for risks and charges - Item 170
Section 12 - Net value adjustments/write-backs on property, plant and equipment -
Item 180
Section 13 - Net value adjustments/write-backs on intangible assets - Item 190
Section 14 - Other operating expenses/income - Item 200
Section 15 - Gains (Losses) of equity investments - Item 220
Section 16 - Net gains (losses) on property, plant and equipment and intangible assets
measured at fair value - Item 230
Section 17 - Goodwill impairment - Item 240
Section 18 - Gains (Losses) on disposals on investments - Item 250
Section 19 - Tax expenses (income) for the period from continuing operations -
Item 270
Section 20 - Profit (Loss) after tax from discontinued operations - Item 290
Section 21 - Other information
Section 22 - Earnings per share
Part D - Comprehensive income
Part E - Information on risks and hedging policies
Introduction
Section 1 - Credit risk
Qualitative information
1. General aspects
2. Credit risk management policies
3. Non-performing credit exposures
4. Financial assets subject to commercial renegotiations and forborne exposures
Quantitative information
A. Credit quality
B. Distribution and concentration of credit exposures
C. Securitisation transactions
D. Information on structured entities not consolidated for accounting purposes
(other than vehicles for securitisation transactions)
E. Sales transaction
F. Credit risk measurement models
Section 2 - Market risk
2.1 Interest rate risk and price risk - Regulatory trading book
Qualitative information
Quantitative information
2.2 Interest rate and price risk - Banking book
Qualitative information
Quantitative information
2.3 Exchange rate risk
Qualitative information
Quantitative information
Credit spread risk and Stress test
613
614
615
615
616
616
616
617
618
618
618
619
622
622
623
624
625
625
625
625
625
625
628
629
630
630
642
645
648
649
654
654
654
654
655
655
655
656
659
659
659
660
UniCredit ·2019 Annual Report and Accounts 481
Report and accounts 2019 of UniCredit S.p.A.
Section 3 - Derivative instruments and hedging policies
3.1 Trading financial derivatives
A. Financial derivatives
B. Credit derivatives
3.2 Hedging policies
Qualitative information
Quantitative information
3.3 Other information on derivatives instruments (trading and hedging)
A. Financial and credit derivatives
Section 4 - Liquidity risk
Qualitative information
Quantitative information
Section 5 - Operational risk
Qualitative information
A. General aspects, operational processes and methods for measuring
operational risk
B. Risks arising from legal disputes
C. Risks arising from employment law cases
D. Risks arising from tax disputes
E. Other claims by customers
Quantitative information
Section 6 - Other risks
Other risks included in economic capital
Reputational risk
Top and emerging risk
Part F - Shareholders’ equity
Section 1 - Shareholders’ equity
A. Qualitative information
B. Quantitative information
Section 2 - Own funds and regulatory ratios
Part G - Business combinations
Section 1 - Business combinations completed in the year
Section 2 - Business Combinations completed after year-end
Section 3 - Retrospective adjustments
Part H - Related-party transactions
Introduction
1. Details of Key management personnels’ compensation
2. Related-party transactions
Part I - Share-based payments
A. Qualitative information
1. Description of payment agreements based on own equity instruments
B. Quantitative information
1. Annual changes
2. Other information
Part L - Segment reporting
660
660
660
663
663
663
664
668
668
668
668
668
670
670
670
670
670
670
671
672
673
673
673
673
674
674
674
674
675
676
676
676
676
677
677
677
678
681
681
681
681
681
681
682
482 2019 Annual Report and Accounts · UniCredit
Report and accounts 2019 of UniCredit S.p.A.
Part M - Information on leases
Section 1 - Lessee
Qualitative information
Quantitative information
Section 2 - Lessor
Qualitative information
Quantitative information
Certification
Report and resolutions
Board of Statutory Auditors’ Report
Report of the External Auditors
Ordinary Shareholders’ Meeting resolution of 9 April 2020
Annexes
Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts
and mandatory reporting schedules
Annex 2 - Fees for annual audits and other services
Annex 3 - Internal pension funds: statement of changes in the year and final accounts
Annex 4 - Securitisations - qualitative tables
Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued
by the same funds - qualitative tables
683
683
683
683
684
684
684
687
689
689
715
727
729
729
733
734
736
737
UniCredit ·2019 Annual Report and Accounts 483
Disciplined risk
management.
&controls
We run the business with disciplined origination, enhanced business
accountability and in-depth monitoring by control functions. Our reinforced
governance and steering ensure targeted actions wherever necessary.
A Group culture driven by the principle: “Do the right thing!” means that
each employee is part of the first line of defense.
Report on operations
Introduction and highlights
Report on operations
Introduction and highlights
Introduction to Report on operations of UniCredit S.p.A.
This Report on operations illustrates the performance of the Parent company and the related amounts and results. It includes financial information
such as Highlights, Reclassified accounts and their quarterly figures as well as a comment on the Results of the year.
The information in this report is supported, in order to provide further information about the performance achieved by the company, by some
alternative performance indicators (“API”) such as: Cost/Income ratio, Net bad loans to customers/Loans to customers, Net Non-Performing loans to
customers/Loans to customers. Although some of this information, including certain APIs, is neither extracted nor directly reconciled with Company
Financial Statements, the Report on operations, the Annexes and the Glossary provide explanatory descriptions of the contents and, in case, the
calculation methods used, in accordance with European Securities and Markets Authority Guidelines (ESMA/2015/1415) of 5 October 2015.
In particular in Annex 1 is included the reconciliation between the reclassified accounts and the mandatory reporting schedule, as required by
Consob Notice No.6064293 of 28 July 2006.
For other information required by Law and regulations, refer to the Consolidated report on operations or to the Notes to the accounts of financial
statements of UniCredit S.p.A. as better specified below.
Refer to Consolidated report on operations for information relating to:
Share information - UniCredit share;
Macroeconomic situation, banking and financial markets;
qualitative disclosure of Principles of value creation and disciplined capital allocation, Capital ratios for information relating to transitional capital
requirements and buffers for UniCredit group and Capital strengthening;
references of UniCredit official website where can be found Report on corporate governance and ownership structure, Report on remuneration
and Non-financial information;
Research and development projects;
Group activities development operations and other corporate transactions;
Significant organisational changes and organisational structure;
Certifications and other communications;
Subsequent events;
Outlook.
The amounts related to year 2018 differ from the ones published at that time. For further details about the reasons of these restatement, refer to
following paragraphs relating to the “Reconciliation principles followed for the reclassified balance sheet and income statement”.
For information relating to related-party relations and transactions refer to the Notes to the Accounts - Part H of Company financial statements of
UniCredit S.p.A. For a complete description of risks and uncertainties that the bank has to face in the current market situation refer the Notes to the
accounts - Part E of the Company financial statements of UniCredit S.p.A.
Highlights, alternative performance indicators and other measures
Income statement
Operating income
of which:
- net interest
- dividends and other income from equity investments
- net fees and commissions
Operating costs
Operating profit (loss)
Net write-downs on loans and provisions for guarantees and
commitments
Net operating profit (loss)
Profit (Loss) before tax
Net profit (loss)
YEAR
2019
9,731
3,849
1,844
3,802
(4,725)
5,006
(2,659)
2,347
(256)
(555)
2018
10,621
4,156
2,587
3,830
(4,955)
5,666
(1,986)
3,680
1,284
2,442
(€ million)
% CHANGE
- 8.4%
- 7.4%
- 28.7%
- 0.7%
- 4.6%
- 11.6%
+ 33.9%
- 36.2%
n.m.
n.m.
UniCredit ·2019 Annual Report and Accounts 485
Report on operations
Introduction and highlights
The figures in this table refer to the reclassified income statement. The amounts related to year 2018 differ from the ones published at that time.
For further details refer to “Reconciliation principles followed for the reclassified income statement”. In Annex 1 is included the reconciliation between
the reclassified accounts and the mandatory reporting schedule.
Balance sheet
Total assets
Financial assets held for trading
Loans and receivables with customers
Financial liabilities held for trading
Deposits from customers and debt securities issued
of which:
- deposits from customers
- debt securities issued
Shareholders' equity
AMOUNTS AS AT
12.31.2019
414,474
12,678
229,625
13,403
270,205
215,696
54,509
51,519
12.31.2018
405,691
11,834
222,591
10,384
264,841
211,872
52,969
50,911
(€ million)
% CHANGE
+ 2.2%
+ 7.1%
+ 3.2%
+ 29.1%
+ 2.0%
+ 1.8%
+ 2.9%
+ 1.2%
The figures in this table refer to the reclassified balance sheet. The amounts related to year 2018 differ from the ones published at that time.
For further details refer to “Reconciliation principles followed for the reclassified balance sheet”. In Annex 1 is included the reconciliation between the
reclassified accounts and the mandatory reporting schedule.
For further details on “non-performing loans” see paragraphs “Loans to customers” and “Credit quality” in this Report on operations.
Profitability ratios
EPS(1) (€)
Cost/Income ratio
ROA(2)
YEAR
2019
(0.306)
48.6%
- 0.1%
2018
1.058
46.7%
0.6%
CHANGE
- 1.364
+ 2.0%
- 0.7%
Notes:
(1) Earnings per share. For further details refer to Part C - Section 22.
(2) Ratio between operating expenses and operating income.
(3) Return on assets calculated as the ratio between Net profit (loss) and Total assets pursuant to art. 90 of CRD IV.
The amounts relating to 2018 differ from the ones published at that time. For further details refer to “Reconciliation principles followed for the
reclassified income statement”.
Risk ratios
Net bad loans to customers/Loans to customers
Net non-performing loans to customers/Loans to customers
AS AT
12.31.2019
0.4%
2.0%
12.31.2018
1.3%
4.2%
% CHANGE ON
- 0.8%
- 2.2%
For more details refer to table “Loans to customers - Credit quality” in paragraph “Credit quality” in this Report on operations.
Staff and branches
Number of employees
Number of branches
of which:
- Italy
- Other countries
486 2019 Annual Report and Accounts · UniCredit
AS AT
12.31.2019
35,707
2,746
2,738
8
12.31.2018
35,526
2,844
2,836
8
CHANGE
+181
-98
-98
-
Report on operations
Introduction and highlights
Transitional capital ratios
Total own funds (€ million)
Total risk-weighted assets (€ million)
Common Equity Tier 1 Capital Ratio
Total Capital Ratio
AS AT
12.31.2019(*)
59,156
204,944
21.11%
28.86%
12.31.2018(*)
56,527
204,991
21.65%
27.58%
CHANGE
+ 2,629
- 47
- 0.5%
+ 1.3%
Notes:
(*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages.
UniCredit S.p.A. has decided to not apply the IFRS9 transitional approach as reported in article 473a of the Regulation 575/2013/EU (CRR). Therefore the values shown fully reflect the impact arising from the application of
the IFRS9 principle.
For more details see paragraph "Capital and value management - Capital ratios", for more details of this Report on operations.
UniCredit ·2019 Annual Report and Accounts 487
Report on operations
Reclassified company accounts
Reconciliation principles followed for the reclassified balance sheet
The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve:
the inclusion in “Loans to banks” of “Financial assets at amortised cost: a) Loans and receivables with banks” net of debt securities reclassified in
“Other financial assets”;
the inclusion in “Loans to customers” of “Financial assets at amortised cost: b) Loans and receivables with customers” net of debt securities
reclassified in “Other financial assets” and of loans reclassified from “Other financial assets - Item 20 c)”;
the aggregation as “Other financial assets” of “Financial assets at fair value through profit and loss: c) Other financial assets mandatorily at fair
value” net of loans reclassified in “Loans to customers”, of “Financial assets at fair value through other comprehensive income” and of “Equity
investments” with inclusion of debt securities from Loans to banks and customers - Item 40 a) and b);
grouping under “Hedging instruments”, both assets and liabilities, of “Hedging derivatives” and “Changes in fair value of portfolio hedged items”;
the inclusion of “Provision for employee severance pay” and “Provisions for risks and charges” under Item “Other liabilities”.
2018 and 2019 quarters figures were restated to reflect adoption of fair value model for the measurement of the Real Estate portfolio with
retrospective application from 1 January 2018 on held for investment properties.
For further details, it shall be referred to the Notes to the accounts - Part A - Accounting policies; A.1 - General, Section 4 - Other matters.
Reclassified balance sheet
ASSETS
Cash and cash balances
Financial assets held for trading
Loans to banks
Loans to customers
Other financial assets
Hedging instruments
Property, plant and equipment
Goodwill
Other intangible assets
Tax assets
Non-current assets and disposal groups classified as held for sale
Other assets
Total assets
LIABILITIES AND SHAREHOLDERS' EQUITY
Deposits from banks
Deposits from customers
Debt securities issued
Financial liabilities held for trading
Other financial liabilities
Hedging instruments
Tax liabilities
Liabilities included in disposal groups classified as held for sale
Other liabilities
Shareholders' equity:
- capital and reserves
- net profit (loss)
Total liabilities and Shareholders' equity
Reclassified company account
AMOUNTS AS AT
CHANGE
12.31.2019
2,395
12,678
38,637
229,625
104,199
7,311
4,172
-
4
10,405
1,142
3,906
414,474
12.31.2018
7,461
11,834
28,635
222,591
112,294
5,853
2,363
-
4
10,662
117
3,877
405,691
AMOUNT
- 5,066
+ 844
+ 10,002
+ 7,034
- 8,095
+ 1,458
+ 1,809
-
-
- 257
+ 1,025
+ 29
+ 8,783
AMOUNTS AS AT
CHANGE
12.31.2019
57,571
215,696
54,509
13,403
5,090
7,608
1
-
9,077
51,519
52,074
(555)
414,474
12.31.2018
58,995
211,872
52,969
10,384
3,535
6,295
2
-
10,728
50,911
48,469
2,442
405,691
AMOUNT
- 1,424
+ 3,824
+ 1,540
+ 3,019
+ 1,555
+ 1,313
- 1
-
- 1,651
+ 608
+ 3,605
- 2,997
+ 8,783
(€ million)
%
- 67.9%
+ 7.1%
+ 34.9%
+ 3.2%
- 7.2%
+ 24.9%
+ 76.6%
-
-
- 2.4%
n.m.
+ 0.7%
+ 2.2%
(€ million)
%
- 2.4%
+ 1.8%
+ 2.9%
+ 29.1%
+ 44.0%
+ 20.9%
- 50.0%
-
- 15.4%
+ 1.2%
+ 7.4%
n.m.
+ 2.2%
488 2019 Annual Report and Accounts · UniCredit
Report on operations
Reclassified company accounts
Reclassified balance sheet - Quarterly figures
ASSETS
Cash and cash balances
Financial assets held for trading
Loans to banks
Loans to customers
Other financial assets
Hedging instruments
Property, plant and equipment
Goodwill
Other intangible assets
Tax assets
Non-current assets and disposal groups classified as
held for sale
Other assets
Total assets
LIABILITIES AND SHAREHOLDERS' EQUITY
Deposits from banks
Deposits from customers
Debt securities issued
Financial liabilities held for trading
Other financial liabilities
Hedging instruments
Tax liabilities
Liabilities included in disposal groups classified as held
for sale
Other liabilities
Shareholders' equity:
- capital and reserves
- net profit (loss)
Total liabilities and Shareholders' equity
12.31.2019
2,395
12,678
38,637
229,625
104,199
7,311
4,172
0
4
10,405
1,142
3,906
414,474
12.31.2019
57,571
215,696
54,509
13,403
5,090
7,608
1
0
9,077
51,519
52,074
(555)
414,474
AMOUNTS AS AT
AMOUNTS AS AT
09.30.2019
6,265
16,474
31,268
227,973
104,994
9,460
3,709
0
3
10,175
1,267
4,793
416,381
06.30.2019
10,675
14,023
26,875
218,425
105,962
7,969
3,610
0
3
10,495
167
5,402
403,606
03.31.2019
6,079
14,231
27,353
220,890
106,841
6,939
3,660
0
4
10,562
49
4,210
400,818
12.31.2018
7,461
11,834
28,635
222,591
112,294
5,853
2,363
-
4
10,662
117
3,877
405,691
09.30.2018
6,347
17,605
32,917
215,733
110,211
5,257
2,356
-
4
9,939
137
4,084
404,590
06.30.2018
4,849
16,595
26,423
220,447
107,009
5,869
2,365
-
4
9,774
435
4,375
398,145
AMOUNTS AS AT
AMOUNTS AS AT
09.30.2019
58,735
201,309
57,160
13,263
6,205
10,014
3
0
14,561
55,131
51,345
3,786
416,381
06.30.2019
55,941
201,519
54,702
9,666
6,597
8,956
3
0
11,559
54,663
51,049
3,614
403,606
03.31.2019
61,873
197,321
55,190
10,312
6,497
7,518
3
0
9,757
52,347
51,744
603
400,818
12.31.2018
58,995
211,872
52,969
10,384
3,535
6,295
2
-
10,728
50,911
48,469
2,442
405,691
09.30.2018
64,545
207,716
51,115
12,733
2,900
5,263
3
-
9,927
50,388
48,468
1,920
404,590
06.30.2018
64,159
195,995
54,594
11,612
2,790
6,057
2
234
10,963
51,739
48,795
2,944
398,145
(€ million)
03.31.2018
22,951
15,877
23,699
205,697
104,160
5,720
2,416
-
4
9,760
101
3,888
394,273
(€ million)
03.31.2018
58,899
193,001
60,370
11,098
2,748
5,877
2
-
11,320
50,958
50,561
397
394,273
UniCredit ·2019 Annual Report and Accounts 489
Report on operations
Reclassified company accounts
Reconciliation principles followed for the reclassified income statement
The main reclassifications, whose amounts are provided analytically in the tables enclosed with this report, involve:
in “Dividends and other income from equity investments” of “Profit (Loss) of equity investments valued at equity” the exclusion of “Dividends on
equity investments, shares and equity instruments mandatorily at fair value” which are included in “Net trading income”;
the inclusion among “Net trading income” of net gains (losses) on trading, on hedge accounting, of net gains/losses on the financial
assets/liabilities at fair value through profit or loss and of gains/losses on disposal or repurchase of financial assets at fair value through other
comprehensive income;
the inclusion in the “Net other operating expenses/income”, excluding “Recovery of expenses” which is classified under its own item, the exclusion
of the costs for “Write-downs on leasehold improvements” classified among “Other administrative expenses” and the exclusion of net results from
trading of physical gold, precious stones and metals;
presentation of “Payroll costs”, “Other administrative expenses”, “Amortisation, depreciation and impairment losses on tangible and intangible
assets” and “Other charges and Provisions” net of any “Integration costs” relating to the reorganisation operations, classified as a separate item;
the exclusion from the “Other administrative expenses” of the Contributions to the Resolution Funds (SRF), the Deposit Guarantee Schemes
(DGS) and the Guarantee fees for DTA reclassified in item “Other charges and provision”;
the exclusion from “Amortisation, depreciation and impairment losses on intangible and tangible assets” of property owned for investment
reclassified in “Net income from investments”;
the inclusion in “Net income from investments” of write-downs and write-backs on financial assets at amortised cost and at fair value through other
comprehensive income - debt securities, gains (losses) on disposal of investments, gains (losses) on tangible and intangible assets measured at
fair value as well as gains (losses) on equity investments and on disposal of investments;
in “Net write-downs on loans and provisions for guarantees and commitments”, the inclusion of net losses/recoveries on financial assets at
amortised cost and at fair value through other comprehensive income net of debt securities and the inclusion of commitments and financial
guarantees given on “Net provisions for risks and charge”.
2018 figures were restated to reflect:
following the first time adoption of IFRS16 - Leasing from 1 January 2019, the lessee’s lease payment previously computed in the item “Other
administrative expenses” is split between:
- the item “Net interest” for the interest expense with reference to the lease liability;
- the item “Amortisation, depreciation and impairment losses on intangible and tangible assets” for right of use asset depreciation.
In addition, in the item “Recovery of expenses”, is no longer included in the income arising from the sublease to third parties of real estate assets
leased by the Group;
for the reclassification of some commitment fees on undrawn credit lines from the item “Net interest” to the item “Net fees and commissions”
starting from December 2018.
2018 and 2019 quarters figures were restated:
to reflect “loss of control” on FinecoBank S.p.A. following the completion on 8 May 2019 of the accelerated bookbuilding (ABB) of No.103.5 million
ordinary shares of the company, settled on 10 May 2019;
to reflect adoption of fair value model for the measurement of the Real Estate portfolio, with retrospective application from 1 January 2018 for held
for investment properties;
following the reclassification starting from June 2019:
- of revenues for “Dividends from other financial assets mandatorily at fair value” to the item “Net trading income”;
- of some expenses incurred in handling the recovery process of non-performing exposures to the item “Other administrative expenses”
(previously included in the item “Net fees and commissions”);
- of some expenses for payment services and cards that, were reclassified from the item “Other administrative expenses” to the item “Net fees and
commissions”;
- of net results from sales & purchases and re-measurement of physical gold, precious stones and metals that were reclassified from the item “Net
other expenses/income” to the item “Net trading income” when entered into in contemplation with other trading book exposures or “Net income
from investments” otherwise;
- of some non-recoverable expenses incurred for customer financial transaction taxes that were reclassified from the item “Other administrative
expenses” to the item “Net fees and commissions” or when otherwise recovered/debited, the related income has been included in the item
“Recovery of expenses” (from the item “Net fees and commissions”);
- of some expenses for local tax on corporate revenues (i.e. Municipality and Innovation Tax in Hungary) that were reclassified from the item
“Other administrative expenses” to the item “Income tax for the period”.
490 2019 Annual Report and Accounts · UniCredit
Report on operations
Reclassified company accounts
Reclassified income statement
Net interest
Dividends and other income from equity investments
Net fees and commissions
Net trading income
Net other expenses/income
OPERATING INCOME
Payroll costs
Other administrative expenses
Recovery of expenses
Amortisation, depreciation and impairment losses on intangible and
tangible assets
Operating costs
OPERATING PROFIT (LOSS)
Net write-downs on loans and provisions for guarantees and
commitments
NET OPERATING PROFIT (LOSS)
Other charges and provisions
of which: systemic charges
Integration costs
Net income from investments
PROFIT (LOSS) BEFORE TAX
Income tax for the period
PROFIT (LOSS) AFTER TAX
Profit (Loss) from non-current assets held for sale after tax
PROFIT (LOSS) FOR THE PERIOD
Goodwill impairment
NET PROFIT (LOSS)
Reclassified income statement
Reclassified balance sheet - Quarterly figures
YEAR
2019
3,849
1,844
3,802
327
(91)
9,731
(2,756)
(2,130)
480
(319)
(4,725)
5,006
(2,659)
2,347
(752)
(386)
(114)
(1,737)
(256)
(299)
(555)
-
(555)
-
(555)
2018
4,156
2,587
3,830
121
(73)
10,621
(2,866)
(2,284)
508
(313)
(4,955)
5,666
(1,986)
3,680
(786)
(384)
(3)
(1,607)
1,284
1,158
2,442
-
2,442
-
2,442
CHANGE
P&L
- 307
- 743
- 28
+ 206
- 18
- 890
+ 110
+ 154
- 28
- 6
+ 230
- 660
- 673
- 1,333
+ 34
- 2
- 111
- 130
- 1,540
- 1,457
- 2,997
-
- 2,997
-
- 2,997
(€ million)
%
- 7.4%
- 28.7%
- 0.7%
n.m.
+ 24.7%
- 8.4%
- 3.8%
- 6.7%
- 5.5%
+ 1.9%
- 4.6%
- 11.6%
+ 33.9%
- 36.2%
- 4.3%
+ 0.5%
-
+ 8.1%
n.m.
n.m.
n.m.
-
n.m.
-
n.m.
UniCredit ·2019 Annual Report and Accounts 491
Report on operations
Reclassified company accounts
Reclassified income statement - Quarterly figures
Net interest
Dividends and other income from equity
investments
Net fees and commissions
Net trading income
Net other expenses/income
OPERATING INCOME
Payroll costs
Other administrative expenses
Recovery of expenses
Amortisation, depreciation and impairment
losses on intangible and tangible assets
Operating costs
OPERATING PROFIT (LOSS)
Net write-downs on loans and provisions
for guarantees and commitments
NET OPERATING PROFIT (LOSS)
Other charges and provisions
o/w systemic charges
Integration costs
Net income from investments
PROFIT (LOSS) BEFORE TAX
Income tax for the period
PROFIT (LOSS) AFTER TAX
Profit (Loss) from non-current assets held
for sale, after tax
PROFIT (LOSS) FOR THE PERIOD
Goodwill impairment
NET PROFIT (LOSS)
Reclassified income statement – Quarterly figures
Q4
892
9
996
107
(29)
1,975
(691)
(540)
124
(80)
(1,187)
788
(1,361)
(573)
(248)
(38)
(113)
(3,404)
(4,338)
(3)
(4,341)
-
(4,341)
-
(4,341)
2019
Q3
951
(3)
939
110
(12)
1,985
(682)
(524)
113
Q2
988
1,468
950
(49)
(25)
3,332
(690)
(533)
121
Q1
1,018
370
917
159
(25)
2,439
(693)
(533)
122
Q4
1,088
36
931
(6)
(23)
2,026
(715)
(596)
126
(83)
(1,176)
809
(79)
(1,181)
2,151
(77)
(1,181)
1,258
(84)
(1,269)
757
(401)
408
(111)
(108)
-
(10)
287
(115)
172
-
172
-
172
(585)
1,566
(190)
(73)
(1)
1,692
3,067
(56)
3,011
-
3,011
-
3,011
(312)
946
(203)
(167)
-
(15)
728
(125)
603
-
603
-
603
(626)
131
(223)
(41)
(1)
(344)
(437)
959
522
-
522
-
522
2018
Q3
1,073
17
904
18
(19)
1,993
(705)
(555)
128
(77)
(1,209)
784
(491)
293
(151)
(96)
(1)
(1,184)
(1,043)
19
(1,024)
-
(1,024)
-
(1,024)
(€ million)
Q1
977
145
995
91
(12)
2,196
(729)
(563)
118
Q2
1,018
2,389
1,000
18
(19)
4,406
(717)
(570)
136
(76)
(1,227)
3,179
(76)
(1,250)
946
(535)
2,644
(221)
(110)
(1)
(53)
2,369
178
2,547
-
2,547
-
2,547
(334)
612
(191)
(137)
-
(26)
395
2
397
-
397
-
397
492 2019 Annual Report and Accounts · UniCredit
Report on operations
Results of the year
Results of the year
Main results and performance for the period
The income statement
Breakdown of operating profit
Net operating profit (loss) at 31 December 2019 totaled €2,347 million, down -€1,333 million on the previous year. The Operating profit totaled
€5,006 million (-€660 million year on year, -11.6%) and Net write-downs of loans amounted to -€2,659 million (down -€673 million versus December
2018).
The annual decrease in the Operating profit (loss) on December 2018 is attributable to the reduction in Operating income (-€890 million), partially
offset by the decrease in Operating costs (+€230 million).
Net operating profit (loss)
OPERATING INCOME
Operating costs
OPERATING PROFIT (LOSS)
Net write-downs of loans and provisions for guarantees and
commitments
NET OPERATING PROFIT (LOSS)
YEAR
2019
9,731
(4,725)
5,006
(2,659)
2,347
2018
10,621
(4,955)
5,666
(1,986)
3,680
CHANGE
P&L
- 890
+ 230
- 660
- 673
- 1,333
(€ million)
%
- 8.4%
- 4.6%
- 11.6%
+ 33.9%
- 36.2%
Operating income
At 31 December 2019, Operating income totaled €9,731 million, down -€890 million (-8.4%) on the previous year. The decrease was mainly
attributable to Dividends and other income from equity investments (-€743 million) and to Net Interest decrease (-€307 million), partially offset by Net
Trading Income (+€206 million).
Net interest at December 2019 amounted to €3,849 million, with a decrease on the previous year (-7,4%).
In a contest of a persistent negative interest rates scenario, net interest continued to be characterized by a compression on positive interests from
customer loans, because the increase of medium long term loans volumes was not enough to balance short term loans rates and volumes
compression, in particular related to corporate customers. Net Interest result was also impacted by lower interests from impaired assets due to non
performing volumes reduction according to Strategic Plan Transform 2019 guidelines and by the increase of subordinated issues.
In 2019, the Bank completed the medium long term Financial Plan execution, using different structures and maturities so to minimize concentration
risk and to benefit from our creditworthiness for Institutional Investors.
To strenghten the amount of eligible instruments according to TLAC regulation, in January the Bank placed with success a 3-year Dual Tranche
Senior Non-Preferred issue, for an amount of $3,000 million under the “US GMTN Program”. In addition, in June UniCredit S.p.A. issued a
benchmark Senior Preferred bond, amounted to €1,250 million, as the first Senior Preferred callable issued by an European bank. At last, it was
issued the first Senior non Preferred bond, 6-year maturity and callable after 5 years for an amount of €750 million. In October, UniCredit issued a
5.5-year maturity Senior Preferred bond, amounted to €1,000 million.
About subordinated bonds, in February the Bank launched a benchmark Tier 2 subordinated bond with 10 year maturity and callable after 5 years,
for an amount of €1,000 million. In March, UniCredit S.p.A. placed an Additional Tier 1 Perpetual Non-Call ( Non-Cumulative Temporary Write-Down
Deeply Subordinated Fixed Rate Resettable Notes), callable up to June 2026 for a total amount of €1,000 million and a Tier 2 subordinated note
targeted to institutional investors for a total amount of $1,250 million, maturity 15 years callable after 10 years. In September UniCredit S.p.A. placed
another 10 year subordinated Tier 2 bond, callable after 5 years, for an amount of €1,250 million.
All 2019 issues of bonds allowed to fully respect the different regulatory requirements, maintaining at the same time a high level of liquidity.
Dividends and other income from equity investments recorded in 2019 totaled €1,844 million, down -€743 million year on year. The decrease was
mainly due to lower dividends distributed in 2019 by UniCredit Bank AG, amounted to +€520 million (-€780 million compared to 2018).
UniCredit ·2019 Annual Report and Accounts 493
Report on operations
Results of the year
Net fees and commissions at 31 December 2019 amounted to €3,802 million, down -€28 million (-0.7%) year-on-year.
The decrease was due to current accounts, loans and credit commitments sector (-€110 million) not sufficiently offset by growth in all other sectors,
in particular by Asset management, custody and administration (+€29 million), driven by the mutual funds fees.
Net trading income at December 2019 (+€327 million) was essentially attributable to the gains from investment portfolio (+€109 million), Certificates
and their derivatives (+€102 million), exposure related to the Additional Tier 1 Fineco (+€28 million), the effects of the revaluation of the issuance of
Additional Tier1 USD instruments hedging derivative (+€28 million), Visa Inc revaluation (+€27 million) and income from CIU shares (+€25 million).
In 2019 losses related to valuation of shares in Bank Pekao S.A. and the linked Secured mandatorily exchangeable equity-linked certificate
amounted to -€16 million and and XVA - Credit, Funding and Debt Value Adjustment amounted to -€4 million.
Overall, Net trading income increased by +€206 million compared to the previous year.
The mainly changes in comparison with 2018 are attributable to the following:
+€49 million related to Additional Tier 1 Fineco;
+€47 million due to Certificates and their derivatives;
+€27 million due to losses related to Non Core portfolio disposals and impairments;
+€22 million due to higher gains from Investment Portfolio.
The balance of other operating income and charges at December 2019 amounted to -€91 million, decreasing by -€18 million compared to the
previous year. The main impacts in 2019 are due to charges relating to company activities (compensation, rebates, services provided, recoveries,
rents, etc.) totaling -€86 million.
Operating costs
The total of Operating Costs at December 2019 amounted to -€4,725 million, decreasing of -€230 million (-4.6%) compared to the previous year.
Staff expenses, amounted to -€2,756 million, decreased compared to 2018 of about -€110 million (-3.8%), mainly due to the effect of staff structure
reduction.
Full Time Equivalent (FTE) evolution standed at 34,326 at 31 December 2019 and showed a slightly increase of about 289 FTE year-on-year due to
Operations and Real Estate Perimeter insourced in September from UniCredit Services (1,140 FTE).
Other administrative expenses in 2019 recorded -€2,130million, down - €154 million (-6.7%) compared to 2018. The decrease was concentrated on
indirect costs thanks to Operation activities (-€104 milion) and to credit recovery expenses (-€27 million).
Recovery of expenses, amounting to €480 million, decreased (-€28 million and -5.5% compared to the previous year), primarily for less recovery on
stamp duties and for credit recovery expenses.
Amortization, depreciation and impairment losses on intangible and tangible assets amounted to -€319 million, slightly increasing (+1.9%) according
to Industrial Plan Investments.
Net impairment losses on loans
At the end of December 2019 net write downs on loans and provisions for guarantees and commitments sum up to -€2,659 million, increased by
-€673 million (+33.9%) in respect of previous year. This amount has been significantly affected by not recurring effects referred to actions defined in
the fourth quarter 2019 for strengthening the of strategy of Non Core portfolio rundown by 2021, that led to higher loan loss provisions for -€821
million in the last quarter of the year (in addition to approximately -€6 million euro recorded as a reduction in interest income). Cost of risk (measured
in respect of medium volume of credits with customers) is equal to 1.19%.
For further details please refer to Notes to the Consolidated accounts - Part E - Information on risks and hedging policies - Section 1 - Credit risk,
table “A.1.2. Breakdown of financial assets by portfolio and credit quality (gross and net values)”.
Net operating profit
Net operating profit (loss) came to +€2,347 million, down -€1,333 million compared to +€3,680 million in 2018, mainly due to the decrease in
Dividends and to the increase on net write-downs on loans and provisions for guarantees and commitments partially offset by the decrease in
Operating costs.
494 2019 Annual Report and Accounts · UniCredit
Report on operations
Results of the year
Net profit (loss)
In the table below, the data showing the transition from operating profit (loss) to net profit (loss) have been reclassified for illustrative purposes.
Net profit (loss)
NET OPERATING PROFIT (LOSS)
Other charges and provisions
Integration costs
Net income from investments
PROFIT (LOSS) BEFORE TAX
Income tax for the period
PROFIT (LOSS) AFTER TAX
Profit (Loss) from non-current assets held for sale after tax
PROFIT (LOSS) FOR THE PERIOD
Goodwill impairment
NET PROFIT (LOSS)
YEAR
2019
2,347
(752)
(114)
(1,737)
(256)
(299)
(555)
-
(555)
-
(555)
2018
3,680
(786)
(3)
(1,607)
1,284
1,158
2,442
-
2,442
-
2,442
CHANGE
P&L
- 1,333
+ 34
- 111
- 130
- 1,540
- 1,457
- 2,997
-
- 2,997
-
- 2,997
(€ million)
%
- 36.2%
- 4.3%
-
+ 8.1%
n.m.
n.m.
n.m.
-
n.m.
-
n.m.
Other charges and provisions
Other charges and provisions, amounting to -€752 million, flat compared to -€786 million in 2018, considered the Deposit Guarantee Scheme (DGS)
contribution to Fondo Interbancario di Tutela dei Depositi - FITD (-€92 million), the ordinary and extraordinary contribution to the Single Resolution
Fund (-€185 million) and other general provisions for litigations, lawsuits, disputes, incidents and claims in which the Bank was a passive subject.
Integration costs
Integration costs amounted to -€114 million, substantially due to the extraordinary write-down of non-productive ICT assets, carried out by UniCredit
Services.
Net income (losses) from investments
Net income from investments was -€1,737million, down -€130 million compared to 2018.
In 2019 write-downs on equity regarding UniCredit Bank Austria (-€1,862 million), UniCredit Bank AG (-€1,739 milion), Koc Finansal Hizmetler
Istanbul (-€500 million), UniCredit Bank Ireland (-€132 million) were recorded, partially offset by profit on FinecoBank sale (+€1,722 million) and
write-backs on equity regarding UniCredit Leasing S.p.A. (+€713 million) and AO UniCredit Bank (€244 million).
In addition, in 2019 it was recorded -€251 million related to fair value model and revaluation model for the measurement of Group Real Estate
portfolio, respectively held for investment and used in business according to IAS40 and IAS16 regulations.
Taxes on income
Taxes on income for 2019 reports a negative amount of €299 million, showing a decrease in comparison with the positive amounts of €1,158 million
in 2018.
During the year 2019 the following changes in the tax legislation were introduced:
as per Ministerial Decree 5 August, 2019, the tax treatment of the effects on the financial statements deriving from the application of the
accounting principle IFRS16 for the accounting of the operative lease and finance lease transactions was disciplined;
as per art.1, par. 940-948, of the Law 30 December, 2018, No.145 (Budget Law 2019) the terms for a realignment of Bank assets were reopened,
by repurposing, as already done in the previous years, the provision introduced by the Law No.342/2000. The realignment involves tax recognition
of the higher book value registered by payment of a substitute tax to the extent of 16% for depreciable assets and to the extent of 12% for non-
depreciable assets. In case of realignment the rule provides to bind a reserve in suspension of tax (for tax purposes) equal to the differential
redeemed net of the substitute tax paid. In case of distribution such reserve has to be taxed. The higher values redeemed are assumed as valid for
IRES and IRAP purposes as of 1 January 2021;
The realignment was made on 28 June 2019 by payment of a substitute tax of €27 million for a misalignment of €172 million, with a benefit in the
of €29 million in Profit & Loss due to the write off of deferred tax liabilities for €57 million. A reserve in suspension of tax for €144 million was
created;
as per art.1 of the Law of 27 December 2019, No.160, (Budget Law 2020) it was stated that:
- art.1 par.713: the deduction of the 2019 reversal of deferred tax assets on loans loss provisions since the first adoption of IFRS9, to be deducted
over a period of 10 years for both IRES and IRAP purposes, is deferred to the year 2028;
UniCredit ·2019 Annual Report and Accounts 495
Report on operations
Results of the year
- art.1 par.712: the deduction of the 2019 reversal of convertible deferred tax assets on loans loss provisions is deferred to the period 2022-2025
for both IRES and IRAP purposes;
- art.1 par.714: the deduction of the 2019 reversal of convertible deferred tax assets on goodwill is deferred to the period 2025-2029 both for IRES
and IRAP purposes;
- art.1 par.287: the ACE tax benefit is restored as from the 2019 financial year with the same conditions previously in place;
The postponement of the 2019 annual reversal of convertible deferred tax assets entails for UniCredit;
- a burden of €80.7 million for IRES and €15.9 million for IRAP in relation to the postponement of the loans loss provisions for IFRS9 as per the
art.1 par.713;
- a burden of €15 million for IRES in relation to the postponement of the loans loss provisions and goodwill as per the art.1 par.712 and par.714.
The item Taxes in the income statement is negative and equal to €299 million and is composed by:
a negative IRES (current and deferred taxes) value of -€199 million, of which current IRES for €30 million completely subject to impairment as it
was considered not sustainable following the execution of the sustainability test. Therefore, the amount of €199 million is exclusively due to the
dynamics of deferred tax assets and liabilities of the period and to the impairment of the pre-existing deferred taxation for €278 million following the
sustainability test;
a negative IRAP (current and deferred taxes) of €108 million, of which -€125 million of current IRAP and +€17 million for the movement of deferred
taxation;
a provision of -€2 million related to the taxation on a transparent basis of controlled foreign companies (CFC);
non-deductible withholding tax of -€5 million suffered in Italy and abroad;
net extraordinary income of €33 million, inclusive of the positive effect of €29 million as a realignment of the properties mentioned above, of the
recognition for €7 million of deferred taxation previously subjected to impairment based on the sustainability test and of the effect from the review
of tax cases pertaining to 2018 financial year deriving in tax return since in the 2018 tax accruals only an estimation of taxes in the presence of
non-definitive information has been possible;
tax accrual referred to foreign branches for an amount equal to -€12 million;
tax credit deriving from the conversion of the “ACE” benefit into IRAP tax credit for €21 million;
the substitute tax paid for the realignment of the properties of -€27 million. The reduction in deferred tax liabilities for IRES and IRAP purposes is
included in the movements mentioned above.
Current IRES shows a total tax loss inclusive of Profit & Loss and Net assets of €777 million. Corresponding deferred tax assets on said tax loss,
equal to €214 million for taxes could have been registered, in addition to the residual tax losses carried forward for the period 2016-2018 for a total
amount of €3,515 million (the amount includes a residual amount of €10 million tax loss carried forward deriving from the merger of the subsidiaries
PGAM and Buddy Servizi Molecolari in 2017) of which €2,897 as deferred tax assets in Profit & Loss and €618 as deferred tax assets in Net assets.
Following the sustainability test, also considering that the Tax Group shows a tax credit, an amount of deferred tax assets limited to €546 million (of
which €7 million in Profit & Loss and €539 million in Net assets) can be registered.
The amount of deferred tax assets arising from tax losses not booked is equal to €3,129 million of which (i) €2,737 million (€2,668 million deriving
from accounting items originated in the Income statement and €69 million from Net equity components) referred to the Italian Tax Group perimeter
and related to the 24% IRES ordinary tax rate and (ii) €392 million (€382 million deriving from accounting items originated in the Income statement
and €10 million from Net equity components) referred to UniCredit S.p.A. and related to the 3.5% IRES additional tax rate.
Current IRAP tax accrual shows a negative amount equal to -€108 million, with a negative effect in Profit & Loss for -€125 million and a positive
effect in Net assets of €17 million.
The “ACE” (“Aiuto alla crescita economica”) benefit for 2019 is currently estimated in €25 million, also considering the lowering of the notional yield
at 1,3% from 1,5% in 2018. The amount of the benefit for 2018 amounts to a total of €60 million due to the positive tax ruling obtained by “Agenzia
delle Entrate” on the increase of intra-Group loans as provided by the anti-avoidance rules. From that total amount, the amount of €38 million
resulting from the positive tax ruling will be put into effect in 2020 by the submission of supplementary 2018 tax returns both for IRES and IRAP. An
analogous tax ruling for an amount still to be defined will be presented to “Agenzia delle Entrate” also for the year 2019.
During the year 2019, owing to the negative taxable basis for IRES and the availability of tax losses carried forward determining an indefinite
postponement of the monetization of the ACE benefit, the amount of ACE benefit for 2018 not yet used was converted into a tax credit for IRAP
purposes, as provided for by Law Decree 24 June 2014, No.91 (converted with modification by Law 11 August 2014, No.116) as already done for
the unused ACE benefit pertaining to the 2016 and 2017 financial years, for a total amount of €99 million. Therefore, the ACE benefit for 2018, for an
amount of €21 million, determining an equal extraordinary revenue in Profit & Loss, considering that the same amount was impaired being not
sustainable. The residual credit still to be used for IRAP purposes amounts to €82 million.
The IRAP credit will be used over 5 years in equal installments as provided for by the relevant law, with the possibility to carry forward any unused
amount upon the fifth year.
496 2019 Annual Report and Accounts · UniCredit
Report on operations
Results of the year
The balance sheet
Loans to Customers
As at 31 December 2019, loans to customers totalled €229,625 million, an increase of €7,034 million (+3.2%) compared to 31 December 2018.
Loans and advances to customers
Performing loans
Repos
Non-performing exposures
Total loans and receivables with customers
More specifically:
performing loans decreased of €-8,844 million (-4.9%);
reverse repos recorded an increase of €20,538 million (+60.7%);
impaired assets recorded a decrease of €-4,660 million (-49.7%).
AMOUNTS AS AT
CHANGE
12.31.2019
170,555
54,363
4,707
229,625
12.31.2018
179,399
33,825
9,367
222,591
AMOUNT
- 8,844
+ 20,538
- 4,660
+ 7,034
(€ million)
%
- 4.9%
+ 60.7%
- 49.7%
+ 3.2%
Performing loans (€170,555 million at 31 December 2019) included €1,142 million due from Special Purpose Vehicles (SPVs), attributable mainly
to liquidity which UniCredit S.p.A., following the downgrading from 2012 by the rating agencies involved in the transactions, had to transfer (based
on the contractual documentation signed) to other banks, still considered “eligible”, in favor of the SPVs granting loans as part of the transactions
originated by UniCredit S.p.A. in relation to securitisations and covered bond issue programmes.
During 2019 the aforementioned receivables from Special Purpose Vehicle (S.P.V.) increased by €395 million compared to 31 December 2018.
The increase is due to the normal management of securitisation transactions
Reverse repos amounted to €54,363 million at 31 December 2019 (€33,825 million at the end of 2018), and consisted almost entirely of
transactions with Cassa di Compensazione e Garanzia, with Cassa Depositi e Prestiti and Poste Italiane S.p.A.
Impaired loans at the end of December 2019 amounted to €4,707 million and came to 2.1% of the total amount of loans to customers. They mainly
referred to the business segment.
The decrease of €4,660 million (-49.7% in comparison to €9,367 million at the end of December 2018) confirms the intense Bank’s activity aimed to
reduce the non performing credit exposure also through the target of total rundown of the Non-Core portfolio within 2021. The main phenomena
occurred during the 2019 financial year that have led to a reduction of the volume of the non-performing assets are: (i) the sale - through a
securitisation transaction (PRISMA) - of non-performing loans related to residential mortgages to private individuals for a book value at the sale date
(11 October 2019) of €1,357 million (nominal value €4,098 million); (ii) further non-performing portfolio’s sales, for a book value of around €1,567
million; (iii) the reinforcement and implementation in the 4Q2019 of the strategy on the Non-Core portfolio, which has determined a reduction of the
book value of the non performing exposures involved of around €827 million, in addition to that already recorded in previous quarters. With reference
to the latter reinforcement action of the strategy on the Non-Core portfolio, please refer to Part E - Information on risks and hedging policies -
Section 1 - Credit Risk, table “A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values)” of the Notes to the accounts.
Credit quality
As at 31 December 2019, the face value of the impaired assets totaled €15,369 million, representing 6.4% of total nominal loans to customers down
by 10.6% at year-end 2018.
The ratio of non-performing loans (at face values) amounted to 2.6% of total loans to customers (5.4% at 31 December 2018) loans classified as
unlikely to pay amounted to 3.6% of total loans (5.0% at 31 December 2018), while impaired past due exposures amounted to 0.19% of total loans
(0.19% at 31 December 2018).
The coverage ratio of impaired loans (specific write-downs to face value) came to around 69.4%, up on the 63.3% figure recorded at 31 December
2018 and consisting of 89.4% of non-performing loans, 59,8% of loans classified as unlikely to pay and 33.2% of impaired past due exposures.
UniCredit ·2019 Annual Report and Accounts 497
Report on operations
Results of the year
Performing loans, which amounted to €226,112 million at face value (€214,474 million at 31 December 2018), were written down, at 31 December
2019, by a total of €1,194 million, with a coverage ratio of 0.5% (0.6% at 31 December 2018).
Overall, therefore, total Loans to customers at 31 December 2019 stood at €241,480 million, with value adjustments of €11,856 million taking the
general level of coverage for Loans to Customers to 4.9% (7.2% at 31 December 2018).
The overall reduction in the coverage ratio is substantially due to the contraction of the impact of impaired loans on the aggregate of Loans to
customers.
For the management and recovery of problematic loans (non-performing and unlikely to pay), the Bank uses the services offered by doValue S.p.A.,
a bank specialised in loan recovery.
The summary table below provides additional details:
Loans to customers - Asset quality
As at 12.31.2019 (*)
Gross exposure
as a percentage of total loans
Writedowns
as a percentage of face value
Carrying value
as a percentage of total loans
As at 12.31.2018
Gross exposure
as a percentage of total loans
Writedowns
as a percentage of face value
Carrying value
as a percentage of total loans
BAD
EXPOSURES
UNLIKELY
TO PAY
NON-
PERFORMING
PAST-DUE
TOTAL
NON-
PERFORMING
PERFORMING
6,340
2.63%
5,384
84.92%
956
0.42%
13,021
5.43%
10,210
78.41%
2,811
1.26%
8,563
3.55%
5,123
59.83%
3,440
1.50%
12,023
5.01%
5,770
47.99%
6,254
2.81%
466
0.19%
155
33.22%
311
0.14%
462
0.19%
160
34.56%
302
0.14%
15,369
6.36%
10,662
69.37%
4,707
2.05%
25,507
10.63%
16,140
63.28%
9,367
4.21%
226,112
93.64%
1,194
0.53%
224,918
97.95%
214,474
89.37%
1,250
0.58%
213,224
95.79%
(€ million)
TOTAL
LOANS
241,480
11,856
229,625
239,981
17,390
222,591
Note:
(*) Total loans to customers exclude the receivables arising from subleases recognised due to the application of IFRS16.
Deposits from customers and debt securities in issue
Deposits from customers and debt securities in issue increase for the combined effect of increase attributable to operating units in Italy (€5,452
million) and decrease due to operating units abroad (-€88 million).
Deposits from customers and debt securities in issue
Deposits from customers
Debt securities in issue
Total deposits from customers and debt securities in issue
Deposits from customers change due to:
current accounts and demand deposits, increased by €8,131 million;
time deposits, reduced by €452 million;
repurchase agreements with customers, reduced by €2.931 million;
other types of deposits, reduced by €924 million.
AMOUNTS AS AT
CHANGE
12.31.2019
215,696
54,509
270,205
12.31.2018
211,872
52,969
264,841
AMOUNT
+ 3,824
+ 1,540
+ 5,364
(€ million)
%
+ 1.8%
+ 2.9%
+ 2.0%
Debt securities in issue change mainly due to increase attributable to operating units in Italy (€1,544 million), driven by bond issues (€1,136), repos
on own issued bonds (€460), certificates of deposit (-€33 million) and to “buoni fruttiferi” (-€19 million); certificates of deposit with operating units
abroad increased by €4 million.
498 2019 Annual Report and Accounts · UniCredit
Report on operations
Results of the year
Other financial assets
In 2019 financial investments showed a decrease mainly attributable to equity investments and bonds.
Other financial assets
Financial assets at fair value through profit or loss - Other financial
assets mandatorily at fair value
Financial assets at fair value through other comprehensive income
Debt securities and loans at amortised cost
Equity investments
Total other financial assets
AMOUNTS AS AT
CHANGE
12.31.2019
12.31.2018
AMOUNT
%
(€ million)
2,019
31,407
32,900
37,873
104,199
3,164
46,927
19,330
42,873
112,294
- 1,145
- 15,520
+ 13,570
- 5,000
- 8,095
- 36.2%
- 33.1%
+ 70.2%
- 11.7%
- 7.2%
More specifically:
financial assets mandatory at fair value are mainly composed by units in investment funds (€1,242 million) and bonds (€501 million, to whom is
mainly attributable the change in the year);
financial assets at fair value through other comprehensive income included €29,857 million in debt (decreased by €15,411 million primarily due to
sales and redemption of government securities) and €1,550 million in equity interests. Equity interests included in this portfolio posted an annual
decrease of €106 million, mainly attributable to:
- sale of Banca d’Italia quotes (€96 million);
- fair value changes, of which ABHH Holding (-€18 million);
debt securities at amortised cost mainly include government securities and have been increased due to purchases in the year;
the value of equity investments decreased mainly driven by the combined effects arising from:
- the write-downs of the investment, of which: UniCredit Bank Austria Credistanstalt Ag (-€1,862 million), UniCredit Bank Ag (-€1,739 million),
UniCredit Bank Ireland Plc (-€132 million), Sia UniCredit Leasing (-€20 million), UniCredit Turn Around Management Cee Gmbh (-€15 million);
- the write-up of the investment, of which: UniCredit Leasing S.p.A. (€713 million), AO UniCredit Bank (€244million), Nuova Compagnia di
Partecipazioni S.p.A. (€34 million), UniCredit Banka Slovenja (€17 million), UniCredit Consumer Financing Ifn S.A. (€16 million), CNP (€16
million), UniCredit International Luxembourg S.A. (€9 million), Aviva (€6 million), Cordusio Sim S.p.A. (€3 million);
- reclassification into assets held for sale of Koc Finansal Hizmetler Istanbul SA and sale of Mediobanca - Banca di Credito Finanziario S.p.A. and
FinecoBank S.p.A.
Interbank position
In 2019, the Bank completed the medium long term Yearly Funding Plan execution, using different structures and terms so to minimize
concentration risk and to benefit from our creditworthiness versus Institutional Investors.
In order to increase the amount of eligible instruments according to TLAC requirements, in January the Bank placed with success a 3-year Dual
Tranche Senior Non-Preferred issue, for an amount of $3,000 million under the “US GMTN Programme”. In addition, in June UniCredit SpA placed a
benchmark Senior Preferred issue, amounted to €1,250 million, as the first Senior Preferred callable bond issued by an European bank. At last, it
was issued the first Senior non Preferred bond, 6-year maturity and callable after 5 years amounted to €750 million. In October, UniCredit issued a
5.5-year maturity Senior Preferred bond, amounted to €1.000 milion.
As regards Subordinated issuances, in February the Bank launched a Tier 2 subordinated benchmark with 10 year maturity, callable after 5 years,
amounted to €1.000 milion. In March, UniCredit SpA placed an Additional Tier 1 Perpetual Non-Call ( Non-Cumulative Temporary Write-Down
Deeply Subordinated Fixed Rate Resettable Notes), callable up to June 2026 for a total amount of €1.000 milion and a Tier 2 subordinated note
targeted to institutional investors for a total amount of $1,250 million, maturity 15 years callable after 10 years. In September UniCredit S.p.A. placed
another 10 year subordinated Tier 2 bond, callable after 5 years, for an amount of €1,250 million.
All the 2019 issues allowed to fully meet different regulatory requirements, maintaining at the same time a high level of liquidity.
UniCredit ·2019 Annual Report and Accounts 499
Report on operations
Results of the year
Capital and Value Management
Principles of value creation and disciplined capital allocation
Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group which is herewith quoted entirely.
Capital ratios
Transitional own funds and capital ratios
Common Equity Tier 1 Capital
Tier 1 Capital
Total own funds
Total RWA
Common Equity Tier 1 Capital Ratio
Tier 1 Capital Ratio
Total Capital Ratio
AS AT
12.31.2019(*)
43,272
49,261
59,156
204,944
21.11%
24.04%
28.86%
(€ million)
12.31.2018(*)
44,385
49,526
56,527
204,991
21.65%
24.16%
27.58%
Notes:
(*) Transitional own funds and capital ratios including all transitional adjustments according to the yearly applicable percentages.
UniCredit S.p.A. has decided to not apply the IFRS9 transitional approach as reported in article 473a of the Regulation 575/2013/EU (CRR). Therefore the values shown fully reflect the impact arising from the application of
the IFRS9 principle.
The negative change in comparison with 31 December 2018 of about -€1,13 billion Common Equity Tier 1 mainly reflects i) the positive change
(€1,168 milion) in the accumulated other comprehensive income and other reserves, (ii) the loss of the period (-€555 million) recognised in the Own
Funds for 2019 with the inclusion of dividends for €1,404 million and equal to -€1,959 million, (iii) the positive change (€361 million) due to the end of
application of national filters on “Affrancamento multiplo dell’avviamento” and “Cessione in blocco degli immobili ad uso funzionale”, (iv) negative
change for -€379 million on “Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax
liability where the conditions in Article 38 (3)”) mainly reflecting the outcome of the sustainability test, after the application of the regulatory netting
rules.
The positive change with respect to 31 December 2018 of about 2,69 billion on Total own funds reflects the effect deriving from the new issue of
three subordinated instruments classified in Tier 2 Capital.
The loss as at 31 December 2019, equal to -€555 million, is recognised in the Own Funds for -€1,959 million, resulting after the destination to
potential dividends for €1.404 million approved by the Board of Directors. The dividends envisages a 30% of pay-out ratio on 2019 consolidated
underlying net profit42, equal to €4,675 million, excluding extraordinary and non-recurring items equal to -€1,301 million.
Capital strengthening
Reference is made to the paragraph Capital strengthening of the Consolidated report on operations, which is herewith quoted entirely.
42 Net profit adjusted for non-operating items; for further details, refer to definition in the Glossary.
500 2019 Annual Report and Accounts · UniCredit
Report on operations
Results of the year
Shareholders’ equity
Shareholders' equity
Share capital
Share premium
Equity instruments
Reserves
Revaluation reserves
Treasury shares
Total capital and reserves
Net profit (loss)
Total shareholders' equity
AMOUNTS AS AT
CHANGE
12.31.2019
20,995
13,225
5,602
11,783
471
(2)
52,074
(555)
51,519
12.31.2018
20,940
13,393
4,610
10,031
(503)
(2)
48,469
2,442
50,911
AMOUNT
+ 55
- 168
+ 992
+ 1,752
+ 974
-
+ 3,605
- 2,997
+ 608
(€ million)
%
+ 0.3%
- 1.3%
+ 21.5%
+ 17.5%
n.m.
-
+ 7.4%
n.m.
+ 1.2%
Shareholders' equity at 31 December 2019 amounted to €51,519 million, an increase of €608 million compared to 31 December 2018, attributable
to:
-€600 million for distribution of dividends from allocation of 2018 net profit, as approved by Shareholders' Meeting of 11 April 2019.
-€4 million assigned to the charity fund from allocation of 2018 net profit, as approved by Shareholders' Meeting of 11 April 2019.
+€992 million from the issuance of Additional Tier 1 Notes recorded net of transaction cost and placement fees in item “Equity Instrument”;
-€282 million from the allocation to the reserves of the coupon paid to subscribers of Additional Tier 1 notes, net of related tax effects;
-€124 million from the usufruct fees related to financial instruments (“Cashes”) involving almost all the shares subscribed by Mediobanca, during
the corresponding capital increase in 2009;
+€68 million from the adjustment to the reserve dedicated to Equity Settled Share Based Payments;
-€40 million due to recognition of the reserve from partial demerger of UniCredit Services S.C.p.A. of the activities related to italian operations and
real estate and logistics businesses (so-called "Reus" demerger).
-€90 million for allocation to equity of realized net gains and losses from disposal of financial assets and liabilities at fair value through
comprehensive income.
+€269 million for variation of the negative reserve that recognize the effects deriving from the non-sustainability of the tax benefits connected to
the shareholders' equity items;
+€974 million from the net effect deriving from revaluation reserves, of which: +€568 million from financial assets at fair value through “other
comprehensive income”; -€113 million from financial liabilities designated at fair value through profit or loss, due to changes in their
creditworthiness; +€35 million from cash flow hedges; +€510 million from revaluation of real estate properties and -€26 million from defined benefit
plans;
-€555 million from the net result from the period.
Note the following significant changes occurred in 2019 which, though reflected among the various components of shareholders' equity, did not
change the overall amount thereof:
following the resolutions of the Shareholders' Meeting of 11 April 2019 occurred: (i) the allocation of the net profit of the year 2018 to the Reserve
for the issue of the shares connected to the medium term incentive plan for Group personnel (€55 million) and to the Statutory reserve (€1,799
million); (ii) the coverage of the negative reserves totaling €293 million, partly buy use of Share premium reserve for the component related to the
payment of AT1 coupons in 2017 (€168 million) an partly by use of the Statutory reserve to cover the negative reserve arising from the payment of
usufruct fees related to Cashes (€125 million);
the increase of €55 million in share capital following the resolution of the Board of Directors of 6 February 2019 executed through a withdrawal
from the specifically constituted reserve, for the issue of the shares connected to the medium term incentive plan for Group personnel.
Shareholders’ equity at 31 December 2018 in comparison reflects the impacts deriving from the change with retroactive effect in the evaluation
criterion of properties held for investment (IAS 40) which resulted in i) the recognition of a specific reserve for the effects of the first application of the
accounting principle at 1 January 2018 (+€91 million net of tax effect) and ii) the restatement of the 2018 result of the year as a consequence of
changes in the fair value for the period and amortization adjustments (-€16 million net of the tax effect) with consequent impact on retained earnings
reserves.
UniCredit ·2019 Annual Report and Accounts 501
Report on operations
Results of the year
Shareholders
The share capital, fully subscribed and paid up, amounts to €20,994,799,961.81 divided into No.2,233,376,842 ordinary shares with no face value.
As at 31 December 2019, according to the analyses performed using data from heterogeneous sources, including the content of the Register of
Shareholders, the documentation relating to the participation in the shareholders’ meeting of the Company, communications to CONSOB, public
filings available on the market:
shareholders were approximately 287,000;
resident shareholders held around 19.24% of the capital and foreign shareholders 80.76%;
90.50% of the share capital is held by legal entities, the remaining 9.50% by natural persons.
Also as at that date, the main shareholders, those holding significant shareholdings exceeding 3%, according to communications received in
accordance with current legislation, who are not entitled to the exemption from the mandatory communication as set forth under Art.119bis of the
CONSOB Regulation No.11971/99, are:
Principal UniCredit shareholders
SHAREHOLDER
BlackRock Inc.
Dodge & Cox
ORDINARY
SHARES
113,550,196
111,715,904
%
OWNED
5.084%
5.002%
Treasury shares
The treasury share balance and relevant carrying value remain unchanged from year-end 2018, due to the fact that there were no transactions
involving treasury shares in 2019.
The number of treasury shares in portfolio reflects the reverse stock split in preparation for the subsequent capital increase approved by the
Extraordinary Shareholders’ Meeting of 12 January 2017.
502 2019 Annual Report and Accounts · UniCredit
Report on operations
Company activities
Company activities
The commercial network
Operating structure in Italy
During 2019, UniCredit domestic Retail Commercial Banking Network was subject to the closure of 80 branches and opening of 1 branch.
As a result of the above, the structure of the domestic network at 31 December 2019 consisted of a total of 2,738 branches, of which 2,387
belonging to Retail Commercial Banking Network.
At 31 December 2019, following the initiatives described above and a small-scale branch re-organization resulting from the ongoing optimization and
streamlining process of organizational units, the Italian distribution network was structured as follows.
Italian branch network
REGION
- Piedmont
- Valle d'Aosta
- Lombardy
- Liguria
- Trentino Alto Adige
- Veneto
- Friuli Venezia Giulia
- Emilia Romagna
- Tuscany
- Umbria
- Marche
- Lazio
- Abruzzo
- Molise
- Campania
- Puglia
- Basilicata
- Calabria
- Sicily
- Sardinia
Total branches
NUMBER OF
BRANCHES
AT 12.31.2019
280
15
341
50
47
330
89
353
112
63
55
365
28
26
129
101
9
21
284
40
2,738
% BREAKDOWN
10.2%
0.5%
12.5%
1.8%
1.7%
12.1%
3.3%
12.9%
4.1%
2.3%
2.0%
13.3%
1.0%
0.9%
4.7%
3.7%
0.3%
0.8%
10.4%
1.5%
100.0%
Branches and rappresentatives abroad
At 31 December 2019 UniCredit S.p.A. had eight branches abroad, plus a Permanent Establishment in Vienna and five rappresentative offices:
UniCredit S.p.A. international network as at 12.31.2019
BRANCHES
PRC - Shanghai
GERMANY - Munich
GERMANY - Munich(*)
UNITED KINGDOM - London
UNITED STATES - New York
FRANCE - Paris
SPAIN - Madrid
UNITED ARAB EMIRATES - Abu Dhabi
Notes:
(*) Formerly Branch of UniCredit Family and Financing Bank.
(**) Through the subsidiary BAVÁRIA SERVIÇOS DE REPRESENTAÇÃO COMERCIAL LTDA.
PERMANENT
ESTABLISHMENT
AUSTRIA - Wien
REPRESENTATIVE
OFFICES
BELGIUM - Brussels
BRAZIL - Sao Paulo(**)
PRC - Beijing
INDIA - Mumbai
LYBIA - Tripoli
UniCredit ·2019 Annual Report and Accounts 503
Report on operations
Company activities
Resources
Personnel developments
At 31 December 2019, UniCredit S.p.A.’s headcount is No.35,707 compared to No.35,526 at 31 December 2018. The increase in resources is
mainly due to the entry of the UniCredit Services service lines Real Estate and Operations.
Category
Senior Management
Management - 3rd and 4th grade
Management - 1st and 2nd grade
Other Staff
Total
of which, Part-time staff
12.31.2019
12.31.2018
CHANGE
OF WHICH:
OUTSIDE
ITALY
6
41
6
4
57
-
TOTAL
701
7,238
11,010
16,758
35,707
5,273
TOTAL
758
7,257
10,992
16,519
35,526
5,085
OF WHICH:
OUTSIDE
ITALY
IN TOTAL
PERCENT
6
39
5
10
60
-
-57
-19
+18
+239
+181
+188
- 7.5%
- 0.3%
+ 0.2%
+ 1.4%
+ 0.5%
+ 3.7%
The composition of the workforce by seniority and by age bracket is shown in the following tables. With respect to educational level, 38% of
UniCredit S.p.A. employees have university degrees (mostly in the areas of economics and banking, or law).
Women make up 48% of personnel.
Breakdown by seniority
Up to 10
From 11 to 20 years
From 21 to 30 years
Over 30
Total
Breakdown by age
Up to 30
From 31 to 40 years
From 41 to 50 years
Over 50
Total
12.31.2019
12.31.2018
CHANGE
NUMBER
4,185
13,673
9,757
8,092
35,707
PERCENT
11.7%
38.3%
27.3%
22.7%
100.0%
NUMBER
4,462
13,221
9,966
7,877
35,526
PERCENT
12.6%
37.2%
28.1%
22.2%
100.0%
AMOUNT
-277
+452
-209
+215
+181
12.31.2019
12.31.2018
CHANGE
NUMBER
1,478
5,545
12,837
15,847
35,707
PERCENT
4.1%
15.5%
36.0%
44.4%
100.0%
NUMBER
1,300
6,275
12,759
15,192
35,526
PERCENT
3.7%
17.7%
35.9%
42.8%
100.0%
AMOUNT
+178
-730
+78
+655
+181
PERCENT
- 6.2%
+ 3.4%
- 2.1%
+ 2.7%
+ 0.5%
PERCENT
+ 13.7%
- 11.6%
+ 0.6%
+ 4.3%
+ 0.5%
With regard to training, managerial growth, union relations, environment and occupational safety, refer to the Integrated Report. This document,
published on the institutional website, describes how UniCredit creates sustainable value that has a positive impact on society by supporting the
advancement of local communities, the competitiveness of enterprises and the well-being of individuals. The Integrated Report of UniCredit
constitutes a Non-Financial Statement pursuant to articles 3 and 4 of Legislative Decree 254/2016.
504 2019 Annual Report and Accounts · UniCredit
Report on operations
Other information
Other information
Group activities development operations and other corporate transactions
Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group with specific reference to events relating
to the parent company UniCredit S.p.A. which is herewith quoted entirely.
Conversion of tax credits
The 2018 financial year closed with a profit of €2,458 million; therefore, there were not the conditions for carrying out a new transformation of
Deferred Tax Assets (DTAs) into tax credits pursuant to art.2, par.55 of the Law Decree of 29 December 2010 No.225, converted into Law
No.10/2011.
Instead the 2019 financial year closed with a loss in income statement of €555 million; therefore, the conditions to proceed with a new transformation
of Deferred tax assets into tax credits pursuant to the aforementioned regulation are verified. In 2020, following the approval of the financial
statements for the year 2019 by the Shareholders' Meeting of UniCredit S.p.A., deferred tax assets, for IRES and IRAP, amounting to €87 million will
be converted into tax credits.
Certifications and other communications
Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group which is herewith quoted entirely.
For more information on related-party transactions refer to Notes to the accounts - Part H.
Information on risks
For a complete description of the risks and uncertainties that the Bank must face under the current market conditions, refer to the appropriate
section in the Company financial statements - Notes to the accounts - Part E.
UniCredit ·2019 Annual Report and Accounts 505
Report on operations
Subsequent events and outlook
Subsequent events and outlook
Subsequent events43
Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group with specific reference to events relating
to the parent company UniCredit S.p.A. which is herewith quoted entirely.
43 Up to the date of approval by the Board of Directors’ Meeting of 5 February 2020 which, on the same date, authorised the publication also in accordance with IAS10.
506 2019 Annual Report and Accounts · UniCredit
Report on operations
Subsequent events and outlook
Outlook
Reference is made to the corresponding paragraph of Consolidated report on operations of UniCredit group which is herewith quoted entirely.
Milan, 5 February 2020
CHAIRMAN
CESARE BISONI
THE BOARD OF DIRECTORS
CEO
JEAN PIERRE MUSTIER
UniCredit ·2019 Annual Report and Accounts 507
Capital and
balance sheet
management.
We will continue to take decisive actions to increase our flexibility, with a
proactive approach to capital allocation, both top down and bottom up. In
Team 23, one key commitment is to maintain a CET1 MDA buffer between
200 to 250 basis points.
Proposal to shareholders’ Meeting
Proposals to the Shareholders’ Meeting
Company financial statements
For the proposals to Shareholders’ Meeting refer to the specific Board of Directors’ reports in relation to the allocation of the 2019 result.
UniCredit ·2019 Annual Report and Accounts 509
510 2019 Annual Report and Accounts · UniCredit
Company financial statements | Company accounts
Company accounts
Company accounts
Balance sheet
Balance sheet carrying values as at 31 December 2018 reported for comparative purposes are subject to restatement, compared to those stated at
the same date, as a result of the change in investment properties evaluation criterion that represents a voluntary change in accounting policy to be
applied retrospectively according to IAS8 par.19-b). In addition, as requested by IAS1 par.40A and 40B, also comparative figures as at 1 January
2018 are exposed.
Income statement carrying values as at 31 December 2018 reported for comparative purposes are subject to restatement, compared to those stated
at the same date, as a result of the change in investment properties evaluation criterion.
Balance sheet
ASSETS
10. Cash and cash balances
20. Financial assets at fair value through profit or loss:
a) financial assets held for trading
b) financial assets designated at fair value
c) other financial assets mandatorily at fair value
30. Financial assets at fair value through other comprehensive income
40. Financial assets at amortised cost:
a) loans and advances to banks
b) loans and advances to customers
50. Hedging derivatives
60. Changes in fair value of portfolio hedged items (+/-)
70. Equity investments
80. Property, plant and equipment
90. Intangible assets
of which: goodwill
100. Tax assets:
a) current
b) deferred
110. Non-current assets and disposal groups classified as held for sale
120. Other assets
Total assets
LIABILITIES AND SHAREHOLDERS' EQUITY
10. Financial liabilities at amortised cost:
a) deposits from banks
b) deposits from customers
c) debt securities in issue
20. Financial liabilities held for trading
30. Financial liabilities designated at fair value
40. Hedging derivatives
50. Value adjustment of hedged financial liabilities (+/-)
60. Tax liabilities:
a) current
b) deferred
70. Liabilities associated with assets classified as held for sale
80. Other liabilities
90. Provision for employee severance pay
100. Provisions for risks and charges:
a) committments and guarantees given
b) post-retirement benefit obligations
c) other provisions for risks and charges
110. Valuation reserves
120. Redeemable shares
130. Equity instruments
140. Reserves
150. Share premium
160. Share capital
170. Treasury shares (-)
180. Profit (Loss) of the year (+/-)
Total liabilities and shareholders' equity
12.31.2019
2,394,848,301
14,697,124,050
12,678,323,652
239
2,018,800,159
31,406,841,298
301,162,647,624
42,067,990,546
259,094,657,078
5,222,562,432
2,088,787,884
37,872,616,053
4,171,693,854
4,171,605
-
10,404,625,898
594,152,335
9,810,473,563
1,141,912,829
3,905,767,865
414,473,599,693
12.31.2019
329,125,681,020
57,577,982,401
217,038,976,876
54,508,721,743
13,402,931,609
3,739,785,334
4,882,147,506
2,726,228,912
1,326,449
1,326,449
-
173,846
6,154,981,085
622,577,290
2,298,714,075
414,707,405
94,697,401
1,789,309,269
472,051,927
-
5,601,632,491
11,783,312,155
13,224,956,198
20,994,799,962
(2,440,001)
(555,260,165)
414,473,599,693
AMOUNTS AS AT
12.31.2018
7,460,706,040
14,998,825,205
11,834,351,538
351
3,164,473,316
46,926,536,608
270,556,434,138
30,971,842,243
239,584,591,895
4,167,319,172
1,685,974,892
42,872,911,676
2,363,644,170
3,932,839
-
10,662,126,452
757,454,501
9,904,671,951
116,383,603
3,875,730,081
405,690,524,876
AMOUNTS AS AT
12.31.2018
323,835,358,883
58,994,789,432
211,871,724,249
52,968,845,202
10,383,522,810
3,534,518,992
4,525,258,448
1,770,149,836
1,786,328
1,786,328
-
-
7,617,123,027
629,190,259
2,482,620,470
491,897,124
90,539,306
1,900,184,040
(502,666,304)
-
4,610,073,464
10,030,395,017
13,392,918,356
20,940,398,467
(2,440,001)
2,442,316,824
405,690,524,876
(€)
01.01.2018
25,816,708,377
16,884,089,389
13,863,778,570
443
3,020,310,376
57,541,000,068
234,110,103,848
27,922,884,774
206,187,219,074
4,399,939,250
1,743,967,550
44,145,484,970
2,336,372,442
4,349,513
-
10,370,017,970
1,660,306,432
8,709,711,538
158,692,747
4,717,334,712
402,228,060,836
(€)
01.01.2018
318,891,410,242
56,807,016,417
197,138,761,654
64,945,632,171
13,095,915,029
2,737,624,598
4,530,285,734
1,720,371,037
1,151,624
1,151,624
-
-
7,535,311,386
828,450,167
2,372,534,587
529,529,880
77,312,166
1,765,692,541
267,486,440
-
4,610,073,464
5,123,892,640
13,399,798,681
20,880,549,802
(2,440,001)
6,235,645,406
402,228,060,836
UniCredit ·2019 Annual Report and Accounts 511
Company financial statements | Company accounts
Company accounts
Income statement
Income statement
ITEMS
10. Interest income and similar revenues
of which: interest income calculated with the effective interest method
20. Interest expenses and similar charges
30. Net interest margin
40. Fees and commissions income
50. Fees and commissions expenses
60. Net fees and commissions
70. Dividend income and similar revenues
80. Net gains (losses) on trading
90. Net gains (losses) on hedge accounting
100. Gains (Losses) on disposal and repurchase of:
a) financial assets at amortised cost
b) financial assets at fair value through other comprehensive income
c) financial liabilities
110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss:
a) financial assets/liabilities designated at fair value
b) other financial assets mandatorily at fair value
120. Operating income
130. Net losses/recoveries on credit impairment relating to:
a) financial assets at amortised cost
b) financial assets at fair value through other comprehensive income
140. Gains/Losses from contractual changes with no cancellations
150. Net profit from financial activities
160. Administrative expenses:
a) staff costs
b) other administrative expenses
170. Net provisions for risks and charges:
a) commitments and financial guarantees given
b) other net provisions
180. Net value adjustments/write-backs on property, plant and equipment
190. Net value adjustments/write-backs on intangible assets
200. Other operating expenses/income
210. Operating costs
220. Gains (Losses) of equity investments
230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value
240. Goodwill impairment
250. Gains (Losses) on disposals on investments
260. Profit (Loss) before tax from continuing operations
270. Tax expenses (income) for the year from continuing operations
280. Profit (Loss) after tax from continuing operations
290. Profit (Loss) after tax from discontinued operations
300. Profit (Loss) of the year
YEAR
2019
5,120,039,055
5,319,567,182
(1,301,471,197)
3,818,567,858
4,357,389,871
(555,087,480)
3,802,302,391
1,906,293,914
442,929,372
(3,317,901)
121,500,729
75,908,898
57,130,652
(11,538,821)
(241,173,762)
(226,807,101)
(14,366,661)
9,847,102,601
(2,756,070,109)
(2,739,676,792)
(16,393,317)
(20,926,172)
7,070,106,320
(5,363,208,761)
(2,760,458,136)
(2,602,750,625)
(288,098,607)
77,189,718
(365,288,325)
(316,417,188)
(2,322,964)
291,807,308
(5,678,240,212)
(1,397,472,018)
(251,484,324)
-
351,687
(256,738,547)
(298,521,618)
(555,260,165)
-
(555,260,165)
(€)
2018
5,275,772,261
5,188,014,031
(1,109,354,399)
4,166,417,862
4,350,574,073
(400,336,954)
3,950,237,119
2,630,046,719
(313,353)
1,129,982
52,089,007
(34,059,358)
86,905,280
(756,915)
(8,815,157)
124,803,444
(133,618,601)
10,790,792,179
(2,011,419,803)
(1,997,651,409)
(13,768,394)
(3,293,454)
8,776,078,922
(5,825,870,722)
(2,866,359,659)
(2,959,511,063)
(390,722,022)
37,627,123
(428,349,145)
(130,640,514)
(2,136,588)
411,522,115
(5,937,847,731)
(1,589,813,036)
(34,261,250)
-
44,029,673
1,258,186,578
1,184,130,246
2,442,316,824
-
2,442,316,824
512 2019 Annual Report and Accounts · UniCredit
Company financial statements | Company accounts
Company accounts
Statement of other comprehensive income
ITEMS
10. Profit (Loss) of the year
Other comprehensive income after tax not reclassified to profit or loss
20. Equity instruments designated at fair value through other comprehensive income
30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes)
40. Hedge accounting of equity instruments designated at fair value through other comprehensive income
50. Property, plant and equipment
60. Intangible assets
70. Defined-benefit plans
80. Non-current assets and disposal groups classified as held for sale
90. Portion of valuation reserves from investments valued at equity method
Other comprehensive income after tax reclassified to profit or loss
100. Foreign investments hedging
110. Foreign exchange differences
120. Cash flow hedging
130. Hedging instruments (non-designated items)
140. Financial assets (different from equity instruments) at fair value through other comprehensive income
150. Non-current assets and disposal groups classified as held for sale
160. Part of valuation reserves from investments valued at equity method
170. Total other comprehensive income after tax
180. Other comprehensive income (Item 10+170)
Statement of comprehensive income
YEAR
2019
(555,260,165)
2,176,971
(112,676,719)
-
510,810,759
-
(27,407,628)
-
-
-
-
34,960,603
-
566,854,245
-
-
974,718,231
419,458,066
(€)
2018
2,442,316,824
19,186,637
98,845,352
-
-
-
1,726,609
-
-
-
-
(33,793,267)
-
(823,990,853)
-
-
(738,025,522)
1,704,291,302
UniCredit ·2019 Annual Report and Accounts 513
Company financial statements | Company accounts
Company accounts
Statement of changes in shareholders' equity as at 31 December 2019
PREVIOUS YEAR
PROFIT (LOSS)
ALLOCATION
CHANGES IN THE YEAR
SHAREHOLDERS' EQUITY TRANSACTIONS
8
1
0
2
.
1
3
.
2
1
T
A
S
A
E
C
N
A
L
A
B
Share capital:
- ordinary shares
20,940,398,467
- other shares
-
Share premium
13,392,918,356
Reserves:
- from profits
- other
5,540,721,546
4,489,673,471
Valuation reserves
(502,666,304)
Equity instruments
4,610,073,464
Treasury shares
(2,440,001)
Profit (Loss) for the year
2,442,316,824
Shareholders’ equity
50,910,995,823
E
C
N
A
L
A
B
G
N
N
E
P
O
N
I
I
E
G
N
A
H
C
-
-
-
-
-
-
-
-
-
-
9
1
0
2
.
1
0
.
1
0
T
A
S
A
E
C
N
A
L
A
B
S
E
V
R
E
S
E
R
20,940,398,467
-
13,392,918,356
-
-
-
5,540,721,546
1,837,918,785
4,489,673,471
(502,666,304)
4,610,073,464
(2,440,001)
-
-
-
-
I
S
N
O
T
A
C
O
L
L
A
R
E
H
T
O
D
N
A
S
D
N
E
D
V
D
I
I
-
-
-
-
-
-
-
-
2,442,316,824
(1,837,918,785)
(604,398,039)
I
I
I
I
N
O
T
U
B
R
T
S
D
Y
R
A
N
D
R
O
A
R
T
X
E
S
D
N
E
D
V
D
I
I
S
T
N
E
M
U
R
T
S
N
I
I
Y
T
U
Q
E
N
I
E
G
N
A
H
C
-
-
-
-
-
-
-
-
-
-
-
-
-
991,559,027
-
-
-
-
-
991,559,027
S
E
R
A
H
S
Y
R
U
S
A
E
R
T
F
O
E
S
A
H
C
R
U
P
-
-
-
-
-
-
-
-
-
-
I
I
S
E
V
T
A
V
R
E
D
S
E
R
A
H
S
Y
R
U
S
A
E
R
T
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
S
E
V
R
E
S
E
R
N
I
S
E
G
N
A
H
C
S
E
R
A
H
S
W
E
N
F
O
E
U
S
S
I
-
-
(167,962,158)
54,401,495
-
-
(216,096,175)
(54,401,495)
116,902,530
-
-
-
-
50,910,995,823
-
(604,398,039)
(267,155,803)
(€)
9
1
0
2
.
1
3
.
2
1
T
A
S
A
Y
T
U
Q
E
I
'
S
R
E
D
L
O
H
E
R
A
H
S
9
1
0
2
I
E
V
S
N
E
H
E
R
P
M
O
C
R
E
H
T
O
E
M
O
C
N
I
-
-
-
-
-
20,994,799,962
-
13,224,956,198
7,108,142,661
4,675,169,494
974,718,231
472,051,927
-
-
5,601,632,491
(2,440,001)
I
S
N
O
T
P
O
K
C
O
T
S
-
-
-
-
68,593,493
-
-
-
-
(555,260,165)
(555,260,165)
68,593,493
419,458,066
51,519,052,567
The amounts disclosed in column “Stock Options” represent the effects of the delivery of shares connected with the ESOP Plans and other Group
Executive Incentive Plans.
Statement of changes in shareholders’e equity
514 2019 Annual Report and Accounts · UniCredit
Company financial statements | Company accounts
Company accounts
Statement of changes in shareholders' equity as at 31 December 2018
PREVIOUS YEAR
PROFIT (LOSS)
ALLOCATION
CHANGES IN THE YEAR
SHAREHOLDERS' EQUITY TRANSACTIONS
(€)
8
1
0
2
.
1
3
.
2
1
T
A
S
A
Y
T
U
Q
E
I
'
S
R
E
D
L
O
H
E
R
A
H
S
8
1
0
2
I
E
V
S
N
E
H
E
R
P
M
O
C
R
E
H
T
O
E
M
O
C
N
I
-
-
-
-
-
20,940,398,467
-
13,392,918,356
5,540,721,546
4,489,673,471
(738,025,521)
(502,666,304)
-
-
4,610,073,464
(2,440,001)
7
1
0
2
.
1
3
.
2
1
T
A
S
A
E
C
N
A
L
A
B
E
C
N
A
L
A
B
G
N
N
E
P
O
N
I
I
E
G
N
A
H
C
8
1
0
2
.
1
0
.
1
0
T
A
S
A
E
C
N
A
L
A
B
S
E
V
R
E
S
E
R
Share capital:
- ordinary shares
20,878,182,216
- other shares
2,367,586
Share premium
13,399,798,681
-
-
-
20,878,182,216
2,367,586
13,399,798,681
-
-
-
Reserves:
- from profits
- other
2,766,246,127
(2,674,797,285)
91,448,842
5,521,086,601
5,032,443,799
-
5,032,443,799
Valuation reserves
585,547,376
(318,060,936)
267,486,440
Equity instruments
4,610,073,464
Treasury shares
(2,440,001)
-
-
4,610,073,464
(2,440,001)
-
-
-
-
I
S
N
O
T
A
C
O
L
L
A
R
E
H
T
O
D
N
A
S
D
N
E
D
V
D
I
I
-
-
-
-
-
-
-
-
S
E
R
A
H
S
Y
R
U
S
A
E
R
T
F
O
E
S
A
H
C
R
U
P
S
E
V
R
E
S
E
R
N
I
S
E
G
N
A
H
C
S
E
R
A
H
S
W
E
N
F
O
E
U
S
S
I
-
-
62,216,251
-
-
(2,367,586)
(6,880,325)
-
(11,965,232)
(59,848,665)
(613,235,689)
(32,127,223)
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
I
I
I
I
N
O
T
U
B
R
T
S
D
Y
R
A
N
D
R
O
A
R
T
X
E
S
D
N
E
D
V
D
I
I
S
T
N
E
M
U
R
T
S
N
I
I
Y
T
U
Q
E
N
I
E
G
N
A
H
C
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
I
I
S
E
V
T
A
V
R
E
D
S
E
R
A
H
S
Y
R
U
S
A
E
R
T
-
-
-
-
-
-
-
-
-
-
I
S
N
O
T
P
O
K
C
O
T
S
-
-
-
-
70,465,361
-
-
-
Profit (Loss) for the year
6,235,645,406
-
6,235,645,406
(5,521,086,601)
(714,558,805)
Shareholders’ equity
53,507,864,654
(2,992,858,221)
50,515,006,433
-
(714,558,805)
(664,208,469)
2,367,586
(2,367,586)
-
2,442,316,824
2,442,316,824
70,465,361
1,704,291,303
50,910,995,823
The column changes in opening balances includes the reclassification and remeasurement effects resulting from the first time adoption of the
accounting principle IFRS9 and the effects of the retroactive application of the fair value model to properties held for investment purposes pursuant
to accounting principle IAS40.
UniCredit ·2019 Annual Report and Accounts 515
Company financial statements | Company accounts
Company accounts
Cash flow statement
Cash flow statement (indirect method)
A. OPERATING ACTIVITIES
1. Operations:
- profit (loss) for the year (+/-)
- gains/losses on financial assets held for trading and on other financial assets/liabilities at fair
value through profit or loss (-/+)
- gains (losses) on hedge accounting (-/+)
- net losses/recoveries on impairment (+/-)
- net value adjustments/write-backs on property, plant and equipment and intangible assets (+/-)
- net provisions for risks and charges and other expenses/income (+/-)
- unpaid duties, taxes and tax credits (+/-)
- impairment/write-backs after tax on discontinued operations (+/-)
- other adjustments (+/-)
2. Liquidity generated/absorbed by financial assets:
- financial assets held for trading
- financial assets designated at fair value
- other financial assets mandatorily at fair value
- financial assets at fair value through other comprehensive income
- financial assets at amortised cost
- other assets
3. Liquidity generated/absorbed by financial liabilities:
- financial liabilities at amortised cost
- financial liabilities held for trading
- financial liabilities designated at fair value
- other liabilities
Net liquidity generated/absorbed by operating activities
B. INVESTMENT ACTIVITIES
1. Liquidity generated by:
- sales of equity investments
- collected dividends on equity investments
- sales of property, plant and equipment
- sales of intangible assets
- sales of business units
2. Liquidity absorbed by:
- purchases of equity investments
- purchases of property, plant and equipment
- purchases of intangible assets
- purchases of business units
Net liquidity generated/absorbed by investment activities
C. FUNDING ACTIVITIES
- issue/purchase of treasury shares
- issue/purchase of equity instruments
- dividend distribution and other
Key:
(+) generated;
(-) absorbed.
Net liquidity generated/absorbed by funding activities
NET LIQUIDITY GENERATED/ABSORBED IN THE YEAR
YEAR
2019
(€)
2018
3,568,001,841
(555,260,165)
4,482,553,630
2,442,316,824
(520,037,003)
3,317,901
3,621,825,718
570,224,476
(1,519,341,780)
286,355,476
-
1,680,917,218
(15,855,824,639)
800,983,072
117
2,330,607,117
16,267,164,585
(34,407,373,761)
(847,205,769)
3,944,800,118
3,724,592,465
1,949,647,033
(200,250,655)
(1,529,188,725)
(8,343,022,680)
3,852,260,120
1,847,332,652
1,833,797,810
171,126,634
3,024
-
(471,618,496)
(276,328,315)
(193,074,012)
(2,216,169)
-
3,380,641,624
-
991,559,027
(1,121,578,609)
(130,019,582)
(5,092,400,638)
315,724,218
(1,129,982)
2,728,453,465
167,038,352
249,442,852
(1,184,130,246)
-
(235,161,853)
(26,030,069,943)
2,775,852,205
111
(274,212,969)
9,423,653,624
(39,416,177,019)
1,460,814,105
2,185,793,164
5,168,925,419
(3,773,190,709)
1,040,196,632
(250,138,178)
(19,361,723,149)
2,868,978,416
89,572,834
2,571,148,764
69,799,346
-
138,457,472
(751,416,024)
(514,035,831)
(235,642,129)
(1,738,064)
-
2,117,562,392
-
-
(1,153,014,877)
(1,153,014,877)
(18,397,175,634)
516 2019 Annual Report and Accounts · UniCredit
Company financial statements | Company accounts
Company accounts
Reconciliation
ITEMS
Cash and cash balances at the beginning of the year
Net liquidity generated/absorbed in the year
Cash and cash balances: foreign exchange effect
Cash and cash balances at the end of the year
YEAR
2019
7,460,706,040
(5,092,400,638)
26,542,899
2,394,848,301
(€)
2018
25,816,708,377
(18,397,175,634)
41,173,297
7,460,706,040
UniCredit ·2019 Annual Report and Accounts 517
Company financial statements | Company accounts
Company accounts
518 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part A - Accounting policies
Notes to the accounts
Parta A - Accounting policies
A.1 - General
Section 1 - Statement of compliance with IFRS
These Company financial statements have been prepared in accordance with the IFRS issued by the International Accounting Standards Board
(IASB), including the interpretation documents issued by the SIC and the IFRIC, and endorsed by the European Commission up to 31 December
2019, pursuant to EU Regulation No.1606/2002 which was incorporated into Italian legislation through Legislative Decree No.38 of 28 February
2005 (see Section 4 - Other matters).
These financial statements are an integral part of the Annual Financial Statements as required by Art.154-ter, par.1 of the Single Finance Act (TUF,
Legislative Decree No.58 of 24 February 1998).
In its circular 262 of 22 December 2005 and subsequent amendments Banca d’Italia laid down the formats for the financial statements and notes to
the accounts used to prepare these Accounts.
Banca d’Italia issued on 30 November 2018 the 6th update of its circular 262 adjusting the formats for the financial statements and notes to the
accounts to requirements of IFRS16: Leasing.
Section 2 - General Preparation Criteria
As mentioned above, these Company financial statements have been prepared in accordance with the IFRS endorsed by the European
Commission.
The following documents have been used to interpret and support the application of IFRS, even though not all of them have been endorsed by the
European Commission:
The Conceptual Framework for Financial Reporting;
Implementation Guidance, Basis for Conclusions, IFRICs and any other documents prepared by the IASB or International Financial Reporting
Interpretations Committee (IFRIC) supplementing the IFRSs;
Interpretative documents on the application of IAS/IFRS in Italy prepared by the Organismo Italiano di Contabilità (OIC) and Associazione
Bancaria Italiana (ABI);
ESMA (European Securities and Markets Authority) and CONSOB documents on the application of specific IFRS provisions.
The Company financial statements include the Balance sheet, the Income statement, the Statement of other comprehensive income, the Statement
of changes in shareholders’ equity, the Cash flow statement (compiled using the “indirect method”) and the Notes to the accounts, together with the
Report on operations and Annexes.
In addition, pursuant to Art.123-bis par.3 of TUF, as reported in chapter “Other information” of the Report on operations, the report on Corporate
Governance and Ownership structures is available in the "Governance" section of UniCredit website:
https://www.unicreditgroup.eu/it/governance/system-policies/corporate-governance-report.html - Italian version, and
https://www.unicreditgroup.eu/en/governance/system-policies/corporate-governance-report.html - English version
Unless otherwise specified, figures in the Company accounts are given in units of euros and the Notes to the accounts in millions of euros.
In their joint Document No.4 of 3 March 2010, Banca d’Italia, Consob and Isvap made a few observations on the current situation of the markets and
businesses and requested to disclose in the financial statements information which are essential for a better understanding of business trends and
outlook.
In this regard, the Directors, based on the 2020-2023 Strategic Plan, identified no symptoms in the capital and financial structure and in the
economic performance that could indicate uncertainty about the ability to continue as a going-concern and therefore believe with reasonable
certainty that the Bank will continue to operate profitably in the foreseeable future; as a result, in accordance with the provisions of IAS1, the
Company financial statements as at 31 December 2019 have been prepared on a going-concern basis.
The measurement criteria adopted are therefore consistent with the assumption that the business is a going-concern and with the principles of
accrual based accounting, the relevance and materiality of accounting information, and the prevalence of economic substance over legal form.
These criteria have not changed compared with the previous year.
Risks and uncertainty relating to the use of estimates
Pursuant to IFRSs, Management must make judgments, estimates and assumptions that affect the application of accounting principles and the
amounts of assets, liabilities, income and expenses reported in the accounts, as well as the disclosure concerning potential assets and liabilities.
Estimates and the related assumptions are based on previous experience and other factors considered reasonable under the circumstances and
have been used to estimate the carrying values of assets and liabilities not readily available from other sources.
UniCredit ·2019 Annual Report and Accounts 519
Company financial statements | Notes to the accounts
Part A - Accounting policies
In particular estimated figures have been used for the recognition of some of the largest value-based items in the Company financial statements at
31 December 2019, as required by the accounting policies and regulations described above. These estimates are largely based on calculations of
future recoverability of the values recognised in the accounts according to the rules laid down in current legislation and have been made on the
assumption of a going-concern, i.e. without contemplating the possibility of the forced sale of the estimated items.
The processes adopted confirm the carrying values at 31 December 2019. Valuation is particularly difficult because of the uncertainty in the
macroeconomic and market environment.
The parameters and information used to check the above-mentioned values were therefore significantly affected by such factors, which could
change rapidly in ways that are currently unforeseeable, such that further effects on future carrying values cannot be ruled out.
Estimates and assumptions are regularly reviewed. Any changes resulting from these reviews are recognised in the period in which the review was
carried out, provided the change only concerns that period. If the revision concerns both current and future periods it is recognised accordingly in
both current and future periods.
Uncertainty affecting estimates is generally inherent in the measurement of:
financial instruments not listed in active markets measured at fair value;
loans and receivables, equity investments and, in general, any other financial assets/liabilities;
severance pay (Italy) and other employee benefits;
provisions for risks and charges and contingent assets (for more information on legal risks see Part E - Section 5 - Operational risk);
deferred tax assets;
investment and used in business properties;
whose assessment may significantly change over time according to the trend in (i) domestic and international socio-economic conditions and
subsequent impact on the Bank’s profitability and customers’ creditworthiness, (ii) financial markets, which affect changes in interest rates, prices
and actuarial assumptions and (iii) real estate market affecting the value of property owned by the Bank or received as collateral.
Regarding the evaluation of credit exposures, it should be noted that, with the entrance into force of IFRS9, their evaluation depends on forward-
looking information and, in particular, on the evolution of macro-economic scenarios used in the calculation of loan loss provisions.
Note that the economic and political uncertainty in Turkey and Russia were taken into account during the assessment of the net assets owned by
the Bank in these countries. Refer to Part E - Information on risks and hedging policies - Section 5 - Other Risks - Top and emerging risks of the
Notes to the consolidated accounts.
Similarly, risks and uncertainties associated with a macroeconomic scenario involving tensions in international trade, an increase in rates and
spreads, with specific reference to certain geographical areas and the expected contractions of quantitative easing measures so far implemented by
Central Banks, were considered in the valuation of assets. In this regard, refer to the Outlook of the Consolidated report on operations.
With specific reference to future cash flow projections used in the valuation of deferred tax assets, it should be noted that the parameters and
information used are significantly influenced by the macro-economic market situation, which may change in unpredictably.
With specific reference to valuation techniques, unobservable inputs used in the fair value measurement and sensitivities to changes in those inputs,
refer to Section A.4 - Information on fair value.
Section 3 - Subsequent events
No material events have occurred after the balance sheet date that would make it necessary to change any of the information given in the Company
financial statements as of 31 December 2019.
For a description of the significant events after year-end refer to the information below.
On 8 January 2020 UniCredit S.p.A. launched a Tier 2 subordinated benchmark with 12 year maturity, callable after 7 years. The amount issued is
equal to €1.25 billion and represents the first Tier 2 issuance in 2020, reaffirming UniCredit's solid fixed income investors base and its market access
in different formats.
The bond pays a fixed coupon of 2.731% during the first 7 years, and has an issue price of 100%, equivalent to a spread of 280 bps over the 7 year
swap rate. If the issuer does not call the bonds after 7 years, the coupon for the subsequent period until maturity will be reset on the base of the 5
year swap rate at the end of the seventh year, increased by the initial spread.
Barclays, BBVA, Credit Agricole CIB, Mediobanca, Morgan Stanley and UniCredit Bank AG have managed the placement acting as joint
bookrunners.
520 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part A - Accounting policies
On 13 January 2020 UniCredit S.p.A. launched €1.25 billion Senior Non-Preferred with 6 year maturity, callable after 5 years, and €750 million
Senior Non-Preferred with 10 years maturity. The combined amount represents the largest EUR institutional unsecured issuance ever done by
UniCredit.
The amount issued is part of the 2020 Funding Plan presented at the Capital Market Day last December 3 and will be computed in UniCredit's TLAC
requirement. This further confirms UniCredit's ability to access the market in different formats.
BofA Securities, Commerzbank, HSBC, ING, JP Morgan, Société Générale and UniCredit Bank AG have managed the placement acting as joint
bookrunners.
On 28 January 2020 UniCredit S.p.A. sold senior notes, related to the PRISMA securitisation transaction, for a nominal value of €100 million.
On 5 February 2020 the agreements whose signing was announced on 30 November 2019 were completed; such agreements envisaged: (i) the
disposal of the entire UniCredit S.p.A.’s 50% stake in Koç Finansal Hizmetleri A.S. (“KFS”) to the Koç Group, (ii) the disposal of shares of Yapi ve
Kredi Bankasi A.Ş. (“Yapi Kredi”) by KFS to UniCredit S.p.A. and Koç Holding A.Ş., as a result of which UniCredit S.p.A. became a direct
shareholder of Yapi Kredi with a stake equal to 31.93% of the share capital, and (iii) the termination of the shareholders agreement related to KFS.
On the same date, UniCredit S.p.A. completed the Accelerated BookBuild offering for the disposal to institutional investors of the 11.93% of the
share capital of Yapi Kredi; following such transaction UniCredit S.p.A. holds a direct stake in Yapi Kredi equal to 20% of the share capital, which is
accounted among the participations under significant influence.
On 5 February 2020, the Italian Personal Data Protection Authority notified UniCredit S.p.A. of the start of sanctioning proceedings regarding a
violation of customers' personal data following a Cyber-attack (data breach) occurred in October 2018, communicated through its Group website on
22 October 2018. As required by the “Italian personal data protection Code (Art.166, c.6 of Legislative Decree 196/03)” the Bank will present its
statement of defence on the matter and will request a hearing with the Authority to explain its arguments. It is currently not possible to define the
timeline and outcome of the proceedings.
For further details refer to Consolidated financial statements - Notes to the consolidated accounts - Part E - Information on risks and hedging policies
- Section 2 - Risks on the prudential consolidated perimeter - 2.6 Other risks - Top end emerging risks - 3. Systemic threats - 3.1 Systemic threats
associated with cybercrime.
Section 4 - Other matters
In 2019 the following standards, amendments or interpretations came into force:
Amendments to IAS28: Long-term Interests in Associates and Joint Ventures (Reg. UE 2019/237);
Amendments to IAS19: Plan Amendment, Curtailment or Settlement (Reg. UE 2019/402);
Annual Improvements to IFRS Standards 2015-2017 Cycle (Reg. UE 2019/412);
IFRS16 - Leasing (EU Regulation 2017/1986);
IFRIC23 Uncertainty over Income Tax Treatments (Reg. UE 2018/1595);
Amendments to IFRS9: Prepayment Features with Negative Compensation (EU Regulation 2018/498).
IFRS16, effective starting from 1 January 2019 and subject to the completion of the endorsement process by the European Union on 31 October
2017, modifies the previous set of international accounting principles and interpretations on leases and, in particular, IAS17.
IFRS16 introduces a new definition for leases and confirms the distinction between two types of leases (operating and finance) with reference to the
accounting treatment to be applied by the lessor.
With reference to the accounting treatment to be applied by the lessee, the new accounting standard sets, for all the leasing typologies, the
recognition as an asset, representing the right of use of the underlying asset and, at the same time, a liability for the future payments requested by
the lease contract.
At the initial recognition such asset is measured on the basis of the lease contract cash flows. After the initial recognition the right-of-use will be
measured on the basis of the rules set for the assets by IAS16, IAS38 or by IAS40 and therefore applying the cost model, less any accumulated
depreciation and any accumulated impairment losses, the revaluation model or the fair value model as applicable.
In this context, the Bank has performed the activities aimed to ensure compliance with this accounting principle, in particular with reference to the
calculation and accounting for Right of Use and Lease Liability that represent the main discontinuity compared to the current accounting model
required by IAS17.
The activities aimed to the development of rules, principles and IT systems to be used for the proper evaluation of new assets and liabilities and the
subsequent calculation of the related economic effects have been finalised.
For more details on the contents of the standard and on the main accounting choices taken by the Bank, see section “A.2 - Main items of the
accounts" of this document.
UniCredit ·2019 Annual Report and Accounts 521
Company financial statements | Notes to the accounts
Part A - Accounting policies
With reference to the first time adoption of IFRS16 the Bank has decided, as allowed by the standard, to calculate the lease liability as the present
value of future lease payments as at 1 January 2019 and to determine the right of use on the basis of the value of the lease liability. This present
value has been determined as at 1 January 2019 according to the methodologies reported in section “A.2 - Main items of the accounts" of this
document. As a result comparative information has not been restated.
On 1 January 2019 the Bank has recognised the right of use tangible assets for an amount of €1,339 million relating to lease contracts of the
following assets:
Buildings for an amount of €1,323 million;
Other for an amount of €16 million.
At the same date the Bank has also recognised lease liabilities for an amount of €1,350 million relating to lease contracts of the following assets:
Buildings for an amount of €1,334 million;
Other for an amount of €16 million.
The difference between the amount of the right of use and the amount of the lease liability arises from the recognition as part of the right of use of
the provisions for risks and charges previously recognised for vacancies on rented buildings.
The first application of the accounting standard has determined during the year the recognition of interest expenses on lease liabilities at an average
interest rate of about 1.3%.
Finally we note that the Company annual report as at 31 December 2018 - Notes to the accounts - Part B - Balance sheet did not show both future
minimum non-cancellable lease payments relating to operating leases and lease payments relating to finance lease because the Bank had not in
place contracts formally qualified as leases. As a consequence, no reconciliation is possible with the amount of the lease liability recognised on 1
January 2019 as the latter has been determined on the basis of rental contracts.
Change in the evaluation criterion of tangible assets: properties used in business (IAS16) and properties held for
investment (IAS40)
The Bank, also following the several business combinations completed over a long period of time holds a significant real estate portfolio including
land and buildings (3,217 items) whose book value as at 30 June 2019 amounted to €1,910 million of which €1,634 million for assets used in
business (IAS16) and €276 million for assets held for investment (IAS40).
In the last years, following a constantly changing market scenario, the Bank has launched a series of initiatives to enhance such this real estate
assets through targeted actions which, in the same way, will continue and constitute an integral part of those contained in the strategic plan Team23.
With reference to the properties used in business, these initiatives are aimed at a continuous enhancement of these properties through an "active
management" of the portfolio even beyond the time horizon of Team23, according to a corporate strategy mainly oriented to typical commercial
banking activities, including also the possibility of disposal in case of suitable conditions.
These initiatives result in:
progressive release of the physical workstations assigned to employees as a result of remote work, and this due to the stable use of flexible work
compared to the previous occasional use;
rationalization of the spaces of the headquarters structures present in the major cities, to be carried out through the progressive merging into
management centers with shared workstations;
digitalization and progressive focus on remote marketing channels;
further transformation of the "physical" branches, consolidating them in their nature as centers oriented to customer advisory activities;
rationalization of labor costs also connected to the automation of business processes.
The actions mentioned above will allow a progressive reduction of the occupied areas and the subsequent sale of the vacated spaces.
With reference to properties held for investment, a gradual disposal of the properties in the portfolio is expected by 2025.
Based on the above, for the purposes of preparing the financial statements at 31 December 2019, the Bank has decided to change the evaluation
criterion of the following assets:
for the properties used in business (ruled by IAS16 "Property, plant and machinery") providing for the transition from the cost model to the
revaluation model for the measurement subsequent to initial recognition;
for the properties held for investment (ruled by IAS40 "Investment property") providing for the transition from the cost model to the fair value
model.
522 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part A - Accounting policies
This decision was made by the UniCredit S.p.A. Board of Directors during the meeting held on 2 December 2019 which also approved the Team23
strategic plan.
In this context, the Bank has considered that the possibility of measuring real estate assets at current values (and no longer at cost) allows, in line
with the provisions of IAS8 concerning changes in accounting principles, to provide reliable and more relevant information on the effects of business
management as well as the Bank's financial position and economic result.
More specifically, it is believed that the change in the valuation criterion of properties, consistently with the initiatives planned by the Team23
strategic plan previously described, may allow:
a more significant representation of the financial position since the expression at current values allows to represent the value, updated on the
basis of the current appreciation of properties by the market, which the Bank expects to achieve as a result of the enhancement and/or disposal of
the properties, accounting for timely at assets and equity level (in the form of valuation reserves or profit of the year), the stock of value that will be
created by the planned initiatives.
This circumstance is verified both in the case of properties to be disposed, for which the representation at current values allows to evidence their
expected realization values, and for the instrumental properties considering that a significant part of these properties is exposed in the financial
statements at historical values that are less representative of current market conditions due to their not recent acquisition. In addition, the adoption
of a valuation criterion at current values allows a more significant representation of the financial position since it allows to represent the value of
the real estate assets assuming a single reference date (the date of preparation of the financial statements) thus overcoming the time lag due the
adoption of the cost model which implies the enhancement of the real estate assets at different times (the purchase dates) which are not
homogeneous in terms of market conditions;
a more relevant representation of the Bank’s economic dynamics since the adoption of a criterion at current values allows to represent the
changes in value at the moment in which they arise, in compliance with the objectives of active management of the initiatives mentioned above. In
this way, the recognition of capital gains and losses is not deferred at the time of sale of the real estate assets and is not influenced by the
difference between market value (embedded in sale price) and cost which, as mentioned, may no longer be meaningful when the acquisition of
real estate assets did not take place recently.
In substance, the change in the valuation criterion of properties determines both a higher alignment of the financial information with the strategies of
the real estate asset management provided by the Team23 strategic plan and a more reliable, relevant and immediate representation of the
economic substance, and the related accounting impacts, of the actions that will be taken.
The representation of voluntary changes in accounting principles (accounting policies) is regulated by IAS8 which establishes, as a general rule, that
these changes have to be represented retrospectively starting from the most remote date when this is feasible.
This means that, based on the general principle, at the date on which the change takes place, the opening balances of the comparative year and the
data of that year shown in the financial statements and in the notes must be restated.
However, this general rule allows for exceptions. In fact IAS8, (paragraph 17), establishes that for the purposes of the valuation of the property, plant
and machinery, regulated by IAS16, the transition from the cost model to the revaluation model must be represented as a normal application in
continuity of the revaluation mode. As a result the revaluation model has been applied prospectively and not retrospectively as required by the
general principle reported in IAS8 without, therefore, making any adjustment of the opening balances of the comparative year and of the
comparative data, nor of the interim financial statements prior to the date of the change.
Consequently, for the properties used in business, ruled by IAS16, the transition from a cost valuation to a valuation at current values, required the
determination of the related fair value at 31 December 2019.
The differences between this value and the previous value determined by applying the "cost" criterion are recognised:
if negative, in the income statement;
if positive, in the other comprehensive income statement, and accumulated in equity under the item revaluation reserve, unless impairment was
accounted for on that asset; in this case the positive differences between fair value and book value are recognised in the income statement.
As the change in the evaluation criterion took place at the end of the year, the calculation of the depreciation for the 2019 financial year was made
with the previous cost model.
From 2020 on, properties used in business, measured according to IAS16 revaluation model, will continue to be depreciated over their useful life.
Unlike what is envisaged for used in business properties, IAS8 does not mention investments properties among the assets for which a deviation
from the retroactive application rule for the change in standards is envisaged.
As a result, except for cases where it is not feasible to determine the related effects, it was decided to apply the change in accounting principle
retrospectively.
UniCredit ·2019 Annual Report and Accounts 523
Company financial statements | Notes to the accounts
Part A - Accounting policies
This has determined:
the book value of the land and properties held for investment as at 1 January 2018 adjusted to their fair value with the recognition of the difference
in retained earnings (item Reserves), which can be used to cover losses and are included in the calculation of CET1 ratio;
the measurement at fair value, in place of depreciation and impairment recognition, accounting for in the income statement of the positive and
negative differences, both in 2018 and in 2019, a circumstance that led to the restatement of the comparative data as at 31 December 2018.
Starting from 2020, properties held for investment will continue to be measured at fair value with recognition of the differences in the income
statement and will no longer be subject to depreciation and/or impairment.
With reference to the methods for determining the market value (fair value), it should be noted that this value was determined through the use of
independent expert evaluators through the preparation of specific appraisals.
These appraisals, based on the relevance of the single real estate item, consisted of:
"full/on site" appraisals based on a physical inspection of the property by the expert; or
"desktop" appraisals based on an assessment conducted without carrying out a physical inspection of the real estate property and, therefore,
based on reference market values.
For the preparation of the appraisals relating to the properties, the rents, the sale prices, the discount rates and the capitalization rates of the
properties that compose the Bank's portfolio were estimated. More specifically, to determine fair value, the Bank alternatively uses, depending on
properties features and appraisal type, the so-called Market Comparable Approach taking into consideration the prices observable in the market for
comparable transactions or the Income Approach taking into account the present value of the rent.
At the date of initial application of the change in the valuation criterion, 100% of the properties belonging to the Bank were appraised with a
percentage of coverage with "full/on site" appraisals of over 58% of their market value.
Impacts deriving from the change in the valuation criterion for tangible assets
In the separate financial statements as at 31 December 2019, the change in the valuation criterion of the properties resulted in an overall positive
balance sheet effect of €628 million gross of tax effect as detailed below:
for properties used in business, the recognition of a revaluation of €761 million gross of tax effect (€510 million net of the tax effect). This value,
net of deferred tax, equal to €251 million was attributed to a specific valuation reserve in the equity. In addition to this higher value, net losses for -
€123 million were recognised in the income statement gross of the tax effect;
for properties held for investment an overall revaluation in the equity equal to €118 million gross of the tax effect (€75 million net of the tax effect)
composed as follows:
- recognition of a revaluation of €136 million gross of tax effect (€91 million net of the tax effect) as a re-exposure of the opening balances of equity
as at 1 January 2018 (as a reserve from the first application of the new accounting principle). This value, net of the related tax effect, was
attributed to a specific reserve in the equity as at 1 January 2018;
the restatement of retained earnings reserves relating to 31 December 2018 as a consequence of changes in the fair value of properties during
the previous year and the fact that properties held for investment are no longer subject to depreciation, for an equal amount €-18 million gross of
tax effect (€-16 million net of the tax effect);
Still with regard to properties held for investment, during 2019 it has been recognised an income statement result equal to -€128 million gross of
the tax effect.
This change in measurement criteria has determined an effect equal to +18bps in CET1.
524 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part A - Accounting policies
The following tables summarise the effects on the balance sheet assets and liabilities as at 1 January and 31 December 2018 as well as the
changes in the income statement for the year ended at that date following the retrospective application of the change in the evaluation criterion of
the properties held for investment:
Balance sheet
ASSETS
10. Cash and cash balances
20. Financial assets at fair value through profit or loss:
a) financial assets held for trading
b) financial assets designated at fair value
c) other financial assets mandatorily at fair value
30. Financial assets at fair value through other comprehensive income
40. Financial assets at amortised cost:
a) loans and advances to banks
b) loans and advances to customers
50. Hedging derivatives
60. Changes in fair value of portfolio hedged items (+/-)
70. Equity investments
80. Property, plant and equipment
90. Intangible assets
of which: goodwill
100. Tax assets:
a) current
b) deferred
110. Non-current assets and disposal groups classified as held for sale
120. Other assets
Total assets
LIABILITIES AND SHAREHOLDERS' EQUITY
10. Financial liabilities at amortised cost:
a) deposits from banks
b) deposits from customers
c) debt securities in issue
20. Financial liabilities held for trading
30. Financial liabilities designated at fair value
40. Hedging derivatives
50. Value adjustment of hedged financial liabilities (+/-)
60. Tax liabilities:
a) current
b) deferred
70. Liabilities associated with assets classified as held for sale
80. Other liabilities
90. Provision for employee severance pay
100. Provisions for risks and charges:
a) committments and guarantees given
b) post-retirement benefit obligations
c) other provisions for risks and charges
110. Valuation reserves
120. Redeemable shares
130. Equity instruments
140. Reserves
150. Share premium
160. Share capital
170. Treasury shares (-)
180. Profit (Loss) of the year (+/-)
Total liabilities and shareholders' equity
Note:
(*) It should be noted that amounts presented take into account effects coming from IFRS9 standard introduction.
01.01.2018(*)
25,816,708,377
16,884,089,389
13,863,778,570
443
3,020,310,376
57,541,000,068
234,110,103,848
27,922,884,774
206,187,219,074
4,399,939,250
1,743,967,550
44,145,484,970
2,209,454,955
4,349,513
-
10,414,745,670
1,660,306,432
8,754,439,238
150,030,667
4,717,334,712
402,137,208,969
01.01.2018(*)
318,891,410,242
56,807,016,417
197,138,761,654
64,945,632,171
13,095,915,029
2,737,624,598
4,530,285,734
1,720,371,037
1,151,624
1,151,624
-
-
7,535,311,386
828,450,167
2,372,534,587
529,529,880
77,312,166
1,765,692,541
267,486,440
-
4,610,073,464
5,033,040,773
13,399,798,681
20,880,549,802
(2,440,001)
6,235,645,406
402,137,208,969
DELTA
-
-
-
-
-
-
-
-
-
-
-
-
126,917,487
-
-
(44,727,700)
-
(44,727,700)
8,662,080
-
90,851,867
DELTA
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
90,851,867
-
-
-
-
90,851,867
(€)
01.01.2018
RECASTED
25,816,708,377
16,884,089,389
13,863,778,570
443
3,020,310,376
57,541,000,068
234,110,103,848
27,922,884,774
206,187,219,074
4,399,939,250
1,743,967,550
44,145,484,970
2,336,372,442
4,349,513
-
10,370,017,970
1,660,306,432
8,709,711,538
158,692,747
4,717,334,712
402,228,060,836
(€)
01.01.2018
RECASTED
318,891,410,242
56,807,016,417
197,138,761,654
64,945,632,171
13,095,915,029
2,737,624,598
4,530,285,734
1,720,371,037
1,151,624
1,151,624
-
-
7,535,311,386
828,450,167
2,372,534,587
529,529,880
77,312,166
1,765,692,541
267,486,440
-
4,610,073,464
5,123,892,640
13,399,798,681
20,880,549,802
(2,440,001)
6,235,645,406
402,228,060,836
UniCredit ·2019 Annual Report and Accounts 525
Company financial statements | Notes to the accounts
Part A - Accounting policies
12.31.2018
7,460,706,040
14,998,825,205
11,834,351,538
351
3,164,473,316
46,926,536,608
270,556,434,138
30,971,842,243
239,584,591,895
4,167,319,172
1,685,974,892
42,872,911,676
2,246,183,476
3,932,839
-
10,704,290,933
757,454,501
9,946,836,432
116,674,288
3,875,730,081
405,615,519,348
DELTA
-
-
-
-
-
-
-
-
-
-
-
-
117,460,694
-
-
(42,164,481)
-
(42,164,481)
(290,685)
-
75,005,528
12.31.2018
323,835,358,883
58,994,789,432
211,871,724,249
52,968,845,202
10,383,522,810
3,534,518,992
4,525,258,448
1,770,149,836
1,786,328
1,786,328
-
-
7,617,123,027
629,190,259
2,482,620,470
491,897,124
90,539,306
1,900,184,040
(502,666,304)
-
4,610,073,464
9,939,543,149
13,392,918,356
20,940,398,467
(2,440,001)
2,458,163,164
405,615,519,348
DELTA
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
90,851,868
-
-
-
(15,846,340)
75,005,528
(€)
12.31.2018
RECASTED
7,460,706,040
14,998,825,205
11,834,351,538
351
3,164,473,316
46,926,536,608
270,556,434,138
30,971,842,243
239,584,591,895
4,167,319,172
1,685,974,892
42,872,911,676
2,363,644,170
3,932,839
-
10,662,126,452
757,454,501
9,904,671,951
116,383,603
3,875,730,081
405,690,524,876
(€)
12.31.2018
RECASTED
323,835,358,883
58,994,789,432
211,871,724,249
52,968,845,202
10,383,522,810
3,534,518,992
4,525,258,448
1,770,149,836
1,786,328
1,786,328
-
-
7,617,123,027
629,190,259
2,482,620,470
491,897,124
90,539,306
1,900,184,040
(502,666,304)
-
4,610,073,464
10,030,395,017
13,392,918,356
20,940,398,467
(2,440,001)
2,442,316,824
405,690,524,876
Balance sheet
ASSETS
10. Cash and cash balances
20. Financial assets at fair value through profit or loss:
a) financial assets held for trading
b) financial assets designated at fair value
c) other financial assets mandatorily at fair value
30. Financial assets at fair value through other comprehensive income
40. Financial assets at amortised cost:
a) loans and advances to banks
b) loans and advances to customers
50. Hedging derivatives
60. Changes in fair value of portfolio hedged items (+/-)
70. Equity investments
80. Property, plant and equipment
90. Intangible assets
of which: goodwill
100. Tax assets:
a) current
b) deferred
110. Non-current assets and disposal groups classified as held for sale
120. Other assets
Total assets
LIABILITIES AND SHAREHOLDERS' EQUITY
10. Financial liabilities at amortised cost:
a) deposits from banks
b) deposits from customers
c) debt securities in issue
20. Financial liabilities held for trading
30. Financial liabilities designated at fair value
40. Hedging derivatives
50. Value adjustment of hedged financial liabilities (+/-)
60. Tax liabilities:
a) current
b) deferred
70. Liabilities associated with assets classified as held for sale
80. Other liabilities
90. Provision for employee severance pay
100. Provisions for risks and charges:
a) committments and guarantees given
b) post-retirement benefit obligations
c) other provisions for risks and charges
110. Valuation reserves
120. Redeemable shares
130. Equity instruments
140. Reserves
150. Share premium
160. Share capital
170. Treasury shares (-)
180. Profit (Loss) of the year (+/-)
Total liabilities and shareholders' equity
526 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part A - Accounting policies
Income statement
ITEMS
10. Interest income and similar revenues
of which: interest income calculated with the effective interest method
20. Interest expenses and similar charges
30. Net interest margin
40. Fees and commissions income
50. Fees and commissions expenses
60. Net fees and commissions
70. Dividend income and similar revenues
80. Net gains (losses) on trading
90. Net gains (losses) on hedge accounting
100. Gains (Losses) on disposal and repurchase of:
a) financial assets at amortised cost
b) financial assets at fair value through other comprehensive income
c) financial liabilities
110. Net gains (losses) on other financial assets/liabilities at fair value through profit or
loss:
a) financial assets/liabilities designated at fair value
b) other financial assets mandatorily at fair value
120. Operating income
130. Net losses/recoveries on credit impairment relating to:
a) financial assets at amortised cost
b) financial assets at fair value through other comprehensive income
140. Gains/Losses from contractual changes with no cancellations
150. Net profit from financial activities
160. Administrative expenses:
a) staff costs
b) other administrative expenses
170. Net provisions for risks and charges:
a) commitments and financial guarantees given
b) other net provisions
180. Net value adjustments/write-backs on property, plant and equipment
190. Net value adjustments/write-backs on intangible assets
200. Other operating expenses/income
210. Operating costs
220. Gains (Losses) of equity investments
230. Net gains (losses) on property, plant and equipment and intangible assets
measured at fair value
240. Goodwill impairment
250. Gains (Losses) on disposals on investments
260. Profit (Loss) before tax from continuing operations
270. Tax expenses (income) for the year from continuing operations
280. Profit (Loss) after tax from continuing operations
290. Profit (Loss) after tax from discontinued operations
300. Profit (Loss) of the year
12.31.2018
5,275,772,261
5,188,014,031
(1,109,354,399)
4,166,417,862
4,350,574,073
(400,336,954)
3,950,237,119
2,630,046,719
(313,353)
1,129,982
52,089,007
(34,059,358)
86,905,280
(756,915)
(8,815,157)
124,803,444
(133,618,601)
10,790,792,179
(2,011,419,803)
(1,997,651,409)
(13,768,394)
(3,293,454)
8,776,078,922
(5,825,870,722)
(2,866,359,659)
(2,959,511,063)
(390,722,022)
37,627,123
(428,349,145)
(151,995,175)
(2,136,588)
411,522,115
(5,959,202,392)
(1,589,813,036)
-
-
49,532,642
1,276,596,136
1,181,567,028
2,458,163,164
-
2,458,163,164
DELTA
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
21,354,661
-
-
21,354,661
-
(34,261,250)
-
(5,502,969)
(18,409,558)
2,563,218
(15,846,340)
-
(15,846,340)
(€)
12.31.2018
RECASTED
5,275,772,261
5,188,014,031
(1,109,354,399)
4,166,417,862
4,350,574,073
(400,336,954)
3,950,237,119
2,630,046,719
(313,353)
1,129,982
52,089,007
(34,059,358)
86,905,280
(756,915)
(8,815,157)
124,803,444
(133,618,601)
10,790,792,179
(2,011,419,803)
(1,997,651,409)
(13,768,394)
(3,293,454)
8,776,078,922
(5,825,870,722)
(2,866,359,659)
(2,959,511,063)
(390,722,022)
37,627,123
(428,349,145)
(130,640,514)
(2,136,588)
411,522,115
(5,937,847,731)
(1,589,813,036)
(34,261,250)
-
44,029,673
1,258,186,578
1,184,130,246
2,442,316,824
-
2,442,316,824
For sake of completeness, it should be noted that tangible assets other than real estate, real estate items accounted for in accordance with IAS2
(Inventories) and investment properties (IAS40) under construction have not been subject to modification of the evaluation criteria.
Real estate risk and Sensitivity analysis
The change in the valuation criterion of properties at current values implies a possible risk of volatility as well as an increase of the so-called real
estate risk (for the description of which see the Part E of the Notes to the consolidated the accounts - Other risk included in the Economic Capital).
By reference to the real estate units held as at 31 December 2019 and their corresponding market value overall equal to €2,616 million, has been
estimated a sensitivity to the increase/decrease in real estate values of +/-1% equal to approximately €26.2 million corresponding to approximately
+/-1 basis point of CET ratio.
UniCredit ·2019 Annual Report and Accounts 527
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Part A - Accounting policies
As at 31 December 2019, the European Commission endorsed the following changes to the Accounting principles applicable to reporting, which
entered into force on or after 1 January 2020:
Amendments to references to the Conceptual Frameworks in IFRS standards (March 2018).
Strengthening the rundown strategy for Non Core perimeter
It should be noted that, in line with the basis underlying the 2020-2023 Strategic Plan, in December 2019 the Boards of Directors of UniCredit S.p.A.
took important decisions by introducing a series of management initiatives and actions for the implementation and strengthening of the rundown
strategy of the Non Core perimeter, with the aim of ensuring the complete runoff of the related credit exposures within the year 2021. This change
led, at 31 December 2019, to modifications in the parameters used to estimate the recovery values of credit exposures to customers, which,
pursuant to IAS8, qualifies as "change in accounting estimate", since the measurement basis of the loans has not been modified.
Detailed information on the effects of this change is provided as required by IAS8 in Part E - Information on risks and hedging policies - Section 1 -
Credit risk, under the table “A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values)”.
Sustainability test for the booking of the Deferred Tax Assets for the carry-forward of unused tax losses - time length
used to assess the future taxable incomes
Starting from this year, the sustainability test for both IRES and IRAP has been developed on a 10 years-time length, lengthening the forecast
interval compared to 5 years used in previous years, since it is considered more appropriate based on the following considerations:
the implementation of 2019 Transform Plan, completed in line with expectations, through which UniCredit has demonstrated its forward-looking
ability, also confirming the underlying assumption of the sustainability of positive long-term results (for a detailed description of the objectives
achieved in the Transform 2019 can be found in the Consolidated report on operations - Group results - Main results and performance for the
period);
the approval of Team23 on 2 December 2019, which including - among others - non-recurring elements such as the updating of the rundown
strategy of the Non-Core portfolio by 2021, as well as the completion of the operational reorganization (including extraordinary operations already
carried out or planned in the plan horizon), allows to assume the stability of future operating results and the definition of a context of greater
reliability of forecasts (for a detailed description of the objectives of Team23, see the Consolidated report on operations - Group Results - Main
Results and performance for the period).
In addition to the reasons outlined above, the choice relating to a 10 years-time length also derives: (i) from the presence of tax legislation that does
not set time limits for recovery but on the other hand (ii) also by the need to limit the uncertainty deriving from an excessive lengthening of the time
period; therefore, based on mentioned explanations, the 10 years-time length is appropriate for assessing the generation of future taxable income
that will allow the recognition of unreported tax losses, which is expected to reduce future tax charges.
This time length includes also a period subsequent to the official forecasts contained in the new Strategic Plan Team23, therefore, also considering
ESMA recommendation issued on 15 July 2019, the new sustainability test for the determination of future taxable incomes envisages:
a deterministic approach for the years for which official projections are available (i.e. the period 2020-2023);
a statistical approach for the years beyond official projections (2024-2029).
For more information, see the Company Financial Statements - Notes to the Accounts - Part B - Information on the Balance sheet assets - Section
10 Tax assets and tax liabilities.
Interbank Offered Rates (IBORs) transition
A comprehensive reference rates reform is currently taking place following the concerns raised in recent years about the integrity and reliability of
major financial market benchmarks. In order to assess the relevant risks associated with the global benchmark reforms mandated by the Financial
Stability Board (FSB), and taking appropriate actions to ensure an adequate transition to alternative or reformed benchmark rates ahead of the
deadline of the end of 2021 specified in the revised EU Benchmark Regulation BMR, UniCredit Group launched in October 2018 a Group wide
project in order to manage the IBORs discontinuation.
Accordingly, a multiyear roadmap has been defined based on both Group Exposure (mainly focused on Euro) and transition timeline. The project
governance involves the main internal stakeholders, both at Group and at main Legal Entities level. The program is also monitored by ECB as
Regulator for the Holding Company, and progresses are shared with the Group top management.
528 2019 Annual Report and Accounts · UniCredit
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Part A - Accounting policies
In 2019, UniCredit has ensured compliance, for EURIBOR and €STR/Eonia outstanding contracts, to the following main market changes:
discontinuation of some EURIBOR tenors and basis, according to the deadline set by European Money Markets Institute - EMMI (3 December
2018 for tenors and 1 April 2019 for Act/365 and 30/360 basis decommissioning);
changes requested by Euribor administrator (EMMI) on contribution process, following its new methodology;
introduction of the new €STR overnight rate (EONIA substitute), which has been published for the first time on 2 October 2019.
Possible uncertainties, involving other IBORs, with timing and/or fallback rules applied to outstanding stock of assets, liability and derivatives
however cannot be excluded.
On this regard, on 15 January 2020 the “Amendments to IFRS9, IAS39 and IFRS7 Interest Rate Benchmark Reform” (the Amendment) have been
endorsed by the European Commission for use in the European Union (EU).
The Amendment solves a potential source of uncertainty on the effects of the Interbank offered rates (IBOR) reform on existing accounting hedge
relationships that are affected by the IBOR reform, clarifying that the reform does not require to terminate such hedge relationships.
The EU effective start date for Amendment is the annual period beginning on or after 1 January 2020. As the earlier adoption is permitted, UniCredit
group has adopted the Amendment with reference to 2019 Financials for its existing hedge accounting relationships involving other IBORs, whose
volume is presented below:
Hedging contracts: notional amount(*)
HEDGING RELATIONSHIP
Fair value
Cash flows
Total
Note:
(*) Double-entry method when relevant.
HEDGED ITEMS
Assets
Liabilities
Assets
Liabilities
INDEX
LIBOR OTHER
CURRENCIES
2,894
-
2,470
-
5,364
CEE COUNTRIES
IBORS
118
-
170
-
288
LIBOR USD
2,971
10,310
3,249
12,195
28,725
(€ million)
OTHERS
-
326
-
-
326
In order to closely follow the developments on IBORs and to proper manage the transition and the discontinuation impacts, UniCredit group will
continuously monitor the market, also attending the European Working Groups, the industry working groups (e.g. International Swaps and
Derivatives Association ISDA) and participating to the relevant public consultations.
As at 31 December 2019 the IASB issued the following standards, amendments, interpretations or revisions, whose application is subject to
completion of the endorsement process by the competent bodies of the European Commission, which is still ongoing:
IFRS17: Insurance Contracts (May 2017);
Amendments to IFRS3: Business combination (October 2018);
Amendments to IAS1 and IAS8: Definition of Material (October 2018);
Amendments to IFRS9, IAS39 e IFRS7: Interest Rate Benchmark Reform (September 2019).
Except for the IFRS9, IAS39 and IFRS7 amendments, the Group did not anticipate the application of the new standards, amendments, and
interpretations adopted by the European Union, when the application in 2019 was optional.
***
The Company and the Consolidated financial statements of UniCredit as at 31 December 2019 are audited by Deloitte & Touche S.p.A. pursuant to
Legislative Decree No.39 of 27 January 2010 and to the resolution passed by the Shareholders’ Meeting on 11 May 2012.
UniCredit group prepared and published within the time limits set by law and in manner required by Consob, the Consolidated first half financial
Report as at 30 June 2018, subject to limited scope audit, as well as the Consolidated interim reports as at 31 March and 30 September 2018, both
as press releases.
The Company and the Consolidated Group financial statements as at 31 December 2019 have been approved by the Board of Directors’ meeting of
5 February 2020, which authorised its disclosure to the public, also pursuant to IAS10.
The whole document is filed in the competent offices and entities as required by law.
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Part A - Accounting policies
A.2 - Main items of the accounts
1 - Financial assets at fair value through profit or loss
a) Financial assets held for trading
A financial asset is classified as held for trading if it is:
acquired or incurred principally for the purpose of selling or repurchasing it in the short term;
part of a portfolio of identified financial instruments that are managed together and for which there is evidence of a recent actual pattern of short-
term profit-taking;
it is a derivative contract not designated under hedge accounting, including derivatives with positive fair value embedded in financial liabilities
other than those valued at fair value with recognition of income effects through profit or loss.
As other financial instruments, on initial recognition, at settlement date, a held-for-trading financial asset is measured at its fair value, usually equal
to the amount paid, excluding transaction costs and revenue, which are recognised in profit and loss although directly attributable to the financial
assets. Held for Trading derivatives are recognised at trade date.
After initial recognition these financial assets are measured at their fair value through profit or loss.
A gain or loss arising from sale or redemption or a change in the fair value of a HfT financial asset is recognised in profit or loss in item “80. Net
gains (losses) on trading”, including gains or losses on financial derivatives relating to financial assets and/or financial liabilities designated at fair
value or other financial assets mandatorily at fair value. If the fair value of a financial instrument falls below zero, which may happen with derivative
contracts, it is recognised in item “20. Financial liabilities held for trading”.
A derivative is a financial instrument or other contract that has all three of the following characteristics:
its value changes in response to the change in a specified interest rate, financial instrument price, commodity price, foreign exchange rate, index
of prices or rates, credit rating or credit index, or other variable (usually called the “underlying”) provided that in case of non-financial variable, this
is not specific of one of the parties to the contract;
it requires no initial net investment or an initial net investment that is lower than what would be required for other types of contracts that would be
expected to have a similar response to changes in market factors;
it is settled at a future date.
An embedded derivative is a component of a hybrid (combined) instrument that also includes a non-derivative host contract, with the effect that
some of the cash flows of the combined instrument vary in a way similar to a stand-alone derivative.
An embedded derivative is separated from financial liabilities other than those measured at fair value through profit or loss and from non-financial
instruments, and is recognised as a derivative, if:
the economic characteristics and risks of the embedded derivative are not closely relating to those of the host contract;
a separate instrument with the same terms as the embedded derivative would meet the definition of a derivative; and
the hybrid (combined) instrument is not measured entirely at fair value through profit or loss.
When an embedded derivative is separated, the host contract is accounted for according to its accounting classification.
b) Financial assets designated at fair value through profit or loss
A non-derivative financial asset can be designated at fair value if the abovementioned designation avoids accounting mismatches that arise from
measuring assets and associated liabilities according to different measurement criteria.
These assets are accounted for alike “Financial assets held for trading” however gains and losses, whether realised or unrealised, are recognised in
item “110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: a) financial assets/liabilities designated at fair
value”; such item also includes changes in fair value on “financial liabilities designated at fair value” linked to own credit risk, if such a designation
creates or increases an accounting mismatch in income statement according to IFRS9.
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c) Other financial assets mandatorily at fair value
A financial asset is classified as financial asset mandatorily at fair value if it does not meet the conditions, in terms of business model or cash flow
characteristics, for being measured at amortised cost or at fair value through other comprehensive income.
Specifically, the following assets have been classified in this portfolio:
debt instruments, securities and loans for which the business model is neither held to collect nor held to collect and sell but which are not part of
the trading book;
debt instruments, securities and loans with cash flows that are not solely payment of principal and interest;
units in investment funds;
equity instruments not held for trading for which the Bank does not apply the option granted by the standard of valuing these instruments at fair
value through other comprehensive income.
These assets are accounted for alike “Financial assets held for trading”, however gains and losses, whether realised or unrealised, are recognised in
item “110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: b) other financial assets mandatorily at fair value”.
2 - Financial assets at fair value through other comprehensive income
A financial asset is classified as at fair value through other comprehensive income if:
its business model is held to collect and sell;
its cash flows are solely the payment of principal and interest.
This category also includes equity instruments not held for trading for which the Bank applies the option granted by the standard of valuing the
instruments at fair value through other comprehensive income.
On initial recognition, at settlement date, a financial assets is measured at fair value, which is usually equal to the consideration paid, plus
transaction costs and revenues directly attributable to the instrument.
After initial recognition, the interests accrued on interest-bearing instruments are recorded in the income statement according to the amortised cost
criterion in item “10. Interest income and similar revenues” if positive, or in item “20. Interest expenses and similar charges” if negative.
The gains and losses arising from changes in fair value are recognised in the Statement of comprehensive income and shown under item “110.
Valuation reserves” in shareholders' equity.
These instruments are tested for impairment as illustrated in the specific Section 15 - Other Information - Impairment.
Impairment losses are recorded in the income statement, in item “130. Net losses/recoveries on credit impairment relating to: b) financial assets at
fair value through other comprehensive income” with contra-entry in the statement of other comprehensive income and also shown under item “110.
Valuation reserves” in shareholders' equity.
In the event of disposal, the accumulated profits and losses are recorded in the income statement in item “100. Gains (Losses) on disposal and
repurchase of: b) financial assets at fair value through other comprehensive income”.
Amounts deriving from financial assets carrying amount adjustment, gross of cumulated write-downs, in order to reflect modifications on contractual
cash flows that do not give rise to accounting derecognition, are recognised in income statement in item “140. Gains/Losses from contractual
changes with no cancellations”; such line does not include the impact of contractual modifications on the amount of expected loss recognised in item
“130. Net losses/recoveries on credit impairment relating to: b) financial assets at fair value through other comprehensive income”.
Such item can also include on-balance credit exposures which are already non-performing on initial recognition. These exposures are qualified as
“Purchased Originated Credit Impaired - POCI”.
The amortised cost and the interest income generated by these assets are calculated by considering, in the estimate of future cash flows, the
expected credit losses over the entire residual duration of the asset.
This expected credit loss is subject to periodic review thus determining the recognition of impairment or write-backs.
For further information on "Purchased Originated Credit Impaired” assets see Part E - Section 1 - Credit risk.
With regard to equity instruments, the gains and losses arising from changes in fair value are recognised in the Statement of other comprehensive
income and reported under item “110. Valuation reserves” in shareholders' equity.
In the event of disposal, the accumulated profits and losses are recorded in item “140. Reserves”.
In accordance with the provisions of IFRS9, no impairment losses on equity instruments are recognised in the income statement. Only dividends are
recognised in income statement within item “70. Dividend income and similar revenues”.
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Part A - Accounting policies
3 - Financial assets at amortised cost
A financial asset is classified as financial assets measured at amortised cost if:
its business model is held to collect;
its cash flows are solely the payment of principal and interest.
These items also include the net value of finance leases of assets under construction or awaiting lease, provided the leases have the characteristics
of contracts entailing the transfer of risk.
On initial recognition, at settlement date, financial assets at amortised cost are measured at fair value, which is usually equal to the consideration
paid, plus transaction costs and income directly attributable to the instrument.
After initial recognition at fair value, these assets are measured at amortised cost which requires the recognition of interest on an accrual basis by
using the effective interest rate method over the term of the loan. Such interest is recognised in item “10. Interest income and similar revenues” if
positive, or in item “20. Interest expenses and similar charges” if negative.
The amount of financial assets at amortised cost is adjusted in order to take into account impairment losses arising from valuation process as
illustrated in the specific section 15 - Other information - Impairment.
Impairment losses are recorded in the income statement, in item “130. Net losses/recoveries on credit impairment relating to: a) financial assets at
amortised cost”.
In the event of disposal, the accumulated profits and losses are recorded in the income statement in item “100. Gains (Losses) on disposal and
repurchase of: a) financial assets at amortised cost”.
Amounts deriving from financial assets carrying amount adjustment, gross of cumulated write-downs, in order to reflect modifications on contractual
cash flows that do not give rise to accounting derecognition, are recognised in income statement in item “140. Gains/Losses from contractual
changes with no cancellations”; such line does not include the impact of contractual modifications on the amount of expected loss recognised in item
“130. Net losses/recoveries on credit impairment relating to: a) financial assets at amortised cost”.
Such item can also include on-balance credit exposures which are already non-performing on initial recognition. These exposures are qualified as
“Purchased Originated Credit Impaired - POCI”.
The amortised cost and the interest income generated by these assets are calculated by considering, in the estimate of future cash flows, the
expected credit losses over the entire residual duration of the asset.
This expected credit loss is subject to periodic review thus determining the recognition of impairment or write-backs.
For further information on "Purchased Originated Credit Impaired” assets see Part E - Section 1 - Credit risk.
Following the decisions taken in December 2019 by the Board of Directors - referring to the introduction of a series of management initiatives and
actions for the implementation and strengthening of the rundown strategy of the Non Core perimeter, with the aim of ensuring the complete runoff of
the related credit exposures within the year 2021 - UniCredit S.p.A. modified the parameters used to estimate the recoverable amount of their credit
exposures to customers. Accordingly with IAS8, this change qualifies as a “change in accounting estimates”, since the measurement basis of the
loans has not been modified.
Detailed information on the effects of this change is provided as required by IAS8 in Part E - Information on risks and hedging policies - Section 1 -
Credit risk, under the table “A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values)”.
4 - Hedge accounting
Hedging instruments are created to hedge market (interest-rate, currency and price) and/or credit risk to which the hedged positions are exposed.
They may be described as follows:
Fair value hedge: a hedge of the exposure to changes in fair value of a recognised asset or liability, or an identifiable portion of such an asset or
liability;
Cash flow hedge: a hedge of the exposure to variability in cash flows that is attributable to a particular risk associated with a recognised asset or
liability or a highly probable forecast transaction which could affect profit or loss in future periods;
Hedge of a net investment in a foreign entity, whose operations are based or conducted in a currency other than euro.
It should be noted that the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging
relationships until the IASB completes the project on accounting for macro-hedging.
Hedging derivatives are initially recognised on trade date and are valued at their fair value.
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Part A - Accounting policies
A hedging relationship qualifies for hedge accounting if there is formal designation and documentation of the hedging relationship including the risk
management objective, the strategy for undertaking the hedge, and how the hedging instrument’s prospective and retrospective effectiveness will be
assessed. It is necessary to assess the hedge’s effectiveness, at inception and in subsequent periods, in offsetting the exposure to changes in the
hedged item’s fair value or cash flows attributable to the hedged risk.
Generally a hedge is regarded as highly effective if, at the inception of the hedge and in subsequent periods, it is determined prospectively to remain
highly effective, and retrospectively verified that the hedge ratio (i.e. the changes in fair value of hedged items and hedging instruments) is within a
range of 80 -125 per cent. The hedge is assessed on an ongoing basis and thus must prospectively remain highly effective throughout the financial
reporting periods for which the hedge has been designated.
The assessment of effectiveness is made at each balance-sheet date or other reporting date. If the assessment does not confirm the effectiveness
of the hedge, from that time on hedge accounting is discontinued in respect of the hedge and the hedging derivative is reclassified as a held-for-
trading instrument.
In addition, the hedging relationship ceases when (i) the hedging instrument expires or is sold, terminated or exercised, (ii) the hedged item is sold,
expires or is repaid, (iii) it is no longer highly probable that the forecast transaction will occur.
Hedging instruments are so designated when identifiable with an ultimate counterparty outside the Group.
Hedging derivatives are measured at fair value. Specifically:
Fair Value Hedging - an effective fair value hedge is accounted for as follows: the gain or loss from remeasuring the hedging instrument at fair
value is recognised through profit or loss in item “90. Net gains (losses) on hedge accounting”; the gain or loss on the hedged item attributable to
the hedged risk adjusts the carrying amount of the hedged item and is recognised through profit or loss in the same item. Hedging ineffectiveness
is represented by the difference between the change in the fair value of hedging instruments and the change in the fair value of hedged item. If the
hedging relationship is terminated for reasons other than the sale of the hedged item, the difference between the carrying amount of the hedged
item on termination of the hedging and the carrying amount it would have had if the hedge had never existed, is recognised through profit or loss
in interest receivable or payable over the residual life of the original hedge, in the case of interest-bearing instruments; if the financial instrument
does not bear interest, the difference is recognised in profit or loss under item “90. Net gains (losses) on hedge accounting” at once. If the hedged
item is sold or repaid, the portion of fair value which is still unamortised is at once recognised through profit or loss in item “100. Gains (Losses) on
disposal and repurchase”;
Cash Flow Hedging - hedging instruments are valued at fair value. Change in the fair value of a hedging instrument that is considered effective is
recognised in equity item “110. Revaluation reserves”. The ineffective portion of the gain or loss is recognised through profit or loss in item “90 Net
gains (losses) on hedge accounting”. If a cash flow hedge is determined to be no longer effective or the hedging relationship is terminated, the
cumulative gain or loss on the hedging instrument that remains recognised in revaluation reserves from the period when the hedge was effective
remains separately recognised in “110. Revaluation reserves” until the forecast hedged transaction occurs or is determined to be no longer
possible; in the latter case gains or losses are transferred through profit or loss to “90 Net gains (losses) on hedge accounting”. The fair value
changes are recorded in the Statement of Other Comprehensive Income and disclosed in item “110. Revaluation reserves";
Hedging a Net Investment in a Foreign Entity - hedges of a net investment in a foreign entity whose activities are based or conducted in a
country or currency other than those of the reporting entity are accounted for similarly to cash flow hedges. The gain or loss on the hedging
instrument relating to the effective portion of the hedge that has been recognised directly in equity is recognised through profit or loss on disposal
of the foreign entity.
The fair value changes are recorded in the Statement of Comprehensive Income and disclosed in item “110. Valuation reserves"; the ineffective
portion of the gain or loss is recognised through profit or loss in item “90. Net gains (losses) on hedge accounting”;
Macro-hedges of Financial Assets (Liabilities) - IAS39 allows a fair-value item hedged against interest rate fluctuations to be not only a single
asset or liability but also a monetary position contained in a number of financial assets or liabilities (or parts of them); accordingly, a group of
derivatives can be used to offset fair-value fluctuations in hedged items due to changes in market rates. Macro-hedging may not be used for net
positions resulting from the offsetting of assets and liabilities. As for fair value micro hedging, macrohedging is considered highly effective if, at the
inception of the hedge and in subsequent periods, changes in the fair value attributable to the hedged position are offset by changes in fair value
of the hedging instrument and if the hedge ratio is retrospectively assessed falling within the range of 80-125 per cent. Net changes, gains or
losses, in the fair value of the macro-hedged assets and liabilities attributable to the hedged risk are recognised in asset Item “60. Changes in fair
value of portfolio hedged items (+/-)” or liability item “50. Value adjustment of hedged financial liabilities (+/-)”, respectively and offset the profit or
loss item “90. Net gains (losses) on hedge accounting".
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Part A - Accounting policies
The ineffectiveness of the hedging arises to the extent that the change in the fair value of the hedging item differs from the change in the fair value of
the hedged monetary position. The extent of hedge ineffectiveness is in any case recognised in profit and loss item “90. Net gains (losses) on hedge
accounting". If the hedging relationship is terminated, for reasons other than the sale of the hedged items, cumulative gain or loss in items “60.
Changes in fair value of portfolio hedged items (+/-)” (Assets) and “50. Value adjustment of hedged financial liabilities (+/-)” (Liabilities) is recognised
through profit or loss in items “10. Interest income and similar revenues” or “20. Interest expenses and similar charges”, along the residual life of the
hedged financial assets or liabilities.
If the latter are sold or repaid, unamortised fair value is at once recognised through profit and loss in item “100. Gains (Losses) on disposal and
repurchase”.
5 - Equity investments
Equity investments are equity instruments and consequently defined as financial instruments under IAS32.
Investments in equity instruments made with the intention of establishing or maintaining a long-term operational relationship with the investee are
strategic investments.
The following are the types of equity investment:
Subsidiaries
Entities, including structured entities, over which the Bank has direct or indirect control, are considered subsidiaries. Control over an entity entails
the Bank's ability to exercise power in order to influence the variable returns to which the Bank is exposed through its relationship with them.
In order to verify the existence of control, the Group considers the following factors:
the purpose and establishment of the investee, in order to identify which are the entity's objectives, the activities that determine its returns and how
these activities are ruled;
the power, in order to understand whether the Group has contractual rights that attribute the ability to rule the relevant activities; to this end only
substantial rights that provide practical ability to rule are considered;
the exposure held in relation to the investee, in order to assess whether the Group has relationships with the investee, the returns of which are
subject to changes deriving from variations in the investee's performance;
the existence of potential principal - agent relationships.
If the relevant activities are ruled through voting rights, the existence of control is verified considering the voting rights held, including the potential
ones, and the existence of any shareholders' or other agreements which attribute the right to control the majority of the voting rights, to appoint the
majority of the governing body or in any case the power to determine the entity's financial and operating policies.
Subsidiaries may also include any “structured entity” in which the voting rights are not significant for establishing control, including special purpose
entities and investment funds.
In the case of structured entities, the existence of control is ascertained considering both the contractual rights that enable governance of the
relevant activities (or those that contribute most to the results) and the Group's exposure to the variability of returns deriving from these activities.
Joint venture
A joint venture is an entity in which the Bank has:
a joint control agreement;
rights on the net assets of the entity.
In detail a joint control exists when the decisions over the relevant activities require the unanimous consent of all the parties that share control.
Associates
An associate is an entity over which the investor has significant influence and which are not subsidiaries or joint ventures.
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Significant influence is presumed when the investor:
holds, directly or indirectly, at least 20% of the share capital of another entity, or
is able, also through shareholders' agreements, to exercise significant influence through:
- representation on the governing body of the company;
- participation in the policy-making process, including participation in decisions about dividends or other distributions;
- the existence of significant transactions;
- interchange of managerial personnel;
- provision of key technical information.
It should be noted that only companies which are governed through voting rights can be classified as associates.
Investments in subsidiaries, associates and joint ventures are measured at cost.
The purchase price of an equity investment is the sum of:
the fair value, at the date of acquisition, of the assets sold, liabilities assumed and equity instruments issued by the purchaser in exchange for
control of the investee; and
any cost directly attributable to the acquisition.
If there is evidence that an equity investment may have become impaired, its carrying value is compared with its recoverable value, which is
determined on the basis of its value in use, in turn calculated by means of valuation models in general use in financial business, which discount
expected future cash flow from the equity investment. (methodology Discounted Cash Flow).
If it is not possible to obtain sufficient information the value in use is considered to be the net worth of the company.
If the recovery value is less than the carrying value, the difference is recognised through profit or loss in item “220. Gains (Losses) of equity
investments”. If the reasons for impairment are removed following a subsequent event occurring after the recognition of impairment, write-backs are
made through same profit or loss item.
Equity investments considered strategic investments not covered by the above definitions and not recognised in item “110. Non-current assets and
disposal groups classified as held for sale” are classified as financial assets at fair value through other comprehensive income or other financial
assets mandatorily at fair value and accordingly treated.
6 - Property, plant and equipment
The item includes:
land;
buildings;
furniture and fixtures;
plant and machinery;
other machinery and equipment;
and is divided between:
assets used in the business;
assets held as investments;
inventories in the scope of IAS2 standard.
This item also includes tangible assets arising from collection of collaterals.
Assets used in the business and Assets held as investments
Assets used in the business are held for use in the production or supply of goods or services or for administrative purposes and are expected to be
used for more than one period. This category also (conventionally) includes assets to be let or under construction and to be leased under a finance
lease, only for those finance leases which provide for retention of risk by the lessor until the acceptance of the asset by the lessee and the start of
rentals under the finance lease.
The item “Property, plant and equipment” includes assets used by the Group as lessee under a lease contract (right of use), or let/hired out by the
Group as lessor under an operating lease.
Property, plant and equipment also include leasehold improvements relating to assets which can be separately identified. They are classified
according to the specific sub-items relating to the asset type (e.g. plants).
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Leasehold improvements are usually borne in order to make leased premises fit for the expected use.
Improvements and additional expenses relating to property, plant and equipment identifiable but not separable are recognised in item “120. Other
assets”.
Assets held for investment purposes are properties covered by IAS40, i.e. properties held (owned or under Alease contract) in order to derive rentals
and/or a capital gain.
Property, plant and equipment are initially recognised at cost including all costs directly attributable to bringing the asset into use (transaction costs,
professional fees, direct transport costs incurred in bringing the asset to the desired location, installation costs and dismantling costs).
Subsequent costs are added to the carrying amount or recognised as a separate asset only when it is probable that there will be future economic
benefits in excess of those initially foreseen and the cost can be reliably measured. Other expenses borne at a later time (e.g. normal maintenance
costs) are recognised in the year they are incurred in profit and loss items:
“160. Administrative expenses: b) other administrative expenses”, if they refer to assets used in the business; or
“200. Other operating expenses/income”, if they refer to property held for investment.
After being recognised as an asset:
buildings and lands used in the business are measured according to revaluation model;
tangible assets used in the business, different from lands and buildings, are measured according to cost model;
buildings and lands held as investments are measured according to fair value model.
Revaluation model requires tangible assets to be exposed in Balance sheet at a value not significantly different from fair value. In this respect,
UniCredit Group requests such assets to be revalued on a half year basis through “desktop” or “on site” appraisals, based on the asset relevance,
performed by external appraisers.
Positive changes in Fair Value are booked in Other Comprehensive Income Statement, item “50. Tangible Assets”, and cumulated in item “110.
Valuation reserves”, unless they offset previous negative changes accounted for in income statement in item “230. Net gains (losses) on property,
plant and equipment and intangible assets measured at fair value”.
Negative changes in Fair Value are booked in income statement in item “230. Net gains (losses) on property, plant and equipment and intangible
assets measured at fair value”, unless they offset previous positive changes accounted for in Other Comprehensive Income Statement, item “50.
Tangible Assets”, and cumulated in item “110. Valuation reserves”.
When the tangible asset is revalued at its Fair Value it is required to adjust both gross carrying amount and cumulated depreciation on the basis of
the net carrying amount revaluation.
Cost model requires the gross carrying amount to be depreciated across its useful life.
Both tangible assets measured according to revaluation model and cost model are subject to straight-line depreciation over their useful life to the
extent they have a finite useful life.
Residual useful life is usually assessed as follows:
buildings
furniture and fixtures
electronic equipment
other
leasehold improvements
up to 33 years;
up to 7 years;
up to 12 years;
up to 7 years;
up to 15 years.
Depreciations are accounted for, period by period, in item “180. Net value adjustments/write-backs on property, plant and equipment”.
An item with an indefinite useful life is not depreciated.
Land and buildings are recognised separately, even if acquired together. Land is not depreciated since it usually has an indefinite useful life.
Buildings have instead a finite useful life and are therefore subject to depreciation.
The estimate of the useful life of an asset is reviewed at least at each accounting period-end on the basis inter alia of the conditions of use of the
asset, of maintenance conditions and expected obsolescence, and, if expectations differ from previous estimates, the depreciation amount for the
current and subsequent financial years is adjusted accordingly.
If there is clear evidence that an asset measure according to cost model has been impaired the carrying amount of the asset is compared with its
recoverable value, equal to the greater of its fair value less selling cost and its value in use, i.e., the present value of future cash flow expected to
originate from the asset. Any value adjustment is recognised in profit and loss item “180. Net value adjustments/write-backs on property, plant and
equipment”.
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If the value of a previously impaired asset is restored, its increased carrying amount cannot exceed the net carrying amount it would have had if
there had been no losses recognised on the prior-year impairment.
Buildings and land held as investments, including right of use on land and buildings classified as held for investment, are measured according to fair
value model which requires to account for in income statement in item “230. Net gains (losses) on property, plant and equipment and intangible
assets measured at fair value”, changes in fair value. Such assets are not subject to depreciation and impairment test.
An item of property, plant and equipment is derecognised (i) on disposal or (ii) when no future economic benefits are expected from its use or sale in
the future and any difference between sale proceeds or recoverable value and carrying value is recognised in profit and loss item “250. Gains
(losses) on disposals on investments”, “230. Net gains (losses) on property, plant and equipment and intangible assets measured at fair value” or
“180. Net value adjustments/write-backs on property, plant and equipment”, respectively. For tangible assets measured according to revalued
amount, any gain from disposal, including amounts cumulated in item “110. Valuation reserves”, is reclassified to item “140 Reserves” with no
impact in income statement.
Inventories in the scope of IAS2 standard
Inventories are assets held for sale in the ordinary course of business. They are accounted for at the lower of their carrying amounts and net
realizable value.
Any value adjustment arising from the application of the aforementioned criterion is recognised under item “180. Net value adjustments/write-backs
on property, plant and equipment”.
7 - Intangible assets
An intangible asset is an identifiable non-monetary without physical substance which is expected to be used for more than one period and from
which future economic benefits are probable.
Intangible assets are principally represented by software.
Intangible assets other than goodwill are recognised at purchase cost, i.e. including any cost incurred to bring the asset into use, less accumulated
amortisation and impairment losses.
Costs sustained after purchase are:
added to initial cost, provided they increase future economic benefits arising from the underlying asset (i.e. if they increase its value or productive
capacity);
in other cases (i.e. when they do not increase the asset’s original value, but are intended merely to preserve its original functionality) are taken to
profit or loss in a single amount in the year in which they have been borne.
An intangible asset with a definite life is subject to straight-line amortisation over its estimated useful life.
Residual useful life is usually assessed as follows:
software
up to 10 years.
If there is clear evidence that an asset has been impaired, the carrying amount of the asset is compared with its recoverable value, equal to the
greater of its fair value less selling cost and its value in use, i.e. the present value of future cash flows expected to originate from the asset.
Any impairment loss is recognised in profit and loss item “190. Impairment/write-backs on intangible assets”.
If the value of a previously impaired intangible asset, other than goodwill is restored, its increased carrying amount cannot exceed the net carrying
amount it would have had if there were no losses recognised on the prior-year impairment.
An intangible asset is derecognised (i) on disposal or (ii) when no further future economic benefits are expected from its use or sale in the future and
any difference between sale proceeds or recoverable value and carrying value is recognised in the profit and loss item “250. Gains (Losses) on
disposal of investments” or “190. Impairment/write-backs on intangible assets”, respectively.
8 - Non-current assets held for sale
These categories include individual assets held for disposal (tangible, intangible and financial assets) or groups of assets held for sale, with the
related liabilities, as required by IFRS5.
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Individual assets (or groups of assets held for sale) are recognised in item “110. Non-current assets and disposal groups classified as held for sale”
and item “70. Liabilities included in disposal groups classified as held for sale”, respectively, at the lower of their carrying amounts and fair values
less costs to sell.
The revaluation reserves relating to non-current assets classified as held for sale, which are recorded as a contra item to changes in value relevant
for this purpose, are reported separately in the Statement of Other Comprehensive Income (see Notes to the accounts - Part D - Other
comprehensive income).
The net balance of profits (dividends, interest income, etc.) and losses (interest expense, etc.) attributable to discontinued operations are recognised
in the income statement under item “290. Profit (Loss) after tax from discontinued operations”. Profits and losses attributable to individual assets or
disposal groups, that do not constitute discontinued operations, held for disposal are recognised in the income statement under the appropriate item.
9 - Current and deferred tax
Tax assets and tax liabilities are recognised in the Balance Sheet respectively in item 100. of assets (“Tax assets”) and item 60. of liabilities (“Tax
liabilities”).
In compliance with the “Balance sheet method”, current and deferred tax items are:
current tax assets, i.e. amount of tax paid in excess of income tax due in accordance with local tax regulations;
current tax liabilities, i.e. amounts of corporate tax due in accordance with local tax regulations;
deferred tax assets, i.e. amounts of income tax recoverable in future fiscal years and attributable to:
- deductible temporary differences;
- the carryforward of unused tax losses;
- the carryforward of unused tax credits;
deferred tax liabilities, i.e. the amounts of income tax due in future fiscal years in respect of taxable temporary differences.
Current tax assets and tax liabilities are calculated in accordance with local tax regulations and are recognised in profit or loss on an accrual basis.
In particular current corporate tax (“IRES”) is calculated at a rate of 27.50%; the regional tax on productive activity (“IRAP”) is applied on a regional
basis. The national rate is set at 4.65%, to which each Region can autonomously increase a surcharge up to 0.92%, therefore theoretically a rate of
5.57% (plus an additional surcharge of 0.15% provided for the Regions with an healthcare deficit status).
In general, deferred tax assets and liabilities arise when there is a difference between the accounting treatment and the tax treatment of the carrying
amount of an asset or liability.
Deferred tax assets and liabilities are recognised applying tax rates that at the balance sheet date are expected to apply in the period when the
carrying amount of the asset will be recovered or the liability will be settled on the basis of tax regulations in force, and are periodically reviewed in
order to reflect any changes in regulations.
Under the tax consolidation system adopted by the Bank, deferred tax assets are recognised only to the extent that it is probable that sufficient
taxable profit evaluated based on the Bank’s ability to generate it in future financial years will be available. Deferred tax liabilities are always
recognised. In accordance with the provisions of IAS12, the probability that sufficient future taxable profit against which the deferred tax assets can
be utilised will be available is reviewed periodically. The carrying amount of deferred tax assets should be reduced to the extent that it is not
probable that sufficient taxable profit will be available.
Current and deferred taxes are recognised in profit and loss item “270. Tax expense (income) related to profit or loss from continuing operations”,
except for tax referred to items that in the same or in another fiscal year are credited or charged directly to equity, such as those relating to gains or
losses on financial assets at fair value through other comprehensive income and those relating to changes in the fair value of cash flow hedging
instruments, whose changes in value are recognised, net of tax, directly in the Statement of Other Comprehensive Income - Valuation reserves.
IRES is determined on the basis of the “consolidato fiscale” rules pursuant to L.D.344/03; UniCredit S.p.A. opted to apply tax consolidation of the
Group’s Italian entities (see also Part B of these Notes - Section 10.7 Other information).
Current tax assets and liabilities are presented on the Balance sheet net of the related current tax liabilities if the following requirements are met:
existence of a legally enforceable right to offset the amounts recognised;
the intention to extinguish for the remaining net, or realise the asset and at the same time extinguish the liability.
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Deferred tax assets are presented on the Balance sheet net of the related deferred tax liabilities if the following requirements are met:
existence of an enforceable right to offset current tax assets with current tax liabilities; and
the deferred tax assets and liabilities must relate to income taxes applied to the same tax authority on the same taxable entity or on different
taxable entities that intend to settle the current tax liabilities and assets on a net basis (usually in presence of a “consolidato fiscale”).
10 - Provisions for risks and charges
Committments and guarantees given
Provisions for risks and charges for commitments and guarantees given are recognised against for irrevocable commitments and guarantees
whether they are in scope of IFRS9 or IAS37.
The item hosts the estimates of expected loss calculated on these instruments resulting from valuation process as described in Section 15 - Other
Information - Impairment.
The provision of the period is accounted under item “170. Net provisions for risks and charges: a) commitments and financial guarantees given”.
Note that all contracts that require the issuer to make specified payments to reimburse the holder for a loss it incurs because a specified debtor fails
to make payment when due in accordance with the terms of a debt instrument are considered financial guarantees.
Retirement payments and similar obligations
Retirement provisions, i.e. provisions for employee benefits payable after the completion of employment, are defined as contribution plans or
defined-benefit plans according to the nature of the plan.
In detail:
defined-benefit plans provide a series of benefits depending on factors such as age, years of service and compensation policies. Under this type
of plan actuarial and investment risks are borne by the company;
defined-contribution plans are plans under which the company makes fixed contributions. Benefits are the result of the amount of contributions
paid and return on contributions invested. The employer bears no actuarial and/or investment risks connected with this type of plans as it has no
legal or implicit obligation to make further contributions, should the plan not be sufficient to provide benefits to all employees.
Defined-benefit plans are present-valued by an external actuary using the Unit Credit Projection Method.
This method distributes the cost of benefits uniformly over the employee’s working life. Obligations are the present value of average future benefits
pro rata to the ratio of years of service to theoretical seniority at the time of benefit payment.
More specifically, the amount recognised according to IAS19 Revised as a net liability/asset in item “100. Provisions for risks and charges: b) post-
retirement benefit obligations” is the present value of the obligation at the balance sheet date, less any pension charges relating to benefits already
provided but not yet recognised, less the fair value at the balance sheet date of plan assets other than those due to directly settle the obligations
adjusted for any effect of limiting a net defined benefit asset to the asset ceiling. Actuarial gains or losses arising from the valuation of defined-
benefit liabilities are recorded in the Statement of other comprehensive income and disclosed in the item “110. Revaluation reserves”.
The discount rate used to discount obligations (whether financed or not) relating to benefits to be provided after retirement varies according to the
currency of denomination and country where the liabilities are allocated and is determined on the basis of market yield at the balance sheet date of
prime issuers’ bonds (HQCB: high quality corporate bonds) with an average life in keeping with that of the relevant liability.
Other provisions
Provisions for risks and charges are recognised when:
the entity has a present obligation (legal or constructive) as a result of a past event;
it is probable that an outflow of resources embodying economic benefits will be required to settle the obligation; and
a reliable estimate can be made of the amount of the obligation.
The amounts recognised as provisions are the best estimate of the expenditure required to settle the present obligation.
The risks and uncertainties that inevitably surround the relevant events and circumstances are taken into account in reaching the best estimate of a
provision.
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In particular, where the effect of the time value of money is significant (generally when payment is to be made more than 18 months from
recognition), the amount of the provision should be the present value of the best estimate of the cost required to settle the obligation. The discount
rate used reflects the current market assessments.
Provisions are reviewed periodically and adjusted to reflect the current best estimate. If it becomes clear that it is no longer probable that an outflow
of resources embodying economic benefits will be required to settle the obligation, the provision is reversed.
Provisions are used only for expenses for which they were originally recognised.
Allocations made in the year are recognised in profit and loss item “170. Net provisions for risks and charges b) other net provisions” and include
increases due to the passage of time; they are also net of any reversals.
“Other provisions” also include obligations relating to benefits due to agents, specifically supplementary customer portfolio payments, merit
payments, contractual payments and payments under non-competition agreements, which are measured as per defined benefit plans; accordingly
these obligations are calculated using the Unit Credit Projection method (see previous paragraph Retirement Payments and Similar Obligations.
11 - Financial liabilities measured at amortised cost
Financial liabilities measured at amortised cost comprise financial instruments (other than liabilities held for trading or those designated at fair value)
representing the various forms of third-party funding.
These financial liabilities are recognised at settlement date initially at fair value, which is normally the consideration received less transaction costs
directly attributable to the financial liability. Subsequently these instruments are measured at amortised cost using the effective interest method.
Such interest is recognised in item “20. Interest expenses and similar charges” if negative or in item “10. Interest income and similar revenues” if
positive.
Hybrid debt instruments indexed to equity instruments, foreign exchange, credit instruments or indexes, are treated as structured instruments. The
embedded derivative is separated from the host contract and recognised as a derivative, provided that separation requirements are met, and
recognised at fair value. The embedded derivative is recognised at its fair value, classified as financial assets or liabilities held for trading and
subsequently measured at fair value through profit or loss with changes in fair value recognised in income statement in item “80. Net gains (losses)
on trading”.
The difference between the total amount received and the initial fair value of the embedded derivative is attributed to the host contract.
Instruments convertible into treasury shares imply recognition, at the issuance date, of a financial liability and of the equity part to be recognised in
item “130. Equity instruments”, if a physical delivery settles the contract.
The equity part is initially measured at the residual value, i.e. the overall value of the instrument less the separately determined value of a financial
liability with no conversion clause and the same cash flows.
The resulting financial liability is recognised at amortised cost using the effective interest method.
Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change
in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from
significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or
paid for the repurchase is recognised in profit or loss in item “100. Gains (Losses) on disposal and repurchase of: c) financial liabilities”. Subsequent
disposal by the issuer is considered as a new issue which doesn’t produce gains or losses.
12 - Financial liabilities held for trading
Financial liabilities held for trading include:
derivatives that are not designated as hedging instruments;
obligations to deliver financial assets borrowed by a short seller (i.e. an entity that sells financial assets it does not yet own);
financial liabilities issued with an intention to repurchase them in the short term;
financial liabilities that are part of a portfolio of financial instruments considered as a unit and for which there is evidence of a recent pattern of
trading.
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Financial liabilities held for trading, including derivatives, are measured at fair value on initial recognition and during the life of the transaction.
A gain or loss arising from a change in the fair value of a HfT financial liability is recognised in profit or loss in item “80. Net gains (losses) on
trading”.
Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change
in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from
significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or
paid for the repurchase is recognised in profit or loss in item “80. Net gains (losses) on trading”. Subsequent disposal by the issuer is considered as
a new issue which doesn’t produce gains or losses.
13 - Financial liabilities designated at fair value
Financial liabilities, like financial assets may also be designated, according to IFRS9, on initial recognition as measured at fair value, provided that:
this designation eliminates or considerably reduces an accounting or measurement inconsistency that would arise from the application of different
methods of measurement to assets and liabilities and related gains or losses; or
a group of financial assets, financial liabilities or both are managed and measured at fair value under risk management or investment strategy
which is internally documented with the entity’s key management personnel.
This category may also include financial liabilities represented by hybrid (combined) instruments containing embedded derivatives that otherwise
should have been separated from the host contract.
Financial liabilities presented in this category are measured at fair value at initial recognition and for the life of the transaction.
The changes in fair value are recognised in the income statement in item “110. Gains (Losses) on financial assets/liabilities at fair value through
profit or loss a) financial assets/liabilities designated at fair value” except for any changes in fair value arising from changes in their creditworthiness,
which are shown under item “110. Valuation reserves” of shareholders’ equity unless such accounting results in an inconsistency that arises from
the application of different methods of measuring assets and liabilities and related gains or losses, in which case also the changes in fair value
deriving from changes in creditworthiness are recorded in the income statement.
Financial liabilities are derecognised in case of redemption, prepayment, significant amendments to contractual conditions that determine a change
in their present value which exceeds the threshold defined by the accounting standard o in case of re-purchase. When derecognition arises from
significant amendments or re-purchase, the difference between the carrying amount of the liability and the amount arising from the amendments or
paid for the repurchase is recognised in profit or loss in item “110. Gains (Losses) on financial assets/liabilities at fair value through profit or loss a)
financial assets/liabilities designated at fair value” while the balance of cumulated changes in fair value due to own credit risk booked in item “110.
Valuation reserves” is reclassified in item “140. Reserves”. Subsequent disposal by the issuer is considered as a new issue which doesn’t produce
gains or losses.
14 - Foreign currency transactions
A foreign currency transaction is recognised at the spot exchange rate of the transaction date.
Foreign currency monetary assets and liabilities are translated at the closing rate of the period.
Exchange differences arising from settlement of monetary items at rates different from those of the transaction date and unrealised exchange rate
differences on foreign currency assets and liabilities not yet settled, other than assets and liabilities designated as measured at fair value and
hedging instruments, are recognised in profit and loss item “80. Gains (Losses) on financial assets and liabilities held for trading”.
Exchange rate differences arising on a monetary item that is part of an entity's net investment in a foreign operation whose activities are based or
conducted in a country or currency other than those of the reporting entity are initially recognised in the entity's equity, and recognised in profit or
loss on disposal of the net investment.
Non-monetary assets and liabilities recognised at historical cost in a foreign currency are translated using the exchange rate at the date of the
transaction. Non-monetary items that are measured at fair value in a foreign currency are translated at the closing rate. In this case the exchange
differences are recognised:
in profit and loss if the financial asset is classified in a portfolio measured at fair value through profit or loss; or
in the Statement of other comprehensive income, and disclosed in the Revaluation reserves, if the financial asset is classified in “Financial assets
at fair value through other comprehensive income”.
Hedges of a net investment in a foreign operation are recognised similarly to cash flow hedges.
On the disposal of a foreign operation, the cumulative amount of the exchange rate differences, classified in an Equity reserve, is reclassified in
profit or loss in the year in which the company sale is recognised.
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15 - Other information
Impairment
Loans and debt securities classified as financial assets at amortised cost, financial assets at fair value through other comprehensive income and
related off-balance sheet exposures are tested for impairment as required by IFRS9.
In this regard, these instruments are classified in Stage 1, Stage 2 or Stage 3 according to their absolute or relative credit quality with respect to
initial disbursement. Specifically:
Stage 1: includes (i) newly issued or acquired credit exposures, (ii) exposures for which credit risk has not significantly deteriorated since initial
recognition, (iii) exposures having low credit risk (low credit risk exemption);
Stage 2: includes credit exposures that, although performing, have seen their credit risk significantly deteriorating since initial recognition;
Stage 3: includes impaired credit exposures.
For exposures in Stage 1, impairment is equal to the expected loss calculated over a time horizon of up to one year.
For exposures in Stages 2 or 3, impairment is equal to the expected loss calculated over a time horizon corresponding to the entire life of the
exposure.
The allocation of credit exposures in one of the abovementioned stages is done at initial recognition, when the exposures is classified at stage 1 and
it is periodically reviewed based on “stage allocation” rules as specified in Part E - Section 1 - Credit risk.
In order to calculate the expected loss and the related loan loss provision, the Bank uses Probability of Default (“PD”), Loss Given Default (“LGD”)
and Exposure at Default (“EAD”) parameters, used for regulatory purposes and adjusted in order to ensure that impairment measurement
represents values which are “point in time”, “forward looking” and inclusive of multiple scenarios. In this respect see Part E - Section 1 - Credit risk
for further information on expected loss calculation methodologies.
With reference to stage 3, it should be noted that it includes impaired exposures corresponding to the aggregate Non-Performing Exposures as ITS
EBA (EBA/ITS /2013/03/rev1 7/24/2014), in accordance with Banca d’Italia rules, defined in Circular No.272 of 30 July 2008 and subsequent
updates.
In particular EBA has defined as “Non-Performing” the exposures that meet one or both of the following criteria:
material exposures with more than 90 days past due;
exposures for which the bank values that is unlikely that the debtor would pay in full his credit obligations without recurring to enforcement and
realisation of collaterals, regardless of past due exposures and the number of days the exposure is past due.
In addition, the abovementioned Circular No.272 establishes that the aggregate of impaired assets is divided into the following categories:
Bad loans: cash and off-balance exposures to counterparty in a state of insolvency (even when not recognised in a court of law) or in an
essentially similar situation. The assessment is generally carried out on an analytical basis (also through the comparison with coverage levels
statistically defined for credit portfolios below a predefined threshold) or, in case of non-significant individually amounts, on a flat-rate basis for
homogeneous types of exposures;
Unlikely to pay: cash and off-balance exposures for which conditions for evaluating the debt as bad loan are not met and for which it is unlikely
that without recurring to enforcement of collaterals the debtor is able to pay in full (capital and/or interests) his credit obligations. Such assessment
is made independently of any past due and unpaid amount/instalments. The classification among unlikely to pay is not necessarily linked to
anomalies (non-repayment), rather it is linked to factors that indicate a situation of risk of default of the debtor. Unlikely to pay are generally
accounted analytically (also through the comparison with coverage levels statistically defined for credit portfolios below a predefined threshold) or
on a flat-rate basis for homogeneous types of exposures.
The exposures classified among unlikely to pay and qualified as so-called forborne can be reclassified among non-impaired receivables only after
at least one year has elapsed from the time of granting and the conditions indicated in paragraph 157 of EBA Implementing Technical Standards.
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With reference to their evaluation:
- they are generally analytically evaluated and may include the discounted charge deriving from the possible renegotiation of the rate at conditions
below the original contractual rate;
- the renegotiations of loans that require their derecognition in exchange of shares through “debt-to-equity swap” transactions requires the
assessment, before executing the swap, of the credit exposures in accordance with stipulated agreements at the date of preparation of the
financial statements. Any differences between the value of receivables and the value at initial recognition of equity instruments is accounted in
income statement in the impairment losses;
Past due exposures: cash exposures different from those classified as non-performing loans and unlikely to pay that at the reporting date are past
due. Past due exposures can be determined referring alternatively to individual debtor or individual transaction. In particular they represent an
entire exposure to counterparties different from those classified as unlikely to pay and bad loans that at the reporting date show past due
receivables from more than 90 days as well as requirements established by local prudential regulation for the inclusion of these credits into “past
due” (standardised banks) or “default exposures” (IRB banks).
Past due exposures are evaluated on a on a flat-rate basis on historical/statistical basis, applying, if available, the riskiness identified by the risk
factor used for the purposes of EU Regulation No.575/2013 (CRR) relating to prudential requirements for credit institutions and investment firms
(LGD - Loss Given Default).
Allowances for impairment of loans and receivables are based on the present value of expected cash flows of principal and interest. In determining
the present value of future cash flows, the basic requirement is the identification of estimated collections, the timing of payments and the discount
rate used.
In particular, the amount of the loss on impaired exposures classified as bad loans and unlikely to pay, according to the categories specified above,
is the difference between the carrying amount and the present value of estimated cash flows discounted at the original interest rate of the financial
asset.
For all fixed rate positions, the interest rate thus determined is kept constant in subsequent financial years, while for floating rate positions the
interest rate is updated according to contractual terms.
If the original interest rate cannot be found, or if finding it would be excessively burdensome, the rate that best approximates is applied, also
recurring to “practical expedients” that do not alter the substance, and ensure consistency with the international accounting standards.
Recovery times are estimated on the basis of business plans or forecasts based on historical recovery experience observed for similar classes of
loans, taking into account the customer segment, the type of loan, the type of security and any other factors considered relevant.
Also the impairment on impaired exposures was calculated as required by the new accounting standard IFRS9 to include (i) the adjustments
necessary to reach the calculation of a point-in-time and forward-looking loss; and (ii) multiple scenarios applicable to this type of exposure including
any sale scenarios in case the Bank’s NPE strategy foresees the recovery through sale on the market according to what is specified in Part E -
Section 1 - Credit risk.
I there are no reasonable expectations to recover a financial assets in its entirety or a portion thereof, the gross exposure is subject to write-off.
Write-off, that may involve either a full or a part of a financial asset, might be accounted for before that the legal actions, activated to recover the
credit exposure, are closed and doesn’t imply the forfeiture of the legal right to recover. In this context the Bank has developed a specific guideline
that assess the need to recognise a write-off. For further information see Part E - Section 1 - Credit risk.
Modification
Renegotiations of financial instruments which cause a change in contractual conditions are accounted for depending on the significance of the
contractual change itself.
In particular, when renegotiations are not considered significant the gross exposure is re-determined through the calculation of the present value of
cash flows following the renegotiation at the original effective interest rate.
The difference between the gross exposure before and after renegotiation, adjusted to consider changes in the related loan loss provision, is
recognised in income statement as modification gain or loss.
In this regard, renegotiations achieved both by amending the original contract or by closing a new one, are considered significant when they
determine the expiry of the right to receive cash flows accordingly to the original contract.
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In particular, the rights to receive cash flows are considered as expired in case of renegotiations that introduce contractual clauses which determine
a change in the financial instrument classification, which determine a change in the currency or which are carried out at market conditions therefore
without causing credit concession.
Business combinations
A business combination is a transaction through which an entity obtains control of a business segment, thus bringing together different businesses
into one reporting entity.
A business combination may result in a Parent-subsidiary relationship in which the acquirer is the Parent and the acquiree is a subsidiary of the
acquirer. A business combination may involve the purchase of the net assets of another entity, in which case goodwill can arise, or the purchase of
the equity of the other entity (mergers).
IFRS3 requires that all business combinations concerning business divisions shall be accounted for by applying the purchase method, that involves
the following steps:
identifying an acquirer;
measuring the cost of the business combination; and
allocating, at the acquisition date, the cost of the business combination to the assets acquired and liabilities and contingent liabilities assumed.
The cost of a business combination is the aggregate of the fair value, at the date of exchange, of assets given, liabilities incurred or assumed and
equity instruments issued by the acquirer, in exchange for control of the acquiree.
The acquisition date is the date on which the acquirer effectively obtains control of the acquiree. When this is achieved through a single exchange
transaction, the date of exchange coincides with the acquisition date.
A business combination may involve more than one exchange transaction; nevertheless, the cost of the business combination remains equal to the
fair value of the total shareholding acquired. This involves the revaluation at fair value, and the recognition of the effects in the Income Statement, of
the equity investments previously held in the acquired entity.
The cost of a business combination is allocated by recognising the assets, the liabilities and the identifiable contingent liabilities of the acquired
company at their acquisition-date fair value. Exceptions to this principle are deferred income tax assets and liabilities, employee benefits,
indemnification assets, reacquired rights, non-current assets held for sale, and share-based payment transactions that are subject to review in
accordance with the principle applicable to them.
Positive difference between the cost of the business combination and the net fair value of the identifiable assets, liabilities and contingent liabilities
so recognised is accounted for as goodwill.
After initial recognition, goodwill is tested for impairment at least annually.
If the acquirer's interest in the net fair value of the identifiable assets, liabilities and contingent liabilities exceeds the cost of the business
combination, the acquirer shall reassess the fair values and recognise immediately any excess remaining after that reassessment in profit or loss.
In the case of business combinations resulting in a parent company-subsidiary (acquirer-acuiree) relationship, the equity investment is accounted for
under the cost method.
Derecognition of financial assets
Derecognition is the removal of a previously recognised financial asset from an entity’s balance sheet.
Before evaluating whether, and to what extent, derecognition is appropriate, under IFRS9 an entity should determine whether the relevant conditions
apply to a financial asset in its entirety or to a part of a financial asset. The standard is applied to a part of financial assets being transferred if, and
only if, the part being considered for derecognition meets one of the following conditions:
the part comprises only specifically identified cash flows from a financial asset, or a group of assets, (e.g. interest cash flows from an asset);
the part comprises a clearly identified percentage of the cash flows from a financial asset (e.g. a 90 per cent share of all cash flows from an asset);
the part comprises only a fully proportionate (pro-rata) share of specifically identified cash flow (e.g. 90 per cent share of interest cash flows from
an asset).
In all other cases, the standard is applied to the financial asset in its entirety (or to the group of similar financial assets in their entirety)
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An entity shall derecognise a financial asset when the contractual rights to the cash flows from the financial asset expire or it transfers the
contractual rights to receive the cash flows of the financial asset to a third party.
Rights to cash flow are considered to be transferred even if contractual rights to receive the asset’s cash flow are retained but there is an obligation
to pay this cash flow to one or more entities and all the following conditions are fulfilled (pass-through agreement):
there is no obligation on the Bank to pay amounts not received from the original asset;
sale or pledge of the original asset is not allowed, unless it secures the obligation to pay cash flow;
the Bank is obliged to transfer forthwith all cash flows received and may not invest them, except for liquidity invested for the short period between
the date of receipt and that of payment, provided that the interest accrued in that period is paid on.
Recognition is also subject to verification of effective transfer of all the risks and rewards of ownership of the financial asset. If the entity transfers
substantially all the risks and rewards of ownership of the financial asset, the entity shall derecognise the asset (or group of assets) and recognise
separately as assets or liabilities any rights and obligations created or retained in the transfer.
Conversely, if the entity substantially retains all the risks and rewards of ownership of the asset (or group of assets), the entity shall continue to
recognise the transferred asset(s). In this case it is necessary to recognise a liability corresponding to the amount received under the transfer and
subsequently recognise all income accruing on the asset and expense accruing on the liability.
The main transactions that could not permit, under the above rules, full derecognition of a financial asset are securitisations, reverse repos and
lending transactions.
In the case of securitisations the Bank does not derecognise the financial asset on purchase of the equity tranche or provision of other types of
support of the structure which result in the Bank retaining the credit risk of the securitised portfolio.
In the case of reverse repos and stock securities lending, the assets transacted are not derecognised since the terms of the transaction entail the
retention of all their risks and rewards.
Finally, it should be noted that securities lending transactions collateralised by other securities or not collateralised were recorded as off-balance
sheet items.
Repo transactions and securities lending
Securities received in a transaction that entails a contractual obligation to sell them at a later date or delivered under a contractual obligation to
repurchase are neither recognised nor derecognised. In respect of securities purchased under an agreement to resell, the consideration is
recognised as a loan to customers or banks, or as an asset held for trading. In respect of securities held in a repurchase agreement, the liability is
recognised as due to banks or customers, or as held for trading financial liability. Revenue from these loans, being the coupons accrued on the
securities and the difference between the sale/purchase and resale/repurchase prices, is recognised in profit or loss through interest income and
expenses on an accruals basis.
These transactions can only be offset if, and only if, they are carried out with the same counterparty and provided that such offset is provided for in
the underlying contracts.
The same rules apply to securities lending transactions collateralised by cash fully available to the lender.
The income statement items connected with these transactions are booked respectively:
in item Interest, with respect to the positive item (borrower) and the negative item (lender) relating to the return on cash paid to the lender;
in item Fees and commissions, with respect to the negative item (borrower) and the positive item (lender) relating to the service provided by the
lender by making the security available.
With reference to securities lending transactions collateralised by other securities, or not collateralised, the security lent or the security put up as
collateral are still recognised as assets in the balance sheet, depending on the role, lender or borrower, respectively, played in the transaction.
Counterparty risk relating to the latter securities lending or borrowing transactions is shown under the tables of Notes to the accounts - Part E -
Section 1 - Credit risk - Quantitative information - A. Credit quality.
Equity instruments
Equity instruments are instruments that represent a residual interest in Group’s assets net of its liabilities.
Classification of an issued instrument as equity is possible only if there are no contractual obligation to make payments in form of capital
redemptions, interest or other kinds of returns.
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In particular, instruments having the following features are classified as equity instruments:
the instrument is perpetual or has a maturity equal to duration of the entity;
full discretion of the issuer in coupon payments and redemptions, also advanced, of the principal outstanding.
Additional Tier 1 instruments are included in this category, in line with the provisions of Regulation (EU) No.575/2013 (CRR) on prudential
requirements for credit institutions and investment firms, if, additionally to the characteristics described above:
i) maintain within the full discretion of the issuer the possibility to perform a write-up of the nominal value after the occurrence of a capital event that
has determined a write-down;
ii) do not incorporate outlook that force the issuer to provide for payments (must-pay clauses) following genuine events under the direct control of the
parties.
Equity instruments, different from common or saving shares, are presented in item “130. Equity instruments” for the consideration received including
transaction costs directly attributable to the instruments.
Any coupon paid, net of related taxes, reduces item “140. Reserves”.
Any difference between the amounts paid for the redemption or repurchase of these instruments and their carrying value is recognised in item “140.
Reserves”.
Treasury shares
Changes in treasury shares are reported as a direct contra item to shareholders' equity, i.e. as a reduction to the latter in the amount of any
purchases, and as an increase in the amount of any sales proceeds. This entails that, if treasury shares are subsequently sold, the difference
between the sale price and the related post-tax repurchase cost is recognised entirely as a contra item to shareholders' equity.
Leases
Lease contracts shall be classified by the lessor in finance leases and operating leases.
Finance leases effectively transfer all the risks and benefits of ownership of an asset to the lessee. The lessee acquires the economic benefit of the
use of the leased asset for most of its useful life, in exchange for a commitment to pay to the lessor an amount approximately equivalent to the fair
value of the asset and related finance costs. Recognition in the lessor’s accounts is as follows:
in assets, the value of the loan, less the principal of lease payments due and paid by the lessee;
in profit or loss, interest received.
Operating leases do not transfer all the risks and benefits of ownership of an asset to the lessee which are therefore retained by the lessor.
In case of operating leases, the lessor recognises in the income statement the leases payments on an accrual basis.
The lessee recognises an asset representing the right of use of the underlying asset and, at the same time, a liability for the future payments
requested by the lease contract.
It should be noted that as allowed by the standard, the Group has decided not to recognise any right of use nor lease liability with reference to the
following lease contracts:
leases of intangible assets;
short term leases, lower than 12 months; and
low value assets leases. For this purpose an asset is considered as “low value” when its fair value as new is equal to or lower than €5 thousand.
This category mainly comprises office equipment (PC, monitors, tablets, etc.) and fixed and mobile phones.
Therefore, lease payments concerning these kind of lease assets are recognised in item “160. Administrative expenses” on an accrual basis.
With reference to contracts different from those mentioned above, the lease liability, recognised in Item “10. Financial liabilities at amortised cost”, is
determined by discounting the future lease payments to be due over the lease term at the proper discount rate.
Future lease payments subject to discounting are determined based on contractual provisions and net of VAT, when applicable, as the obligation to
pay this tax starts when the invoice is issued by the lessor and not at the starting date of the lease contract.
In addition, if the lease payments foreseen by the contracts include additional services beside the mere rental of the asset, the right of use and the
associated lease liability are calculated considering also these components.
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To perform the mentioned calculation, lease payments have to be discounted at the interest rate implicit in the contract or, if it is not available, at the
incremental borrowing rate. The key assumption followed to calculate this rate is that the lessee incurs a loans, senior secured, having the same
maturity of the lease contract in order to acquire the assets underlying the contract itself. The resulting rate, where necessary, is adjusted in order to
consider the specific features of the lease contract.
In order to determine the lease term it is necessary to consider the non-cancellable period, established in the contract, in which the lessee is entitled
to use the underlying asset taking also into account potential renewal options if the lessee is reasonably certain to renew.
In particular, with reference to those contracts that allow the lessee to tacitly renew the lease contract after a first set of years, the lease term is
determined taking into account factors such as the length of the first period, the existence of dismissal plans for the asset leased and any other
circumstance indicating the reasonably certainty of the renewal.
The right of use is initially recognised in item “80. Property, plant and equipment” on the basis of the initial recognition amount of the associated
lease liability, adjusted to consider, if applicable, lease payments made at or before the commencement of the lease, initial direct costs and
estimates of costs required to restore the assets to the conditions requested by the terms of the lease contract.
Subsequent to the initial recognition, interests accrue on the lease liability at the interest rate implicit in the contract and are recognised in item
“20. Interest expenses and similar charges”.
The amount of the lease liability is reassessed in case of changes in the lease term, also arising from a change in the assessment of an option to
purchase the leased asset, or in the lease payments, either coming from a change in an index or rate used to determine these payments or as a
result of the amount expected to be payable under a residual value guarantees.
In these cases, the carrying value of the lease liability is calculated by discounting lease payments over the lease term using the original or a revised
discount rate as applicable.
Changes in the amount of the lease liability resulting from the reassessment are recognised as an adjustment of the right of use.
In case of modification of a lease contracts, the lessee recognises an additional separate lease if the modification increases the scope of the lease
adding to the right of use one or more assets and the consideration to be paid for such increase is commensurate with the stand-alone price of the
increase.
For other types of modifications the lease liability is recalculated by discounting the lease payments for the revised lease term using a revised
discount rate.
Changes in the Lease liabilities also adjust the carrying value of the corresponding right of use with the exception of gains/losses relating to the
partial or full termination of the lease that are recognised in the income statement.
Subsequent to the initial recognition the right of use is depreciated over the lease term and subject to impairment if applicable. Depreciation and
impairment, determined using the same criteria used for tangible assets and also considering the actual usage of the leased assets, are recognised
in item “180. Net value adjustments/write-backs on property, plant and equipment”. The useful life used for calculating the depreciation of leasehold
improvements shall not exceed the useful life attributed to the right of use.
Factoring
Loans acquired in factoring transactions with recourse are recognised to the extent of the advances granted to customers on their consideration.
Loans acquired without recourse are recognised as such once it has been established that there are no contractual clauses that would invalidate the
transfer of all risks and benefits to the factor.
Italian staff severance pay (Trattamento di fine rapporto - “TFR”)
The “TFR” provision for Italy-based employee benefits is to be construed as a “post-retirement defined benefit”. It is therefore recognised on the
basis of an actuarial estimate of the amount of benefit accrued by employees discounted to present value. This benefit is calculated by an external
actuary using the unit credit projection method (see previous paragraph 10 - under Provisions for Risks and Charges - Retirement Payments and
Similar Obligations). This method distributes the cost of the benefit evenly over the employee’s working life. The liability is determined as the present
value of average future payments adjusted according to the ratio of years of service to total years of service at the time of payment of the benefit.
Following pension reform by Law No.252/2005, TFR installments accrued to 31 December 2006, to the date between 1 January 2007 and 30 June
2007 on which the employee opted to devolve their TFR to a supplementary pension fund) stay in the employer and are considered a post-
employment defined benefit plan therefore incurring actuarial valuation, though with simplified actuarial assumptions, i.e. forecast future pay rises
are not considered.
TFR installments accrued since 1 January 2007 (date of Law 252’s coming into effect) (or since the date between 1 January 2007 and 30 June
2007) have been, at the employee’s discretion, either (i) paid into a pension fund or (ii) left in the company and (where the company has in excess of
50 employees) are paid into an INPS Treasury fund by the employer, are assimilated to a defined-contribution plan.
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Costs relating to TFR are recognised in the Income Statement in item “160. Administrative costs: a) staff expense” and include, for the part of
obligations already exiting at the date of the reform (assimilated to a defined benefit plan), interest cost accrued in the year; for the part of plan
considered defined contribution plan, the accrued installments for the year paid into the complementary pension scheme or to the Treasury fund of
INPS.
Actuarial gains (losses), i.e. the difference between the liabilities’ carrying value and the present value of the obligation at the end of the period are
recorded in the Statement of Other Comprehensive Income and disclosed in the item “110. Revaluation reserves according to IAS19 Revised.
Share-based payment
Equity-settled payments made to employees or other staff in consideration of goods received or services rendered, using equity instruments
comprise:
Stock options;
Performance shares (i.e. awarded on attainment of certain objectives);
Restricted shares (i.e. subject to a lock-up period).
Considering the difficulty of reliably measuring the fair value of the services rendered against equity-settled payments, reference is made to the fair
value of the instruments themselves, measured at the date of the allocation.
This fair value is recognised as cost in profit and loss item “160. Administrative costs: a) staff expenses” offsetting the Shareholders’ Equity item
“140. Reserves”, on an accruals basis over the period in which the services are rendered.
The fair value of a cash-settled share-based payment, the services acquired and the liability incurred are measured at the fair value of the liability,
recognised in item “80. Other liabilities”. The fair value of the liability, as long as it remains unsettled, is remeasured at each balance sheet date and
all changes in fair value are recognised in profit and loss item “160. Administrative costs: a) staff costs”.
Guarantees and credit derivatives in the same class
Guarantees and credit derivatives in the same class measured under IFRS9 (i.e. contracts under which the issuer make specified payments to
reimburse the holder for a loss it incurs because a specified debtor fails to make payment when due in accordance with the original or modified
terms of a debt instrument) are initially and subsequently (on remeasurement following impairment losses) recognised in item “100. Provisions for
risks and charges: a) commitments and guarantees given”.
On initial recognition guarantees given are recognised at fair value, which usually corresponds to the amount received when the guarantee is issued.
After the initial recognition, guarantees given are recognised at the higher of the initially recognised value, net of any amortised portion, and the
estimated amount required to meet the obligation.
The effects of valuation, relating to any impairment of the underlying, are recognised in the same balance-sheet item contra item “170. Net
provisions for risks and charges: a) commitments and financial guarantees given” in the income statement.
Offsetting financial assets and financial liabilities
The accounting offsetting of assets and liabilities items has been performed according to IAS32, assessing the fulfillment of the following
requirements:
a) current legally enforceable right to set off the recognised amounts;
b) intention either to settle on a net basis, or to realise the asset and settle the liability simultaneously.
In accordance with IFRS7, further information have been included in the table of Note to the accounts, in Part B - Other information.
In these tables, in particular, following information have to be reported:
balance-sheet values, before and after the accounting offsetting effects, related to the assets and liabilities which meet the criteria for applying
those effects;
values of the exposures which do not meet the above mentioned criteria, but are included in Master Netting Agreements, or similar agreements,
which create the right to set-off only following specified circumstances (i.e. default events);
amounts of related collaterals.
Amortised cost
The amortised cost of a financial asset or financial liability is the amount at which the financial asset or financial liability is measured at the initial
recognition minus principal repayments, plus or minus the cumulative amortisation using the effective interest method of any difference between that
initial amount and the maturity amount, and minus any reduction (directly or through the use of an allowance account) for impairment or
uncollectability.
The effective interest method is a method of allocating the interest income or interest expense over the life of a financial asset or liability.
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The effective interest rate is the rate that exactly discounts estimated future cash payments or receipts through the expected life of the financial
instrument to the net carrying amount of the financial asset or financial liability. The calculation includes all fees and basis points paid or received
between parties to the contract that are an integral part of the effective interest rate, transaction costs, and all other premiums or discounts.
Commissions forming an integral part of the effective interest rate include loan drawdown fees or underwriting fees relating to a financial asset not
designated at fair value, e.g., fees received as compensation for the assessment of the issuer’s or borrower’s financial situation, for valuation and
registration of security, and generally for the completion of the transaction.
Transaction costs include fees and commissions paid to agents (including employees acting as selling agents), advisers, brokers and dealers, levies
by regulatory agencies and securities exchanges, and transfer taxes and duties. Transaction costs do not include financing costs or internal
administrative or holding costs.
Recognition of income and expenses
Interest income and expenses
Interest income and expenses and similar income and expense items relate to monetary items, i.e. liquidity and debt financial instruments (i) held for
trading, (ii) designated at fair value (iii) mandatorily at fair value (iv) at fair value through other comprehensive income (v) at amortised cost and
financial liabilities at amortised cost.
Interest income and expense are recognised through profit or loss with respect to all instruments measured at amortised cost, using the effective
interest method.
Interest also includes the net credit or debit balance of differentials and margins on financial derivatives:
hedging interest-bearing assets and liabilities;
HfT but linked for business purposes to assets and liabilities designated as measured at fair value (fair value option);
linked for business purposes to HfT assets and liabilities paying differentials or margins on different maturities.
Fees and commissions income and other operating income
Fees and commissions income and other operating income are accounted for in income statement as the entity satisfies the performance obligation
embedded in the contract, according to “IFRS15 Revenue from Contracts with Customers” rules.
In particular:
if the performance obligation is satisfied at a specific moment (“point in time”), the related revenue is recognised in income statement when the
service is provided;
if the performance obligation is satisfied over-time, the related revenue is recognised in income statement in order to reflect the progress of
satisfaction of such obligation.
Due to the above mentioned rules, transaction fees coming from trading in securities are typically booked in the moment when the service is
provided while fees related to portfolios management, consulting or fund management are normally recognised during the term of the contract (input
method).
For this second type of fees, in fact, it is deemed that the input which are necessary to provide the service incorporated in the performance
obligation are evenly distributed during the term of the contract.
If the timing of cash-in is not aligned to the way the performance obligation is satisfied, the Bank accounts for a contract asset or a contract liability
for the portion of revenue accrued in the period or to defer in the following periods.
The amount of revenues linked to fees and commissions income and other operating income is measured based on contractual provisions.
If the amount contractually foreseen is subject, totally or partially, to variability, a revenue has to be booked based on the most probable amount that
the Bank expects to receive.
Such amount is determined on the basis of all facts and circumstances considered relevant for the evaluation, that depend on the type of service
provided and, in particular, on the presumption that it is not highly probable that the revenue recognised will not be significantly reversed.
Note, nevertheless, that for the services provided by the Bank such a variability is not usually foreseen.
Finally, if a contract regards different goods/services whose performance obligations are not satisfied at the same time, the revenue is allocated
among the different obligation proportionally to the stand-alone price of the single item delivered. These amounts will therefore accounted for in
income statement on the basis of the timing of satisfaction of each obligation.
This circumstance, which is not significant, might happen in case of customer loyalty programs that require to provide goods or services for free, or
by cashing-in a price not at market condition, if the client reaches a specific volume of fees, or in case of programs to acquire new customers that
assign a bonus to the target (in the form of a product or a service) when it becomes a new client.
Dividends
Dividends are recognised in the profit and loss account for the year in which their distribution has been approved.
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A.3 - Information on transfers between portfolios of financial assets
There were no transfers between portfolios of financial assets in 2019.
A.4 - Information on fair value
Qualitative information
This section presents a disclosure on fair value as required by IFRS13.
Fair value is the price that could be received to sell an asset or paid to transfer a liability in an ordinary transaction between market participants in
the principal market at the measurement date (i.e. an exit price).
The fair value of a financial liability with a demand feature (e.g. a demand deposit) cannot be lower than the amount payable on demand, discounted
from the first date that the amount could be required to be paid.
For financial instruments listed in active markets the fair value is determined on the basis of official prices in the principal market to which the Group
has access (Mark to Market).
A financial instrument is regarded as quoted in an active market if quoted prices are readily and regularly available from a pricing service, the dealer,
the broker, the agency that determines prices or regulatory agency, and those prices represent actual and regularly occurring market transactions on
an arm’s length basis. If a published price quotation in an active market does not exist for a financial instrument in its entirety, but active markets
exist for its component parts, fair value can be determined on the basis of the relevant market prices for the component parts.
If the observable prices in active market or other observable inputs, such as the quoted price of a similar instrument in an active market, the Group
may use another valuation techniques, such as:
a market approach (e.g. using quoted prices for similar liabilities or equity instruments held by other parties as assets);
cost approach (e.g. it reflects the amount that would be required currently to replace the service capacity of an asset, that is the current
replacement cost);
an income approach (e.g. a present value technique that takes into account the future cash flows that a market participant would expect to receive
from holding the liability or equity instrument as an asset).
The Group uses valuation models (Mark to Model) in keeping with the methods generally accepted and used by the market. Valuation models
include techniques based on the discounting of future cash flows and on volatility estimates, and they are subject to revision both during their
development and periodically in order to ensure their consistency with the objectives of the valuation.
These methods use inputs based on prices set in recent transactions for the instrument being valued and/or prices/quotations for instruments having
similar characteristics in terms of risk profile. Indeed, these prices/quotations are relevant for determining significant parameters in terms of credit,
liquidity and price risk of the instrument being valued. Reference to these market parameters allows to limit the discretionary nature of the valuation,
and ensures that the resulting fair value can be verified. If, for one or more risk factors it is not possible to refer to market data, the valuation models
employed use estimates based on historical data as inputs.
As a further guarantee of the objectivity of valuations derived from valuation models, the Group employs:
Independent price verifications (IPVs);
Fair value adjustments (FVAs).
Independent price verification requires that the prices are verified at least monthly by Risk Management units that are independent from the units
that assume the risk exposure.
This verification calls for comparing and adjusting the price in line with valuations obtained from independent market participants.
For instruments not quoted in active markets, the above verification process uses prices contributed by info providers as a reference, and assigns a
greater weighting to those prices that are considered representative of the instrument being valued. This valuation can include the "executability" of
the transaction at the price observed, the number of contributors, the degree of similarity of the financial instruments, the consistency of prices from
different sources, and the process followed by the info provider to obtain the information.
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A.4.1 Fair value Levels 2 and 3: valuation techniques and inputs used
Hereby we provide IFRS13 disclosure requirements about accounting portfolios measured at fair value on a recurring basis, not measured at fair
value, or measured at fair value on a non-recurring basis.
Assets and liabilities measured at fair value on a recurring basis
Fixed-Income securities
Fixed-Income securities are priced in a two tier process depending on the liquidity in the respective market. Liquid instruments in active markets are
marked to market and consequently positions in these instruments are disclosed in reference to Fair Value Hierarchy under Level 144. In order to
assess it, within the global bond Independent Price Verification (IPV) process a daily Liquidity Indicator is defined taking into account:
the number of executable bid/ask quotes;
their relative sizes and spreads.
Such indicator is tracked over a 20 business days time window in order to obtain a stable monthly indicator.
Instruments not traded in active markets are marked to model based on implied credit spread curves derived from the former Level 1 instruments.
The model maximises the use of observable input and minimises the use of unobservable inputs. With this respect, depending on the proximity of
the credit spread curve applied, the bonds are disclosed as Level 2 or Level 3, Level 3 is applied in case credit spread curves used are significantly
unobservable. Under fair value accounting, fair value adjustments for liquidity and model deficiencies compensate for the lack of market observables
for the Level 2 and Level 3 positions.
In the global bond IPV process market prices of Level 1 bonds and pricing models for illiquid bonds are regularly verified for accuracy.
Structured financial products
The fair value of structured financial products not quoted is determines on active markets using the appropriate derivative valuation methodology
given the nature of the embedded structure (when this is not to be separated). Such instruments are classified as Level 2 or Level 3 depending on
the observability of significant inputs to the model.
Asset Backed Securities
UniCredit valuation process relies on internal policies centred on:
extension and implementation across all the Group’s Legal Entities of an independent Price Verification (IPV) process suited to the changed
market conditions for Structured Credit Bonds;
integration of current Fair Value Adjustments Policy.
According to the IPV process the quality of a price is assessed based upon the availability of quotes of independent market players for identical
assets.
The process relies first on consensus data provider as reliable collector of market quotes.
As a second step, prices are assessed by benchmarking each security to a pool of similar securities with available market quotes. An alternative
approach consists in evaluating the instrument through the use of quantitative pricing models, which are applicable every time that information
regarding market participants assumptions on model parameters are reasonably made available without excessive costs or efforts.
Derivatives
Fair value of derivatives not traded in an active market is determined using a mark-to-model valuation technique. In such cases, where active
markets exist for its component parts, then fair value is determined on the basis of the relevant market prices for the component parts.
Valuation techniques that are based on significant inputs that are observable are referred to as Level 2 valuations, while those based on techniques
that use significant unobservable inputs are referred to as Level 3 valuations.
Equity instruments
Equity Instruments are assigned to Level 1 when a quoted price is available on a liquid market and to Level 3 when no quotations are available or
quotations have been suspended indefinitely. These instruments are classifies as Level 2 only when trading volume on the market where the
instrument is quoted has decreased significantly.
44 As far as Italian Government bonds are concerned, it is worth stressing they are typically exchanged on the MTS market which is largely aknowledged as the main liquid platform for this kind of asset.
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Investment funds
The Group holds investments in certain investment funds that publish net asset value (NAV) per share, including mutual funds, private equity funds,
hedge funds (including funds of funds) and real estate funds. The Group’s investments include co-investments in funds that are managed by the
Group and investments in funds that are managed by third parties and in particular:
Real estate funds
Real Estate Funds are mapped to Level 1 when quoted prices are available on an active market; when this condition does not hold, Real Estate
Funds are disclosed as Level 3 and they are evaluated through an adequate credit adjustment of the NAV based on the specific features of each
fund.
Other funds
The Group holds investments also in mutual funds, hedge funds and private equity funds.
Funds are usually assigned to Level 1 when a quoted price is available on an active market.
Funds are disclosed as Level 2 or Level 3 depending on NAV availability, portfolio transparency and possible issues relating to position write-off.
Property, plant and equipment measured at fair value
The Group owns property, plant and equipment held for investment purposes, which are valued according to the fair value model for Real Estate
investments linked to liabilities that generate a return on investments themselves.
The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique. Given
the current portfolio composition, most of the positions are at Level 3.
Fair Value Adjustments (FVA)
Fair Value Adjustment is defined as the amount to be added either to the market observed mid-price or to the theoretical price generated by a
valuation model with the aim of obtaining a fair value of the position which reflects the actual exit price of a certain position.
Below a list of adjustments:
Credit/Debit Valuation Adjustment (CVA/DVA);
Model risk;
Close-out costs;
Other adjustments.
Credit/Debit Valuation Adjustment (CVA/DVA)
Credit Valuation Adjustments (CVAs) and Debit Valuation Adjustments (DVAs) are incorporated into derivative valuations to reflect the impact on fair
value of counterparty credit risk and UniCredit own credit quality respectively.
UniCredit CVA/DVA methodology is based on the following inputs:
EAD derived by simulation techniques. Simulated exposures also take into account Specific Wrong-Way Risk that arises from transactions where
there is a correlation between counterparty credit risk and the underlying derivative risk factors;
PD implied by current market default rates, obtained from Credit Default Swaps;
LGD based on the estimated level of expected recovery should a counterparty default and implied by current market default rates, obtained from
credit default swaps.
As at 31 December 2019, net CVA/DVA cumulative adjustment, relating to performing counterparts, amounts to €36 million negative. The part
related to own credit spread evolution, which is filtered out from regulatory capital (accordingly to CRDIV), amounts to €71 million negative.
Funding Cost and Benefit Adjustment (FCA/FBA)
Funding Valuation Adjustment (FundVA) is the sum of a Funding Cost Adjustment (FCA) and of a Funding Benefit Adjustment (FBA) that indeed
accounts for the expected future funding costs/benefits for derivatives that are not fully collateralised. Most material contributors are in-the-money
trades with uncollateralised counterparties.
UniCredit FVA methodology is based on the following inputs:
positive and negative exposure profiles derived leveraging on a risk-neutral spin-off of the Counterparty Credit Risk internal model;
PD term structure implied by current market default rates obtained from credit default swaps;
a funding spread curve that is representative of the average funding spread of peer financial groups.
552 2019 Annual Report and Accounts · UniCredit
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Part A - Accounting policies
As at 31 December 2019 the Fair Value adjustment component (FundVA) reflect into P&L amounts to €16.6 million negative.
Model risk
Financial models are used for the valuation of the financial instruments if the direct market quotes are not readily available. In general the model risk
is represented by the possibility that a financial instrument’s evaluation is actually sensitive to the choice of model. It is possible to value the same
financial instrument by using alternative models which could provide different results in term of pricing. The model risk adjustment refers to the risk
that the actual fair value of the instrument differs from the value produced by the model.
Close-out costs
It measures the implicit costs of closing an (aggregated) trading position. The position could be closed by a long position (or purchase in the case of
a short position), or by entering into a new transaction (or several transactions) that offsets (hedges) the open position. The close-out costs are
typically derived from the bid/ask spreads observed on the market. It accounts for the fact that a position is valued at mid but can only be closed at
bid or ask. This adjustment is not needed when the position is marked at bid or ask and already represents an exit price. In addition a close-out
adjustment of the NAV is applied when there are some penalties relating to position write-off in an investment fund.
Other adjustments
Other fair value adjustments, which are not included in the previous categories, could be taken into consideration to align the evaluation to the
current exit price, also according to the level of liquidity of the market and valuation parameters, e.g. adjustment of equity prices whose quotation on
the market are not representative of the effective exit price.
Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis
Financial instrument not carried at fair value, for example retail loans and deposit, and credit facilities extended to corporate clients are not managed
on a fair value basis.
For these instruments fair value is calculated for disclosure purposes only and does not impact the balance sheet or the profit or loss. Additionally,
since these instruments generally do not trade, there is significant management judgment required to determine their fair values as defined by
IFRS13.
Cash and cash balances
Cash and cash balances are not carried at fair value on the Consolidated Balance Sheets, but they are carried at amounts that approximate fair
value, due to their short-term nature and generally negligible credit risk.
Financial assets at amortised cost
For the assets that are composed by securities, fair value is determined according to what explained in section “Assets and Liabilities measured at
fair value on a recurring basis - Fixed Income Securities”.
On the other hands, fair value for performing Loans and Receivables to banks and customers is determined using the discounted cash flow model
adjusted for credit risk. Some portfolios are valued according to simplified approaches, which however take into account the financial features of the
financial instruments.
Property, plant and equipment held for investment purposes
The fair value of property, plant and equipment held for investment purposes is determined on the basis of a valuation by an independent appraiser
who holds a recognised and relevant professional qualification which perform its valuation mainly on the basis of an indirect knowledge of the assets
through the information made available by the owner and relating to the localisation, consistency, destination and in consideration of market
analysis.
The attribution of fair value levels is based on the level of observability of the significant market parameters used by the valuation technique.
Financial liabilities at amortised cost
Fair value for debt securities in issue is determined using the discounted cash flow model adjusted for UniCredit credit risk. The Credit Spread is
determined using UCG’s subordinated and non-subordinated risk curves.
On the other hands, fair value for other financial liabilities is determined using the discounted cash flow model adjusted for UniCredit credit risk.
The Credit Spread is determined using UCG’s senior and subordinated risk curves.
Description of the valuation techniques
Specific valuation techniques are used to value positions for which a market price is not directly observable from market sources. The Group uses
well known valuation techniques for determining fair values of financial and non-financial instruments that are not actively traded and quoted. The
valuation techniques used for Level 2 and 3 assets and liabilities are described below.
UniCredit ·2019 Annual Report and Accounts 553
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Option Pricing Model
Option model valuation techniques are generally used for instruments in which the holder has a contingent right or obligation based on the
occurrence of a future event, such as the price of a referenced asset going above or below a predetermined strike price. Option Pricing Models
estimate the likelihood of the specified event occurring by incorporating assumptions such as volatility estimates, price of the underlying instrument
and expected rate of return.
Discounted cash flow
Discounted cash flow valuation techniques generally consist of developing an estimate of future cash flows that are expected to occur over the life of
an instrument. The model requires the estimation of the cash flow and the adoption of market’s parameters for the discounting: discount rate or
discount margin reflects the credit and/or funding spreads required by the market for instruments with similar risk and liquidity profiles to produce a
“discounted value”. The fair value of the contract is given by the sum of the present values of future cash flows.
Hazard Rate Model
The valuation of CDS instruments requires the knowledge of the entity’s survival probability at future dates. The estimate of this probability curve
uses the standard model for survival probabilities and requires as parameters the credit default swap market quotes on standard future dates in
addition to the risk free curve and the expected recovery rate.
The hazard rate is part of the described process and it indicates the instantaneous probability of default at different future instants.
Market Approach
A valuation technique that uses prices generated by market transactions involving identical or comparable (i.e. similar) assets, liabilities or a group of
assets and liabilities.
Gordon Growth Model
This is the model used to determine the intrinsic value of an equity investment, based on a series of future dividends which grow at a constant rate.
Given a dividend to be paid in a specific year and the hypothesis that the dividend grows at a constant rate, the model computes the present value
of future dividends.
Dividend Discount Model
This model is used to determine the value of an equity investment, based on the series of predicted future dividends. Given a dividend to be paid in
a specific year and the hypothesis that the dividend grows at a constant rate, the model computes the fair value of an equity share as the sum of the
present value of all future dividends.
Adjusted NAV
Net asset value is the total value of a fund’s assets less liabilities. An increase in net asset value would result in an increase in a fair value measure.
Usually for funds classified as Level 3, NAV represents a risk free valuation, therefore in this case the NAV is adjusted so as to consider the issuer’s
default risk.
Description of the inputs used to measure the fair value of items categorised in Level 2 and 3
Hereby a description of the main significant inputs used to measure the fair value of items categorised in Level 2 and 3 of the fair value hierarchy.
Volatility
Volatility is a measure for variation of price of a financial instrument over time. In particular, volatility measures the speed and severity of market
price changes for an instrument, parameter or market index given the particular instrument, parameter or index changes in value over time,
expressed as a percentage of relative change in price. The higher the volatility of the underlying, the riskier the instrument. In general, long option
positions benefit from increases in volatility, whereas short option positions will suffer losses.
There are different types of volatility:
volatility of interest rate;
inflation volatility;
volatility of foreign exchange;
volatility of equity stocks, equity or other indexes/prices.
Correlation
Correlation is a measure of the relationship between the movements of two variables. When parameters are positively correlated, an increase in
correlation results in a higher fair value measure. On the contrary, given a short correlation position, an increase in correlation, in isolation, would
generally result in a decrease in a fair value measure. Therefore changes in correlation levels can have a major impact, favorable or unfavorable, on
the fair value of an instrument, depending on the type of correlation.
554 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part A - Accounting policies
Correlation is a pricing input for a derivative product where the payoff is driven by multiple underlying risks. The level of correlation used in the
valuation of derivatives with multiple underlying risks depends on a number of factors including the nature of those risks.
Dividends
The derivation of a forward price for an individual stock or index is important both for measuring fair value for forward or swap contracts and for
measuring fair value using option pricing models. The relationship between the current stock price and the forward price is based on a combination
of expected future dividend levels and payment timings and, to a lesser extent, the relevant funding rates applicable to the stock in question.
The dividend yield and timing represents the most significant parameter in determining fair value for instruments that are sensitive to an equity
forward price.
Interest rate curve
The calculation of the interest rate curve is based on standard bootstrapping techniques relying on the set of quotes of appropriate financial
instruments, for each currency, which turns interest rates in zero-coupon.
Less liquid currencies interest curve refer to the rates in currencies for which a market liquidity doesn’t exist in terms of tightness, depth and
resiliency. The illiquidity of these input data impacts directly the valuation of securities or derivatives expressed in illiquid currencies.
Inflation Swap rate
The determination of forward levels for inflation indexes is based on swap quote over inflation indexes. Swap over inflation may present a low
liquidity level whether there is no liquid market in terms of rigidity, deepness and resistance. The illiquidity of those inputs has an indirect impact on
the valuation of a debt instrument linked to inflation (inflation-linked note) or in case of a derivative over inflation.
Credit spreads
Different valuation models, especially for credit derivatives require an input for the credit spread which reflects the credit quality of the associated
credit name. The credit spread of a particular security is quoted in relation to the yield on a benchmark security or reference rate, typically either U.S.
Treasury or LIBOR/EURIBOR and is generally expressed in terms of basis points.
The ranges for credit spreads cover a variety of underlings (index and single names), regions, sectors, maturities and credit qualities (high-yield and
investment-grade). The broad range of this population gives rise to the width of the ranges of unobservable inputs.
Loss Given Default (LGD)/Recovery Rate
LGD also known as loss severity (the inverse concept is the recovery rate) represents the percentage of contractual cash flows lost in the event of a
default, expressed as the net amount of loss relating to the outstanding balance. An increase in the loss severity, in isolation, would result in a
decrease in a fair value measure.The Loss given default is facility-specific because such losses are generally understood to be influenced by key
transaction characteristics such as the presence of collateral and the degree of subordination.
Price
Where market prices are not observable, comparison via proxy is used to measure a fair value.
Prepayment Rate (PR)
The PR is the estimated rate at which forecasted prepayments of principal of the related debt instrument are expected to occur. Voluntary
unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security.
In general as prepayment speeds change, the weighted average life of the security changes, which impacts the valuation either positively or
negatively, depending upon the nature of the security and the direction of the change in the weighted average life.
Probability of Default (PD)
The probability of default is an estimate of the likelihood of not collecting contractual amounts. It provides an estimate of the likelihood that a client of
a financial institution will be unable to meet its debt obligations over a particular time horizon. The PD of an obligor not only depends on the risk
characteristics of that particular obligor but also the economic environment and the degree to which it affects the obligor.
Early Conversion
The early conversion is the estimate of the probability that the liability would be converted into equity earlier than the terms stated.
EBITDA
EBITDA is an indicator of the current operating profitability of the business, that is the income generated by the use of the company’s assets and the
commercialisation of the products manufactured.
UniCredit ·2019 Annual Report and Accounts 555
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Ke
The Ke (cost of capital) represents the minimum rate that the company has to offer to its shareholders as remuneration for the funds received.
Growth rate
It is the constant growth rate used for the future dividends estimate.
Quantitative information on significant unobservable inputs used in the fair value measurement: accounting portfolios
measured at fair value categorised as Level 3
The following table shows the relevant unobservable parameters for the valuation of financial instruments classified at fair value level 3 according to
the IFRS 13 definition.
PRODUCT CATEGORIES
Derivatives
Financial
FAIR
VALUE
ASSETS
FAIR
VALUE
LIABILITIES
VALUATION
TECHNIQUES
UNOBSERVABLE
PARAMETERS
UNCERTAINTY
RANGES
(€ million)
Foreign Exchange
Interest Rate
3.14
38.32
3.13 Option Pricing Model
Discounted Cash
1.98 Discounted Cash
Flows
Flows
Equity & Commodities
250.29
60.28 Option Pricing Model
Credit
-
- Hazard Rate Model
Debt Securities
and Loans
Corporate/Government/Other
226.54
132.99 Market Approach
Mortgage & Asset
Backed Securities
1,488.53
- Discounted Cash
Flows
Equity Securities
Unlisted Equity & Holdings
742.94
- Market Approach
Units in
Investment
Funds
Real Estate &
Other Funds
1,212.59
Gordon Growth
Model
Adjusted Nav
-
Volatility
Interest rate (bps)
Swap Rate (bps)
Inflation Swap
Rate (bps)
Volatility
Correlation
Credit Spread
(bps)
Recovery rate
Credit Spread
(bps)
Credit Spread
(bps)
Recovery rate
Default Rate
Prepayment Rate
Price
(% of used value)
Ke
Growth Rate
0%
0.3
0.3
2.9
2%
2%
1.3
0%
0.7
10
0%
0%
0%
0%
7%
2%
1%
7%
37.6
37.6
6.3
11%
20%
329.3
5%
76.5
416
28%
1%
9%
37%
16%
3%
11%
A.4.2 Valuations processes and sensitivities
The Group verifies that the value attributed to each position reflects the current fair value in an appropriate way. Assets and liabilities subject to fair
value measurements are determined using different techniques, among which (but not only) models such as discounted cash flow and internal
models. On the basis of the observability of the input used, all the measurements are classified as Level 1, Level 2 or Level 3 of the fair value
hierarchy.
When a financial instrument, measured at fair value, is valued through the use of one or more significant inputs not directly observable on the
market, a further procedure for the price verification is implemented. These procedures include the revision of relevant historical data, the analysis of
profits and losses, the individual valuation of each component for structural products and benchmarking. This approach uses subjective opinions and
judgments based on experience and, therefore, it could require valuation adjustments which take into account the bid/ask spread, liquidity and
counterparty risk, in addition to the valuation model type adopted.
According to Group Market Risk Governance guidelines, in order to ensure the right separateness of the functions in charge of the model
development and those in charge of the validation processes, all valuation models developed by Group companies’ front offices are independently
tested centrally and validated by the Group Internal Validation functions. The aim of this independent control structure is evaluating the model risk
from a theoretical solidity, calibration techniques eventually applied and appropriateness of the model for a specific product in a defined market point
of views.
In addition to the daily mark-to-market or mark-to-model valuation, the Independent Price Verification (IPV) is applied by from Market Risk function
with the aim of guaranteeing a fair value provided by an independent structure for all instruments, illiquid included.
556 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part A - Accounting policies
Fair value sensitivity to variations in unobservable inputs used in the fair value computation for instruments categorised as
Level 3
The sensitivities to change in the unobservable parameter for the different financial instrument categories of level 3 valued at fair value are
presented in the table below where: for derivatives on equities, commodities and foreign exchanges is shown the change in value for a 1% shift of
underlying volatility; for interest rate derivatives is indicated the change in value for a 1 basis point shift of underlying curves; for credit derivatives is
reported either the change in value to a 1 basis point shift of credit spread or the CVA impact of a 5% shift of the recovery rate, for debt securities is
presented the change in value to a 1 basis point shift in credit spread, for equities is shown the change in value to a 1% shift in the underlying, for
CIU quotes is indicated the change in value to a 1% shift in NAV.
Financial
Credit
PRODUCT CATEGORIES
Derivatives
Debt Securities and Loans
Equity Securities
Units in investment funds
Equities & Commodities
Foreign Exchange
Interest Rate
Corporate/Government/Other
Mortgage & Asset Backed Securities
Unlisted Equity & Holdings
Real Estate & Other Funds
(€ million)
FAIR VALUE MOVEMENTS
+/-
+/-
+/-
+/-
+/-
+/-
+/-
+/-
2.80
-
-
1.31
0.09
0.43
7.43
0.10
Within the unlisted Level 3 Units in Investment Funds, measured using a model, the shares in Atlante and Italian Recovery Fund, former Atlante II,
(€352 million at 31 December 2019) are classified and, within Equity Securities, the investments in the Voluntary Scheme (as at 31 December 2019
equal to €16,3 million). For further information, please refer to Part B - Section 4 - Available for sale financial assets c) other financial assets
mandatory at fair value.
Amongst the financial instruments subject of valuation methods and sensitivity analysis, there are also included ABS issued by securitisation
vehicles as per Italian law 130/99 where the Bank is both originator and underwriter of some issues and quotes of open investment funds acquired
through credit disposal.
A.4.3 Fair value hierarchy
IFRS13 establishes a fair value hierarchy according to the observability of the input used in the valuation techniques adopted for valuations.
The fair value hierarchy level associated to assets and liabilities is set as the minimum level among all significant valuation inputs used.
A valuation input is not considered significant for the fair value of an instrument if the remaining inputs are able to explain the major part of the fair
value variance itself over a period of three months.
In some specific cases, the significance limit is assessed in relation to the fair value of the instrument at the measurement date.
In particular, three levels are considered:
Level 1: fair value for instruments classified within this level is determined according to the quoted prices on active markets;
Level 2: fair value for instruments classified within this level is determined according to the valuation models which use observable inputs on active
markets;
Level 3: fair value for instruments classified within this level is determined according to the valuation models which prevalently use significant
unobservable input on active markets.
Financial instruments are classified to a certain fair value level according to the observability of the input used for the valuation.
Level 1 (quoted prices in active markets): quoted prices (unadjusted) in active markets are available for identical assets or liabilities that the entity
has the ability to access at the measurement date. An active market is a market in which orderly transactions for the asset or liability take place with
sufficient frequency and volume for pricing information to be provided on an on-going basis (e.g. MTS market about prices for most of the
government bonds therein traded).
Level 2 (observable inputs): inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or
indirectly. Inputs are observable if they are developed on the basis of publicly available information about actual events or transactions and reflect
the assumptions that market participants would use when pricing the asset or liability.
UniCredit ·2019 Annual Report and Accounts 557
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Part A - Accounting policies
Level 3 (unobservable inputs): inputs other than the ones included in Level 1 and Level 2, not directly observable on the market for the evaluation
of asset and liability, or used for the definition of significant adjustments to fair value. Unobservable inputs shall reflect the assumptions that market
participants would use when pricing the asset or liability, including assumptions about risk.
When fair value is measured directly taking into consideration an observable price and quoted on an active market, the hierarchy attribution process
will assign Level 1. When fair value has to be measured either via Comparable approach or via Mark-to-Model approach, the hierarchy attribution
process will assign Level 2 or Level 3, depending on the observability of all the significant input parameters.
Within the choice among various valuation techniques the Group employs the one which maximises the use of observable inputs.
Transfers between hierarchy levels
The main drivers to transfers in and out the FV levels (both between L1 and L2 and in/out L3) include changes in market conditions (among which
liquidity parameter) and enhancements to valuation techniques and weights for unobservable inputs used for the valuation itself.
Quantitative and qualitative details about transfers between FV levels occurred in the period is presented in Part A.4.5 - Fair value hierarchy.
A.4.4 Other information
The Group uses the IFRS13 exception for fair value measurements on a net basis with reference to financial assets and liabilities with offsetting
positions of market risk or counterparty credit risk.
Quantitative information
A.4.5 Hierarchy of fair value
The following tables show the portfolios breakdown in terms of (i) financial assets and liabilities valued at fair value as well as (ii) assets and
liabilities not measured at fair value or measured at fair value on a non-recurring basis, according to the above-mentioned levels.
A.4.5.1 Assets and liabilities measured at fair value on a recurring basis: breakdown by fair value levels
FINANCIAL ASSETS/LIABILITIES MEASURED AT FAIR
VALUE
AMOUNTS AS AT 12.31.2019
AMOUNTS AS AT 12.31.2018
LEVEL 1
LEVEL 2
LEVEL 3
LEVEL 1
LEVEL 2
LEVEL 3
(€ million)
1. Financial assets at fair value through profit or loss
a) Financial assets held for trading
b) Financial assets designated at fair value
c) Other financial assets mandatorily at fair value
2. Financial assets at fair value through other
comprehensive income
3. Hedging derivatives
4. Property, plant and equipment
5. Intangible assets
Total
1. Financial liabilities held for trading
2. Financial liabilities designated at fair value
3. Hedging derivatives
Total
6,816
6,740
-
76
26,056
146
-
-
33,018
7,422
-
166
7,588
5,954
5,646
-
308
3,315
5,077
-
-
14,346
5,916
3,607
4,716
14,239
1,927
292
-
1,635
2,036
-
2,616
-
6,579
65
133
-
198
7,107
6,516
-
591
41,695
99
-
-
48,901
4,661
-
99
4,760
5,820
4,700
-
1,120
4,351
4,063
-
-
14,234
5,297
3,535
4,414
13,246
2,071
618
-
1,453
881
5
392
-
3,349
426
-
12
438
The item “1. c) Financial assets mandatorily at fair value” at Level 3 as at 31 December 2019 includes the investments in Atlante and Italian
Recovery Fund, former Atlante II (carrying value €352 million) and in “Schema Volontario” (carrying value €16 million).
Since no market valuations or prices of comparable securities are available for Schema Volontario, at 31 December 2019 the fair value of such
instrument was determined using internal models (Discounted Cash Flow and Market Multiples) also having as reference the valuation of the
financial assets of the “Schema Volontario” (supported by the advisor in charge) contained in the Rendiconto 2019 of the “Schema Volontario” itself,
while concerning Atlante and Italian Recovery Fund, former Atlante II, the Fair Value was determined having as reference the valuation of the
financial assets provided from the fund itself, supplemented, if appropriate, using internal models (Discounted Cash Flow and Market Multiples).
See Part B - Section 2.5 - Financial assets mandatorily at fair value income for further information.
558 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part A - Accounting policies
Transfers between level of fair value occurring during the year mainly reflect the evolution of reference market and the enhancement of processes
for fair value level attribution.
Besides the transfers related to financial assets and liabilities carried at Level 3 detailed in the sections below during the year the following transfers
occurred:
from Level 2 to Level 1 owing to an improvement of the liquidity and price reliability indicators (based on the bid-ask spread, relative size and
applicability of the published prices) collected by third parties as calculated and recorded in the context of the Global Bond IPV process:
- of financial assets measured at fair value through reserves (financial assets at fair value through other comprehensive income) for approximately
€1,348 million
A.4.5.2 Annual changes in assets measured at fair value on a recurring basis (Level 3)
FINANCIAL ASSETS AT FAIR VALUE THROUGH PROFIT OR LOSS
CHANGES IN 2019
(€ million)
1. Opening balances
2. Increases
2.1 Purchases
2.2 Profits recognised in
2.2.1 Income statement
- of which unrealised gains
2.2.2 Equity
2.3 Transfers from other levels
2.4 Other increases
3. Decreases
3.1 Sales
3.2 Redemptions
3.3 Losses recognised in
3.3.1 Income statement
- of which unrealised losses
3.3.2 Equity
3.4 Transfers to other levels
3.5 Other decreases
of which: business combinations
4. Closing balances
OF WHICH: A)
FINANCIAL
ASSETS HELD
FOR TRADING
OF WHICH: B)
FINANCIAL
ASSETS
DESIGNATED
AT FAIR
VALUE
OF WHICH: C)
FINANCIAL
ASSETS
MANDATORILY
AT FAIR
VALUE
FINANCIAL
ASSETS AT FAIR
VALUE THROUGH
OTHER
COMPREHENSIVE
INCOME
HEDGING
DERIVATIVES
PROPERTY,
PLANT AND
EQUIPMENT
INTANGIBLE
ASSETS
618
837
191
646
646
198
X
-
-
1,163
500
-
434
434
297
X
229
-
-
292
-
-
-
-
-
-
X
-
-
-
-
-
-
-
-
X
-
-
-
-
1,454
389
252
111
111
83
X
-
26
208
4
73
111
111
52
X
1
19
-
1,635
881
1,344
1,253
53
2
-
51
-
38
189
15
49
117
27
-
90
-
8
-
2,036
5
-
-
-
-
-
-
-
-
5
-
-
-
-
-
-
3
2
-
-
392
2,505
-
762
-
-
762
-
1,743
281
-
-
244
244
123
-
-
37
-
2,616
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
TOTAL
2,072
1,226
443
757
757
281
X
-
26
1,371
504
73
545
545
349
X
230
19
-
1,927
The sub-items “2.2.1 Profits recognised in Income statement” and “3.3.1 Losses recognised in Income statement” in financial assets are included in
the following items:
Item 80: Net gains (losses) on trading;
Item 90: Net gains (losses) on hedge accounting;
Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss.
The sub-item “2.2.2 Profits recognised in Equity” and the sub-item “3.3.2 Losses recognised in Equity” on fair value on financial assets at fair value
through other comprehensive income are accounted in item “110. Valuation reserves” of shareholder’s equity until the financial assets is not sold,
instant in which cumulative gains and losses are reported: i) if referred to debt securities in income statement under item “100. Gains (Losses) on
disposal and repurchase of: b) financial assets at fair value through other comprehensive income” and ii) if referred to equity instruments in the
shareholder’s equity under item “140. Reserves”; the exception regards the case of impairment and gains and losses on exchange rates on
monetary assets (debt securities) which are reported respectively under item “130. Net losses/recoveries on credit impairment relating to: b) financial
assets at fair value through other comprehensive income” and item “80. Net gains (losses) on trading”.
UniCredit ·2019 Annual Report and Accounts 559
Company financial statements | Notes to the accounts
Part A - Accounting policies
A.4.5.3 Annual changes in liabilities measured at fair value on a recurring basis (Level 3)
1. Opening balances
2. Increases
2.1 Issuance
2.2 Losses recognised in
2.2.1 Income statement
- of which unrealised losses
2.2.2 Equity
2.3 Transfers from other levels
2.4 Other increases
3. Decreases
3.1 Redemptions
3.2 Purchases
3.3 Profits recognised in
3.3.1 Income statement
- of which unrealised gains
3.3.2 Equity
3.4 Transfers to other levels
3.5 Other decreases
of which: business combinations
4. Closing balances
CHANGES IN 2019
FINANCIAL LIABILITIES
DESIGNATED AT FAIR
VALUE
-
310
280
30
10
4
20
-
-
177
-
157
20
-
-
20
-
-
-
133
(€ million)
HEDGING DERIVATIVES
12
-
-
-
-
-
-
-
-
12
-
-
-
-
-
-
10
2
-
-
FINANCIAL LIABILITIES
HELD FOR TRADING
426
662
168
494
494
50
X
-
-
1,023
443
-
440
440
296
X
140
-
-
65
The sub-items “2.2.1 Losses recognised in Income statement” and “3.3.1 Profits recognised in Income statement” in financial liabilities are included
in the profit and loss in the following items:
Item 80: Net gains (losses) on trading;
Item 90: Net gains (losses) on hedge accounting;
Item 110: Net gains (losses) on other financial assets/liabilities at fair value through profit or loss.
A.4.5.4 Assets and liabilities not measured at fair value or measured at fair value on a non-recurring basis: breakdown by fair value
levels
ASSETS/LIABILITIES NOT MEASURED AT
FAIR VALUE OR MEASURED AT FAIR
VALUE ON A NON-RECURRING BASIS
AMOUNTS AS AT 12.31.2019
BOOK
VALUE
LEVEL 1
FAIR VALUE
LEVEL 2
LEVEL 3
AMOUNTS AS AT 12.31.2018
BOOK
VALUE
LEVEL 1
FAIR VALUE
LEVEL 2
(€ million)
LEVEL 3
1. Financial assets at amortised cost
301,163
30,294
107,738
165,574
270,557
16,476
130,497
122,715
2. Property, plant and equipment held for
investment
3. Non-current assets and disposal groups
classified as held for sale
Total
-
-
-
-
-
-
-
-
1,142
302,305
-
30,294
17
107,755
-
165,574
116
270,673
-
16,476
62
130,559
-
122,715
1. Financial liabilities at amortised cost
329,126
30,222
83,396
218,012
323,836
27,590
95,424
200,695
2. Liabilities associated with assets
classified as held for sale
Total
-
329,126
-
30,222
-
83,396
-
218,012
-
323,836
-
27,590
-
95,424
-
200,695
The changes occurred between 31 December 2018 and 31 December 2019 in the ratio between fair value and book value for financial assets at
amortised cost reflect the enhancement of the methodology and the parameters adopted for the fair value calculation for disclosure and the
evolution in the benchmark interest rate, in the risk premium and in the probability of default depending on or deriving from markets trend.
These events together with the evolution of the approach to identify the significance of non-observable inputs have been reflected in fair value
hierarchy level distribution.
The book value of items “3. Non-current assets and disposal groups classified as held for sale” (Assets) includes amounts referred to assets
measured on Balance Sheet on the basis of their cost €1,125 million. For further details on these two sub-items see Part B - Section 11 - table 11.1.
560 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part A - Accounting policies
A.5 - Information on “day one profit/loss”
The value at which financial instruments are recognised is equal to their fair value on the same date.
The fair value of financial instruments, other than those designated at fair value through profit or loss, at their recognition date is usually assumed to
be equal to the amount collected or paid.
For financial instruments held for trading (see Sections 1.a) and 12 of part A.2 above) and instruments designated at fair value (see Sections 1.b)
and 13 of part A.2 above), any difference from the amount collected or paid is posted under the appropriate items of the income statement.
The use of conservative valuation models, the processes described above for revising the models used and related parameters and value
adjustments to reflect model risk ensure that the amount recognised in the income statement is not derived from the use of valuation parameters
that cannot be observed.
More specifically, the calculation of fair value adjustments to reflect model risk ensures that the fair value portion of these instruments relating to the
use of subjective parameters is not recognised in the profit and loss account, but changes the balance sheet value of these instruments.
Recognition of this portion in the profit and loss account is then made only when objective parameters are applied and therefore the adjustments are
derecognised.
At 31 December 2019, as well as at 31 December 2018, there were no value adjustments to reflect model risk (amount not recognised though profit
or loss).
UniCredit ·2019 Annual Report and Accounts 561
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
Part B - Balance sheet
Assets
Section 1 - Cash and cash balances - Item 10
1.1 Cash and cash balances: breakdown
a) Cash
b) Demand deposits with Central Banks
Total
AMOUNTS AS AT
12.31.2019
1,561
834
2,395
(€ million)
12.31.2018
1,530
5,931
7,461
The change in the item "Demand deposits with Central Banks" is mainly attributable to the decrease in cash invested with Banca d’Italia, which,
starting from the end 2019, is maintained in the Compulsory Reserves.
Section 2 - Financial assets at fair value through profit or loss - Item 20
2.1 Financial assets held for trading: breakdown by product
ITEMS/VALUES
A. Financial assets (non-derivatives)
1. Debt securities
1.1 Structured securities
1.2 Other debt securities
2. Equity instruments
3. Units in investment funds
4. Loans
4.1 Reverse Repos
4.2 Other
Total (A)
B. Derivative instruments
1. Financial derivatives
1.1 Trading
1.2 Linked to fair value option
1.3 Other
2. Credit derivatives
2.1 Trading
2.2 Linked to fair value option
2.3 Other
Total (B)
Total (A+B)
AMOUNTS AS AT
LEVEL 2
LEVEL 1
12.31.2019
LEVEL 3
LEVEL 1
AMOUNTS AS AT
LEVEL 2
(€ million)
12.31.2018
LEVEL 3
6,737
-
6,737
-
-
-
-
-
6,737
3
3
-
-
-
-
-
-
3
6,740
-
-
-
-
-
-
-
-
-
5,646
5,418
103
125
-
-
-
-
5,646
5,646
-
-
-
-
-
-
-
-
-
292
45
207
40
-
-
-
-
292
292
6,511
-
6,511
-
-
-
-
-
6,511
5
5
-
-
-
-
-
-
5
6,516
-
-
-
-
-
-
-
-
-
4,700
4,574
7
119
-
-
-
-
4,700
4,700
-
-
-
-
-
-
-
-
-
618
350
228
40
-
-
-
-
618
618
Total Level 1, Level 2 and Level 3
12,678
11,834
The sub-item "Financial assets (non-derivatives)" consists mainly of Italian Government bonds from Market Making activity.
The sub-item "Derivative instruments - Financial derivatives Other" comprises derivatives that, for economic purposes, relate to banking book
entries.
Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information
see Part A - Accounting policies - A.4 Information on fair value of this Notes to the accounts.
562 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
2.2 Financial assets held for trading: breakdown by borrowers/issuers/counterparties
ITEMS/VALUES
A. Financial assets (non-derivatives)
1. Debt securities
a) Central Banks
b) Governments and other Public Sector Entities
c) Banks
d) Other financial companies
of which: insurance companies
e) Non-financial companies
2. Equity instruments
a) Banks
b) Other financial companies
of which: insurance companies
c) Non-financial companies
d) Other issuers
3. Units in investment funds
4. Loans
a) Central Banks
b) Governments and other Public Sector Entities
c) Banks
d) Other financial companies
of which: insurance companies
e) Non-financial companies
f) Households
Total A
B. Derivative instruments
a) Central counterparties
d) Other
Total B
Total (A+B)
AMOUNTS AS AT
12.31.2019
12.31.2018
(€ million)
6,737
-
6,737
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
6,737
253
5,688
5,941
12,678
6,511
-
6,511
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
6,511
153
5,170
5,323
11,834
2.3 Financial assets designated at fair value: breakdown by product
The items are composed of debt securities for an immaterial amount of €239.
2.4 Financial assets designated at fair value: breakdown by borrowers/issuer
No data to be disclosed.
2.5 Other financial assets mandatorily at fair value: breakdown by product
ITEMS/VALUES
1. Debt securities
1.1 Structured securities
1.2 Other debt securities
2. Equity instruments
3. Units in investment funds
4. Loans
4.1 Structured
4.2 Other
Total
Total Level 1, Level 2 and Level 3
AMOUNTS AS AT
LEVEL 2
274
-
274
-
29
5
-
5
308
LEVEL 1
-
-
-
76
-
-
-
-
76
12.31.2019
LEVEL 3
227
-
227
106
1,213
89
-
89
1,635
2,019
AMOUNTS AS AT
LEVEL 2
1,054
5
1,049
37
29
-
-
-
1,120
LEVEL 1
175
-
175
416
-
-
-
-
591
(€ million)
12.31.2018
LEVEL 3
235
29
206
103
1,057
58
-
58
1,453
3,164
The sub-item “Debt securities” includes investments in FINO Project’s Mezzanine and Junior Notes with a value of €51 million and Mezzanine and
Junior bonds of Prisma securitisation for €3 million.
UniCredit ·2019 Annual Report and Accounts 563
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
The item “Equity instruments” includes the investment in a “Schema Volontario” (presented among Level 3 instruments) with a value of €16 million.
In 2018 the item included also the residual shares of Bank Pekao S.A. with a value of €416 million, reclassified into such category after the sale of
the 32.8% stake to Powszechny Zakład Ubezpieczeń S.A. and Polish Development Fund S.A. (with subsequent loss of control) occurred in first half
of 2017 and the IFRS9 adoption starting from 2018.
The item “3. Unit in investment funds” includes the investments in Atlante and Italian Recovery Fund, former Atlante II (presented among Level 3)
instruments, with a value of €352 million.
Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information
see Part A - Accounting policies - A.4 Information on fair value of this Notes to the accounts.
Exposures to securities relating to Securitisation transactions
TRANCHING
Senior
Mezzanine
Junior
Total
(€ million)
AMOUNTS AS AT
12.31.2019
5
62
62
129
Information about the units of Atlante Fund and Italian Recovery Fund (former Atlante II)
Atlante is a closed-end alternative investment fund (FIA) ruled by Italian law reserved to professional investors, and managed by DeA Capital
Alternative Funds SGR S.p.A. (“DeA”). The size of the fund was equal to €4,249 million, of which UniCredit S.p.A. invested for about 19.9%.
The investment policy of Atlante foresees that the fund may be invested (i) in banks with regulatory capital ratios lower than the minimum level set
down in the SREP process and, thus, realise, upon request of the supervisory authority, actions of capital strengthening through capital increases
and (ii) in Non-Performing Loans (NPLs) of a plurality of Italian banks.
With reference to Atlante fund, as at 31 December 2019 UniCredit S.p.A. holds shares classified as financial assets mandatory at fair value with a
carrying value of €168 million. The year-to-date overall cash investments are equal to €844 against which impairments for €684 million and positive
fair value changes for €18 million were carried out. Received reimbursement amount to €10 million. In addition UniCredit S.p.A. has a residual
commitment to invest in the fund for an amount less than €2 million.
On August 2016, it was launched the Atlante II fund, ridenominated Italian Recovery Fund since 27 October 2017, a closed-end investment
alternative fund reserved to professional investors, also managed by DeA, which, unlike the Atlante fund, may invest only in NPL and instruments
linked to NPL transactions (such as warrants) in order to reduce the risk in line with the parameters used by the largest world institutional investors.
With reference to Italian Recovery Fund, as at 31 December 2019 UniCredit S.p.A. holds shares with a carrying value of €184 million, classified as
financial assets mandatory at fair value. The year-to-date overall cash investments are equal to €187 against which positive fair value changes for
€10 million were carried out. Received reimbursement amount to €13 million. In addition UniCredit S.p.A. has a residual commitment to invest in
Italian Recovery Fund for about €8 million.
As at 31 December 2019 the book value (fair value) of both funds is substantially in line with the information provided by the management company
DeA relating to the shares valuation based on the value of the assets held by the funds. This fair value valuation determined in the year a higher
value for €13 million accounted into the Bank profit and loss.
Under a regulatory perspective, the treatment of the quotes held by UniCredit S.p.A. in the Atlante Fund and Italian Recovery Fund foresees the
application of article 128 of the CRR (Items associated with particular high risk). With reference to the residual commitments, the regulatory
treatment foresees the application of a Credit Conversion Factor equal to 100% (“full risk” according to the Annex I of CRR), for the calculation of the
related Risk Weighted Assets.
Information about the investment in the Schema Volontario
In November 2015 UniCredit S.p.A. has joined the "Schema Volontario" (SV), a private entity introduced by Fondo Interbancario di Tutela dei
Depositi (FITD), with appropriate modification of its statute.
SV is an instrument for the resolution of bank crises through supporting measures in favour of its member banks, if specific conditions laid down by
the legislation occur. SV has an independent funding and the participating banks are committed to supply the relevant resources upon demand,
when resources are needed to fund interventions. The initial participating size of the SV has been set up to €700 million (of which €110 million
referred to UniCredit S.p.A.).
Here follow the most recent transactions.
564 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
Cassa di Risparmio di Cesena (CariCesena)
In June 2016 the SV approved an action supporting CariCesena, in relation to a capital increase approved by the bank itself on 8 June 2016 for
€280 million of which €44 million referred to UniCredit S.p.A. On 30 September 2016 this commitment was converted into a monetary payment
which has led to the recognition of capital instruments classified, on the basis of the pre-existing accounting standard IAS39, as “available for sale"
for €44 million for UniCredit S.p.A. (in line with the monetary payment). The update of the evaluation of the instruments as at 31 December 2016,
according to an internal evaluation model based on multiples of a banking basket integrated with estimates on Cassa di Risparmio di Cesena’s
credit portfolio and the related equity/capital needs, brought to the full impairment of the position.
CariCesena, Cassa di Risparmio di Rimini (Carim) e Cassa di Risparmio di San Miniato (Carismi)
In September 2017, in order to face Credit Agricole CariParma intervention in favour of CariCesena, Carim and Carismi, based on a capital increase
of €464 million and on the subscription of bonds from NPL securitisation of these banks for €170 million, the Fund increased its capital endowment
for €95 million (to an overall amount of €795 million), increasing the residual commitment referred to UniCredit S.p.A. to €81 million. Hence, in the
same month UniCredit S.p.A. paid €9 million in respect of the part of the intervention relating to the capital increase of Carim and Carismi, and in
December 2017, UniCredit S.p.A. paid the remaining €72 million (of which €45 million referred to the capital increase of the banks and €27 million
referred to the subscription of securitisations). Following these events, UniCredit group’s residual commitment towards “Schema Volontario” was
substantially nil.
All the payments referred to the capital increase of the banks brought to the recognition of capital instruments classified, on the basis of the pre-
existing accounting standard IAS39, as “available for sale” and amounting to €54 million for UniCredit S.p.A., entirely cancelled in 2017 financial
statements due to the sale of the banks to Credit Agricole CariParma at a symbolic price.
Regarding the portion of investment referred to the subscription of SV of Junior and Mezzanine quotes of the securitisation, the initial value (€27
million for UniCredit S.p.A.) was rectified in 2017 to reflect fair value valuation declared by the “Schema Volontario” (€4 million for UniCredit S.p.A.)
resulting from the analysis conducted by the advisors in charge of the underlying credits evaluation, conducted according to a Discounted Cash Flow
model based on recovery plans elaborated by SPV’s special servicer.
Following the update of the assessment received from the SV (supported by the analysis of the appointed advisor), as at 31 December 2018
UniCredit S.p.A. recognised an impairment of €1.2 million; updated valuation as at 31 December 2019 has resulted in a further impairment of €0.2
million. Thus, 31 Decembre 2019 UniCredit S.p.A. carrying value of investments related to securitisation is equal to nearly €3 million
Banca Carige
On 30 November 2018, the Shareholders' Meeting of the SV decided to intervene in favour of Banca Carige S.p.A. by subscribing a Tier 2
subordinated loan (for a maximum amount of €320 million) issued by Banca Carige S.p.A. and addressed to the conversion into capital to the extent
necessary to allow an expected capital increase of €400 million.
On the same date, within the framework of the agreement stipulated with SV, Banca Carige S.p.A. placed bonds for €320 million, of which €318.2
million subscribed directly through the SV itself. The bonds were issued at par (100% of the nominal value), with a fixed rate coupon of 13% and a
maturity of 10 years (maturity 30 November 2028).
Considering the failure to provide by 22 December 2018 the delegation to the Board of Directors by the Extraordinary Shareholders' Meeting of
Banca Carige S.p.A. to increase by payment the share capital for a maximum total amount of €400 million, with retroactive effect interests on the
principal amount of outstanding bonds from time to time mature at a nominal fixed rate of 16% starting from the date of issue.
With reference to the intervention in favour of Banca Carige S.p.A., UniCredit S.p.A. contribution to the SV at the recognition date amounts to
approximately €53 million, and it has been identified as a financial instrument classified, on the basis of the existing accounting standard IFRS9,
under item "20.c) Financial assets mandatorily at fair value through profit or loss”.
As at 31 December 2018, following the evaluation process of the investment, UniCredit S.p.A. recognized impairments for €16 million, thus bringing
the carrying value of the instrument to nearly €37 million.
As at 31 December 2019 UniCredit S.p.A. has evaluated instrument’s fair value according to internal models (Market Multiples and Multi-Scenario
Analysis) for nearly €13 million, also considering the occurred reimbursement of interests for €9 million.
UniCredit ·2019 Annual Report and Accounts 565
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
2.6 Other Financial assets mandatorily at fair value:breakdown by borrowers/issuers
ITEMS/VALUES
1. Equity instruments
of which: banks
of which: other financial companies
of which: non-financial companies
2. Debt securities
a) Central banks
b) Governments and other Public Sector Entities
c) Banks
d) Other financial companies
of which: insurance companies
e) Non-financial companies
3. Units in investment funds
4. Loans and advances
a) Central banks
b) Governments and other Public Sector Entities
c) Banks
d) Other financial companies
of which: insurance companies
e) Non-financial companies
f) Households
Total
AMOUNTS AS AT
12.31.2019
182
-
105
77
501
-
65
207
174
45
55
1,242
94
-
-
-
-
-
94
-
2,019
(€ million)
12.31.2018
556
416
140
-
1,464
-
810
398
220
43
36
1,086
58
-
-
-
-
-
58
-
3,164
Decrease into debt securities is mainly determined by maturity of some instruments outstanding at the end of 2018.
Increase into units in investment funds is mainly determined by purchase of new instruments.
Section 3 - Financial assets at fair value through other comprehensive income - Item 30
3.1 Financial assets at fair value through other comprehensive income: breakdown by product
ITEMS/VALUES
1. Debt securities
1.1 Structured securities
1.2 Other
2. Equity instruments
3. Loans
Total
Total Level 1, Level 2 and Level 3
AMOUNTS AS AT
LEVEL 2
2,402
-
2,402
913
-
3,315
LEVEL 1
26,056
-
26,056
-
-
26,056
12.31.2019
LEVEL 3
1,399
-
1,399
637
-
2,036
31,407
AMOUNTS AS AT
LEVEL 2
3,343
-
3,343
1,008
-
4,351
LEVEL 1
41,695
-
41,695
-
-
41,695
(€ million)
12.31.2018
LEVEL 3
231
-
231
650
-
881
46,927
Decrease in debt securities is mainly determined by sale and maturity of government bonds not matched by new purchases.
Item “Debt Securities” includes investments FINO Project’s in instrument Senior and in part in instrument Mezzanine notes with a value of €164
million and in Senior bonds of Prisma securitisation for €1,215 million.
Item “Equity instruments” includes (i) Banca d’Italia stake (presented among Level 2 instruments), with a value of €913 million and (ii) ABH Holding
SA investments (presented among Level 3 instruments) acquired in contemplation of the sale of PJSC Ukrsotbank to Alfa Group, with a value of
€316 million.
Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information
see Part A - Accounting policies - A.4 Information on fair value of this Notes to the accounts.
566 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
Exposures to securities relating to Securitisation transactions
TRANCHING
Senior
Mezzanine
Junior
Total
(€ million)
AMOUNTS AS AT
12.31.2019
1,366
13
-
1,379
Information about the shareholding in Banca d'Italia
Since the third quarter of 2015, UniCredit S.p.A. started the disposal of its stake in Banca d’Italia for an amount corresponding to its carrying value.
UniCredit S.p.A. completed, until the end of fourth quarter 2019, the disposal of about 10% of the share capital for about €746 million, of which about
€96 million in 2019 (equal to 1.3%), reducing its shareholding to 12.2% (carrying value equal to about €913 million).
The disposal process is the result of a capital increase carried out by Banca d’Italia in 2013 when, in order to facilitate the redistribution of shares, a
limit of 3% was introduced in respect of holding shares: after an interim period of no more than 36 months, no economic rights were applicable to
shares exceeding the above limit.
During last years shareholders with excess shares started the disposal process, finalising sales for more than 30% of the total capital. The carrying
value as at 31 December 2019, in line with the figure at the end of the previous year and the outcome of the measurement conducted by the
committee of high-level experts on behalf of Banca d’Italia at the time of the capital increase, is supported by the price consideration of the
transactions that took place since 2015. The relevant measurement was therefore confirmed as level 2 in the fair value classification.
With regard to regulatory treatment as at 31 December 2019, the value of the investment, measured at fair value, in the balance sheet is given a
weighting of 100% (in accordance with article 133 “Exposures in Equity Instruments” of the CRR).
3.2 Financial assets at fair value through other comprehensive income: breakdown by borrowers/issuers
ITEMS/VALUES
1. Debt securities
a) Central Banks
b) Governments and other Public Sector Entities
c) Banks
d) Other financial companies
of which: insurance companies
e) Non-financial companies
2. Equity instruments
a) Banks
b) Other issuers
- Other financial companies
of which: insurance companies
- Non-financial companies
- Other
3. Loans and advances
a) Central Banks
b) Governments and other Public Sector Entities
c) Banks
d) Other financial companies
of which: insurance companies
e) Non-financial companies
f) Households
Total
The item “2. Equity instruments a) Banks” includes Banca d’Italia stake with a value of €913 million.
AMOUNTS AS AT
12.31.2019
29,857
-
24,905
2,403
1,728
-
821
1,550
999
551
454
6
97
-
-
-
-
-
-
-
-
-
31,407
(€ million)
12.31.2018
45,269
-
41,671
2,555
410
-
633
1,658
1,116
542
430
4
112
-
-
-
-
-
-
-
-
-
46,927
UniCredit ·2019 Annual Report and Accounts 567
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
3.3 Financial assets at fair value through other comprehensive income: gross value and total accumulated impairments
GROSS VALUE
TOTAL ACCUMULATED IMPAIRMENTS
(€ million)
STAGE 1
OF WHICH:
INSTRUMENTS
WITH LOW
CREDIT RISK
EXEMPTION
29,886
-
29,886
-
45,054
29,886
-
29,886
-
45,288
X
X
STAGE 2
-
-
-
STAGE 3
-
-
-
STAGE 1
29
-
29
STAGE 2
-
-
-
PARTIAL
ACCUMULATED
WRITE-OFFS(*)
-
-
-
STAGE 3
-
-
-
-
-
-
-
-
-
-
19
X
-
-
-
-
-
-
-
-
-
Debt securities
Loans and advances
12.31.2019
Total
of which: purchased or originated credit-
impaired financial assets
Total
12.31.2018
of which: purchased or originated credit-
impaired financial assets
Note:
(*) value shown for information purposes.
Section 4 - Financial assets at amortised cost - Item 40
4.1 Financial assets at amortised cost: breakdown by product of loans and advances to banks
AMOUNTS AS AT
12.31.2019
AMOUNTS AS AT
12.31.2018
BOOK VALUE
FAIR VALUE
BOOK VALUE
FAIR VALUE
(€ million)
OF WHICH:
PURCHASED
OR
ORIGINATED
CREDIT-
IMPAIRED
FINANCIAL
ASSETS
STAGE 1
AND
STAGE 2
STAGE 3
LEVEL 1
LEVEL 2
LEVEL 3
STAGE 1
AND
STAGE 2
STAGE 3
OF WHICH:
PURCHASED
OR
ORIGINATED
CREDIT-
IMPAIRED
FINANCIAL
ASSETS
LEVEL 1
LEVEL 2
LEVEL 3
TYPE OF TRANSACTIONS/VALUES
A. Loans and advances to
Central Banks
1. Time deposits
2. Compulsory reserves
3. Reverse repos
4. Other
B. Loans and advances to
banks
1. Loans
1.1 Current accounts and
demand deposits
1.2 Time deposits
1.3 Other loans
- Reverse repos
- Lease Loans
- Other
2. Debt securities
2.1 Structured
2.2 Other
Total
11,407
-
11,406
-
1
30,661
27,250
1,538
8,235
17,477
9,987
20
7,470
3,411
-
3,411
42,068
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
X
X
X
X
1,781
-
X
X
X
X
X
X
1,781
-
1,781
1,781
-
X
X
X
X
11,406
1,837
X
X
X
X
-
1,837
-
-
21,788
20,118
7,212
7,203
29,135
26,799
X
X
X
X
X
X
1,670
-
1,670
X
X
X
X
X
X
9
-
9
1,601
4,153
21,045
10,741
-
10,304
2,336
-
2,336
21,788
18,618
30,972
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
Total Level 1, Level 2 and Level 3
42,187
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
X
X
X
X
1,224
-
X
X
X
X
X
X
1,224
-
1,224
1,224
-
X
X
X
X
1,837
X
X
X
X
21,111
19,989
6,997
6,988
X
X
X
X
X
X
1,122
-
1,122
X
X
X
X
X
X
9
-
9
21,111
8,834
31,169
Increase into loans with central banks in respect of December 2018 is determined by retention into compulsory reserve of liquidity to be invested in a
short term.
Loans and receivables with banks are not managed on the basis of their fair value, which is only shown in order to meet financial disclosure
requirements. Fair value measurements have been classified according to a hierarchy of levels reflecting the observability of the valuations input.
For further information see Part A - Accounting policies - A.4 Information on fair value of these notes to the accounts.
It should be noted that securities lending transactions collateralised by other securities or not collateralised are shown under “off-balance sheet”
exposures in table A.1.6 Part E - section 1 - Credit risk - Quantitative information - A. Asset quality. See also the Part B of paragraph “Other
information” of these Notes to the accounts.
568 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
4.2 Financial assets at amortised cost: breakdown by product of loans and advances to customers
AMOUNTS AS AT
12.31.2019
AMOUNTS AS AT
12.31.2018
BOOK VALUE
FAIR VALUE
BOOK VALUE
FAIR VALUE
(€ million)
LEVEL 1
LEVEL 2
LEVEL 3
STAGE 1
AND
STAGE 2
84,644
146,626
213,178
LEVEL 1
LEVEL 2
LEVEL 3
107,619
113,585
TYPE OF TRANSACTIONS/VALUES
1. Loans
1.1 Current accounts
1.2 Reverse repos
1.3 Mortgages
1.4 Credit cards and personal
loans, including wage
assignment
1.5 Lease loans
1.6 Factoring
1.7 Other loans
2. Debt securities
2.1 Structured securities
2.2 Other debt securities
Total
STAGE 1
AND
STAGE 2
224,921
11,950
54,363
93,750
STAGE 3
4,687
630
-
2,743
11,170
206
76
262
53,350
29,486
19
29,467
254,407
-
3
1,105
1
-
1
4,688
OF WHICH:
PURCHASED
OR
ORIGINATED
CREDIT-
IMPAIRED
FINANCIAL
ASSETS
70
2
-
2
-
-
-
66
-
-
-
70
-
X
X
X
X
X
X
X
X
X
X
X
X
X
X
28,513
1,306
13
28,500
28,513
-
1,306
STAGE 3
9,355
1,172
-
5,576
13,300
33,825
94,395
10,520
183
-
304
60,834
17,052
21
17,031
-
7
2,417
-
-
-
X
X
X
X
X
X
X
330
7
323
85,950
146,956
230,230
9,355
OF WHICH:
PURCHASED
OR
ORIGINATED
CREDIT-
IMPAIRED
FINANCIAL
ASSETS
9
5
-
4
-
-
-
-
-
-
-
9
-
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
296
9
287
15,252
1,767
13
15,239
15,252
-
1,767
109,386
113,881
238,519
Total Level 1, Level 2 and Level 3
261,419
It should be noted that the decreases in loans and advances to customers impaired (Stage 3) is mainly attributable to the disposal transactions
(among which Prisma transaction) performed during the period and the strengthening of the rundown of the Non Core perimeter. With regard to the
latter, it should be noted that, in line with the basis underlying the 2020-2023 Strategic Plan, in December 2019 the Board of Directors of UniCredit
S.p.A. took important decisions by introducing a series of management initiatives and actions for the implementation and strengthening of the
rundown strategy of the Non Core perimeter, with the aim of ensuring the complete runoff of the related credit exposures within the year 2021. This
change led, at 31 December 2019, to a change in the parameters used to estimate the recovery values of credit exposures to customers, which,
pursuant to IAS8, qualifies as "change in accounting estimate", since the measurement basis of the loans has not been modified.
Detailed information on the effects of this change is provided as required by IAS8 in Part E - Information on risks and hedging policies - Section 1 -
Credit risk, under the table “A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values).
For further details see also the Report on operations and the chapter “Credit quality” in Part E - Information on risks and hedging policies of these
Notes to the accounts.
Increase in item 2. Debt securities - 2.2. Other debt securities is mainly due to the adoption, from second half of 2018, of a business model held to
collect for new purchases of Italian Government securities that have been consequently classified in item 40. Financial assets at amortized cost.
It should be noted that during the period, the sales performed out of item “40. Financial assets at amortised cost” have been non significant being
below the threshold established internally.
Loans and receivables with customers are not managed on the basis of their fair value, which is only shown in order to meet disclosure
requirements. Fair value measurements have been classified according to a hierarchy of levels reflecting the observability of the valuations input.
For further information see Part A - Accounting policies - A.4 Information on fair value of this Notes to the accounts.
The fair value of impaired loans was estimated by considering that the realizable value expressed by the net book value is the best estimate of the
future expected cash flows discounted at the valuation date, further adjusted to incorporate, when available, a premium derived from significant
market’s transaction for similar instruments. According to this assumption, impaired loans were classified as Level 3 in the fair value hierarchy.
The item “2.2 Other debt securities" include securities related to securitisation transactions shown in the following table.
UniCredit ·2019 Annual Report and Accounts 569
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
Exposures to securities relating to Securitisation transactions
TRANCHING
Senior
Mezzanine
Junior
Total
4.3 Financial assets at amortised cost: breakdown by borrowers/issuers of loans and advances to customers
(€ million)
AMOUNTS AS AT
12.31.2019
1,014
-
-
1,014
(€ million)
AMOUNTS AS AT
12.31.2019
AMOUNTS AS AT
12.31.2018
TYPE OF TRANSACTIONS/VALUES
1. Debt securities
a) Governments and other Public Sector Entities
b) Other financial companies
of which: insurance companies
c) Non-financial companies
2. Loans
a) Governments and other Public Sector Entities
b) Other financial companies
of which: insurance companies
c) Non-financial companies
d) Households
Total
OF WHICH:
PURCHASED OR
ORIGINATED
CREDIT-
IMPAIRED
FINANCIAL
ASSETS
-
-
-
-
-
70
-
66
-
4
-
70
STAGE 3
1
-
1
-
-
4,687
5
299
-
3,172
1,211
4,688
STAGE 1 OR
STAGE 2
17,052
14,336
1,602
52
1,114
213,178
4,097
68,920
198
76,678
63,483
230,230
STAGE 1 OR
STAGE 2
29,486
26,663
1,204
51
1,619
224,921
3,450
84,870
204
73,697
62,904
254,407
4.4 Financial assets at amortised cost: gross value and total accumulated impairments
STAGE 3
-
-
-
-
-
9,355
56
685
-
5,592
3,022
9,355
OF WHICH:
PURCHASED OR
ORIGINATED
CREDIT-
IMPAIRED
FINANCIAL
ASSETS
-
-
-
-
-
9
-
-
-
7
2
9
(€ million)
GROSS VALUE
TOTAL ACCUMULATED IMPAIRMENTS
STAGE 1
OF WHICH:
INSTRUMENTS
WITH LOW
CREDIT RISK
EXEMPTION
32,477
-
32,477
X
19,176
32,477
254,907
287,384
X
251,155
STAGE 2
449
9,889
10,338
-
11,353
STAGE 3
1
15,286
15,287
80
25,410
X
X
-
22
STAGE 1
8
519
527
X
549
X
STAGE 2
20
700
720
-
757
-
PARTIAL
ACCUMULATED
WRITE-OFFS(*)
-
1,899
1,899
23
2,395
25
STAGE 3
-
10,599
10,599
10
16,055
13
1. Debt securities
2. Loans
Total
12.31.2019
of which: purchased or originated credit-
impaired financial assets
Total
12.31.2018
of which: purchased or originated credit-
impaired financial assets
Note:
(*) value shown for information purposes.
570 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
Section 5 - Hedging derivatives - Item 50
5.1 Hedging derivatives: breakdown by hedged risk and fair value hierarchy
A. Financial derivatives
1) Fair value
2) Cash flows
3) Net investment in foreign
subsidiaries
B. Credit derivatives
1) Fair value
2) Cash flows
Total
Total Level 1, Level 2 and Level 3
AMOUNTS AS AT
FAIR VALUE
LEVEL 2
5,077
4,849
228
LEVEL 1
146
146
-
12.31.2019
LEVEL 3
-
-
-
-
-
-
-
146
-
-
-
-
5,077
-
-
-
-
-
5,223
NOTIONAL
AMOUNT
248,521
237,751
10,770
-
-
-
-
248,521
AMOUNTS AS AT
FAIR VALUE
LEVEL 2
4,063
3,949
114
LEVEL 1
99
99
-
-
-
-
-
99
-
-
-
-
4,063
12.31.2018
LEVEL 3
5
5
-
-
-
-
-
5
4,167
(€ million)
NOTIONAL
AMOUNT
259,516
251,098
8,418
-
-
-
-
259,516
Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the inputs used in the measurements. For
further information see Part A - Accounting Policies - A.4 Information on fair value of these Notes to the Accounts.
5.2 Hedging derivatives: composition for covered portfolios and by type of hedging
FAIR VALUE
MICRO-HEDGE
AMOUNTS AS AT
12.31.2019
CASH FLOW
(€ million)
DEBT
SECURITIES
AND
INTEREST
RATES
RISK
EQUITY
INSTRUMENTS
AND EQUITY
INDICES RISK
CURRENCY
AND GOLD
CREDIT
RISK
COMMODITIES
OTHERS
MACRO-
HEDGE
MICRO-
HEDGE
MACRO-
HEDGE
FOREIGN
INVESTMENTS
60
120
X
-
180
-
X
-
X
X
-
X
X
-
-
X
X
-
X
X
-
-
X
-
-
-
X
-
X
X
-
-
X
-
-
-
X
-
X
X
X
X
X
-
-
-
X
-
X
X
X
X
X
-
-
-
X
-
X
X
X
X
1,368
X
1,368
X
3,447
3,447
X
-
-
-
X
-
-
-
X
-
-
X
X
X
65
X
65
X
163
163
X
-
X
X
X
-
-
X
X
-
X
-
TRANSACTIONS/TYPE OF
HEDGES
1. Financial assets at fair
value through other
comprehensive income
2. Financial assets at
amortised cost
3. Portfolio
4. Other transactions
Total assets
1. Financial liabilities
2. Portfolio
Total liabilities
1. Expected transactions
2. Financial assets and
liabilities portfolio
Section 6 - Changes in fair value of portfolio hedged items - Item 60
6.1 Changes to macro-hedged financial assets: breakdown by hedged portfolio
CHANGES TO HEDGED ASSETS/GROUP COMPONENTS
1. Positive changes
1.1 Of specific portfolios
a) Financial assets at amortised cost
b) Financial assets at fair value through other comprehensive income
1.2 Overall
2. Negative changes
2.1 Of specific portfolios
a) Financial assets at amortised cost
b) Financial assets at fair value through other comprehensive income
2.2 Overall
Total
AMOUNTS AS AT
12.31.2019
3,288
-
-
-
3,288
1,199
-
-
-
1,199
2,089
(€ million)
12.31.2018
2,906
-
-
-
2,906
1,220
-
-
-
1,220
1,686
UniCredit ·2019 Annual Report and Accounts 571
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
Section 7 - Equity investments - Item 70
7.1 Equity: information on shareholder's equity
COMPANY
NAME
A. Subsidiaries
MAIN OFFICE
LEGAL
MAIN OFFICE
OPERATIVE(*)
EQUITY %(**)
VOTING
RIGHTS %
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
Anthemis EVO LLP
AO UniCredit Bank
Bavaria Servicos de Representacao Comercial LTDA
Box 2004 S.r.l. (in liquidation)
Capital Dev S.p.A.
Cordusio SIM S.p.A.
Cordusio Società Fiduciaria per Azioni
Crivelli S.r.l.
Fineco Verwaltung AG (in liquidation)
Island Finance (ICR4) S.r.l. (in liquidation)
Istituto Immobiare di Catania S.p.A.
Nuova Compagnia di Partecipazioni S.p.A.
PAI (Bermuda) Limited (già Pioneer Alternative Investments
(Bermuda) Limited)
Pai Management LTD
PAI (New York) Limited (già Pioneer Alternative Investments
(New York) Limited)
Pirta Verwaltungs GMBH
Sanità - S.r.l. (in liquidation)
Società di Gestioni Esattoriali in Sicilia SO.G.E.SI. S.p.A. (in
liquidation)
Sofigere Société par Actions Simplifiée
UniCredit Bank A.D. Banja Luka
UniCredit Bank AG
UniCredit Bank Austria AG
UniCredit Bank Ireland P.l.c.
UniCredit Bank Hungary ZRT
UniCreditt Bank S.A.
UniCredit Bank Serbia JSC
UniCredit Banka Slovenija D.D.
UniCredit BPC Mortgage S.r.l.
UniCredit Bulbank A.D.
UniCredit Bank Czech Republic and Slovakia A.S.
UniCredit Consumer Financing IFN S.A.
UniCredit Factoring S.p.A.
UniCredit Global Leasing Export GMBH
UniCredit International Bank (Luxembourg) S.A.
UniCredit Leasing S.p.A.
UniCredit Myagents S.r.l.
UniCredit OBG S.r.l.
UniCredit Servicrs S.c.p.A. (già UniCredit Business
Integrated Solutions S.c.p.A.)
UniCredit Subito Casa S.p.A.
UniCredit Turn-Around Management GMBH
Visconti S.r.l.
Zagrebacka Banka D.D.
London
Moscow
Sao Paulo
Rome
Rome
Milan
Milan
Milan
Munich
Rome
Catania
Rome
Hamilton
Dublin
Dover
Wien
Rome
Palermo
Paris
Banja Luka
Munich
Wien
Dublin
Budapest
Bucharest
Belgrade
Ljubljana
Verona
Sofia
Prague
Bucharest
Milan
Wien
Luxembourg
Milan
Bologna
Verona
Milan
Milan
Wien
Milan
Zagreb
London
Moscow
Sao Paulo
Rome
Rome
Milan
Milan
Milan
Munich
Rome
Catania
Rome
Hamilton
Dublin
New York
Wien
Rome
Palermo
Paris
Banja Luka
Munich
Wien
Dublin
Budapest
Bucharest
Belgrade
Ljubljana
Verona
Sofia
Prague
Bucharest
Milan
Wien
Luxembourg
Milan
Bologna
Verona
Milan
Milan
Wien
Milan
Zagreb
(A)
(B)
(C)
(D)
50.00%
100.00%
100.00%
100.00%
100.00%
97.12%
100.00%
100.00%
100.00%
100.00%
1.12%
100.00%
100.00%
100.00%
100.00%
100.00%
99.60%
80.00%
100.00%
99.43%
100.00%
99.99%
100.00%
100.00%
98.63%
100.00%
100.00%
60.00%
99.45%
100.00%
49.90%
100.00%
100.00%
100.00%
100.00%
100.00%
60.00%
100.00%
100.00%
100.00%
76.00%
84.48%
572 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
continued: 7.1 Equity: information on shareholder's equity
COMPANY NAME
C. Companies under significant influence
Asset Bancari II
Aviva S.p.A.
Camfin S.p.A.
CNP UniCredit Vita S.p.A.
Compagnia Aerea Italiana S.p.A.
Creditras Assicurazioni S.p.A.
Creditras Vita S.p.A.
Europrogetti & Finanza S.p.A. (in liquidation)
Fenice Holding S.p.A. (in liquidation)
Focus Investments S.p.A.
Incontra Assicurazioni S.p.A.
La Fortezza S.r.l.
Le Vigne S.r.l
1
2
3
4
5
6
7
8
9
10
11
12
13
14 Maccorp Italiana S.p.A.
15
16
17
Risanamento S.p.A.
Torre SGR S.p.A.
UniQLegal S.t.a.p.A.
MAIN OFFICE
LEGAL
MAIN OFFICE
OPERATIVE(*)
EQUITY %(**)
VOTING
RIGHTS %
(E)
19.84%
25.00%
Milan
Milan
Milan
Milan
Fiumicino (Rome)
Milan
Milan
Rome
Calenzano (FI)
Milan
Milan
Catanzaro
Catanzaro
Milan
Milan
Rome
Milan
Milan
Milan
Milan
Milan
Fiumicino (Rome)
Milan
Milan
Rome
Calenzano (FI)
Milan
Milan
Catanzaro
Catanzaro
Milan
Milan
Rome
Milan
21.55%
49.00%
12.70%
38.80%
36.59%
50.00%
50.00%
39.79%
25.91%
8.33%
49.00%
1.00%
1.00%
25.45%
22.23%
37.50%
9.00%
Notes:
(*) Also meaning the administrative office.
(**) The equity stake is held by the Parent Company and does not include any stake held by other Group companies.
(A) A fractional share is held by UniCredit U.S. Finance LLC (controlled by UniCredit Bank AG).
(B) 93.92% is held by Capital Dev S.p.A.
(C) The remaining share of 50.10% is held indirectly by UniCredit Bank S.A.
(D) A fractional share is held by various Group companies.
(E) It is a real estate closed-end investment fund
In May the stake in FinecoBank S.p.A. was partially sold with subsequent loss of control. The sale determined a gain for €1,722 million.
The residual shares had been reclassified in Assets mandatory at fair value. In July the residual shares were entirely sold.
In November the stake in Mediobanca - Banca di Credito Finanziario S.p.A. has been entirely sold with the recognition of a gain for €31 million.
The investments are individually tested for impairment in accordance with the provisions of IAS36. When the conditions provided for therein apply,
their recovery value is determined, meant as the higher of their "fair value" and "value in use" (the latter determined by discounting the cash flows at
a rate that takes account of the current market rates and the specific risks of the asset or using other commonly accepted valuation criteria and
methods suitable for the correct valuation of the investment). If the recovery value is lower than the carrying amount, the latter is consequently
reduced by allocating the corresponding impairment loss to the income statement.
On the basis of the above impairment loss has been recognised in subsidiaries, including: UniCredit Bank Austria Credistanstalt Ag (-€1,862 million),
UniCredit Bank Ag (-€1,739 million), Koc Finansal Hizmetler Istanbul AS (-€500 million), UniCredit Bank Ireland Plc (-€132 million), Sia UniCredit
Leasing (-€20 million), UniCredit Turn Around Management Cee Gmbh (-€15 million). Further, some write-up have been recognised, including:
UniCredit Leasing S.p.A. (€713 million), AO UniCredit Bank (€244million), Nuova Compagnia di Partecipazioni S.p.A. (€34 million), UniCredit Banka
Slovenja (€17 million), UniCredit Consumer Financing Ifn S.A. (€16 million), CNP (€16 million), UniCredit International Luxembourg S.A. (€9 million),
Aviva (€6 million), Cordusio Sim S.p.A. (€3 million).
UniCredit ·2019 Annual Report and Accounts 573
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
7.5 Equity investments: annual changes
A. Opening balance
B. Increases
of which: business combinations
B.1 Purchases
B.2 Write-backs
B.3 Revaluation
B.4 Other changes
C. Decreases
of which: business combinations
C.1 Sales
C.2 Write-downs
C.3 Impairment
C.4 Other changes
D. Closing balance
E. Total revaluation
F. Total write-downs
CHANGES IN
2019
42,873
3,148
-
273
1,064
-
1,811
8,148
797
1,800
4,203
-
2,145
37,873
-
13,659
(€ million)
2018
44,146
600
1
505
65
-
30
1,873
-
70
1,796
-
7
42,873
-
13,060
The sub-items “B.4 Other charges” and “C.1 Sales” include the effects arising from the sale of FinecoBank S.p.A. and Mediobanca - Banca di
Credito Finanziario S.p.A. occurred during the year.
The sub-item “C.4 Other changes” includes the effects deriving from the reclassification for the loss of control to Assets mandatorily at fair value of
the residual shares held in FinecoBank S.p.A. after the partial sale in May, which were entirely sold in July. Further, it includes effects deriving from
reclassification of Koc Finansal Hizmetler Istanbul AS into assets held for sale.
Section 8 - Property, plant and equipment - Item 80
It should be noted that as result of the retrospective application, starting from 1 January 2019, of the change in measurement criteria of real estate
held for investment, the amounts presented for 31 December 2018 are different from those published.
Furthermore, starting from 1 January 2019, IFRS16 has become effective; therefore the tables below have been adjusted as a result of the 6th
update to the Circular 262 of Banca d’Italia with the introduction of specific items dedicated to the right of use.
Refer to Part A - Section 5 - Other Matters, for further details on these topics.
8.1 Property, plant and equipment used in the business: breakdown of assets carried at cost
ASSETS/VALUES
1. Owned assets
a) Land
b) Buildings
c) Office furniture and fitting
d) Electronic systems
e) Other
2. Right of use of Leased Assets
a) Land
b) Buildings
c) Office furniture and fitting
d) Electronic systems
e) Other
Total
of which: obtained by the enforcement of collateral
AMOUNTS AS AT
12.31.2019
320
-
-
50
175
95
1,236
-
1,220
-
-
16
1,556
-
(€ million)
12.31.2018
1,972
760
909
37
164
102
-
-
-
-
-
-
1,972
-
Changes in carrying amount of land and buildings as at 31 December 2018 come from reclassification performed, in the context of the change in the
evaluation criteria of tangible assets, on some properties from held for investment to used in the business.
8.2 Property, plant and equipment held for investment: breakdown of assets carried at cost
No data to be disclosed.
574 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
8.3 Property, plant and equipment used in the business: breakdown of revalued assets
ASSETS/VALUES
1. Owned assets
a) Land
b) Buildings
c) Office furniture and fitting
d) Electronic systems
e) Other
2. Right of use of Leased Assets
a) Land
b) Buildings
c) Office furniture and fitting
d) Electronic systems
e) Other
Total
AMOUNTS AS AT
LEVEL 2
-
-
-
-
-
-
-
-
-
-
-
-
-
LEVEL 1
-
-
-
-
-
-
-
-
-
-
-
-
-
of which: obtained by the enforcement of collateral
-
-
Total Level 1, Level 2 and Level 3
12.31.2019
LEVEL 3
2,380
856
1,524
-
-
-
-
-
-
-
-
-
2,380
-
2,380
AMOUNTS AS AT
LEVEL 2
-
-
-
-
-
-
-
-
-
-
-
-
-
LEVEL 1
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
8.4 Property, plant and equipment held for investment: breakdown of assets designated at fair value
ASSETS/VALUES
1. Owned assets
a) Land
b) Buildings
2. Right of use of Leased Assets
a) Land
b) Buildings
Total
AMOUNTS AS AT
LEVEL 2
-
-
-
-
-
-
-
LEVEL 1
-
-
-
-
-
-
-
of which: obtained by the enforcement of collateral
-
-
Total Level 1, Level 2 and Level 3
8.5 Inventories of tangible assets regulated by IAS2: breakdown
The Company does not have tangible assets to be recorded according to IAS2.
AMOUNTS AS AT
LEVEL 2
-
-
-
-
-
-
-
LEVEL 1
-
-
-
-
-
-
-
-
-
12.31.2019
LEVEL 3
236
82
154
-
-
-
236
-
236
(€ million)
12.31.2018
LEVEL 3
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
(€ million)
12.31.2018
LEVEL 3
392
137
255
-
-
-
392
-
392
UniCredit ·2019 Annual Report and Accounts 575
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
8.6 Tangible assets used in the business: annual changes
A. Gross opening balance
A.1 Total net reduction in value
A.2 Net opening balance
B. Increases
B.1 Purchases
of which: business combinations
B.2 Capitalised expenditure on improvements
B.3 Write-backs
B.4 Increases in fair value
a) In equity
b) Through profit or loss
B.5 Positive exchange differences
B.6 Transfer from properties held for investment
B.7 Other changes
C. Reductions
C.1 Disposals
of which: business combinations
C.2 Depreciation
C.3 Impairment losses
a) In equity
b) Through profit or loss
C.4 Reduction of fair value
a) In equity
b) Through profit or loss
C.5 Negative exchange differences
C.6 Transfer to
a) Property, plant and equipment held for
investment
b) Non-current assets and disposal groups
classified as held for sale
C.7 Other changes
D. Net final balance
D.1 Total net reduction in value
D.2 Gross closing balance
E. Carried at cost
CHANGES IN 2019
OFFICE
FURNITURE
AND FITTINGS
637
(600)
37
23
22
16
-
-
-
-
-
-
X
1
10
2
-
8
-
-
-
-
-
-
-
-
ELECTRONIC
SYSTEMS
1,238
(1,074)
164
60
60
17
-
-
-
-
-
-
X
-
49
-
-
47
2
-
2
-
-
-
-
-
X
-
-
50
(631)
681
-
X
-
-
175
(1,132)
1,307
-
BUILDINGS
1,526
(617)
909
2,176
162
34
70
17
603
603
-
-
-
1,324
341
-
-
223
20
-
20
34
-
34
-
1
-
1
63
2,744
(66)
2,810
954
LANDS
760
-
760
188
27
-
-
-
159
159
-
-
-
2
92
-
-
2
-
-
-
89
-
89
-
1
-
1
-
856
-
856
787
(€ million)
TOTAL
4,632
(2,661)
1,971
2,489
297
67
70
17
762
762
-
-
-
1,343
524
2
-
311
22
-
22
123
-
123
-
2
-
2
64
3,936
(2,210)
6,146
1,741
OTHER
471
(370)
101
42
26
-
-
-
-
-
-
-
X
16
32
-
-
31
-
-
-
-
-
-
-
-
X
-
1
111
(381)
492
-
It should be noted that the amount reported under item B. Increases - B.7 Other changes also include the opening balances of the right of use
recognized as a result of IFRS16 introduction. For additional information, refer to Part A - Section 5 - Other matters of these Notes to the accounts.
Furthermore, item “E. Carried at cost” also include the carrying amount of right of use measured according to the cost model.
576 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
8.7 Tangible assets held for investment: annual changes
A. Opening balances
B. Increases
B.1 Purchases
of which: business combinations
B.2 Capitalised expenditure on improvements
B.3 Increases in fair value
B.4 Write-backs
B.5 Positive exchange differences
B.6 Transfer from properties used in the business
B.7 Other changes
C. Reductions
C.1 Disposals
of which: business combinations
C.2 Depreciation
C.3 Reductions in fair value
C.4 Impairment losses
C.5 Negative exchange differences
C.6 Transfer to
a) Properties used in the business
b) Non-current assets and disposal groups classified as held for sale
C.7 Other changes
D. Closing balances
E. Measured at fair value
8.8 Inventories of tangible assets regulated by IAS2: annual changes
No data to be disclosed.
8.9 Commitments to purchase property, plant and equipment
At Financial Statement date, Commitments for the purchase of tangible assets do not exist.
Section 9 - Intangible assets - Item 90
9.1 Intangible assets: breakdown by asset type
LANDS
137
23
2
2
-
21
-
-
-
-
78
-
-
-
45
-
-
31
-
31
2
82
-
CHANGES IN 2019
BUILDINGS
255
30
3
3
1
1
-
-
-
25
131
-
-
-
105
-
-
22
-
22
4
154
-
(€ million)
TOTAL
392
53
5
5
1
22
-
-
-
25
209
-
-
-
150
-
-
53
-
53
6
236
-
ASSETS/VALUES
A.1 Goodwill
A.2 Other intangible assets
A.2.1 Assets carried at cost
a) Intangible assets generated internally
b) Other assets
A.2.2 Assets measured at fair value
a) Intangible assets generated internally
b) Other assets
Total
Total finite and indefinite life
AMOUNTS AS AT
FINITE LIFE
X
4
4
-
4
-
-
-
4
12.31.2019
INDEFINITE LIFE
-
-
-
-
-
-
-
-
-
4
AMOUNTS AS AT
FINITE LIFE
X
4
4
-
4
-
-
-
4
(€ million)
12.31.2018
INDEFINITE LIFE
-
-
-
-
-
-
-
-
-
4
UniCredit ·2019 Annual Report and Accounts 577
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
9.2 Intangible assets: annual changes
A. Gross opening balance
A.1 Total net reduction in value
A.2 Net opening balance
B. Increases
B.1 Purchases
B.2 Increases in intangible assets generated
internally
B.3 Write-backs
B.4 Increases in fair value
- In equity
- Through profit or loss
B.5 Positive exchange differences
B.6 Other changes
of which: business combinations
C. Reduction
C.1 Disposals
C.2 Write-downs
- Amortisation
- Write-downs
+ In equity
+ Through profit or loss
C.3 Reduction in fair value
- In equity
- Through profit or loss
C.4 Transfer to non-current assets held for sale
C.5 Negative exchange differences
C.6 Other changes
of which: business combinations
D. Net closing balance
D.1 Total net write-down
E. Gross closing balance
F. Carried at cost
9.3 Other information
NON PUBBLICARE SENTI TO MALDIFASSI
CHANGES IN 2019
OTHER INTANGIBLE ASSETS
GENERATED INTERNALLY
OTHER
GOODWILL
7,710
(7,710)
-
-
-
FINITE LIFE
-
-
-
-
-
INDEFINITE
LIFE
-
-
-
-
-
FINITE LIFE
243
(239)
4
2
2
INDEFINITE
LIFE
-
-
-
-
-
X
X
-
X
X
-
-
-
-
-
-
X
-
X
-
-
X
X
-
-
-
-
-
(7,710)
7,710
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
2
-
2
2
-
-
-
-
-
-
-
-
-
-
4
(241)
245
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
(€ million)
TOTAL
7,953
(7,949)
4
2
2
-
-
-
-
-
-
-
-
2
-
2
2
-
-
-
-
-
-
-
-
-
-
4
(7,951)
7,955
-
578 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
Section 10 - Tax assets and tax liabilities - Item 100 (Assets) and Item 60 (Liabilities)
It should be noted that as result of the retrospective application, starting from 1 January 2018, of the change in measurement criteria of real estate
held for investment, the amounts presented for 31 December 2018 for tax assets and tax liabilities are different from those published.
10.1 Deferred tax assets: breakdown
Deferred tax assets arising from Italian law 214/2011
Deferred tax assets arising from tax losses
Deferred tax assets arising from temporary differences
Financial assets and liabilities (different from loans and deposits)
Loans and deposits to/from banks and customers
Hedging and hedged item revaluation
Property, plant and equipment and intangible assets different from goodwill
Goodwill and equity investments
Current assets and liabilities held for sale
Other assets and Other liabilities
Provisions, pension funds and similar
Other
Accounting offsetting
Total
10.2 Deferred tax liabilities: breakdown
Deferred tax liabilities arising from temporary differences
Financial assets and liabilities (different from loans and deposits)
Loans and deposits to/from banks and customers
Hedging and hedged item revaluation
Property, plant and equipment and intangible assets different from goodwill
Goodwill and equity investments
Assets and liabilities held for sale
Other assets and Other liabilities
Other
Accounting offsetting
Total
AMOUNTS AS AT
12.31.2019
8,146
546
1,562
27
801
41
111
-
-
-
582
-
(444)
9,810
AMOUNTS AS AT
12.31.2019
444
117
-
26
297
-
-
3
1
(444)
-
(€ million)
12.31.2018
8,151
78
1,927
213
884
42
55
-
-
-
733
-
(251)
9,905
(€ million)
12.31.2018
251
99
-
10
139
-
-
2
1
(251)
-
Deferred tax assets deriving from Law no. 214/2011
The item includes:
the amount of €3,167 million related to Deferred tax assets (for IRES and IRAP) due to the tax release of the value of the equity investments pursuant
to art.23 of D.L. no.98/2011;
the amount of €1,287 million related to Deferred tax assets (for IRES and IRAP) arising from goodwill tax redemption.
As of 31 December 2019, the total amount of Deferred tax assets convertible into tax credits is equal to €7,189 million for IRES and €957 million for
IRAP.
Deferred Tax Assets for the carry-forward of unused tax losses - DTA TLCF
The possibility to book DTA TLCF, against future taxable income, implies an estimate of future economic results; this estimate is based on the execution
of a sustainability test, in accordance with the provisions of IAS12.
Starting from this year, the sustainability test for both IRES and IRAP has been developed on a 10 years-time length (from 2020 to 202945 lengthening
the forecast interval compared to 5 years used in previous years, since it is considered more appropriate based on the following considerations:
the implementation of 2019 Transform Plan, completed in line with expectations, through which UniCredit has demonstrated its forward-looking ability,
also confirming the underlying assumption of the sustainability of positive long-term results (for a detailed description of the objectives achieved in the
Transform 2019 can be found in the Consolidated report on operations - Group results - Main results and performance for the period);
45 The period of 10 years was defined with reference to the test carried out on Italian Tax Group perimeter for IRES purposes applying the ordinary current rate of 24%, on UniCredit S.p.A. also applying the additional IRES
rate of 3,5% related to the banks and to each subsidiaries belonging to the Italian Tax Group perimeter where applicable.
UniCredit ·2019 Annual Report and Accounts 579
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
the approval of Team23 on 2 December 2019, which including - among others - non-recurring elements such as the updating of the rundown
strategy of the Non-Core portfolio by 2021, as well as the completion of the operational reorganization (including extraordinary operations already
carried out or planned in the plan horizon), allows to assume the stability of future operating results and the definition of a context of greater
reliability of forecasts (for a detailed description of the objectives of Team23, see the Consolidated report on operations - Group Results - Main
Results and performance for the period.
In addition to the reasons outlined above, the choice relating to a 10 years-time length also derives: (i) from the presence of tax legislation that does
not set time limits for recovery but on the other hand (ii) also by the need to limit the uncertainty deriving from an excessive lengthening of the time
period; therefore, based on mentioned explanations, the 10 years-time length is appropriate for assessing the generation of future taxable income
that will allow the recognition of unreported tax losses, which is expected to reduce future tax charges46.
The lengthening of the time period therefore also includes periods subsequent to the official forecasts contained in the new Strategic Plan Team23
approved on 2 December 2019 (MYP), that is, beyond the period 2020-2023. Therefore in order to mitigate the effects the uncertainty inherent the
adoption of an approach based also on estimates beyond the plan horizon, it has been adopted a model incorporating a probabilistic component. in
particular, in line with ESMA recommendation issued on 15 July 2019, the new sustainability test for the determination of future taxable incomes
envisages:
a deterministic approach for the years for which official projections are available (i.e. the period 2020-2023);
a statistical approach for the years beyond official projections (2024-2029); this approach is based on the statistical generation of multiple
scenarios that lead to generating projections of future taxable income in the test time horizon. As far as possible, objective criteria and realistic
assumptions have been adopted to define the values of this projection, such as:
- long-term annual growth rate set at 2%, which incorporates an assumption of growth at 0% in real terms, as 2% represents the target rate of
price stability47;
- nominal future growth rate with 4% cap applied to pre-tax profit for projections beyond the deterministic period, which leads to consistency with
the long-term annual growth rate of 2%.
Furthermore, in line with IAS12, as well as taking into consideration the ESMA document, a confidence interval has been selected which reflects a
probability greater than 50% in relation to the expected tax incomes.
The risk elements related to this approach are linked to a possible significant reduction in the tax rate, as well as to any time limits on the recovery of
tax assets that may be introduced by changes in the current legislation. Sensitivity analyzes were conducted on these aspects, however, keeping in
mind the substantial invariance of the DTA TLCF for the purposes of the impact on Common Equity Tier 1 capital, given their regulatory treatment.
Consistently with the approach outlined, the sustainability test was performed on the Italian Tax Group perimeter applying the current ordinary tax
rate of 24% and on UniCredit S.p.A. also applying the additional tax rate of 3,5% determined the sustainability of DTA TLCF as at 31 December
2019 for a total amount of €546 million, of which: (i) €7 million recognised through income statement and (ii) €539 million recognized through Net
equity as they are attributable to transactions recognized through Net equity according to international accounting standards.
The amount of deferred tax assets arising from tax losses not booked is equal to €3,129 million of which (i) €2,737 million (€2,668 million deriving
from accounting items originated in the Income statement and €69 million from Net equity components) referred to the Italian Tax Group perimeter
and related to the 24% IRES ordinary tax rate and (ii) €392 million (€382 million deriving from accounting items originated in the Income statement
and €10 million from Net equity components) referred to UniCredit S.p.A. and related to the 3.5% IRES additional tax rate.
Deferred Tax Assets from temporary differences
With particular reference to Deferred tax assets due to temporary differences (€1,562 million booked before the offset against the corresponding
Deferred tax liabilities), the sustainability test determined the need to an impairment for an amount of €281 million, of which (i) €278 million
recognised through income statement and (ii) €3 million recognized through Net equity as they are attributable to transactions recognized through
Net equity according to international accounting standards.
Deferred tax assets on income statement decreased during the year by €262 million, of which a decrease of €270 million for IRES and an increase
of €8 million for IRAP, due to the normal dynamic in offsetting against current taxes and to the results of sustainability test as above mentioned.
46 It should also be recalled that the ESMA 2016/410 document highlights referring to a sample of about 20 issuers from the European Economic Area who have provided disclosure regarding the time horizon used for the
test, that approximately 40% of the selected issuers expect to recover DTAs in a period from 6 to 15 years.
47 "The primary objective of the ECB’s monetary policy is to maintain price stability. The ECB aims at inflation rates of below, but close to, 2% over the medium term" (https://www.ecb.europa.eu/mopo/html/index.en.html).
580 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
10.3 Deferred tax assets: annual changes (balancing P&L)
1. Opening balance
2. Increases
2.1 Deferred tax assets arisen during the year
a) Relating to previous years
b) Due to change in accounting criteria
c) Write-backs
d) Other
2.2 New taxes or increases in tax rates
2.3 Other increases
3. Decreases
3.1 Deferred tax assets derecognised during the year
a) Reversals of temporary differences
b) Write-downs of non-recoverable items
c) Change in accounting criteria
d) Other
3.2 Reduction in tax rates
3.3 Other decreases
a) Conversion into tax credit under Italian Law 214/2011
b) Other
4. Closing balance
CHANGES IN
2019
9,548
820
484
33
-
-
451
-
336
1,192
746
-
344
-
402
-
446
-
446
9,176
(€ million)
2018
8,365
2,111
1,717
50
-
430
1,237
-
394
928
595
519
-
-
76
-
333
-
333
9,548
The sub-items “2.3 Other increases” and “3.3 Other decreases b) Other” include the effect of netting DTA/DTL of previous and current year.
10.3bis Deferred tax assets (Italian Law 214/2011): annual changes
1. Opening balance
2. Increases
3. Decreases
3.1 Reversals of temporary differences
3.2 Conversion into tax credits
a) Due to loss positions arisen from P&L
b) Due to tax losses
3.3 Other decreases
4. Closing balance
CHANGES IN
2019
8,151
-
5
-
-
-
-
5
8,146
(€ million)
2018
8,157
-
6
-
-
-
-
6
8,151
Following the 5th update of Banca d’Italia Circular 262, starting from 31 December 2018, the table shows the deferred tax asset annual changes of
which L.214/2011 both equity balancing and income statement balancing.
UniCredit ·2019 Annual Report and Accounts 581
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
10.4 Deferred tax liabilities: annual changes (balancing P&L)
1. Opening balance
2. Increases
2.1 Deferred tax liabilities arisen during the year
a) Relating to previous years
b) Due to change in accounting criteria
c) Other
2.2 New taxes or increases in tax rates
2.3 Other increases
3. Decreases
3.1 Deferred tax liabilities derecognised during the year
a) Reversals of temporary differences
b) Due to change in accounting criteria
c) Other
3.2 Reduction in tax rates
3.3 Other decreases
4. Closing balance
CHANGES IN
2019
-
158
2
-
-
2
-
156
158
105
-
-
105
-
53
-
The items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year.
10.5 Deferred tax assets: annual changes (balancing Net Equity)
CHANGES IN
2019
357
507
46
4
-
42
-
461
230
226
224
2
-
-
-
4
634
1. Opening balance
2. Increases
2.1 Deferred tax assets arisen during the year
a) Relating to previous years
b) Due to change in accounting criteria
c) Other
2.2 New taxes or increase in tax rates
2.3 Other increases
3. Decreases
3.1 Deferred tax assets derecognised during the year
a) Reversals of temporary differences
b) Write-downs of non-recoverable items
c) Due to change in accounting criteria
d) Other
3.2 Reduction in tax rates
3.3 Other decreases
4. Closing balance
582 2019 Annual Report and Accounts · UniCredit
(€ million)
2018
-
186
20
-
-
20
-
166
186
25
19
-
6
-
161
-
(€ million)
2018
346
276
270
-
-
270
-
6
265
265
91
169
-
5
-
-
357
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
10.6 Deferred tax liabilities: annual changes (balancing Net Equity)
1. Opening balance
2. Increases
2.1 Deferred tax liabilities arisen during the year
a) Relating to previous years
b) Due to change in accounting criteria
c) Other
2.2 New taxes or increase in tax rates
2.3 Other increases
3. Decreases
3.1 Deferred tax liabilities derecognised during the year
a) Reversal of temporary differences
b) Due to change in accounting criteria
c) Other
3.2 Reduction in tax rates
3.3 Other decreases
4. Closing balance
CHANGES IN
2019
-
420
324
-
251
73
-
96
420
28
28
-
-
-
392
-
(€ million)
2018
-
357
124
-
-
124
-
233
357
261
58
-
203
-
96
-
The items “2.3 Other increases” and “3.3 Other decreases” include the effect of netting DTA/DTL of previous and current year.
10.7 Other information
Italian Tax Group
The Tax Group regime was introduced in Italy by Legislative Decree no.344 of 12 December 2003, that implemented the Italian corporate income
tax (IRES) reform.
The regime of national Tax Group is optional, with a duration bound for three financial years and certain conditions (controlling relationship, same
operating period) to be met.
The participation to the Tax Group regime allows the offsetting between taxable income and tax losses generated by the companies participating to
such regime.
For financial year 2019 the following legal entities adhered to the Italian Tax Group with UniCredit S.p.A.:
UniCredit Factoring - Milan;
UniCredit Leasing - Milan;
Cordusio Fiduciaria - Milan;
UniCredit Services (ex UniCredit Business Integrated Solutions) - Milan;
Cordusio SIM - Milan;
UniCredit Bank AG - Milan Branch.
The number of legal entities participating to the Italian Tax Group is unchanged compared to year 2018.
Deferred tax assets due to tax losses carried forward
Deferred tax assets on tax loss, equal to €214 million for taxes could have been registered in 2019, in addition to the residual tax losses carried
forward for the period 2016-2018 for a total amount of €3,515 million (the amount includes a residual amount of €10 million tax loss carried forward
deriving from the merger of the subsidiaries PGAM and Buddy Servizi Molecolari) of which €2,897 as deferred tax assets in Profit & Loss and €618
as deferred tax assets in Net Assets. Following the sustainability test, also considering that the Tax Group shows a tax credit, an amount of deferred
tax assets limited to €546 million (of which €7 million in Profit & Loss and €539 million in Net Assets) can be registered.
The amount of deferred tax assets arising from tax losses not booked is equal to €3,129 million of which (i) €2,737 million (€2,668 million deriving
from accounting items originated in the Income statement and €69 million from Net equity components) referred to the Italian Tax Group perimeter
and related to the 24% IRES ordinary tax rate and (ii) €392 million (€382 million deriving from accounting items originated in the Income statement
and €10 million from Net equity components) referred to UniCredit S.p.A. and related to the 3.5% IRES additional tax rate.
In respect of foreign branches, relevant tax losses not utilized are equal to €6.374 million, due to start-up expenses or other operating costs. Said tax
losses can only be used against the taxable income at the level of permanent establishment of Wien and of each single branch for taxes due in the
relevant Country of establishment.
UniCredit ·2019 Annual Report and Accounts 583
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
Section 11 - Non current assets and disposal groups classified as held for sale and
Liabilities associated with assets classified as held for sale - Item 110 (Assets) and Item
70 (Liabilities)
11.1 Non-current assets and disposal groups classified as held for sale: breakdown by asset type
AMOUNTS AS AT
12.31.2019
12.31.2018
(€ million)
A. Assets held for sale
A.1 Financial assets
A.2 Equity investments
A.3 Property, plant and equipment
of which: obtained by the enforcement of collateral
A.4 Intangible assets
A.5 Other non-current assets
Total (A)
of which: carried at cost
of which: designated at fair value - level 1
of which: designated at fair value - level 2
of which: designated at fair value - level 3
B. Discontinued operations
B.1 Financial assets at fair value through profit or loss
- Financial assets held for trading
- Financial assets designated at fair value
- Other financial assets mandatorily at fair value
B.2 Financial assets at fair value through other comprehensive income
B.3 Financial assets at amortised cost
B.4 Equity investments
B.5 Property, plant and equipment
of which: obtained by the enforcement of collateral
B.6 Intangible assets
B.7 Other assets
Total (B)
of which: carried at cost
of which: designated at fair value - level 1
of which: designated at fair value - level 2
of which: designated at fair value - level 3
C. Liabilities associated with assets classified as held for sale
C.1 Deposits
C.2 Securities
C.3 Other liabilities
Total (C)
of which: carried at cost
of which: designated at fair value - level 1
of which: designated at fair value - level 2
of which: designated at fair value - level 3
D. Liabilities associated with discontinued operations
D.1 Financial liabilities at amortised cost
D.2 Financial liabilities held for trading
D.3 Financial liabilities designated at fair value
D.4 Provisions
D.5 Other liabilities
Total (D)
of which: carried at cost
of which: designated at fair value - level 1
of which: designated at fair value - level 2
of which: designated at fair value - level 3
263
862
17
-
-
-
1,142
1,125
-
17
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
54
-
62
-
-
-
116
54
-
62
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
Sub-item “A.2 Equity investments” is composed by stakes into Koc Finansal Hizmetler Istanbul AS and Sia UniCredit Leasing.
584 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
Section 12 - Other assets - Item 120
12.1 Other assets: breakdown
ITEMS/VALUES
Margin with derivatives clearers (non-interest bearing)
Gold, silver and precious metals
Accrued income and prepaid expenses other than capitalised income
Positive value of management agreements (so-called servicing assets)
Cash and other valuables held by cashier
- Current account cheques being settled, drawn on third parties
- Current account cheques payable by group banks, cleared and in the process of being debited
- Money orders, bank drafts and equivalent securities
- Coupons, securities due on demand, revenue stamps and miscellaneous valuables
Interest and changes to be debited to
- Customers
- Banks
Items in transit between branches not yet allocated to destination accounts
Items in processing
Items deemed definitive but not-attributable to other items
- Securities and coupons to be settled
- Other transactions
Adjustments for unpaid bills and notes
Tax items other than those included in item 110
Commercial credits pursuant to IFRS15
Other items
Total
AMOUNTS AS AT
12.31.2019
12.31.2018
(€ million)
-
-
234
-
187
187
-
-
-
-
-
-
-
156
1,301
34
1,267
6
1,411
-
611
3,906
-
-
219
-
277
277
-
-
-
22
22
-
-
271
1,180
42
1,138
7
1,469
-
431
3,876
It should be noted that, as at 31 December 2019, among the "Other items" are recognised, at their fair value of €69 million, the precious stones
(diamonds) repurchased from customers within the "customer care" initiative promoted by the Bank regarding this topic.
Item “Accrued income and prepaid expenses other than capitalised income” includes the contract assets recognized in accordance with IFRS15.
In this context accrued income represents the portion of the performance obligation already satisfied through the services provided by the Bank and
that will be settled in the future periods in accordance with contractual provisions.
The aggregate amount of revenues from services to customers related to the portion of performance obligations not yet satisfied, and therefore not
represented in the table above, is of a non-material amount and relates to performance obligations expected to be satisfied by the following year end
reporting date.
It should be noted that during the period there have not been significant changes in the accrued income and prepaid expenses not included in the
carrying amount of the relevant financial assets.
UniCredit ·2019 Annual Report and Accounts 585
Company financial statements | Notes to the accounts
Part B - Balance sheet - Assets
Periodic change of accrued income/expenses and prepaid expenses/income
Opening balance
Increases
a) Changes due to business combinations
b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract
liability, including adjustments arising from a change in the measure of progress, a change in an
estimate of the transaction price (including any changes in the assessment of whether an estimate of
variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b)
c) Reversal of impairment of a contract asset (IFRS15 Par. 118.c)
d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset
to be reclassified to a receivable) (IFRS15 Par. 118.d)
e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue
arising from a contract liability (IFRS15 Par. 118.e)
f) Other
Decreases
a) Changes due to business combinations
b) Cumulative catch-up adjustments to revenue that affect the corresponding contract asset or contract
liability, including adjustments arising from a change in the measure of progress, a change in an
estimate of the transaction price (including any changes in the assessment of whether an estimate of
variable consideration is constrained) or a contract modification (IFRS15 Par. 118.b)
c) Impairment of a contract asset (IFRS15 Par. 118.c)
d) Change in the time frame for a right to consideration to become unconditional (ie for a contract asset
to be reclassified to a receivable) (IFRS15 Par. 118.d)
e) Change in the time frame for a performance obligation to be satisfied (ie for the recognition of revenue
arising from a contract liability (IFRS15 Par. 118.e)
f) Other
Closing balance
(€ million)
AMOUNTS AS AT
12.31.2019
ACCURRED INCOME AND
PREPAID EXPENSES
219
19
-
ACCURRED INCOME AND
DEFERRED EXPENSES
138
25
-
-
-
-
-
19
4
-
-
-
-
-
4
234
-
X
-
-
25
8
-
-
X
-
-
8
155
586 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part B - Balance sheet - Liabilities
Liabilities
Section 1 - Financial liabilities at amortised cost - Item 10
1.1 Financial liabilities at amortised cost: breakdown by product of deposits from banks
TYPE OF TRANSACTIONS/VALUES
1. Deposits from central banks
2. Deposits from banks
2.1 Current accounts and demand
deposits
2.2 Time deposits
2.3 Loans
2.3.1 Repos
2.3.2 Other
2.4 Liabilities relating to commitments
to repurchase treasury shares
2.5 Lease deposits
2.6 Other deposits
Total
Total Level 1, Level 2 and Level 3
AMOUNTS AS AT 12.31.2019
AMOUNTS AS AT 12.31.2018
BOOK
VALUE
33,890
23,688
2,746
4,203
16,723
12,882
3,841
-
7
9
57,578
LEVEL 1
X
X
FAIR VALUE
LEVEL 2
X
X
LEVEL 3
X
X
X
X
X
X
X
X
X
X
-
X
X
X
X
X
X
X
X
15,387
X
X
X
X
X
X
X
X
42,173
57,560
BOOK
VALUE
34,628
24,367
3,867
5,057
15,443
10,299
5,144
-
-
-
58,995
LEVEL 1
X
X
FAIR VALUE
LEVEL 2
X
X
X
X
X
X
X
X
X
X
-
X
X
X
X
X
X
X
X
25,293
(€ million)
LEVEL 3
X
X
X
X
X
X
X
X
X
X
33,126
58,419
“Deposits from central banks” include TLTRO II facilities launched by the Governing Council of the European Central Bank with Decision (EU)
2016/810 for €33 billion, the same amount as at 2018 year end.
Deposits from banks are not carried based at their fair value, which is only shown in order to meet disclosure requirements. Fair value
measurements have been classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information see
Part A - Accounting policies - A.4 Information on fair value of these notes to the accounts.
1.2 Financial liabilities at amortised cost: breakdown by product of deposits from customers
AMOUNTS AS AT 12.31.2019
AMOUNTS AS AT 12.31.2018
TYPE OF TRANSACTION/VALUES
1. Current accounts and demand deposits
2. Time deposits
3. Loans
3.1 Repos
3.2 Other
4. Liabilities relating to commitments to
repurchase treasury shares
5. Lease deposits
6. Other deposits
Total
Total Level 1, Level 2 and Level 3
BOOK
VALUE
165,706
1,024
44,826
43,959
867
-
1,343
4,140
217,039
LEVEL 1
FAIR VALUE
LEVEL 2
LEVEL 3
X
X
X
X
X
X
X
X
-
X
X
X
X
X
X
X
X
44,520
X
X
X
X
X
X
X
X
172,530
217,050
BOOK
VALUE
158,061
1,196
47,829
46,890
939
-
-
4,786
211,872
LEVEL 1
FAIR VALUE
LEVEL 2
X
X
X
X
X
X
X
X
-
X
X
X
X
X
X
X
X
47,500
(€ million)
LEVEL 3
X
X
X
X
X
X
X
X
164,222
211,722
Deposits from customers are not carried at fair value, which is presented solely for the purpose of fulfilling financial disclosure requirements.
Fair value measurements have been classified according to a hierarchy of levels reflecting the observability of the valuations input. The fair value of
demand items was estimated to be equal to their net book value by exercising the option provided for by IFRS7.29. According to this assumption,
demand items were classified as Level 3 in the fair value hierarchy. For further information see Part A - Accounting policies - A.4 Information on fair
value of these notes to the accounts.
UniCredit ·2019 Annual Report and Accounts 587
Company financial statements | Notes to the accounts
Part B - Balance sheet - Liabilities
1.3 Financial liabilities at amortised cost: breakdown by product of debt securities in issue
TYPE OF SECURITIES/VALUES
A. Debt securities
1. Bonds
1.1 Structured
1.2 Other
2. Other securities
2.1 Structured
2.2 Other
Total
Total Level 1, Level 2 and Level 3
AMOUNTS AS AT 12.31.2019
AMOUNTS AS AT 12.31.2018
BOOK
VALUE
51,065
422
50,643
3,444
101
3,343
54,509
LEVEL 1
FAIR VALUE
LEVEL 2
LEVEL 3
30,222
-
30,222
-
-
-
30,222
23,346
423
22,923
143
108
35
23,489
-
-
-
3,309
-
3,309
3,309
57,020
BOOK
VALUE
49,459
716
48,743
3,510
110
3,400
52,969
LEVEL 1
FAIR VALUE
LEVEL 2
27,590
-
27,590
-
-
-
27,590
22,461
691
21,770
170
114
56
22,631
(€ million)
LEVEL 3
2
-
2
3,345
-
3,345
3,347
53,568
Sub-items “1.1 structured” of bonds and “2.1. structured” of other securities totally amount to €523 million and represent 0.96% of the total.
They mainly relate to interest-rate linked instruments with highly correlated derivative component, identified in accordance with the Mifid
classification rules.
Issued bonds increase due to joint effect of maturities and new issuances and as a consequence of buy-backs realised in the period.
Fair value measurements solely for financial disclosure purposes only are classified according to a hierarchy of levels reflecting the observability of
the inputs used. For further information see Part A - Accounting policies - A.4 Information on fair value of these notes to the accounts.
1.4 Detail of subordinated debts/bonds
The list of all subordinated debt instruments and bonds is presented in Part F - Shareholders’ equity.
The subordinated debt recognised in item “Deposits from banks” amounts to nil, the one in item “Deposits from customers” amounts to nil, the one in
item “Debt securities in issue” amounts to €11,483 million.
1.5 Detail of structured debts
Structured deposits from banks or customers do not exist.
1.6 Amounts payable under finance leases
TIME BUCKET
Up to 1 year
1 year to 2 years
2 year to 3 years
3 year to 4 years
4 year to 5 years
Over 5 years
Total Lease Payments to be made
RECONCILIATION WITH DEPOSITS
Unearned finance expenses (-) (Discounting effect)
Lease deposits
12.31.2019
CASH OUTFLOWS
FINANCE LEASES
-
-
-
-
-
(1)
(1)
OPERATING LEASES
225
216
204
184
173
477
1,479
(€ million)
12.31.2018
CASH OUTFLOWS
FINANCE LEASES
-
-
-
-
-
-
-
OPERATING LEASES
-
-
-
-
-
-
-
-
(1)
128
1,351
-
-
-
-
It should be noted that table 1.6 Amounts payable under finance leases reports the maturity analysis based on time bucket of the lease liability as
requested by IFRS16 and the concurrent update to Circular 262 of Banca d’Italia.
588 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part B - Balance sheet - Liabilities
Section 2 - Financial liabilities held for trading - Item 20
2.1 Financial liabilities held for trading: breakdown by product
TYPE OF TRANSACTIONS/VALUES
A. Cash liabilities
1. Deposits from banks
2. Deposits from customers
3. Debt securities
3.1 Bonds
3.1.1 Structured
3.1.2 Other
3.2 Other securities
3.2.1 Structured
3.2.2 Other
Total (A)
B. Derivatives instruments
1. Financial derivatives
1.1 Trading derivatives
1.2 Linked to fair value
option
1.3 Other
2. Credit derivatives
2.1 Trading derivatives
2.2 Linked to fair value
option
2.3 Other
Total (B)
Total (A+B)
AMOUNTS AS AT 12.31.2019
AMOUNTS AS AT 12.31.2018
NOMINAL
VALUE
LEVEL 1
FAIR VALUE
LEVEL 2
LEVEL 3
FAIR
VALUE*
NOMINAL
VALUE
LEVEL 1
FAIR VALUE
LEVEL 2
LEVEL 3
-
-
-
-
-
-
-
-
-
-
X
X
X
X
X
X
X
X
X
X
242
7,174
-
-
-
-
-
-
-
7,416
6
6
-
-
-
-
-
-
6
7,422
-
-
-
-
-
-
-
-
-
-
5,916
5,478
300
138
-
-
-
-
5,916
5,916
-
-
-
-
-
-
-
-
-
-
65
9
17
39
-
-
-
-
65
65
242
7,174
-
-
X
X
-
X
X
7,416
X
X
X
X
X
X
X
X
X
X
-
-
-
-
-
-
-
-
-
-
X
X
X
X
X
X
X
X
X
X
325
4,318
-
-
-
-
-
-
-
4,643
18
18
-
-
-
-
-
-
18
4,661
-
-
-
-
-
-
-
-
-
-
5,297
4,805
313
179
-
-
-
-
5,297
5,297
-
-
-
-
-
-
-
-
-
-
426
285
98
43
-
-
-
-
426
426
(€ million)
FAIR
VALUE*
325
4,318
-
-
X
X
-
X
X
4,643
X
X
X
X
X
X
X
X
X
X
Total Level 1, Level 2 and Level 3
13,403
10,384
Note:
Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date.
Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information
see Part A - Accounting Policies - A.4 Information on fair value of these notes to the accounts.
“Deposit from banks” and “Deposit from customers” are referred to technical overdrafts in respect of which no nominal amount was attributed. They
are fed by the recognition of technical overdrafts typical of primary dealer and market-maker transactions in government bonds.
“Financial derivatives: other” comprises derivatives that, for economic purposes are associated with Banking Book instruments.
2.2 Detail of financial liabilities held for trading: subordinated liabilities
Subordinated trading financial liabilities do not exist.
2.3 Detail of financial liabilities held for trading: structured debts
Structured trading financial liabilities do not exist.
UniCredit ·2019 Annual Report and Accounts 589
Company financial statements | Notes to the accounts
Part B - Balance sheet - Liabilities
Section 3 - Financial liabilities designated at fair value - Item 30
3.1 Financial liabilities designated at fair value: breakdown by product
TYPE OF TRANSACTIONS/VALUES
1. Deposits from banks
1.1 Structured
1.2 Other
of which:
- loan commitments given
- financial guarantees given
2. Deposits from customers
2.1 Structured
2.2 Other
of which:
- loan commitments given
- financial guarantees given
3. Debt securities
3.1 Structured
3.2 Other
Total
Total Level 1, Level 2 and Level 3
NOMINAL
VALUE
AMOUNTS AS AT
12.31.2019
FAIR VALUE
LEVEL 1
LEVEL 2
LEVEL 3
FAIR
VALUE*
NOMINAL
VALUE
AMOUNTS AS AT
12.31.2018
FAIR VALUE
LEVEL 1
LEVEL 2
LEVEL 3
-
-
-
-
-
-
-
-
-
-
3,636
3,636
-
3,636
-
-
-
X
X
-
-
-
X
X
-
-
-
-
-
-
-
X
X
-
-
-
X
X
3,607
3,607
-
3,607
-
-
-
X
X
-
-
-
X
X
133
133
-
133
3,740
-
X
X
X
X
-
X
X
X
X
-
-
-
-
-
-
-
-
-
-
3,634
X
X
3,634
3,814
3,814
-
3,814
-
-
-
X
X
-
-
-
X
X
-
-
-
-
-
-
-
X
X
-
-
-
X
X
3,535
3,535
-
3,535
-
-
-
X
X
-
-
-
X
X
-
-
-
-
3,535
Note:
Fair value* = Fair value calculated excluding the value changes due to the change of credit worthiness of the issuer compared to the issue date.
(€ million)
FAIR
VALUE*
-
X
X
X
X
-
X
X
X
X
3,592
X
X
3,592
Valuations at fair value were classified according to a hierarchy of levels reflecting the observability of the valuations input. For further information
see Part A - Accounting policies - A.4 Information on fair value of these notes to the accounts.
Item “Debt securities - Structured” includes “Certificates” (structured debt securities) issued by UniCredit S.p.A. starting from the first quarter of
2016. These securities are classified as measured at fair value their embedded derivative component not being separable.
The “Secured mandatorily exchangeable equity-linked certificate” referred to the residual shares in Bank Pekao S.A. after the sale of the 32.8%
stake to Powszechny Zakład Ubezpieczeń S.A. and Polish Development Fund S.A. occurred in June 2017, included in December 2018 amount for
€396 million, has expired at the end of 2019.
3.2 Detail of financial liabilities designated at fair value: subordinated liabilities
Subordinated financial liabilities designated at fair value do not exist.
590 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part B - Balance sheet - Liabilities
Section 4 - Hedging derivatives - Item 40
4.1 Hedging derivatives: breakdown by type of hedging and by levels
A. Financial derivatives
1) Fair value
2) Cash flows
3) Net investment in foreign
subsidiaries
B. Credit derivatives
1) Fair value
2) Cash flows
Total
Total Level 1, Level 2 and Level 3
AMOUNTS AS AT 12.31.2019
AMOUNTS AS AT 12.31.2018
NOTIONAL
AMOUNT
235,827
225,991
9,836
-
-
-
-
235,827
LEVEL 1
166
166
-
-
-
-
-
166
FAIR VALUE
LEVEL 2
4,716
4,498
218
-
-
-
-
4,716
NOTIONAL
AMOUNT
337,752
328,087
9,665
-
-
-
-
337,752
LEVEL 1
99
99
-
-
-
-
-
99
FAIR VALUE
LEVEL 2
4,414
4,190
224
-
-
-
-
4,414
LEVEL 3
-
-
-
-
-
-
-
-
4,882
4.2 Hedging derivatives: breakdown by hedged portfolios and type of hedging
(€ million)
LEVEL 3
12
12
-
-
-
-
-
12
4,525
(€ million)
AMOUNTS AS AT
12.31.2019
FAIR VALUE
MICRO-HEDGE
CASH FLOW
DEBT
SECURITIES
AND
INTEREST
RATES RISK
EQUITY
INSTRUMENTS
AND EQUITY
INDICES RISK
CURRENCY
AND GOLD
CREDIT
RISK COMMODITIES
OTHER
MACRO-
HEDGE
MICRO-
HEDGE
MACRO-
HEDGE
FOREIGN
INVESTMENTS
934
142
X
-
1,076
-
X
-
X
X
-
X
X
-
-
X
X
-
X
X
12
-
X
-
12
-
X
-
X
X
-
-
X
-
-
-
X
-
X
X
X
X
X
-
-
-
X
-
X
X
X
X
X
-
-
-
X
-
X
X
X
X
3,260
X
3,260
X
316
316
X
-
-
-
X
-
-
-
X
-
-
X
X
X
189
X
189
X
29
29
X
-
X
X
X
-
-
X
X
-
X
-
TRANSACTIONS/HEDGE TYPES
1. Financial assets at fair value
through other comprehensive
income
2. Financial assets at amortised
cost
3. Portfolio
4. Other transactions
Total assets
1. Financial liabilities
2. Portfolio
Total liabilities
1. Expected transactions
2. Financial assets and liabilities
portfolio
Section 5 - Value adjustment of hedged financial liabilities - Item 50
5.1 Changes to hedged financial liabilities
CHANGES TO HEDGED LIABILITIES/GROUP COMPONENTS
1. Positive changes to financial liabilities
2. Negative changes to financial liabilities
Total
Section 6 - Tax liabilities - Item 60
See Section 10 of Assets.
AMOUNTS AS AT
12.31.2019
3,012
(286)
2,726
(€ million)
12.31.2018
2,134
(364)
1,770
UniCredit ·2019 Annual Report and Accounts 591
Company financial statements | Notes to the accounts
Part B - Balance sheet - Liabilities
Section 7 - Liabilities associated with assets classified as held for sale - Item 70
See Section 11 of Assets.
Section 8 - Other liabilities - Item 80
8.1 Other liabilities: breakdown
ITEMS/VALUES
Liabilities in respect of financial guarantees issued
Accrued expenses and deferred income other than those to be capitalised for the financial liabilities
concerned
Negative value of management agreements (so-called servicing assets)
Payment agreements based on the value of own capital instruments classified as deposits pursuant to
IFRS2
Other liabilities due to employees
Other liabilities due to other staff
Other liabilities due to Directors and Statutory Auditors
Interest and amounts to be credited to
- Customers
- Banks
Items in transit between branches and not yet allocated to destination accounts
Available amounts to be paid to others
Items in processing
Entries relating to securities transactions
Definitive items but not attributable to other lines
- Accounts payable - suppliers
- Provisions for tax withholding on accrued interest, bond coupon payments or dividends
- Other entries
Liabilities for miscellaneous entries related to tax collection service
Adjustments for unpaid portfolio entries
Tax items different from those included in item 60
Other entries
Total
AMOUNTS AS AT
12.31.2019
-
155
-
(€ million)
12.31.2018
2
138
-
-
956
43
-
-
-
-
36
-
362
122
2,476
617
2
1,857
-
971
914
120
6,155
-
1,362
38
9
-
-
-
40
-
493
99
3,396
622
2
2,772
-
930
943
167
7,617
Item “Accrued expenses and deferred income other than those to be capitalised for the financial liabilities” includes the contract liabilities recognised
in accordance with IFRS15.
In this context, deferred income represents the portion of performance obligations not yet satisfied through the services provided by the Bank but
already settled during the period or in previous periods.
The majority of this amount relates to performance obligations expected to be satisfied by the following year end reporting date.
Refer to Section 12 - Other assets for information about the changes in deferred income and accrued expenses occurred in the period.
592 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part B - Balance sheet - Liabilities
Section 9 - Provision for employee severance pay - Item 90
The “TFR” provision for Italy-based employee benefits is to be constructed as a “post-retirement defined benefit”. It is therefore recognised on the
basis of an actuarial estimate of the amount of benefit accrued by employees discounted to present value. This benefit is calculated by an external
actuary using “projected unit credit” method (see Part A.2 - Main Items of the Accounts).
9.1 Provisions for employee severance pay: annual changes
A. Opening balance
B. Increases
B.1 Provisions for the year
B.2 Other increases
of which: business combinations
C. Reductions
C.1 Severance payments
C.2 Other decreases
of which: business combinations
D. Closing Balance
9.2 Other information
Cost Recognised in P&L:
- Current Service Cost
- Interest Cost on the DBO
- Settlement (gains)/losses
- Past Service Cost
Remeasurement Effects (Gains) Losses Recognised in OCI
Annual weighted average assumptions
- Discount rate
- Price inflation
CHANGES IN
2019
629
77
10
67
20
83
72
11
-
623
CHANGES IN
2019
10
-
10
-
-
32
0.75%
0.95%
(€ million)
2018
829
12
11
1
-
212
194
18
3
629
(€ million)
2018
11
-
11
-
-
(14)
1.60%
1.20%
The financial duration of the commitments is 10.6 years; the balance of the negative Revaluation reserves net of tax changed from -€95 million at 31
December 2018 to -€118 million at 31 December 2019.
A change of -25 basis points in the discount rate would result in an increase in liabilities of €17million (+2.67%); an equivalent increase in the rate,
on the other hand, would result in a reduction in liabilities of €16 million (-2.60%). A change of -25 basis points in the inflation rate would result in a
reduction in liabilities of €10 million (-1.61%); an equivalent increase in the rate, on the other hand, would result in an increase in liabilities of €10
million (+1.63%).
UniCredit ·2019 Annual Report and Accounts 593
Company financial statements | Notes to the accounts
Part B - Balance sheet - Liabilities
Section 10 - Provisions for risks and charges - Item 100
10.1 Provisions for risks and charges: breakdown
ITEMS/COMPONENTS
1. Provisions for credit risk on commitments and financial guarantees given
2. Provisions for other commitments and other guarantees given
3. Pensions and other post-retirement benefit obligations
4. Other provisions for risks and charges
4.1 Legal and tax disputes
4.2 Staff expenses
4.3 Other
Total
AMOUNTS AS AT
12.31.2019
415
-
95
1,789
516
426
847
2,299
(€ million)
12.31.2018
492
-
91
1,900
707
383
810
2,483
To cover liabilities that may result from pending lawsuits (excluding labor disputes and tax cases), UniCredit S.p.A. has set aside a provision for risks
and charges of €465 million (€647 million at 31 December 2018). More details are included in Part E - Information on risks and risks management
policies.
10.2 Provisions for risks and charges: annual changes
A. Opening balance
B. Increases
B.1 Provisions for the year
B.2 Changes due to the passing time
B.3 Differences due to discount-rate changes
B.4 Other changes
of which: business combinations
C. Decreases
C.1 Use during the year
C.2 Differences due to discount-rate changes
C.3 Other changes
of which: business combinations
D. Closing balance
CHANGES IN 2019
PROVISIONS FOR
OTHER OFF-BALANCE
SHEET COMMITMENTS
AND OTHER
GUARANTEES GIVEN
-
-
-
-
-
-
-
-
-
-
-
-
-
PENSION AND POST-
RETIREMENT BENEFIT
OBLIGATIONS
91
22
1
1
-
20
-
18
-
-
18
-
95
OTHER PROVISIONS
FOR RISKS AND
CHARGES
1,900
566
521
1
3
41
3
677
626
-
51
-
1,789
(€ million)
TOTAL
1,991
588
522
2
3
61
3
695
626
-
69
-
1,884
More details on provisions for commitments and guarantees given are presented into tables 10.3 Provisions for credit risk on commitments and
financial guarantees given and 10.4 Provisions on other commitments and other issued guarantees.
More details about annual changes for pensions and post-retirement benefit obligation are presented in table 10.5 - Pensions and other
postretirement defined benefit obligations.
10.3 Provisions for credit risk on commitments and financial guarantees given
Loan commitments given
Financial guarantees given
Total
PROVISIONS FOR CREDIT RISK ON COMMITMENTS AND FINANCIAL GUARANTEES GIVEN
AMOUNTS AS AT 12.31.2019
STAGE 1
23
29
52
STAGE 2
14
9
23
STAGE 3
2
338
340
TOTAL
39
376
415
(€ million)
594 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part B - Balance sheet - Liabilities
10.4 Provisions on other commitments and other issued guarantees
No data to be disclosed.
10.5 Pensions and other post-retirement defined-benefit obligations
1. Pensions and other post-retirement benefit obligations
In respect of Pensions and other post-retirement benefit obligations, the Annexes provide details of Internal Fund movements and include
statements of changes in funds with segregated assets pursuant to Art.2117 of the Italian Civil Code, as well as explanatory notes thereto.
According to IAS19, obligations arising from defined-benefit plans are determined using the “projected unit credit” method, while segregated assets
are measured at fair value. The balance sheet obligation is the result of the deficit/surplus (i.e. the difference between obligations and assets) net of
any impacts of the asset ceiling; actuarial gains and losses are recognised in shareholders’ equity and shown in a specific item of revaluation
reserves in the financial year in which they are recorded.
The actuarial assumptions used to determine obligations vary from country to country and from plan to plan; the discount rate is determined,
depending on the currency of denomination of the commitments and the maturity of the liability, by reference to market yields at the balance sheet
date on a basket of “high quality corporate bonds”.
In light of evolving common interpretation about “high quality corporate bonds” identification and persisting interest rates decreasing trend, UCG
refined its Discount Rate setting methodology by referencing AA rated corporate bonds basket. In addition, a Nelson Siegel methodology has been
applied in modelling the yield-curve expressed by the basket of securities ( adjusted above the last liquid point - defined as the average maturity of
the last 5 available bonds - relying on the slope of a Treasury curve build with AA Govies).
The balance of the negative Revaluation reserves net of tax changed from -€100 million at 31 December 2018 to -€104 million at 31 December
2019.
2. Changes of net defined benefit liability/asset and any reimbursement rights
2.1 Breakdown of defined benefit net obligation
Current value of the defined benefit obligation
Current value of the plan assets
Deficit/(Surplus)
Irrecoverable surplus (effect of asset ceiling)
Net defined benefit liability/(asset) as of the period end date
2.2 Changes in defined benefit obligations
Initial defined benefit obligation
Current service cost
Settlement (gain)/loss
Past service cost
Interest expense on the defined benefit obligation
Write-downs for actuarial (gains)/losses on defined benefit plans
Employees' contributions for defined benefit plans
Disbursements from plan assets
Disbursements directly paid by the fund
Settlements
Other increases (decreases)
Net defined benefit liability/(asset) as of the period end date
12.31.2019
340
(245)
95
-
95
12.31.2019
344
1
-
-
5
17
-
-
(30)
-
2
339
(€ million)
12.31.2018
344
(254)
90
-
90
(€ million)
12.31.2018
378
1
1
-
6
(2)
-
(37)
-
(5)
2
344
UniCredit ·2019 Annual Report and Accounts 595
Company financial statements | Notes to the accounts
Part B - Balance sheet - Liabilities
2.3 Changes to plan assets
Initial fair value of plan assets
Interest income on plan assets
Administrative expenses paid from plan assets
Write-downs on the fair value of plan assets for actuarial gains (losses) on the discount rate
Employer contributions
Disbursements from plan assets
Settlements
Other increases (decreases)
Final fair value of plan assets
3. Main plan asset classes
1. Shares
2. Bonds
3. Units in investment funds
4. Real estate properties
5. Derivative instruments
6. Other assets
Total
12.31.2019
254
4
-
13
3
-
-
(29)
245
12.31.2019
17
118
25
2
-
83
245
(€ million)
12.31.2018
301
5
-
(14)
2
(36)
(5)
1
254
(€ million)
12.31.2018
27
191
9
2
-
25
254
4. Significant actuarial assumptions used to determine the current value of defined benefit obligation
12.31.2019
12.31.2018
Discount rate
Expected return on plan assets
Expected compensation increase rate
Future increases relating to pension treatments
Expected inflation rate
5. Impact of changes in financial/demographic assumptions on DBOs and financial duration
%
0.89
0.89
1.53
0.97
1.23
- Impact of changes in financial/demographic assumptions on DBOs
A. Discount rate
A1. -25 basis points
A2. +25 basis points
B. Future increase rate relating to pension treatments
B1. -25 basis points
B2. +25 basis points
C. Mortality
C.1 Life expectancy + 1 year
- Financial duration (years)
596 2019 Annual Report and Accounts · UniCredit
%
1.62
1.62
1.51
1.12
1.46
(€ million)
12.31.2019
8
2.43%
(8)
-2.31%
(4)
-1.42%
5
1.47%
19
5.53%
9.5
Company financial statements | Notes to the accounts
Part B - Balance sheet - Liabilities
10.6 Provisions for risks and charges - other provisions
4.3 Other provisions for risks and charges - other
Real estate risks/charges
Restructuring costs
Allowances payable to agents
Disputes regarding financial instruments and derivatives
Costs for liabilities arising from equity investment disposals
Other
Total
AMOUNTS AS AT
12.31.2019
12.31.2018
(€ million)
-
-
4
7
218
618
847
-
-
3
7
187
613
810
Other Provisions include:
the ones posted in order to cope with the probable risks of loss related to the repurchases of diamonds, that could be carried out under action of
“customer care” promoted by the Bank. To complete the information more details are included in Part E - Information about risks and hedging
policies - Other claims by customers;
those referring to cover the risks related to certain standard contractual terms contained in the documentary frameworks (i.e. reps & warranties),
including securitisation transactions signed with the SPVs, of which UniCredit S.p.A. is Originator, pending the analysis and assessments to be
completed within the deadlines established.
Section 11 - Redeemable shares - Item 120
No data to be disclosed in this section.
Section 12 - Shareholders’ equity - Item 110, 130, 140, 150, 160, 170 and 180
Further information about shareholders’ equity are disclosed in Part F - Shareholders’ equity.
12.1 "Share capital" and "treasury shares": breakdown
A. Share capital
A.1 Ordinary shares
A.2 Savings shares
Total A
B. Treasury shares
B.1 Ordinary shares
B.2 Savings shares
Total B
AMOUNTS AS AT 12.31.2019
AMOUNTS AS AT 12.31.2018
(€ million)
ISSUED SHARES
UNDERWRITTEN
SHARES
ISSUED SHARES
UNDERWRITTEN
SHARES
20,995
-
20,995
(2)
-
(2)
-
-
-
-
-
-
20,940
-
20,940
(2)
-
(2)
-
-
-
-
-
-
Share capital, which at 31 December 2018 was represented by No.2,230,176,665 ordinary shares, in 2019 changed due to a free share capital
increase by €55 million resolved on 6 February 2019 by UniCredit’s Board of Directors by issuing No.3,200,177 ordinary shares to be granted to the
employees of UniCredit S.p.A. and of Group banks and companies.
As a result of the above at 31 December 2019 the share capital of UniCredit S.p.A. amounts to €20,995 million represented by No.2,233,376,842
ordinary shares with no nominal value.
The number of treasury shares outstanding was No.4,760 ordinary shares, unchanged with respect to 2018.
UniCredit ·2019 Annual Report and Accounts 597
Company financial statements | Notes to the accounts
Part B - Balance sheet - Liabilities
12.2 Share capital - Number of shares: annual changes
ITEMS/TYPES
A. Issued shares as at the beginning of the year
- Fully paid
- Not fully paid
A.1 Treasury shares (-)
A.2 Shares outstanding: opening balance
B. Increases
B.1 New issues
- Against payment
- Business combinations
- Bonds converted
- Warrants exercised
- Other
- Free
- To employees
- To directors
- Other
B.2 Sales of treasury shares
B.3 Other changes
C. Decreases
C.1 Cancellation
C.2 Purchase of treasury shares
C.3 Business tranferred
C.4 Other changes
of which: business combinations
D. Shares outstanding: closing balance
D.1 Treasury shares (+)
D.2 Shares outstanding as at the end of the year
- Fully paid
- Not fully paid
CHANGES IN 2019
ORDINARY
2,230,176,665
2,230,176,665
-
(4,760)
2,230,171,905
3,200,177
3,200,177
-
-
-
-
-
3,200,177
3,200,177
-
-
-
-
-
-
-
-
-
-
2,233,372,082
4,760
2,233,376,842
2,233,376,842
-
SAVINGS
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
12.3 Capital: other information
Following the resolutions of the Shareholders' Meeting of 11 April 2019 a dividend of €0.27 for each share was distributed to Shareholders, holders
of ordinary shares, for an overall amount of €601 million from 2018 net profit.
Pursuant to the resolution passed by the Extraordinary Shareholders' Meeting on 15 December 2011 shares have no face value.
Outstanding ordinary shares relating to the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares supporting the issuance of
convertible securities denominated “Cashes” amount to No.9,675,640 (issued in the context of the January 2009 capital increase) provides for
Euribor-linked discretionary payments contingent on the payment of dividends on ordinary shares. The voting right cannot be exercised on these
shares.
12.4 Reserves form profits: other information
Legal reserve
Statutory reserve
Other reserves
Total
AMOUNTS AS AT
12.31.2019
1,518
7,504
(1,914)
7,108
(€ million)
12.31.2018
1,518
6,161
(2,138)
5,541
The legal reserve in overall includes, in addition to the amount of €1,518 million, also the amount of €2,683 million classified among other reserves
(not from profits) through a withdrawal from the “Share premium reserve” as resolved by the Shareholders’ Meeting of 11 May 2013, 13 May 2014
and 14 April 2016.
The item “Other reserves” include the negative impact from adoption of IFRS9 attributable to the effects of reclassification and measurement of
financial instruments.
598 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part B - Balance sheet - Liabilities
12.5 Equity instruments: composition and annual changes
The item is entirely composed by six Additional Tier 1 issuances placed between 2014 and 2019, the last one issued during the current year for a
nominal amount of €1 billion.
12.6 Other Information
Valuation reserves: breakdown
ITEM/TYPES
1. Equity instruments designated at fair value through other comprehensive income
2. Financial assets (other than equity instruments) at fair value through other comprehensive income
3. Hedging of equity instruments at fair value through other comprehensive income
4. Financial liabilities at fair value through profit or loss (changes in own credit risk)
5. Hedging instruments (non-designated elements)
6. Property, plant and equipment
7. Intangible assets
8. Hedges of foreign investments
9. Cash-flow hedges
10. Exchange differences
11. Non-current assets classified as held for sale
12. Actuarial gains (losses) on defined-benefit plans
13. Part of valuation reserves of investments valued at net equity
14. Special revaluation laws
Total
AMOUNTS AS AT
12.31.2019
(242)
(€ million)
12.31.2018
(244)
250
-
(71)
-
511
-
-
(31)
-
-
(222)
-
277
472
(317)
-
42
-
-
-
-
(66)
-
-
(195)
-
277
(503)
UniCredit ·2019 Annual Report and Accounts 599
Company financial statements | Notes to the accounts
Part B - Balance sheet - Liabilities
The following table, in accordance with article 2427, paragraph 7-bis, of the Italian Civil Code, provides details on the origin, possible uses and
availability of distribution of shareholders’ equity, as well as the summary of its use in the three previous fiscal years.
Breakdown of Shareholders' Equity (with indication of availability and distribution)
ITEMS
Share capital
Share premium
Reserves:
Legal reserve
Reserve for treasury shares or interests
Statutory reserves
Reserves arising out of transfer of assets
Reserves related to the medium-term incentive programme for
Group staff
Reserve related to equity-settled plans
Reserve related to business combinations (IFRS3)
Reserve related to business combinations within the Group
Reserve pursuant to Art.6, paragraph 2 Legislative Decree
38/2005
Reserve pursuant to Art.1, C.984 Legislative Decree 145/2018
Other reserves
Negative components of shareholders' equity
Revaluation reserves:
Monetary equalisation reserve under L.576/75
Monetary revaluation reserve under L.72/83
Asset revaluation reserve under L.408/90
Property revaluation reserve under L.413/91
Financial assets and liabilities at fair value through other
comprehensive income
Reserve for property plant and equipment
Cash-flow hedges reserve
Reserve for actuarial gains (losses) on employee defined -
benefit plans
Total
Portion not allowed in distribution
Remaining portion available for distribution(**)
AMOUNT
20,995
13,225
11,783
4,201
2
7,504
420
85
784
2,093
223
285
144
51
(4,009)
471
4
85
29
159
(63)
510
(31)
(222)
46,474
PERMITTED
USES(*)
-
A, B, C
AVAILABLE
PORTION
-
13,225
(€ million)
SUMMARY OF USE IN THE THREE
PREVIOUS FISCAL YEARS
TO COVER
LOSSES
OTHER
REASONS
11,460
2,683
(1)
B
-
A, B, C
A, B, C
-
A, B, C
A, B, C
A, B
B
B
A, B, C
-
A, B, C
A, B, C
A, B, C
A, B, C
-
-
-
(2)
(4)
(5)
(6)
(7)
(8)
(9)
(10)
(11)
(12)
(12)
(12)
(12)
(13)
(13)
(13)
-
(13)
4,201
-
7,504
420
-
511
2,093
223
285
144
51
(4,009)
4
85
29
159
-
-
-
-
24,925
4,697
20,228
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
(3)
(14)
(15)
(14)
(14)
(14)
-
-
286
57
132
-
25
70
-
29
-
-
-
-
-
-
-
-
11,460
-
3,282
Notes:
(*) A: for capital increase; B: to cover losses; C: distribution to shareholders.
(**)Share premium reserve is considered distributable as the legal reserve is at the level of one-fifth of the share capital, as per article 2430 of the Italian Civil Code; the distributable overall amount is net of negative items.
(1) Reserve used in the last three years to cover losses of 2016 (€11,460 million); for coverage negative reserves (€2,676 million); €7 million for cash settlement adjustment on conversion of saving shares.
(2) Reserve available to cover losses only after the utilisation of other reserves, except for the reserves pursuant to article 6, paragraph 2, of Legislative Decree 38/2005. The reserve includes €2,683 million from Share
premium reserve as approved by the Ordinary Shareholders’ Meetings of 11 May 2013, 13 May 2014 and 14 April 2016.
(3) Reserve used for €226 million to cover negative reserves and €60 million for allocation to the specific reserve connected to the personnel incentive plan.
(4) The reserve includes €215 million distributable according to the procedure established article 2445 of the Italian Civil Code; in case of utilization to cover losses, profits may not be distributed until the reserve is restored
to its full amount or is reduced by the corresponding amount.
(5) The shareholders' meeting can resolve the removal of the constraint making it available and distributable
(6) These reserves set up in application of the accounting standard IFRS2 are unavailable as long as the related plans are vested.
(7) The Reserve from business combination (IFRS3) is fully available to cover losses, for capital increase and distribution to shareholders due to the write-downs of UniCredit Bank AG and UniCredit Bank Austria AG
investments that generated it, covered without using the reserve in question.
(8) The reserve can be considered available for €158 million for the portion of losses deriving from write-downs of the relevant investment.
(9) Reserve from profit non distributable; includes retained earnings connected with the application of the fair value model on investment properties (75 million); if the reserve is used to cover losses, profits cannot be
distributed until this reserve has been replenished by allocating profits from future years.
f this Reserve is used to cover losses, profits cannot be distributed until this Reserve has been replenished by allocating profits from future years.
(10) Reserve in suspension of tax established with withdrawal of the statutory reserve; in case of distribution it must be restored.
(11) Negative components affect the availability and distributability of positive reserves of the shareholders’ equity. The item includes the negative impact from IFRS9 first time adoption (€2,759 million).
(12) If case of use to cover losses, profits may not be distributed until the reserve is restored to its full amount or is reduced by the corresponding amount by resolution of the extraordinary Shareholders' Meeting Resolution,
without application of the provisions of the second and third paragraphs of article 2445 of the Italian Civil Code. If the reserve is not recognised under share capital, it may only be reduced by resolution adopted in application
of the provisions of the second and third paragraphs of article 2445 of the Italian Civil Code.
(13) The reserve, when positive, is not available pursuant to article 6 of Legislative Decree 38/2005.
(14) Coverage of negative components items of shareholders’ equity as per Shareholders' Meeting resolution of 20 April 2017.
(15) For capital increase with respect to allocation of performance shares connected to the personnel incentive plan.
600 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part B - Balance sheet - Liabilities
In detail the composition of negative components of shareholders’ equity:
ITEMS
Reserve from first time adoption of IFRS9, net of taxes
Reserve for repayment of AT1 coupons and Cashes fees
Reserve for the unsustainable deferred tax assets relating to tax losses carried forward linked to equity items
Reserve for capital increase costs
Financial instruments at fair value through other comprehensive income
Reserve relating to business combination within the Group
Other negative reserves
Total
(€ million)
12.31.2019
(2,759)
(649)
(77)
(300)
(140)
(77)
(7)
(4,009)
Item “Reserve relating to business combinations within the Group” includes the negative differences arising from the merger of Buddy Servizi
Molecolari S.p.A. (€7 million), Pioneer Global Asset Management (PGAM) S.p.A. (€30 million) and demerger of UniCredit Services S.C.p.A. of the
activities related to italian operations and real estate and logistics businesses (€40 million, so-called "Reus" demerger).
UniCredit ·2019 Annual Report and Accounts 601
Company financial statements | Notes to the accounts
Part B - Balance sheet - Liabilities
Other information
1. Commitments and financial guarantees given (different from those designated at fair value)
1. Loan commitments given
a) Central Banks
b) Governments and other Public Sector Entities
c) Banks
d) Other financial companies
e) Non-financial companies
f) Households
2. Financial guarantees given
a) Central Banks
b) Governments and other Public Sector Entities
c) Banks
d) Other financial companies
e) Non-financial companies
f) Households
AMOUNTS AS AT 12.31.2019
NOTIONAL AMOUNTS OF COMMITMENTS AND FINANCIAL
GUARANTEES GIVEN
STAGE 1
22,151
24
3,022
1,007
3,643
14,244
211
36,849
64
684
6,863
3,213
25,809
216
STAGE 2
799
-
190
1
1
601
6
1,106
-
1
45
33
1,004
23
STAGE 3
151
-
-
-
-
150
1
926
-
1
-
2
919
4
2. Others commitments and others guarantees given
TOTAL
23,101
24
3,212
1,008
3,644
14,995
218
38,881
64
686
6,908
3,248
27,732
243
(€ million)
AMOUNTS AS AT
12.31.2018
TOTAL
25,347
-
3,659
1,887
4,388
14,748
665
40,527
-
1,124
7,439
4,358
27,329
277
(€ million)
1. Others guarantees given
of which: non-performing loans
a) Central Banks
b) Governments and other Public Sector Entities
c) Banks
d) Other financial companies
e) Non-financial companies
f) Households
2. Others commitments
of which: non-performing loans
a) Central Banks
b) Governments and other Public Sector Entities
c) Banks
d) Other financial companies
e) Non-financial companies
f) Households
AMOUNTS AS AT
12.31.2019
NOTIONAL AMOUNTS
-
-
-
-
-
-
-
-
105,237
1,564
747
1,091
21,642
20,205
56,981
4,571
12.31.2018
NOTIONAL AMOUNTS
-
-
-
-
-
-
-
-
105,901
1,797
1,582
1,303
27,339
12,477
57,934
5,266
Table “1. Commitments and financial guarantees given” shows commitments and guarantees evaluated according to the IFRS9 requirements.
Table “2. Others commitments and others guarantees given” shows commitments and guarantees that are not evaluated according to the IFRS9
requirements. Note that starting from 31 December 2018, according of the 5th update of Banca d’Italia Circular 262, the tables also include the
revocable commitments and the item “financial guarantees” also includes the commercial ones.
602 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part B - Balance sheet - Liabilities
3. Assets used to guarantee own liabilities and commitments
PORTFOLIOS
1. Financial assets at fair value through profit or loss
2. Financial assets at fair value through other comprehensive income
3. Financial assets at amortised cost
4. Property, plant and equipment
of which: inventories of property, plant and equipment
AMOUNTS AS AT
12.31.2019
769
14,903
67,750
-
-
(€ million)
12.31.2018
1,944
21,577
70,551
-
-
Deposits from banks include €33.168 million relating to Banca d’Italia’s refinancing operations collateralised by credit value amounting to €14,000
million and securities nominal value amounting to €23,734 million. Of these, since the securities not recognised on balance-sheet represent
repurchased or retained UniCredit S.p.A.’s financial liabilities, they amount to nominal €20,995 million.
4. Asset management and trading on behalf of others
TYPE OF SERVICES
1. Execution of orders on behalf of customers
a) Purchases
1. Settled
2. Unsettled
b) Sales
1. Settled
2. Unsettled
2. Individual portfolio management
3. Custody and administration of securities
a) Third party securities on deposits: relating to depositary bank activities (excluding portfolio
management)
1. Securities issued by companies included in consolidation
2. Other securities
b) Third party securities held in deposits (excluding portfolio management): other
1. Securities issued by companies included in consolidation
2. Other securities
c) Third party securities deposited with third parties
d) Property securities deposited with third parties
4. Other transactions
AMOUNTS AS AT
12.31.2019
12.31.2018
(€ million)
-
-
-
-
-
-
4,385
-
-
-
112,608
5,973
106,635
112,006
99,462
7,342
-
-
-
-
-
-
4,389
-
-
-
105,121
6,242
98,879
104,345
92,586
7,593
(€ million)
5. Financial assets subject to accounting offsetting or under master netting agreements and similar agreements
INSTRUMENT TYPE
1. Derivatives
2. Reverse repos
3. Securities lending
4. Others
Total
Total
12.31.2019
12.31.2018
GROSS
AMOUNTS OF
FINANCIAL
ASSETS
FINANCIAL
LIABILITIES
OFFSET IN
BALANCE
SHEET
NET BALANCE
SHEET VALUES
OF FINANCIAL
ASSETS
RELATED AMOUNTS NOT SUBJECT
TO ACCOUNTING OFFSETTING
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED
NET AMOUNT
NET AMOUNT
12.31.2019
12.31.2018
(A)
10,294
64,347
-
-
74,641
53,333
(B)
-
-
-
-
-
-
(C=A-B)
10,294
64,347
-
-
74,641
53,333
(D)
9,300
45,402
-
-
54,702
30,705
(E)
120
132
-
-
252
547
(F=C-D-E)
874
18,813
-
-
19,687
X
785
21,296
-
-
X
22,081
UniCredit ·2019 Annual Report and Accounts 603
Company financial statements | Notes to the accounts
Part B - Balance sheet - Liabilities
6. Liabilities subject to accounting offsetting or under master netting agreements and similar ones
GROSS
AMOUNTS OF
FINANCIAL
LIABILITIES
FINANCIAL
ASSETS
OFFSET IN
BALANCE
SHEET
NET BALANCE
SHEET VALUES
OF FINANCIAL
LIABILITIES
RELATED AMOUNTS NOT SUBJECT
TO ACCOUNTING OFFSETTING
(€ million)
FINANCIAL
INSTRUMENTS
CASH
COLLATERAL
RECEIVED
NET AMOUNT
NET AMOUNT
12.31.2019
12.31.2018
(A)
10,534
55,491
-
-
66,025
65,382
(B)
-
-
-
-
-
-
(C=A-B)
10,534
55,491
-
-
66,025
65,382
(D)
9,305
45,402
-
-
54,707
30,705
(E)
1,104
-
-
-
1,104
2,303
(F=C-D-E)
125
10,089
-
-
10,214
X
101
32,273
-
-
X
32,374
(€ million)
AMOUNTS AS AT
12.31.2019
AMOUNTS OF THE SECURITIES BORROWED/TRANSACTION PURPOSES
GIVEN AS
COLLATERAL IN
OWN FUNDING
TRANSACTIONS
-
-
-
-
-
-
SOLD
-
-
-
-
-
-
SOLD IN REPO
TRANSACTIONS
-
-
-
-
306
306
OTHER PURPOSES
1,070
-
-
-
653
1,723
INSTRUMENT TYPE
1. Derivatives
2. Reverse repos
3. Securities lending
4. Others
Total
Total
12.31.2019
12.31.2018
7. Security borrowing transactions
TYPE OF LENDER
A. Banks
B. Financial companies
C. Insurance companies
D. Non-financial companies
E. Others
Total
604 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part C - Income statement
Part C - Income statement
Section 1 - Interests - Items 10 and 20
1.1 Interest income and similar revenues: breakdown
ITEMS/TYPES
1. Financial assets at fair value through profit or
loss
1.1 Financial assets held for trading
1.2 Financial assets designated at fair value
1.3 Other financial assets mandatorily at fair
value
2. Financial assets at fair value through other
comprehensive income
3. Financial assets at amortised cost
3.1 Loans and advances to banks
3.2 Loans and advances to customers
4. Hedging derivatives
5. Other assets
6. Financial liabilities
Total
of which: interest income on impaired financial
assets
of which: interest income on financial lease
DEBT SECURITIES
LOANS
OTHER
TRANSACTIONS
YEAR 2019
88
33
-
55
602
351
22
329
X
X
X
1,041
4
-
2
-
-
2
-
4,367
260
4,107
X
X
X
4,369
343
-
-
-
-
-
X
X
X
X
(615)
12
X
(603)
-
-
(€ million)
YEAR
2018
TOTAL
118
68
-
50
511
4,677
254
4,423
(387)
15
342
5,276
476
-
TOTAL
90
33
-
57
602
4,718
282
4,436
(615)
12
313
5,120
347
-
The interests on financial liabilities, contributing to net interest margin, include positive benefit for €136 million arising from TLTRO II facilities.
1.2 Interest income and similar revenues: other information
1.2.1 Interest income from financial assets denominated in currency
ITEMS
a) Assets denominated in currency
YEAR 2019
889
(€ million)
YEAR 2018
537
UniCredit ·2019 Annual Report and Accounts 605
Company financial statements | Notes to the accounts
Part C - Income statement
1.3 Interest expenses and similar charges: breakdown
ITEMS/TYPES
1. Financial liabilities at amortised cost
1.1 Deposits from central banks
1.2 Deposits from banks
1.3 Deposits from customers
1.4 Debt securities in issue
2. Financial liabilities held for trading
3. Financial liabilities designated at fair value
4. Other liabilities and funds
5. Hedging derivatives
6. Financial assets
Total
of which: interest expenses on lease deposits
YEAR 2019
SECURITIES
(1,614)
X
X
X
(1,614)
-
(4)
X
X
X
(1,618)
X
OTHER
TRANSACTIONS
X
X
X
X
X
(46)
-
(1)
984
X
937
X
DEBTS
(404)
(4)
(223)
(177)
X
-
-
X
X
X
(404)
(17)
TOTAL
(2,018)
(4)
(223)
(177)
(1,614)
(46)
(4)
(1)
984
(216)
(1,301)
(17)
1.4 Interest expenses and similar charges: other information
1.4.1 Interest expenses on liabilities denominated in currency
ITEMS
a) Liabilities denominated in currency
1.5 Differentials relating to hedging operations
ITEMS
A. Positive differentials relating to hedging operations
B. Negative differentials relating to hedging operations
C. Net differential (A-B)
YEAR 2019
(983)
YEAR 2019
2,290
(1,921)
369
(€ million)
YEAR
2018
TOTAL
(1,765)
(3)
(204)
(153)
(1,405)
(25)
(8)
(1)
880
(190)
(1,109)
-
(€ million)
YEAR 2018
(295)
(€ million)
YEAR 2018
2,197
(1,704)
493
606 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part C - Income statement
Section 2 - Fees and commissions - Items 40 and 50
2.1 Fees and commissions income: breakdown
TYPE OF SERVICES/VALUES
a) Guarantees given
b) Credit derivatives
c) Management, brokerage and consultancy services
1. Securities trading
2. Currencies trading
3. Individual portfolio management
4. Custody and administration of securities
5. Custodian bank
6. Placement of securities
7. Reception and transmission of orders
8. Advisory services
8.1 Relating to investments
8.2 Relating to financial structure
9. Distribution of third parties services
9.1 Portfolios management
9.1.1 Individual
9.1.2 Collective
9.2 Insurance products
9.3 Other products
d) Collection and payment services
e) Securitisation servicing
f) Factoring
g) Tax collection services
h) Management of multilateral trading facilities
i) Management of current accounts
j) Other services
k) Security lending
Total
2.2 Fees and commissions income: distribution channels of products and services
CHANNELS/VALUES
A) Through bank branches
1. Portfolio management
2. Placement of securities
3. Others' products and services
B) Off-site offer
1. Portfolio management
2. Placement of securities
3. Others' products and services
C) Other distribution channels
1. Portfolio management
2. Placement of securities
3. Others' products and services
YEAR 2019
263
-
2,057
-
111
57
8
-
1,022
74
12
5
7
773
1
1
-
769
3
787
51
-
-
-
869
308
22
4,357
YEAR 2019
1,852
57
1,022
773
-
-
-
-
-
-
-
-
(€ million)
YEAR 2018
268
-
2,014
-
90
79
9
-
934
66
19
6
13
817
2
2
-
813
2
740
45
-
-
-
902
369
13
4,351
(€ million)
YEAR 2018
1,830
79
934
817
-
-
-
-
-
-
-
-
UniCredit ·2019 Annual Report and Accounts 607
Company financial statements | Notes to the accounts
Part C - Income statement
2.3 Fees and commissions expenses: breakdown
SERVICES/VALUES
a) Guarantees received
b) Credit derivatives
c) Management, brokerage and consultancy services
1. Financial instruments trading
2. Currencies trading
3. Portfolios management
3.1 Own portfolios
3.2 Third party portfolios
4. Custody and administration of securities
5. Placement of financial instruments
6. Off-site distribution of financial instruments, products and services
d) Collection and payment services
e) Other services
f) Security lending
Total
YEAR 2019
(108)
(6)
(65)
(8)
-
(10)
-
(10)
(30)
(10)
(7)
(330)
(45)
(1)
(555)
(€ million)
YEAR 2018
(117)
(8)
(54)
(7)
(1)
(11)
-
(11)
(30)
(1)
(4)
(183)
(38)
-
(400)
Starting from 2019 some expenses for payment services and cards previously addressed to item “160. b) Other administrative expenses” (€120
million as at 31 December 2018) are included in item “d) Collection and payment services”.
Section 3 - Dividend income and similar revenue - Item 70
3.1 Dividend income and similar revenues: breakdown
ITEMS/REVENUES
A. Financial assets held for trading
B. Other financial assets mandatorily at fair value
C. Financial assets at fair value through other comprehensive
income
D. Equity investments
Total
Total dividends and similar revenues
YEAR 2019
YEAR 2018
DIVIDENDS
-
SIMILAR REVENUES
-
DIVIDENDS
-
SIMILAR REVENUES
-
(€ million)
37
10
1,834
1,881
25
-
-
25
1,906
32
16
2,571
2,619
11
-
-
11
2,630
The item “B. Other financial assets mandatorily at fair value” includes: (i) Bank Pekao S.A. dividend (shares entirely sold at the end of 2019),
reclassified into fair value option during second quarter of 2017 and in this category after IFRS9 adoption in 2018; (ii) reimbursement received by
“Schema Volontario” in relation to its investments into subordinated bond issued by Banca Carige S.p.A.; (iii) “similar revenues” deriving from CIU
quotes.
The item “C. Financial assets at fair value through other comprehensive income” refers to the dividend received by Banca d’Italia.
608 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part C - Income statement
Provided below is the breakdown of dividends on equity investments collected during 2019 and 2018.
Breakdown of dividends by investments
UniCredit Bank AG
UniCredit Bank Austria
UniCredit Bulbank A.D.
UniCredit Bank Czech
Zagrebacka Banca D.D.
AO UniCredit Bank
UniCredit Bank Hungary ZRT
UniCredit Bank SA
FinecoBank S.p.A.
UniCredit Factoring S.p.A.
UniCredit Bank Slovenia D.D.
Mediobanca S.p.A.
Aviva S.p.A.
CreditRas Vita S.p.A.
UniCredit Bank Ireland P.l.c.
Camfin S.p.A.
SIA UniCredit Leasing
UniCredit Bank Serbia JSC
CNP UniCredit Vita S.p.A.
UniCredit AD Banja Luka
Incontra Assicurazioni S.p.A.
Fenice S.r.l.
Total
YEAR 2019
520
201
218
237
211
111
84
75
65
21
4
-
-
-
42
16
9
16
-
3
1
-
1,834
(€ million)
YEAR 2018
1,300
379
151
147
96
92
79
-
61
43
36
35
34
31
24
16
15
11
10
6
3
2
2,571
Section 4 - Gains (Losses) on financial assets and liabilities held for trading - Item 80
4.1 Net gains (losses) on trading: breakdown
TRANSACTIONS/INCOME ITEMS
1. Financial assets held for trading
1.1 Debt securities
1.2 Equity instruments
1.3 Units in investment funds
1.4 Loans
1.5 Other
2. Financial liabilities held for trading
2.1 Debt securities
2.2 Deposits
2.3 Other
3. Financial assets and liabilities: exchange
differences
4. Derivatives
4.1 Financial derivatives
- On debt securities and interest rates
- On equity securities and share indices
- On currencies and gold
- Other
4.2 Credit derivatives
of which: economic hedges linked to the fair
value option
Total
CAPITAL GAINS
(A)
38
38
-
-
-
-
-
-
-
-
X
1,055
1,055
861
133
X
61
-
X
1,093
REALISED
PROFITS (B)
242
242
-
-
-
-
-
-
-
-
X
2,845
2,845
1,836
33
X
976
-
X
3,087
YEAR 2019
CAPITAL LOSSES
(C)
(20)
(20)
-
-
-
-
-
-
-
-
X
(715)
(715)
(649)
(7)
X
(59)
-
X
(735)
(€ million)
NET PROFIT
[(A+B)-(C+D)]
57
57
-
-
-
-
-
-
-
-
(79)
465
465
181
154
89
41
-
-
443
REALISED
LOSSES (D)
(203)
(203)
-
-
-
-
-
-
-
-
X
(2,809)
(2,809)
(1,867)
(5)
X
(937)
-
X
(3,012)
Financial derivatives include the ones connected to debt securities financial liabilities at fair value.
UniCredit ·2019 Annual Report and Accounts 609
Company financial statements | Notes to the accounts
Part C - Income statement
Section 5 - Fair value adjustments in hedge accounting - Item 90
5.1 Net gains (losses) on hedge accounting: breakdown
INCOME ITEMS/VALUES
A. Gains on
A.1 Fair value hedging instruments
A.2 Hedged financial assets (in fair value hedge relationship)
A.3 Hedged financial liabilities (in fair value hedge relationship)
A.4 Cash-flow hedging derivatives
A.5 Assets and liabilities denominated in currency
Total gains on hedging activities (A)
B. Losses on
B.1 Fair value hedging instruments
B.2 Hedged financial assets (in fair value hedge relationship)
B.3 Hedged financial liabilities (in fair value hedge relationship)
B.4 Cash-flow hedging derivatives
B.5 Assets and liabilities denominated in currency
Total losses on hedging activities (B)
C. Net hedging result (A-B)
of which: net gains (losses) of hedge accounting on net positions
YEAR 2019
(€ million)
YEAR 2018
1,162
755
69
2
-
1,988
(783)
(161)
(1,043)
(4)
-
(1,991)
(3)
-
346
495
35
1
-
877
(519)
(239)
(116)
(2)
-
(876)
1
-
The net hedging result also reflected -€2 million resulting from “model” adjustments needed to reflect into derivatives valuations the presence of
guarantees and credit risk of counterparties.
Section 6 - Gains (Losses) on disposals/repurchases - Item 100
6.1 Gains (Losses) on disposal/repurchase: breakdown
ITEMS/INCOME ITEMS
A. Financial assets
1. Financial assets at amortised cost
1.1 Loans and advances to banks
1.2 Loans and advances to customers
2. Financial assets at fair value through other
comprehensive income
2.1 Debt securities
2.2 Loans
Total assets (A)
B. Financial liabilities at amortised cost
1. Deposits from banks
2. Deposits from customers
3. Debt securities in issue
Total liabilities (B)
Total financial assets/liabilities
YEAR 2019
YEAR 2018
(€ million)
GAINS
LOSSES
NET PROFIT
GAINS
LOSSES
NET PROFIT
233
-
233
389
389
-
622
-
-
4
4
(157)
(11)
(146)
(332)
(332)
-
(489)
-
-
(15)
(15)
76
(11)
87
57
57
-
133
-
-
(11)
(11)
122
140
1
139
345
345
-
485
-
-
14
14
(174)
(8)
(166)
(258)
(258)
-
(432)
-
-
(15)
(15)
(34)
(7)
(27)
87
87
-
53
-
-
(1)
(1)
52
Net results on financial assets at amortised cost mainly arise from sale of non performing loans to customers and from the sale of bonds.
Net gains on financial assets at fair value through other comprehensive income are essentially related to effects of the sale of government bonds,
mainly Italian ones.
Net gains from repurchase of debts securities in issue arise from buyback of some issuances before their original maturity.
610 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part C - Income statement
Section 7 - Net gains (losses) on other financial assets/liabilities at fair value through
profit or loss - Item 110
7.1 Net gains (losses) on other financial assets/liabilities at fair value through profit or loss: breakdown of financial assets and
liabilities designated at fair value
CAPITAL GAINS
TRANSACTIONS/INCOME ITEMS
1. Financial assets
1.1 Debt securities
1.2 Loans
2. Financial liabilities
2.1 Debt securities
2.2 Deposits from banks
2.3 Deposits from customers
3. Financial assets and liabilities in foreign
currency: exchange differences
Total
(A)
-
-
-
120
120
-
-
X
120
REALISED
PROFITS (B)
-
-
-
159
159
-
-
X
159
YEAR 2019
CAPITAL LOSSES
(C)
-
-
-
(255)
(255)
-
-
X
(255)
(€ million)
NET PROFIT
[(A+B)-(C+D)]
-
-
-
(227)
(227)
-
-
REALISED
LOSSES (D)
-
-
-
(251)
(251)
-
-
X
(251)
-
(227)
Debt securities into financial liabilities include the bond “Secured mandatorily exchangeable equity-linked certificate” issued in the contest of the sale
of Bank Pekao S.A. and expired at the end of 2019 which has contributed for €15 million to the result for the period.
Some financial derivatives entered into for economic hedge purposes are linked to financial liabilities represented by debt securities and their
economic results are included into table 4.1 Trading result in Part C - Section 4.
7.2 Net change in other financial assets/liabilities at fair value through profit or loss: breakdown of other financial assets mandatorily
at fair value
CAPITAL GAINS
TRANSACTIONS/INCOME ITEMS
1. Financial assets
1.1 Debt securities
1.2 Equity securities
1.3 Units in investment funds
1.4 Loans
2. Financial assets: exchange differences
Total
(A)
150
77
32
33
8
X
150
REALISED
PROFITS (B)
5
5
-
-
-
X
5
YEAR 2019
CAPITAL LOSSES
(C)
(87)
(35)
(24)
(25)
(3)
X
(87)
REALISED
LOSSES (D)
(82)
(9)
(73)
-
-
X
(82)
(€ million)
NET PROFIT
[(A+B)-(C+D)]
(14)
38
(65)
8
5
-
(14)
Equity securities into financial assets include: (i) effects of the sale at the end 2019 of residual interests in Bank Pekao S.A. (-€56 million) which has
been reclassified into fair value option assets in June 2017 after loose of control following the closing of the sale process and into assets mandatory
at fair value following IFRS9 adoption in 2018; (ii) effects of the sale (-€14 million) of the residual shares of FinecoBank S.p.A. classified into assets
mandatory at fair value after the partial sale of stake occurred in May and until their complete sale in July; (iii) effects of the evaluation of the
interests held in the “Schema Volontario” for which refer to specific comment below table “2.5 Financial assets mandatory at fair value” in Part B -
Assets - Section 2.
Units in investment funds include economic effects from Atlante fund and Italian Recovery Fund, for which refer to specific comment below table “2.5
Financial assets mandatory at fair value” in Part B - Assets - Section 2.
UniCredit ·2019 Annual Report and Accounts 611
Company financial statements | Notes to the accounts
Part C - Income statement
Section 8 - Net losses/recoveries on credit impairment - Item 130
8.1 Net impairment losses for credit risk relating to financial assets at amortised cost: breakdown
TRANSACTIONS/INCOME ITEMS
A. Loans and advances to banks
- Loans
- Debt securities
of which: acquired or originated impaired
loans
B. Loans and advances to customers
- Loans
- Debt securities
of which: acquired or originated impaired
loans
Total
WRITE-DOWNS
WRITE-BACKS
YEAR 2019
STAGE 1
AND
STAGE 2
(18)
(17)
(1)
STAGE 3
WRITE-OFF
-
-
-
-
(611)
(603)
(8)
-
(629)
-
(277)
(277)
-
(33)
(277)
STAGE 1
AND
STAGE 2
11
11
-
-
709
694
15
-
720
STAGE 3
-
-
-
-
1,796
1,796
-
5
1,796
OTHER
-
-
-
-
(4,350)
(4,350)
-
(4)
(4,350)
TOTAL
(7)
(6)
(1)
-
(2,733)
(2,740)
7
(32)
(2,740)
8.2 Net change for credit risk relating to financial assets at fair value through other comprehensive income: breakdown
TRANSACTIONS/INCOME ITEMS
A. Debt securities
B. Loans
- Loans and advances to customers
- Loans and advances to banks
of which: acquired or originated impaired
financial assets
Total
WRITE-DOWNS
WRITE-BACKS
YEAR 2019
STAGE 1
AND
STAGE 2
(21)
-
-
-
STAGE 3
WRITE-OFF
-
-
-
-
-
(21)
-
-
OTHER
-
-
-
-
-
-
STAGE 1
AND
STAGE 2
5
-
-
-
-
5
STAGE 3
-
-
-
-
-
-
TOTAL
(16)
-
-
-
-
(16)
(€ million)
YEAR
2018
TOTAL
(7)
(6)
(1)
-
(1,991)
(1,981)
(10)
(4)
(1,998)
(€ million)
YEAR
2018
TOTAL
(14)
-
-
-
-
(14)
For additional information on this section refer to Part E - Information on risks and hedging policies - A. Credit quality.
Section 9 - Gains/Losses from contractual changes with no cancellations - Item 140
9.1 Gains (Losses) from contractual changes: breakdown
YEAR 2019
GAINS
LOSSES
TOTAL
-
-
2
2
-
-
-
-
2
-
-
(23)
(23)
-
-
-
-
(23)
-
-
(21)
(21)
-
-
-
-
(21)
(€ million)
YEAR
2018
TOTAL
-
-
(3)
(3)
-
-
-
-
(3)
A. Financial assets at amortised costs
A.1 Debt securities
A.2 Loans to banks
A.3 Loans to customers
Total (A)
B. Financial assets at fair value through other
comprehensive income
B.1 Debt securities
B.2 Loans to banks
B.3 Loans to customers
Total (B)
Total (A+B)
612 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part C - Income statement
Section 10 - Administrative expenses - Item 160
10.1 Staff expenses: breakdown
TYPE OF EXPENSES/VALUES
1) Employees
a) Wages and salaries
b) Social charges
c) Severance pay
d) Social security costs
e) Allocation to employee severance pay provision
f) Provision for retirements and similar provisions
- Defined contribution
- Defined benefit
g) Payments to external pension funds
- Defined contribution
- Defined benefit
h) Costs arising from share-based payments
i) Other employee benefits
2) Other non-retired staff
3) Directors and Statutory Auditors
4) Early retirement costs
5) Recoveries of payments for seconded employees to other companies
6) Refund of expenses for secunded employees to the company
Total
10.2 Average number of employees by category
Employees
a) Senior managers
b) Managers
c) Remaining employees staff
Other non-retired staff
Total
10.3 Defined benefit company retirement funds: costs and revenues
Current service cost
Settlement gains (losses)
Past service cost
Interest cost on the DBO
Interest income on plan assets
Other costs/revenues
Administrative expenses paid through plan assets
Total recognised in profit or loss
10.4 Other employee benefits
- Seniority premiums
- Leaving incentives
- Other
Total
YEAR 2019
(2,720)
(1,874)
(495)
(27)
-
(10)
(2)
-
(2)
(156)
(156)
-
(31)
(125)
(1)
(5)
-
69
(103)
(2,760)
YEAR 2019
31,546
638
16,717
14,191
826
32,372
YEAR 2019
(1)
-
-
(5)
4
-
-
(2)
YEAR 2019
-
(3)
(122)
(125)
(€ million)
YEAR 2018
(2,833)
(1,949)
(530)
(28)
-
(15)
(3)
-
(3)
(165)
(165)
-
(31)
(112)
(2)
(5)
-
68
(94)
(2,866)
(€ million)
YEAR 2018
34,156
726
18,101
15,329
1,125
35,281
(€ million)
YEAR 2018
(1)
(1)
-
(6)
5
-
-
(3)
(€ million)
YEAR 2018
-
1
(113)
(112)
UniCredit ·2019 Annual Report and Accounts 613
Company financial statements | Notes to the accounts
Part C - Income statement
10.5 Other administrative expenses: breakdown
TYPE OF EXPENSES/SECTORS
1) Indirect taxes and duties
1a. Settled
1b. Unsettled
2) Contributions to Resolution Funds and Deposit Guarantee Schemes (DGS)
3) Guarantee fee for DTA conversion
4) Miscellaneous costs and expenses
a) Advertising marketing and communication
b) Expenses relating to credit risk
c) Indirect expenses relating to personnel
d) Information & Communication Technology expenses
Lease of ICT equipment and software
Software expenses: lease and maintenance
ICT communication systems
Services ICT in outsourcing
Financial information providers
e) Consulting and professionals services
Consulting
Legal expenses
f) Real estate expenses
Premises rentals
Utilities
Other real estate expenses
g) Operating costs
Surveillance and security services
Money counting services and transport
Printing and stationery
Postage and transport of documents
Administrative and logistic services
Insurance
Association dues and fees and contributions to the administrative expenses deposit guarantee
funds
Other administrative expenses - other
Total (1+2+3+4)
YEAR 2019
(428)
(428)
-
(277)
(109)
(1,789)
(47)
(214)
(47)
(892)
(11)
(8)
(6)
(841)
(26)
(86)
(71)
(15)
(198)
(37)
(60)
(101)
(305)
(57)
-
(6)
(23)
(154)
(30)
(23)
(12)
(2,603)
(€ million)
YEAR 2018
(438)
(438)
-
(273)
(111)
(2,138)
(67)
(271)
(67)
(811)
(12)
(6)
(6)
(760)
(27)
(110)
(93)
(17)
(400)
(232)
(55)
(113)
(412)
(59)
-
(6)
(25)
(260)
(30)
(22)
(10)
(2,960)
Expenses related to personnel include the expenses that do not represent remuneration of the working activity of an employee in compliance with
IAS19.
Starting from 2019 some expenses for payment services and cards previously addressed to item “160. b) Other administrative expenses” (€120
million as at 31 December 2018) are included in item “50. Fees and commissions expenses”.
The decrease in sub-item "f) Real estate expenses - Premises rentals" is mainly due to the (i) first application of the IFRS16 principle (for further
information about the effects of the introduction of this accounting standard, refer to Part A - Accounting policies - Section 4 - Other matter) and (ii)
reorganization of the activities carried out by UniCredit Services S.C.p.A. through the transfer to UniCredit S.p.A. of the Italian activities relating to
"real estate" business. Further this reorganisation has affected the decrease in sub-item “g) Operating costs - Administrative and logistic services.
For further information on the reorganisation of the activities of UniCredit Services S.C.p.A., refer to the Consolidated report on operations of
UniCredit group, paragraph “Other information - Group activities development operations and other corporate transactions”.
Contributions to Resolution and Guarantee funds
Refer to Part C - Income statement - Section 12 - Administrative expenses - Item 190 - Contributions to resolution and guarantee funds of Notes to
the consolidated accounts that here are intended as completely reported.
614 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part C - Income statement
DTA guarantee fees
In order to preserve for the future the regime of conversion of DTAs into tax credits, and in order to overcome the issues raised by the European
Commission in connection to the application of State Aid rules, Art.11 of DL 3 May 2016 No.59 (so-called "Banks Decree" - converted into Law 30
June 2016 No.119), introduced the possibility, starting from 2016 since 2030, to elect for the payment of an annual fee equal to 1.5% levied on an
aggregate amount deriving from the difference between:
the increase in convertible DTAs recognised at the end of the fiscal year and the convertible DTA existing as at 31 December 2007, for IRES tax,
and as at 31 December 2012 for IRAP tax, taking into account the amounts already converted into tax credits;
taxes:
- IRES paid by Tax Group starting from 1 January 2008;
- IRAP paid starting from 1 January 2013 by Legal Entities included in Tax Group with convertible DTAs;
- substitute taxes that generated convertible DTAs.
The whole fee has been paid on 28 June 2019 by UniCredit (as required by law) for a total amount €114.2 million, of which €109.5 million related to
UniCredit itself, €4.4 million to UniCredit Leasing and €0.30 million to UniCredit Factoring.
Section 11 - Net provisions for risks and charges - Item 170
11.1 Net provisions for credit risk from loans commitments and financial guarantees given: breakdown
Loan committments
Financial guarantees given
11.2 Net provisions for other commitments and guarantees given: breakdown
No data to be disclosed.
11.3 Net provisions for risks and charges: breakdown
PROVISIONS
(26)
(186)
YEAR 2019
SURPLUS
REALLOCATIONS
90
199
ASSETS/INCOME ITEMS
1. Other provisions
1.1 Legal disputes
1.2 Staff costs
1.3 Other
Total
YEAR 2019
SURPLUS
REALLOCATIONS
PROVISIONS
(219)
-
(413)
(632)
187
-
80
267
TOTAL
(32)
-
(333)
(365)
Provisions for legal disputes are posted to cover potential liabilities that may result from pending lawsuits. More details are included into
Part E - Information on risks and hedging policies.
(€ million)
TOTAL
64
13
(€ million)
YEAR
2018
TOTAL
(197)
-
(231)
(428)
UniCredit ·2019 Annual Report and Accounts 615
Company financial statements | Notes to the accounts
Part C - Income statement
Section 12 - Net value adjustments/write-backs on property, plant and equipment - Item
180
12.1 Impairment on property, plant and equipment: breakdown
YEAR 2019
DEPRECIATION
IMPAIRMENT LOSSES
WRITE-BACKS
(C)
ASSETS/INCOME ITEMS
A. Property, plant and equipment
A.1 Used in the business
- Owned
- Right of use of Leased Assets
A.2 Held for investment
- Owned
- Right of use of Leased Assets
A.3 Inventories
Total A
B. Non-current assets and groups of assets held for sale
- Used in the business
- Held for investments
- Inventories
Total (A+B)
(A)
(311)
(129)
(182)
-
-
-
-
(311)
X
X
X
X
(311)
(B)
(22)
(2)
(20)
-
-
-
-
(22)
-
-
-
-
(22)
17
4
13
-
-
-
-
17
-
-
-
-
17
Section 13 - Net value adjustments/write-backs on intangible assets - Item 190
13.1 Net value adjustments/write-backs on intangible assets: breakdown
YEAR 2019
AMORTISATION
IMPAIRMENT LOSSES
WRITE-BACKS
(C)
ASSETS/INCOME ITEMS
A. Intangible assets
A.1 Owned
- Generated internally by the company
- Other
A.2 Right of use of Leased Assets
B. Non-current assets and disposal group classified as
held for sale
Total
(A)
(2)
-
(2)
-
X
(2)
(B)
-
-
-
-
-
-
Section 14 - Other operating expenses/income - Item 200
14.1 Other operating expenses: breakdown
TYPE OF EXPENSE/VALUES
Costs for operating leases
Non-deductible tax and other fiscal charges
Write-downs on leasehold improvements
Costs relating to the specific service of financial leasing
Other
Total other operating expenses
-
-
-
-
-
-
YEAR 2019
-
-
(25)
-
(363)
(388)
(€ million)
NET PROFIT
(A+B-C)
(316)
(127)
(189)
-
-
-
-
(316)
-
-
-
-
(316)
(€ million)
NET PROFIT
(A+B-C)
(2)
-
(2)
-
-
(2)
(€ million)
YEAR 2018
-
-
(21)
-
(199)
(220)
The sub-item “Other” includes additional costs deriving from the “Collateral” contract accounts of €49 million, related to the sale of FinecoBank
S.p.A.
616 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part C - Income statement
14.2 Other operating income: breakdown
TYPE OF REVENUE/VALUES
A) Recovery of costs
B) Other revenues
Revenues from administrative services
Revenues from operating leases
Recovery of miscellaneous costs paid in previous years
Revenues on financial leases activities
Other
Total other operating income (A+B)
YEAR 2019
480
200
41
26
5
-
128
680
(€ million)
YEAR 2018
508
124
45
28
2
-
49
632
The sub-item “Others” includes income deriving from the contracts related to the sale of FineckBank S.p.A. on trademark concession for €23 million
and on the “Collateral” for €22 million.
Section 15 - Gains (Losses) of equity investments - Item 220
15.1 Profit (Loss) of equity investments: breakdown
INCOME ITEMS/VALUES
A. Income
1. Revaluations
2. Gains on disposal
3. Writebacks
4. Other gains
B. Expenses
1. Writedowns
2. Impairment losses
3. Losses on disposal
4. Other expenses
Net profit
YEAR 2019
2,871
-
1,807
1,064
-
(4,268)
-
(4,268)
-
-
(1,397)
(€ million)
YEAR 2018
211
-
146
65
-
(1,801)
-
(1,797)
(4)
-
(1,590)
Gains on disposal include the results from the sale of FinecoBank S.p.A. for €1,722 million and Mediobanca S.p.A. for €31 million.
Impairment losses in subsidiaries include UniCredit Bank Austria Credistanstalt Ag (-€1,862 million), UniCredit Bank Ag (-€1,739 million), Koc
Finansal Hizmetler Istanbul AS (-€500 million), UniCredit Bank Ireland Plc (-€132 million), Sia UniCredit Leasing (-€20 million), UniCredit Turn
Around Management Cee Gmbh (-€15 million).
Writebacks in subsidiaries include UniCredit Leasing S.p.A. (€713 million), AO UniCredit Bank (€244 million), Nuova Compagnia di Partecipazioni
S.p.A. (€34 million), UniCredit Banka Slovenja (€17 million), UniCredit Consumer Financing Ifn S.A. (€16 million), CNP (€16 million), UniCredit
International Luxembourg S.A. (€9 million), Aviva (€6 million), Cordusio Sim S.p.A. (€3 million).
UniCredit ·2019 Annual Report and Accounts 617
Company financial statements | Notes to the accounts
Part C - Income statement
Section 16 - Net gains (losses) on property, plant and equipment and intangible assets
measured at fair value - Item 230
16.1 Net gains (losses) on property, plant and equipment and intangible assets measured at fair value: breakdown
ASSETS/INCOME ITEMS
A. Property, plant and equipment
A.1 Used in the business
- Owned
- Right of use of Leased Assets
A.2 Held for investment
- Owned
- Right of use of Leased Assets
A.3 Inventories
B. Intangible assets
B.1 Owned
- Generated internally by the company
- Other
B.2 Right of use of Leased Assets
Total (A+B)
REVALUATIONS
WRITEDOWNS
(A)
22
-
-
-
22
22
-
-
-
-
-
-
-
22
(B)
(273)
(123)
(123)
-
(150)
(150)
-
-
-
-
-
-
-
(273)
YEAR 2019
EXCHANGE DIFFERENCES
POSITIVE
(C)
-
-
-
-
-
-
-
-
-
-
-
-
-
-
NEGATIVE
(D)
-
-
-
-
-
-
-
-
-
-
-
-
-
-
(€ million)
NET PROFIT
(A-B+C-D)
(251)
(123)
(123)
-
(128)
(128)
-
-
-
-
-
-
-
(251)
Section 17 - Goodwill impairment - Item 240
No data to be disclosed.
Section 18 - Gains (Losses) on disposals on investments - Item 250
18.1 Gains and losses on disposal of investments: breakdown
INCOME ITEMS/SECTORS
A. Property
- Gains on disposal
- Losses on disposal
B. Other assets
- Gains on disposal
- Losses on disposal
Net profit
YEAR 2019
(€ million)
YEAR 2018
-
-
1
(1)
-
8
(6)
45
(3)
44
618 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part C - Income statement
Section 19 - Tax expenses (income) for the period from continuing operations - Item 270
Taxes on income are accounted in accordance with IAS12. The tax charge consists of current and deferred taxes, mainly determined in accordance
with the applicable provisions on IRES and IRAP, and CFC separate taxation (Controlled Foreign Companies, i.e., foreign subsidiaries taxed on a
transparency basis where specific conditions are met).
IRES is calculated by making specific upward or downward adjustments to the current year profit or loss as resulting from the income statement for
determining the taxable income. These tax adjustments are made as required by the provisions of the Italian Income Tax Code (TUIR), in relation to
the non-deductibility of certain expenses or the non-taxability of certain revenues.
The IRES tax rate applied to the taxable income is 24%. An additional surcharge of 3.5% applies to banks and financial companies.
The above-mentioned tax adjustments may be “permanent” or “temporary”.
The “permanent” adjustments refer to expenses/revenues that are totally or partially non-deductible/non-taxable.
The “temporary” adjustments, on the other hand, relate to expenses or revenues whose deductibility or tax-ability is deferred to future tax periods on
the occurrence of particular events, or distributed in equal quotas over a predefined number of years.
The presence of “temporary” adjustments leads to the recognition of deferred tax assets (for costs to be deducted) or deferred tax liabilities (for
revenues to be taxed).
The purpose of the recognition of deferred tax assets and liabilities is to reconcile in the Financial statements the different tax period of relevance
established by the TUIR compared to the accounting accrual principle.
For IRES purposes, subject to a specific election to be submitted to the “Agenzia Entrate”, this tax can be paid on a Tax Group level rather than on
an individual basis.
All Italian companies that meet the control pre-requisite can adhere to the Tax Group regime, in order to compute the tax payment on a unique
taxable base consisting of the algebraic sum of the taxable amounts of all the companies adhering to the Tax Group regime.
The tax rate applicable to the Tax Group is 24%.
For IRES purposes, is stated a separate taxation “for transparency” on incomes, calculated according to the provisions of the Italian Income Tax
Code (TUIR), of the foreign direct and indirect subsidiaries (so-called CFCs: Controlled Foreign Companies) established in countries with a nominal
or effective tax rate which is significantly below the Italian corresponding one. The applicable tax rate is 27.5%.
IRAP is levied on productive activities and relevant taxable base corresponds to the algebraic sum of certain items of the income statement as
specifically identified by Legislative Decree No.446 of 1997, which also states further upward and downward adjustments to be made (other than
IRES ones). Law No.190 of 23 December 2014 (2015 Stability Law) establishes, starting from 2015, that personnel costs for employees with
permanent employment contracts are fully deductible from IRAP in addition to the deductions already established by the so called "cuneo fiscale".
Furthermore, in 2016 the full deductibility of the loan loss provisions in the year of accrual in the financial statements was introduced following the
entry into force of Art.16 of Law Decree 27 June 2015 No.83.
The tax is calculated by apportioning the overall value of production among the various administrative regions where the productive activities are
carried out (for banks the apportionment is made on the basis of the regional distribution of customer’s deposits) and applying the respective
regional rate to each of the individual portions identified. A national rate of 4.65% is established, to which each region can autonomously add a
surcharge up to 0.92%, with an overall theoretical rate of 5.57% (plus a further rate of 0.15% for regions with a deficit in spending on the local
welfare sector).
During the year 2019 the following changes in the tax legislation were introduced:
as per Ministerial Decree 5 August 2019, the tax treatment of the effects on the financial statements deriving from the application of the accounting
principle IFRS16 for the accounting of the operative lease and finance lease transactions was disciplined;
as per Art.1, par.940-948, of the Law 30 December 2018, No.145 (Budget Law 2019) the terms for a realignment of Bank assets were reopened,
by repurposing, as already done in the previous years, the provision introduced by the Law No.342/200. The realignment involves tax recognition
of the higher book value registered by payment of a substitute tax to the extent of 16% for depreciable assets and to the extent of 12% for non-
depreciable assets. In case of realignment the rule provides to bind a reserve in suspension of tax (for tax purposes) equal to the differential
redeemed net of the substitute tax paid. In case of distribution such reserve has to be taxed. The higher values redeemed are assumed as valid for
IRES and IRAP purposes as of 1 January 2021.
The realignment was made on 28 June 2019 by payment of a substitute tax of €27 million for a misalignment of €172 million, with a benefit in the
of €29 million in income statement due to the write off of deferred tax liabilities for €57 million. A reserve in suspension of tax for €144 million was
created.
as per Art.1 of the Law of 27 December 2019, No.160, (Budget Law 2020) it was stated that:
- Art.1 par.713: the deduction of the 2019 reversal of deferred tax assets on loans loss provisions since the first adoption of IFRS9, to be deducted
over a period of 10 years for both IRES and IRAP purposes, is deferred to the year 2028;
- Art.1 par.712: the deduction of the 2019 reversal of convertible deferred tax assets on loans loss provisions is deferred to the period 2022-2025
for both IRES and IRAP purposes;
UniCredit ·2019 Annual Report and Accounts 619
Company financial statements | Notes to the accounts
Part C - Income statement
- Art.1 par.714: the deduction of the 2019 reversal of convertible deferred tax assets on goodwill is deferred to the period 2025-2029 both for IRES
and IRAP purposes;
- Art.1 par.287: the ACE tax benefit is restored as from the 2019 financial year with the same conditions previously in place.
The postponement of the 2019 annual reversal of convertible deferred tax assets entails for UniCredit S.p.A.:
- a burden of €81 million for IRES and €16 million for IRAP in relation to the postponement of the loans loss provisions for IFRS9 as per the Art.1
par.713;
- a burden of €15 million for IRES in relation to the postponement of the loans loss provisions and goodwill as per the Art.1 par.712 and 714;
Taxes on income for 2019 reports a negative amount of €299 million, showing a decrease in comparison with the positive amounts of €1,156 million
in 2018.
Current IRES, with an accounting loss recorded, shows a tax loss of €777 million, mainly due to non-taxable positive items (dividends) and non-tax-
relevant items deriving from valuation or realisation events on participations.
Deferred tax assets on tax loss, equal to €214 million for taxes could have been registered in 2019, in addition to the residual tax losses carried
forward for the period 2016-2018 for a total amount of €3,515.1 million (the amount includes a residual amount of €10 million tax loss carried forward
deriving from the merger of the subsidiaries Pioneer Global Asset Management (PGAM) and Buddy Servizi Molecolari in 2017) of which €2,897
million as deferred tax assets in income statement and €618 million as deferred tax assets in shareholders’ equity. Following the sustainability test,
also considering that the Tax Group shows a tax credit, an amount of deferred tax assets limited to €546 million (of which €7 million in income
statement and €539 million in shareholders’ equity) can be registered.
The amount of deferred tax assets arising from tax losses not booked is equal to €3,129 million of which (i) €2,737 million (€2,668 million deriving
from accounting items originated in the income statement and €69 million from shareholders’ equity components) referred to the Italian Tax Group
perimeter and related to the 24% IRES ordinary tax rate and (ii) €392 million (€382 million deriving from accounting items originated in the income
statement and €10 million from shareholders’ equity components) referred to UniCredit S.p.A. and related to the 3.5% IRES additional tax rate.
Current IRAP tax accrual shows a negative amount equal to €108 million, with a negative effect in income statement for €125 million and a positive
effect in shareholders’ equity of €17 million due to the presence of tax items which, in application of the international accounting standards, have no
effect on the income statement.
The “ACE” (“Aiuto alla crescita economica”) benefit for 2019 is currently estimated in €25 million, also considering the lowering of the notional yield
at 1.3% from 1.5% in 2018. The amount of the benefit for 2018 amounts to a total of €60 million due to the positive tax ruling obtained by “Agenzia
delle Entrate” on the increase of intra-Group loans as provided by the anti-avoidance rules. From that total amount, the amount of €38 million
resulting from the positive tax ruling will be put into effect in 2020 by the submission of supplementary 2018 tax returns both for IRES and IRAP. An
analogous tax ruling for an amount still to be defined will be presented to “Agenzia delle Entrate” also for the year 2019.
During the year 2019, in light of the negative taxable basis for IRES and the availability of tax losses carried forward determining an indefinite
postponement of the monetization of the ACE benefit on IRES, the amount of ACE benefit for 2018 not yet used was converted into a tax credit for
IRAP purposes, as provided for by Law Decree 24 June 2014, No.91 (converted with modification by Law 11 August 2014, No.116) as already done
for the unused ACE benefit pertaining to the 2016 and 2017 financial years, for a total amount of €99 million. Therefore, the ACE benefit for 2018,
for an amount of €21 million, has been transformed, determining an equal extraordinary revenue in the income statement, considering that the same
amount was impaired being not sustainable. The residual credit still to be used for IRAP purposes amounts to €82 million.
The IRAP credit will be used over 5 years in equal installments as provided for by the relevant law, with the possibility to carry forward any unused
amount upon the fifth year.
The 2018 financial year closed with a profit of €2,458 million; therefore, the conditions for carrying out a new transformation of Deferred Tax Assets
(DTAs) into tax credits pursuant to Art.2, par.55 of the Law Decree of 29 December 2010 No.225, converted into Law 10/2011 were not met.
The 2019 financial year on the contrary closed with a loss in income statement of €555 million; therefore, the conditions to proceed with a new
transformation of Deferred tax assets into tax credits pursuant to the aforementioned regulation are verified. In 2020, following the approval of the
financial statements for the year 2019 by the Shareholders' Meeting of UniCredit S.p.A., deferred tax assets, for IRES and IRAP, amounting to €87
million will be converted into tax credits.
620 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part C - Income statement
In order to preserve for the future the regime of conversion of DTAs into tax credits, and in order to overcome the issues raised by the European
Commission in connection to the application of State Aid rules, Art.11 of DL 3 May 2016 No.59 (so-called "Banks Decree", converted into Law 30
June 2016 No.119), introduced the possibility, starting from 2016 and till 2030, to elect for the payment of an annual fee equal to 1.5% levied on an
aggregate amount deriving from the difference between:
the increase in convertible DTAs recognised at the end of the fiscal year and the convertible DTA existing at the end of 2007, for IRES tax, and as
the end of 2012 for IRAP tax, taking into account the amounts already converted into tax credits;
taxes:
- IRES paid by Tax Group starting from 1 January 2008;
- IRAP paid starting from 1 January 2013 by Legal Entities included in Tax Group with convertible DTAs;
- substitute taxes that generated convertible DTAs.
The whole fee has been paid on 28 June 2019 by UniCredit group (as required by law) for a total amount €114.2 million, of which €109.5 million
related to UniCredit S.p.A. itself, €4.4 million to UniCredit Leasing S.p.A. and €0.3 million to UniCredit Factoring S.p.A.
19.1 Tax expense (income) relating to profit or loss from continuing operations: breakdown
INCOME ITEMS/SECTORS
Current taxes (-)
1.
Change of current taxes of previous years (+/-)
2.
Reduction of current taxes for the year (+)
3.
3.bis Reduction of current taxes for the year due tax credit under Law 214/2011 (+)
4.
5.
6.
Change of deferred tax assets (+/-)
Change of deferred tax liabilities (+/-)
Tax expenses for the year (-) (-1+/-2+3+3bis+/-4+/-5)
YEAR 2019
(150)
10
-
-
(262)
103
(299)
(€ million)
YEAR 2018
(73)
130
-
-
1,122
5
1,184
Item “4. Change of deferred tax assets (+/-)” in 2018 reflects the recognition of DTAs related to the first time adoption of IFRS9 against income
statement for an amount of €871 million.
19.2 Reconciliation of theoretical tax charge to actual tax charge
Profit (Loss) before tax from continuing operations (income statement item)
Theoretical tax rate
Theoretical computed taxes on income
1. Different tax rates
2. Non-taxable income - permanent differences
3. Non-deductible expenses - permanent differences
4. Different fiscal laws/IRAP
a) IRAP (italian companies)
b) Other taxes (foreign companies)
5. Previous years and changes in tax rates
a) Effects on current taxes
- Tax loss carryforward/unused Tax credit
- Other effects of previous periods
b) Effects on deferred taxes
- Changes in tax rates
- New taxes incurred (+) previous taxes revocation (-)
- True-ups/adjustments of the calculated deferred taxes
6. Valuation adjustments and non-recognition of deferred taxes
a) Deferred tax assets write-down
b) Deferred tax assets recognition
c) Deferred tax assets non-recognition
d) Deferred tax assets non-recognition according to IAS12.39 and 12.44
e) Other
7. Amortisation of goodwill
8. Non-taxable foreign income
9. Other differences
Recognised taxes on income
YEAR 2019
(256)
27.5%
70
-
1,288
(1,363)
(144)
(125)
(19)
55
32
-
32
23
-
-
23
(182)
(260)
368
-
-
(290)
-
-
(23)
(299)
(€ million)
YEAR 2018
1,258
27.5%
(346)
-
856
(572)
33
63
(30)
163
129
-
129
34
-
-
34
1,050
(87)
610
-
-
527
-
-
-
1,184
UniCredit ·2019 Annual Report and Accounts 621
Company financial statements | Notes to the accounts
Part C - Income statement
Section 20 - Profit (Loss) after tax from discontinued operations - Item 290
No data to be disclosed in this section.
Section 21 - Other information
Disclosure regarding the transparency of public funding required by article 1, paragraph 125 of the law 124/2017
Pursuant to article 1, paragraph 125 of law 124/2017, during 2019 UniCredit S.p.A. collected the following public contributions granted by Italian
entities:
Reduction of the extraordinary contribution pursuant to art.1, paragraph 235 of Law 232 of 11 December 2016 charged to the
management of welfare interventions and pension support
LENDING ENTITY
Istituto Nazionale della Previdenza Sociale
Total
LEGAL ENTITY
BENEFICIARY
UNICREDIT S.P.A.
(€ million)
PUBLIC CONTRIBUTION
AMOUNT
44.93
44.93
Contributions for the recruitment/stabilisation of personnel deriving from the application of the CCNL of the Credit in force from time
to time
LENDING ENTITY
Fondo Nazionale per il sostegno dell'occupazione nel settore del credito
Total
LEGAL ENTITY
BENEFICIARY
UNICREDIT S.P.A.
Contributions for new recruits /stabilisations, introduced by the stability law 2018 (Law No.205/2017)
LENDING ENTITY
Istituto Nazionale della Previdenza Sociale
Total
LEGAL ENTITY
BENEFICIARY
UNICREDIT S.P.A.
(€ million)
PUBLIC CONTRIBUTION
AMOUNT
1.56
1.56
(€ million)
PUBLIC CONTRIBUTION
AMOUNT
0.40
0.40
Article 8 of Legislative Decree 9/30/2005, No.203 converted, with modifications, from the Law 2 December 2005, No.248.
Compensatory measures for companies that assign the TFR to supplementary pension schemes and/or to the Fund for the payment
of the TFR
LENDING ENTITY
Istituto Nazionale della Previdenza Sociale
Total
Work-life balance - Legislative Decree 09/12/2017 and Inps Circular No.91 of 8/03/2018
LENDING ENTITY
Istituto Nazionale della Previdenza Sociale
Total
LEGAL ENTITY
BENEFICIARY
UNICREDIT S.P.A.
LEGAL ENTITY
BENEFICIARY
UNICREDIT S.P.A.
(€ million)
PUBLIC CONTRIBUTION
AMOUNT
8.78
8.78
(€ million)
PUBLIC CONTRIBUTION
AMOUNT
5.75
5.75
Result awards decontribution for year 2018 - Legislative Decree No.50 of 4/24/2017 - Art.55; converted into Law No.96 of 6/21/2017
LENDING ENTITY
Istituto Nazionale della Previdenza Sociale
Total
LEGAL ENTITY
BENEFICIARY
UNICREDIT S.P.A.
(€ million)
PUBLIC CONTRIBUTION
AMOUNT
3.36
3.36
622 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part C - Income statement
Result awards decontribution for year 2019 - Legislative Decree No.50 of 4/24/2017 - Art.55; converted into Law No.96 of 6/21/2017
LENDING ENTITY
Istituto Nazionale della Previdenza Sociale
Total
For further information, refer to the National State Aid Register "Transparency”.
Section 22 - Earnings per share
22.1 and 22.2 Average number of diluted shares and other information
Net profit (loss)(1) (€ million)
Average number of outstanding shares
Average number of potential dilutive shares
Average number of diluted shares
Earnings per share (€)
Diluted earnings per share (€)
LEGAL ENTITY
BENEFICIARY
UNICREDIT S.P.A.
(€ million)
PUBLIC CONTRIBUTION
AMOUNT
3.14
3.14
YEAR 2019
(679)
2,222,881,054
13,958,453
2,236,839,506
(0.306)
(0.304)
YEAR 2018
2,349
2,219,405,841
9,835,058
2,229,240,899
1.058
1.054
Note:
(1) €124 million has been added to 2019 net loss of €555 million due to disbursements charged to equity made in connection with the usufruct contract signed with Mediobanca S.p.A. on UniCredit shares supporting the
issuance of convertible securities denominated “Cashes” (€93 million was deducted from 2018 net profit).
Net of the average number of treasury shares and of further No.9,675,641 shares held under a contract of usufruct.
UniCredit ·2019 Annual Report and Accounts 623
Company financial statements | Notes to the accounts
Part D - Other comprehensive income
Analytical statement of other comprehensive income
ITEMS
10. Profit (Loss) of the year
Other comprehensive income not reclassified to profit or loss
20. Equity instruments designated at fair value through other comprehensive income:
a) fair value changes
b) tranfers to other shareholders' equity items
30. Financial liabilities designated at fair value through profit or loss (own creditworthiness changes):
a) fair value changes
b) tranfers to other shareholders' equity items
40. Hedge accounting of equity instruments measured at fair value through other comprehensive income:
a) fair value change (hedged instrument)
b) fair value change (hedging instrument)
50. Property, plant and equipment
60. Intangible assets
70. Defined benefit plans
80. Non-current assets and disposal groups classified as held for sale
90. Part of valuation reserves from investments valued at equity method
100. Tax expenses (income) relating to items not reclassified to profit or loss
Other comprehensive income reclassified to profit or loss
110. Foreign investments hedging:
a) fair value changes
b) reclassification to profit or loss
c) other changes
120. Foreign exchange differences:
a) value changes
b) reclassification to profit or loss
c) other changes
130. Cash flow hedging:
a) fair value changes
b) reclassification to profit or loss
c) other changes
of which: net position
140. Hedging instruments (not designated items):
a) value changes
b) reclassification to profit or loss
c) other changes
150. Financial assets (different from equity instruments) at fair value through other comprehensive income:
a) fair value changes
b) reclassification to profit or loss:
- impairment losses
- gains/losses on disposals
c) other changes
160. Non-current assets and disposal groups classified as held for sale:
a) fair value changes
b) reclassification to profit or loss
c) other changes
170. Part of valuation reserves from investments valued at equity method:
a) fair value changes
b) reclassification to profit or loss:
- impairment losses
- gains/losses on disposals
c) other changes
180. Tax expenses (income) relating to items reclassified to profit or loss
190. Total other comprehensive income
200. Other comprehensive income (Item 10+190)
Part D - Comprehensive income
624 2019 Annual Report and Accounts · UniCredit
YEAR
2019
(555,260,165)
8,855,148
(18,082,171)
26,937,319
(163,382,045)
(270,899,924)
107,517,879
-
-
-
761,769,689
-
(37,803,625)
-
-
(196,535,784)
-
-
-
-
-
-
-
-
52,152,902
52,152,902
-
-
-
-
-
-
-
781,867,923
720,993,035
61,314,628
-
61,314,628
(439,740)
-
-
-
-
-
-
-
-
-
-
(232,205,978)
974,718,230
419,458,065
(€)
2018
2,442,316,824
12,063,917
(36,798,997)
48,862,914
114,603,128
104,439,978
10,163,150
-
-
-
-
-
2,381,530
-
-
(9,289,976)
-
-
-
-
-
-
-
-
(50,378,203)
(50,375,379)
-
(2,824)
-
-
-
-
-
(1,136,539,108)
(1,014,650,659)
(123,455,067)
10,157,409
(133,612,476)
1,566,618
-
-
-
-
-
-
-
-
-
-
329,133,191
(738,025,521)
1,704,291,303
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
Part E - Information on risks and hedging policies
Introduction
Reference is made to the paragraph of Part E of the Notes to the consolidated accounts of UniCredit group - Introduction which is herewith quoted
entirely.
Section 1 - Credit risk
Qualitative information
1. General aspects
In UniCredit the current oversight model on credit risk envisages the centralisation of the steering and coordination responsibilities within the Parent
company functions, as described in the paragraph of Part E - Notes to the consolidated accounts of UniCredit group - Section 2 - Risk of the
prudential consolidated perimeter - 2.1 Credit Risk - qualitative information - 1. General aspects which is herewith quoted entirely.
With specific reference to the Italian perimeter of UniCredit S.p.A., the coordination and management of credit risk are under the responsibility of the
“CLO Italy” function, reporting to the “Group Lending Office, and who is accountable for the:
coordination and management of credit underwriting activities for UniCredit S.p.A. customers, as well as the overseeing of the post-decision
phases of the credit process;
coordination and management of restructuring and workout files of Italian perimeter of UniCredit S.p.A. including the Debt to Equity and Debt to
Asset transactions and the related equity participations/assets;
coordination of the credit activities of UniCredit S.p.A. Italian legal entities.
Within the scope of the Italian business, the lending, monitoring and loan recovery activities are managed through specific processes and IT
procedures, which are constantly improved in order to maximise their efficiency and effectiveness. In addition, the overall monitoring process, its
performance metrics and the whole impaired loans management has further improved also leveraging on progressive enhancement of the
specialised credit structures, already in place, that are responsible for the overall management of the unlikely to pay exposures or bad loans.
In order to continue providing an adequate support to the real economy, the range of financing products has been continuously updated, enhancing
the use of instruments such as the BEI and SACE guarantees, the Central Guarantee Fund and Tranched Cover operations. Furthermore, specific
attention was focused on households that intend to purchase a home, thanks to a simple though diversified product offer which aims at fulfilling
customers’ current and future needs.
UniCredit S.p.A. moreover continued to support customers in areas affected by calamitous events, such as floods and earthquakes, by means of
both governmental and self-developed initiatives.
2. Credit risk management policies
2.1 Organisational aspects
In credit risk management, the organisational structure as at 31 December 2019, envisages specific structures and responsibilities at Group and
local level. Regarding the organisational model of the Parent company functions, reference is made to the paragraph of Part E - Notes to the
consolidated accounts of UniCredit group - Section 2 - Risk of the prudential consolidated perimeter - 2.1 Credit Risk - Qualitative information -
2 Credit risk policies management - 2.1 Organisational aspects which is herewith quoted entirely.
With specific reference, instead, to the UniCredit S.p.A. perimeter, the organisational units under “CLO Italy” and responsible for the “operational”
activities (e.g. credit underwriting, performance monitoring, etc.) are:
the “Credit Underwriting” structure whose responsibilities include the following activities:
- coordinating the activities of 8 Regional Industry Team;
- RIT decision-making activities;
- managing the lending to UniCredit S.p.A. customers;
- coordinating and managing the lending to UniCredit S.p.A. customers in relation to Consumer and Mortgage non banking products and post-
sales phases;
- preliminary and administrative activities for transactions to be submitted to the Italian Transactional Credit Committee (ITCC).
The structure consists of the following units:
- “Credit Committee Secretariat”;
- “Central Credit Risk Underwriting Italy”;
- “Individuals Credit Underwriting Italy”;
- “Territorial Credit Risk Underwriting Italy” composed by 7 territorial Credit Hubs;
the “Credit Monitoring” structure whose responsibilities include the following activities:
- ensure the quality of the loan portfolio through performance monitoring of the positions, risk analysis and identification of corrective measures;
- support the Business functions in monitoring the credit portfolio of the territorial areas, analysing the performance and implementing the
corrective measures required.
UniCredit ·2019 Annual Report and Accounts 625
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
The structure consists of the following units:
- “Credit Monitoring Operations & Support”;
- “Central Credit Risk Monitoring Italy”;
- “7 Territorial Monitoring Hubs”;
- “Retail Central Credit Monitoring”;
the “Special Credit” structure whose responsibilities include the following activities:
- overseeing activities aimed at reducing the cost of credit risk of irregular and problematic loans;
- managing the collection of delinquent and overdue unpaid credits and the related activities, as the classifications doubtful or non performing
credits, according to the delegated powers, ensuring the enforcement and implementations of collection strategies and activities;
- conducting borrower assessment, credit analysis and preparing the related documentation for applications to be submitted to the competent
decision-making Bodies;
- overseeing the administrative and accounting activities under its responsibility.
The structure consists of the following units:
- RTO NPL Servicing;
- Special Credit Support And Administration Italy;
- Workout Italy;
- Customer Recovery;
the “Restructuring Italy” structure, which, inter alia, is in charge of managing, assessing and making decisions of positions undergoing
restructuring, also monitoring compliance with the agreements set forth in the restructuring plan and any covenants established and managing
potential Debt to Equity and Debt to Asset transactions as well as the resulting shareholdings within its perimeter of competence.
The structure consists of the following units:
- Corporate Files Restructuring;
- Real Estate Restructuring;
- Restructuring Risk Analysis & Operations;
- Strategic Files Restructuring;
- Inc Italy;
the “Loan Administration” structure which, inter alia, is responsible for the following activities:
- monitoring administrative activities after the loan has been granted/disbursed;
- managing subsidised loans;
- lending and administrative activities relating to mutual guarantee institutions;
- coordination and management of activities after disbursement of Mortgages by ensuring the quality and integrity of information assets and risk
minimisation;
The structure consists of the following units:
- 5 territorial Hub of the “Loan Administration;
- Subsidised Loan;
- Mortgages Evaluation;
- Loan Administration Operation & Support.
In addition, with respect to credit risk, specific committees have been set up:
the “Italian Transactional Credit Committee”, which has decision-making functions within its delegated powers and/or consulting functions for files
to be approved by upper Bodies, is responsible, with regard to UniCredit S.p.A. counterparts, (excluding FIBS counterparts) for credit proposals
(including “restructuring”, “INC” and “workout” positions), the classification status of positions, strategies and corrective actions to be taken for
“watchlist” positions, Debt to Equity transactions and/or actions/rights-execution related to equity participations resulting from Debt to Equity
transaction, Debt to Assets transactions and/or actions/rights-execution related to asset resulting from Debt to Asset transactions, issuing Non-
Binding Credit Opinions concerning the proposals of the Italian Legal Entities of UniCredit group and proposals of distressed loan disposal;
the “Italian Non Core Portfolio Credit Committee”, which has the responsibility, within its sub-delegated powers, to evaluate and approve the
underwriting and the review of the credit lines; to evaluate and approve the loans provisions, asset value adjustments and releases of capital
and/or capitalised interests related to the non performing non-core portfolio of competence.
626 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
2.2 Credit risk management, measurement and control
Reference is made to the paragraph of Part E - Notes to the consolidated accounts of UniCredit group - Section 2 - Risk of the prudential
consolidated perimeter - 2.1 Credit Risk - Qualitative information - 2. Credit risk policies management - 2.2 Credit risk management, measurement
and control which is herewith quoted entirely.
2.3 Measurement methods for expected losses
Risk management practices
Reference is made to the paragraph of Part E - Notes to the consolidated accounts of UniCredit group - Section 2 - Risk of the prudential
consolidated perimeter - 2.1 Credit Risk - Qualitative information - 2. Credit risk policies management - 2.3 Measurement method for expected
losses which is herewith quoted entirely.
2.4 Credit risk mitigation technique
UniCredit group uses various credit risk mitigation techniques to reduce potential credit losses in case of the obligor default. Consistent with the
”Regulation (EU) No.575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and
investment firms (CRR)”, UniCredit group is firmly committed to satisfy the requirements for recognition of credit risk mitigation techniques,
according to the different approaches adopted (Standardised, Foundation IRB or Advanced IRB), both for internal use in operations and for
regulatory capital purposes as necessary for the calculation of credit risk capital requirement.
At the moment specific guidelines are in force, issued by the Parent company, defining group-wide rules and principles with the aim to guide, govern
and standardise the credit risk mitigation management, best practice, as well as in accordance with the relevant regulatory requirements.
Integrating these guidelines, the Bank has adopted internal regulations, specifying processes, strategies and procedures for collateral management.
In particular, such internal regulations detail, according to each Country's local legal system, collateral eligibility, acquisition, valuation and
monitoring rules and ensure, among others, the soundness, legal enforceability and timely liquidation of valuable collateral.
Collateral management assessments and credit risk mitigation compliance verification have been performed by the Bank, specifically as part of
Internal Rating System applications, in order to assess the presence of adequate documentation and procedure concerning the credit risk mitigation
instruments used for supervisory capital.
In particular, according to the current credit policy, collaterals or guarantees can be accepted only to support loans but cannot serve as a substitute
for the borrower’s ability to meet its obligations. For this reason, in addition to the overall analysis of the borrowers’ credit worthiness and of his
repayment capacity, collaterals are subject to specific evaluation and analysis with the aim to verify their viability to support the repayment of the
exposure.
Collaterals accepted in support of credit lines granted by the Bank, primarily include:
real estate, both residential and commercial;
financial collaterals (including cash deposits, debt securities, equities, and units of Undertakings for Collective Investment in Transferable
Securities (UCITS).
Other types of collaterals (pledged goods or pledged loans and life insurance policies) are less common.
The Bank also makes use, between funded credit protection, of bilateral netting agreements in particular regarding OTC derivatives (by means of
ISDA and CSA agreements), Repos and securities lending transactions where the counterparties are, generally, Financial Institutions.
Moreover, can be considered as eligible netting agreements of reciprocal credit exposures between the Bank and its counterparty if they are legally
effective and enforceable in all relevant jurisdictions, including in the event of default or bankruptcy of counterparty, and if they meet the following
operational conditions:
provide for the netting of gains and losses on transactions cleared under the master agreement;
fulfil the minimum requirements for recognition of financial collateral (valuation requirements and monitoring).
The Bank can apply netting agreements only if they are able at any time to determine the position netting value (assets and liabilities with the same
counterparty that are subject to the netting agreement), monitoring and controlling debts, credit and netting value.
In relation to guarantees, they can be accepted as complementary and accessory to the granting of loans, for which the risk mitigation serves as
additional security for repayment. Personal guarantees are provided by banks, government, central banks and other public entities and others.
The last category includes the personal guarantees provided by natural persons.
In case the guarantee is represented by credit derivatives, the protection providers are mainly banks and institutional counterparties.
The list of eligible protection providers depends on the specific approach adopted by the Bank. Specifically:
under the Standardised approach, eligible protection providers pertain to a restricted list of counterparts, such as Central Government and Central
Banks, public sector entities and regional and local authorities, multilateral development banks, supervised institutions and corporate entities that
have a credit assessment by an eligible ECAI;
Legal Entities adopting IRB-A may recognise guarantees provided that the relevant minimum requirements are satisfied and, furthermore, the
Bank can evaluate the protection provider risk profile, through an internal rating system, at the time the guarantee is provided and over its entire
duration.
UniCredit ·2019 Annual Report and Accounts 627
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
The management system of credit risk mitigation techniques is embedded in the credit approval process and in the credit risk monitoring process, to
support the evaluation and data quality checks of collaterals/guarantees and their appropriate linking to the categories defined for LGD estimates
purposes. Controls and related responsibilities are duly formalised and documented in internal rules. Furthermore processes are implemented to
control that all the relevant information regarding the identification and evaluation of the credit protection are correctly registered in the system.
In the collateral acquisition phase, the Bank emphasises the importance of processes and controls of the legal certainty requirements of the
protection, as well as the assessment of the suitability of the collateral or guarantee. In case of personal guarantees, the protection provider (or the
protection seller in case of credit default swap) has to be assessed in order to measure his/her credit worthiness and risk profile.
Monitoring processes of credit risk mitigation techniques ensure that general and specific requirements set by credit policies, internal and regulatory
rules are met over the time.
Among such processes it is pointed out that one connected to concentration risk, which occurs when the major part of collateral financial assets (at
portfolio level) are concentrated in a small number of collateral types, protection instruments, or specific providers of collaterals.
Such concentration is monitored and controlled by the following processes/mechanisms:
in case of personal guarantees/credit derivatives, a contingent liability (indirect risk) is charged to the protection provider. In the evaluation of the
credit application, a secondary commitment is added to the guarantor and it is reflected in the guarantor’s total credit exposure as deemed
competent and approved in accordance with the Bank’s system of authority;
in case the protection provider, directly or indirectly, is a Central Bank or a Sovereign country, a specific credit limit has to be instructed and, if the
guarantor is a foreign subject, it is necessary to evaluate case by case the definition of a country limit.
3. Non-performing credit exposures
3.1 Management strategies and policies
Regarding the management strategies and policies in force for the UniCredit group reference is made to the paragraph of Part E - Notes to the
consolidated accounts of UniCredit group - Section 2 - Risk of the prudential consolidated perimeter - 3. Non-performing credit exposures -
3.1 Management strategies and policies which is herewith quoted entirely.
In order to ensure a homogeneous approach in the classification of credit exposures for regulatory and reporting purposes, UniCredit has defined
group-wide guidelines for the classification of non-performing exposures that refer to the principles reported in the Implementing Technical
Standards issued by the Authority European Banking in 2014. With regard to this definition (which includes the concept of "default" ruled by Art.178
EU Regulation No.575/2013 and the "impaired" definition reported in accounting standard IFRS9) at operative level UniCredit group has pursued a
substantial alignment between the three definitions. Furthermore, in accordance with the provisions of Banca d’Italia Circular 272/2008, credit
exposures of each group entity must be classified in one of the following risk classes:
past-due and/or overdue exposures: problematic exposures that are more than 90 days past due on any material obligation (the latter assessed in
line with Article 178 (2d) of EU Regulation No.575/2013 and the Technical Standards of the EBA);
unlikely to pay: the classification in this category is the result of the judgment of the bank about the unlikeliness, without recourse to actions such
as realising collaterals, that the obligor will pay in full (principal and/or interest) its credit obligations. This assessment should be carried out
independently of the presence of any (or rate) past due and unpaid amount;
bad loans: exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation,
regardless of any loss forecasts made by the bank.
In the non-performing credit exposures management, UniCredit S.p.A. adopts certain strategies that operationally define the activities necessary to
achieve the targets defined yearly.
The aforementioned strategies concerning impaired loans include:
an effective internal restructuring activity, supported by qualified resources with specific skills dedicated to the management of loans classified as
unlikely to pay; within these activities, ad-hoc approaches are then envisaged for positions considered strategic or referring to the Corporate and
Real Estate segment;
proactive portfolio management through judicial and extra-judicial procedures managed by internal Workout professionals or assigned to external
agencies specialised in credit recovery;
the recourse of alternative recovery strategies (which UniCredit was one of the first banks to use) based on formalised partnerships aimed at
managing positions in the industrial or Real Estate sector;
proactive management of the Leasing portfolio aimed at speeding up the negotiation times of agreements with counterparties in order to obtain a
more effective remarketing process;
disposal of impaired loans as a further strategy for internal recovery both for individual positions and for portfolios of impaired loans, already
classified as bad loans and unlikely to pay.
628 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
These strategies reflect the main levers for reducing the amount of impaired loans and have led to an important result during the first 9 months of
2019, highlighting:
write-off for €2,184 million (153% of the total planned in Transform 2019 for 2019 year);
recoveries for €1,144 million (72% of the total planned in Transform 2019 for 2019 year);
disposals for €8,246 million (344% of the total planned in Transform 2019 for 2019 year).
The decrease amount of the stock of impaired loans to Bank customers was therefore in line with the reduction targets set in the Transform 2019
plan for the year 2019, achieving an improvement in asset quality. This result was possible thanks also to an acceleration of the reduction times of
the "Non Core" portfolio. Therefore, the UniCredit group can confirm the complete closure of its Non Core legacy by 2021, as foreseen in the new
plan “Team23” thanks also to the activation of a coordinated set of levers aimed at reducing the stock.
3.2 Write-off
UniCredit group guidelines for write-offs on financial assets provides that whenever a loan is deemed to be uncollectable/unrecoverable it needs to
be identified at the earliest possible opportunity and properly dealt with in accordance with financial regulations. Write-offs can relate to a financial
asset in its entirety, or to a portion of it.
In assessing the recoverability of Non-Performing Exposures (NPE) and in determining internal NPE write-off approaches, the following cases, in
particular, are taken into account:
exposures with prolonged arrears: it is assessed the recoverability of an exposure that presents arrears for a prolonged period of time. If, following
this assessment, an exposure or part of an exposure is deemed as non-recoverable, it should be written-off in a timely manner, adopting different
thresholds predefined on the basis of the different portfolios;
exposures under insolvency procedure: where the collateralisation of the exposure is low, legal expenses often absorb a significant portion of the
proceeds from the bankruptcy procedure and therefore estimated recoveries are expected to be very low;
a partial write-off may be warranted where there are reasonable elements to demonstrate the debtor's inability to repay the full amount of the debt,
i.e. a significant level of debt, even following the implementation of a forbearance treatment and /or the execution of collateral.
Below a non-exhaustive list of hard evidences implying, with high likelihood, the not recoverability of the exposure, to be assessed, for the potential
(total or partial) write-off:
the Bank cannot call the guarantor(s), or his assets are not sufficient for the recovery of the debtor’s exposures;
negative outcome of the judicial and/or out-of-court initiatives with absence of other assets that can be called in the event of un-recoverability of
the debtor’s exposures;
impossibility to initiate actions to recover credit;
current insolvency procedure, from which the procedure itself states that the unsecured exposures will not have redress;
loans not backed by mortgage security older than 3 years that have not registered repayments/ collections during the first 3 years after the NPE
classification;
mortgage loans to private individuals with collaterals already executed or not recoverable (because of legal or administrative defects and if
execution is considered not economically viable), if they have been classified as Non-Performing for more than 7 years, or between 2 and 7 years
if the residual debt is less than €110,000.
Specifically, for UniCredit S.p.A. perimeter, write-offs on financial assets still subject to an enforcement procedure amount to €2,016 million as at 31
December 2019, of which partial write-offs amount to €1,899 million and total write-offs amount to €117 million. The amount of write-offs (both partial
and total) related to the 2019 financial year is €1,150 million. 2019 write-offs cannot be compared with write-offs amount reported in gross changes
in non-performing exposures, because the latter includes “debt forgiveness”.
3.3 Acquired or originated impaired financial assets
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.1 Credit Risk - Qualitative information - 3. Non-
performing credit exposures - 3.3 Acquired or originated impaired financial assets - Part E of the Notes to the consolidated accounts, which is
herewith quoted entirely.
4. Financial assets subject to commercial renegotiations and forborne exposures
Changes in existing financial instruments which determine a modification of contractual conditions might be the result of either:
commercial initiatives, which may be specific for each customer or applied to portfolio of customers also as a result of dedicated initiatives
sponsored by public authorities or banking associations, or
concessions granted in light of debtor’s financial difficulties (Forbearance).
Such changes are accounted on the basis of whether the modification is considered significant or not. In this regard, reference is made to the
Part A - A.2 - Main items of the accounts.
The concessions granted due to debtor’s financial difficulties, so called Forbearance initiatives, are usually considered not significant from an
accounting perspective.
UniCredit ·2019 Annual Report and Accounts 629
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
4.1 Loan categorisation in the risk categories and forborne exposures
Reference is made to the paragraph of Part E - Notes to the consolidated accounts of UniCredit group - Section 2 - Risk of the prudential
consolidated perimeter - 4.1 Loan categorisation in the risk categories and forborne exposures which is herewith quoted entirely.
Quantitative information
In the following tables, the volume of impaired assets according to the IFRS definition is equivalent to the one for non-performing exposures referred
to in the EBA standards.
A. Credit quality
For the purposes of the disclosure of quantitative information about credit quality, the term “credit exposures” does not include equity instruments
and units in investment funds.
A.1 Non-performing and performing credit exposure: amounts, writedowns, changes, distribution by business activity
A.1.1 Breakdown of financial assets by portfolio and credit quality (carrying value)
PORTFOLIOS/QUALITY
1. Financial assets at amortised cost
2. Financial assets at fair value through other
comprehensive income
3. Financial assets designated at fair value
4. Other financial assets mandatorily at fair value
5. Financial instruments classified as held for sale
Total
Total
12.31.2019
12.31.2018
BAD
EXPOSURES
956
UNLIKELY TO
PAY
3,421
NON-
PERFORMING
PAST-DUE
EXPOSURES
311
PERFORMING
PAST-DUE
EXPOSURES
6,518
OTHER
PERFORMING
EXPOSURES
289,957
-
-
-
24
980
2,811
-
-
65
239
3,725
6,355
-
-
-
-
311
302
-
-
6
-
6,524
5,290
29,857
-
524
-
320,338
302,644
A.1.2 Breakdown of financial assets by portfolio and credit quality (gross and net values)
NON-PERFORMING ASSETS
PERFORMING ASSETS
(€ million)
TOTAL
301,163
29,857
-
595
263
331,878
317,402
(€ million)
TOTAL
(NET
EXPOSURE)
301,163
OVERALL
PARTIAL
WRITE-
OFFS(*)
1,899
-
-
-
GROSS
EXPOSURE
297,723
OVERALL
WRITEDOWNS
1,248
NET
EXPOSURE
296,475
29,886
29
29,857
29,857
X
X
X
X
-
530
-
595
46
1,945
2,395
-
327,609
307,796
-
1,277
1,325
-
326,862
307,934
263
331,878
317,402
PORTFOLIOS/QUALITY
1. Financial assets at amortised cost
2. Financial assets at fair value
through other comprehensive income
3. Financial assets designated at fair
value
4. Other financial assets mandatorily
at fair value
5. Financial instruments classified as
held for sale
Total
Total
12.31.2019
12.31.2018
Note:
(*) Value shown for information purposes.
GROSS
EXPOSURE
15,287
OVERALL
WRITEDOWNS
10,599
NET
EXPOSURE
4,688
-
-
-
-
172
107
592
16,051
25,655
329
11,035
16,187
-
-
65
263
5,016
9,468
630 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
Prisma transaction
“PRISMA transaction“ (hereinafter also "PRISMA") is part of the plan of disposal of the assets belonging to the "Non Core" perimeter belonging to
the UniCredit group through a market operation. It relates to a set of credit exposures owned by UniCredit S.p.A., classified as Non performing and
related to a Portfolio of Residential Mortgages to Individuals which, as at 30 September 2019 (cut-off date), amounted to €4.1 billion in terms of
gross book value (€6.1 billion in terms of credit claims), also defined below as the "Portfolio".
PRISMA consists of an overall transaction, approved by the Board of Directors on 20 September 2019, realised by 2 phases of process:
PHASE 1: securitisation of receivables (Bad loans) originated by UniCredit S.p.A. (the "Securitisation"). On 11 October 2019 the legal transfer
of the loan Portfolio from UniCredit S.p.A. (Originator) to PRISMA SPV S.r.l. (Assignee) occurred at a price equal to €1,320 million, then settled on
18 October 2019 through the full subscription by UniCredit S.p.A. of all Asset Backed Securities (named also ABS or Note) (Senior Notes for
€1,210 million, Mezzanine for €80 million and Junior for €30 million) issued on the same date by PRISMA SPV S.r.l. UniCredit S.p.A. neither
maintain roles connected with the recovery or management of collections of securitised receivables as Servicer or Master Servicer or other
analogous within the Securitisation transaction, nor has any control over the recovery process. Within the transaction, a liquidity line granted to
PRISMA SPV S.r.l. by UniCredit Bank AG is envisaged for an amount of €66 million (qualified as “super-senior” in the Securitisation waterfall of
payments), to fund upfront and on-going running costs and cover potential shortfalls of maturity mismatch between the payment dates.
PHASE 2: partial sale by UniCredit S.p.A. of the Mezzanine and Junior Notes to third parties investors not belonging to the UniCredit group.
Following a placement process supported by J.P.Morgan Securities Plc and UniCredit Bank AG as Placement Agents, on 5 November 2019
UniCredit S.p.A. accepted a Binding Offer from SPF Investment Management - Buckthorn Financing DAC (third party not pertaining to UniCredit
group) for the purchase of 95% of Notes Mezzanine and Junior (€104.5 million out of the total of €110 million) at a total price of approximately €48
million. Consequently, on 12 November 2019, the sale of 95% of the Mezzanine and Junior Notes to the investor was finalised.
The sale of 95% of the Mezzanine and Junior Securities created the fundamental and substantial conditions for the accounting derecognition
(pursuant to the international accounting standards in force) from the UniCredit S.p.A. Balance Sheet of the receivables included in the Portfolio of
bad loans securitized with PRISMA transaction. Indeed, UniCredit S.p.A. has transferred to third parties (outside UniCredit group) the risks and
benefits underlying the loan Portfolio subject to sale, since it has substantially replaced a Portfolio of impaired credit exposures (bad loans) booked
for a gross book value of €4.1 billion with an exposure in Senior Notes (nominal €1,210 million) with “investment grade” rating, maintaining a residual
exposure (5%) in the Mezzanine Tranche (nominal €4 million) and Junior (nominal €1.5 million). It is therefore possible to state that after the sale of
95% of the Mezzanine and Junior Notes (i) the Bank is no longer significantly exposed to the variability of the future cash flows of the loan Portfolio,
and (ii) the underlying risks/benefits on securitized loans are no longer substantially related to UniCredit S.p.A. but to third party (outside the
UniCredit group) subscribers of the Mezzanine and Junior tranches. The liquidity line granted to PRISMA SPV S.r.l. by UniCredit Bank AG does not
change the result of the analysis since the repayment of the credit deriving from the use of this line by the Vehicle is “super-senior” than the Senior
Tranche.
Consequently, according to IFRS9 (paragraph 3.2.6), UniCredit, both in the 2019 Individual and Consolidated Financial Statements, proceeded to:
to the derecognition of the receivables belonging to the loan Portfolio relating to PRISMA Transaction,
to recognise the ABS (100% of Senior Note; 5% of Mezzanine and Junior Notes), which have been classified in the categories envisaged
according to IFRS9 based on their characteristics. As at 31 December 2019, the Senior Note is classified as Financial asset at fair value through
other comprehensive income for an amount of €1.215 million, while Mezzanine and Junior Note are classified as Financial assets at fair value
through profit or loss for an amount of €3 million and zero million respectively.
On 27 December 2019 the Italian Minister of Economy and Finance recognised the Garanzia Cartolarizzazione Sofferenze (GACS) as a guarantee
for the repayment of the Senior Note.
With reference to the events occurring after the end of the year, refer to the Subsequent events and outlook in Consolidated report on operations.
UniCredit ·2019 Annual Report and Accounts 631
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
Strengthening the rundown strategy for Non Core perimeter
Refer to Part E - Information on risks and hedging policies - Section 1 - Risks of the accounting consolidated perimeter - Quantitative information -
“Strengthening the rundown strategy for Non Core perimeter” of the Notes to consolidated accounts that, for what relates specifically to UniCredit
S.p.A., here are intended as completely reported.
PORTFOLIOS/QUALITY
1. Financial assets held for trading
2. Hedging derivatives
Total
Total
12.31.2019
12.31.2018
CUMULATED LOSSES
10
-
10
31
ASSETS OF EVIDENT LOW CREDIT QUALITY
NET EXPOSURE
17
-
17
26
(€ million)
OTHER ASSETS
NET EXPOSURE
12,661
5,223
17,884
15,975
A.1.3 Breakdown of financial assets by past-due buckets (carrying value)
STAGE 1
OVER 30
AND UP
TO 90
DAYS
FROM 1
TO 30
DAYS
4,920
139
-
-
4,920
3,385
-
-
139
275
OVER 90
DAYS
FROM 1
TO 30
DAYS
STAGE 2
OVER 30
AND UP
TO 90
DAYS
OVER 90
DAYS
FROM 1
TO 30
DAYS
STAGE 3
OVER 30
AND UP
TO 90
DAYS
(€ million)
OVER 90
DAYS
82
-
-
82
97
583
404
390
2,090
154
2,444
-
-
583
577
-
-
404
445
-
-
390
511
-
130
2,220
3,732
-
12
166
172
-
121
2,565
5,451
PORTFOLIOS/RISK STAGES
1. Financial assets at amortised
cost
2. Financial assets at fair value
through other comprehensive
income
3. Financial instruments classified
as held for sale
Total
Total
12.31.2019
12.31.2018
A.1.4 Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions
FINANCIAL ASSETS CLASSIFIED IN STAGE 1
FINANCIAL ASSETS CLASSIFIED IN STAGE 2
FINANCIAL
ASSETS AT FAIR
VALUE THROUGH
OTHER
COMPREHENSIVE
INCOME
FINANCIAL
INSTRUMENTS
CLASSIFIED
AS HELD FOR
SALE
FINANCIAL
ASSETS AT
AMORTISED
COST
OF WHICH:
INDIVIDUAL
IMPAIRMENT
OF WHICH:
COLLECTIVE
IMPAIRMENT
FINANCIAL
ASSETS AT FAIR
VALUE THROUGH
OTHER
COMPREHENSIVE
INCOME
FINANCIAL
INSTRUMENTS
CLASSIFIED
AS HELD FOR
SALE
FINANCIAL
ASSETS AT
AMORTISED
COST
OF WHICH:
INDIVIDUAL
IMPAIRMENT
OF WHICH:
COLLECTIVE
IMPAIRMENT
OVERALL WRITE-DOWNS
(€ million)
549
109
(101)
(317)
1
-
-
286
527
-
-
19
-
-
16
-
-
-
(6)
29
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
568
109
(101)
(301)
1
-
-
281
557
-
-
757
51
(56)
207
2
-
(1)
(240)
720
-
(16)
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
757
51
(56)
207
2
-
(1)
(239)
721
-
(16)
SOURCES/RISK STAGES
Opening balance (gross amount)
Increases in acquired or originated
financial assets
Reversals different from write-offs
Net losses/recoveries on credit
impairment
Contractual changes without
cancellation
Changes in estimation methodology
Write-off
Other changes
Closing balance (gross amount)
Recoveries from financial assets
subject to write-off
Write-off are not recognised directly in
profit or loss
632 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
continued: A.1.4 Financial assets, loan commitments and financial guarantees given: changes in overall impairments and provisions
SOURCES/RISK STAGES
Opening balance (gross amount)
Increases in acquired or originated
financial assets
Reversals different from write-offs
Net losses/recoveries on credit
impairment
Contractual changes without cancellation
Changes in estimation methodology
Write-off
Other changes
Closing balance (gross amount)
Recoveries from financial assets subject
to write-off
Write-off are not recognised directly in
profit or loss
FINANCIAL
ASSETS AT
AMORTISED
COST
16,055
406
(146)
2,270
19
-
(3,303)
(4,702)
10,599
76
(354)
OVERALL WRITE-DOWNS
ASSETS BELONGING TO THIRD STAGE
FINANCIAL
ASSETS AT FAIR
VALUE THROUGH
OTHER
COMPREHENSIVE
INCOME
FINANCIAL
INSTRUMENTS
CLASSIFIED
AS HELD FOR
SALE
OF WHICH:
INDIVIDUAL
IMPAIRMENT
OF WHICH:
COLLECTIVE
IMPAIRMENT
OF WHICH:
ACQUIRED OR
ORIGINATED
IMPAIRED
FINANCIAL
ASSETS
TOTAL PROVISIONS ON LOANS COMMITMENTS
AND FINANCIAL GUARANTEES GIVEN
TOTAL
STAGE 1
STAGE 2
STAGE 3
(€ million)
-
-
-
-
-
-
-
-
-
-
-
23
-
(46)
(17)
-
-
(4,255)
4,625
330
-
(49)
9,928
350
(6)
1,432
18
-
(2,218)
(1,496)
8,008
6,150
55
(186)
821
1
-
(5,340)
1,419
2,920
25
51
(225)
(178)
13
-
-
(1)
-
-
(6)
4
10
-
-
66
20
-
(43)
-
-
-
9
52
-
-
24
5
-
(4)
-
-
-
(2)
23
-
-
402
17,895
24
-
(79)
-
-
-
(7)
340
-
-
615
(349)
2,033
22
-
(7,559)
(37)
12,620
76
(419)
A.1.5 Financial assets, loan commitments and financial guarantees given: transfers between risk stages (gross values and nominal
values)
PORTFOLIOS/RISK STAGES
1. Financial assets at amortised cost
2. Financial assets at fair value through other
comprehensive income
3. Financial instruments classified as held for sale
4. Loan commitments and financial guarantees given
Total
Total
12.31.2019
12.31.2018
GROSS VALUES/NOMINAL VALUES
(€ million)
TRANSFERS BETWEEN STAGE
1 AND STAGE 2
TRANSFERS BETWEEN STAGE
2 AND STAGE 3
TRANSFERS BETWEEN STAGE
1 AND STAGE 3
FROM STAGE
1 TO STAGE 2
6,019
FROM STAGE
2 TO STAGE 1
4,010
FROM STAGE
2 TO STAGE 3
963
FROM STAGE
3 TO STAGE 2
164
FROM STAGE
1 TO STAGE 3
915
FROM STAGE
3 TO STAGE 1
244
-
-
1,285
7,304
5,883
-
-
519
4,529
5,398
-
49
13
1,025
1,228
-
-
11
175
95
-
6
41
962
1,194
-
-
20
264
331
UniCredit ·2019 Annual Report and Accounts 633
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
A.1.6 On- and off-balance sheet credit exposures with banks: gross and net values
AMOUNTS AS AT
12.31.2019
GROSS EXPOSURE
NON-
PERFORMING
PERFORMING
OVERALL WRITE-
DOWNS AND
PROVISIONS
NET EXPOSURE
(€ million)
OVERALL
PARTIAL WRITE-
OFFS(*)
-
-
4
-
-
-
X
X
X
X
4
-
X
-
4
X
X
X
X
X
X
-
-
44,705
-
44,705
X
38,675
38,675
83,380
-
-
4
-
-
-
-
-
27
-
31
-
4
4
35
-
-
-
-
-
-
-
-
44,678
-
44,678
-
38,671
38,671
83,349
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
EXPOSURE TYPES/VALUES
A. On-balance sheet credit exposures
a) Bad exposures
of which: forborne exposures
b) Unlikely to pay
of which: forborne exposures
c) Non-performing past due
of which: forborne exposures
d) Performing past due
of which: forborne exposures
e) Other performing exposures
of which: forborne exposures
Total (A)
B. Off-balance sheet credit exposures
a) Non-performing
b) Performing
Total (B)
Total (A+B)
Note:
(*) Value shown for information purposes.
A.1.7 On- and off-balance sheet credit exposures with customers: gross and net values
AMOUNTS AS AT
12.31.2019
GROSS EXPOSURE
NON-
PERFORMING
PERFORMING
OVERALL WRITE-
DOWNS AND
PROVISIONS
NET EXPOSURE
(€ million)
OVERALL
PARTIAL WRITE-
OFFS(*)
6,452
1,179
9,129
5,559
466
17
X
X
X
X
16,047
2,642
X
2,642
18,689
X
X
X
X
X
X
6,820
859
283,351
1,800
290,171
X
138,486
138,486
428,657
5,472
984
5,404
3,398
155
5
296
109
954
111
12,281
340
71
411
12,692
980
195
3,725
2,161
311
12
6,524
750
282,397
1,689
293,937
2,302
138,415
140,717
434,654
1,923
198
22
4
-
-
-
-
-
-
1,945
-
-
-
1,945
EXPOSURE TYPES/VALUES
A. On-balance sheet credit exposures
a) Bad exposures
of which: forborne exposures
b) Unlikely to pay
of which: forborne exposures
c) Non-performing past due
of which: forborne exposures
d) Performing past due
of which: forborne exposures
e) Other performing exposures
of which: forborne exposures
Total (A)
B. Off-balance sheet credit exposures
a) Non-performing
b) Performing
Total (B)
Total (A+B)
Note:
(*) Value shown for information purposes.
634 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
A.1.8 On-balance sheet exposures with banks: changes in gross non-performing exposures
SOURCES/CATEGORIES
A. Opening balance (gross amount)
of which sold non-cancelled exposures
B. Increases
B.1 Transfers from performing loans
B.2 Transfers from acquired or originated impaired financial assets
of which: business combinations
B.3 Transfers from other categories of non-perforiming exposures
B.4 Contractual changes with no cancellations
B.5 Other increases
of which: business combinations - mergers
C. Reductions
C.1 Transfers to performing loans
C.2 Write-offs
C.3 Collections
C.4 Sale proceeds
C.5 Losses on disposal
C.6 Transfers to other non-performing exposures
C.7 Contractual changes with no cancellations
C.8 Other decreases
of which: business combinations
D. Closing balance (gross amount)
of which sold non-cancelled exposures
BAD EXPOSURES
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
CHANGES IN 2019
UNLIKELY TO PAY
4
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
4
-
(€ million)
NON-PERFORMING
PAST DUE
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
A.1.8bis Regulatory consolidation - On-balance sheet exposures with banks: changes by credit quality in gross forborne exposures
No data to be disclosed.
A.1.9 On-balance sheet credit exposures with customers: changes in gross non-performing exposures
SOURCES/CATEGORIES
A. Opening balance (gross amount)
of which sold non-cancelled exposures
B. Increases
B.1 Transfer from performing loans
B.2 Transfer from acquired or originated impaired financial assets
of which: business combinations
B.3 Transfer from other non-performing exposures
B.4 Contractual changes with no cancellations
B.5 Other increases
of which: business combinations - mergers
C. Decreases
C.1 Transfers to performing loans
C.2 Write-offs
C.3 Collections
C.4 Sale proceeds
C.5 Losses on disposals
C.6 Transfers to other non-performing exposures
C.7 Contractual changes with no cancellations
C.8 Other decreases
of which: business combinations
D. Closing balance (gross amount)
of which sold non-cancelled exposures
BAD EXPOSURES
13,022
472
2,918
367
-
-
1,862
-
689
-
9,488
3
1,953
860
1,566
55
9
-
5,042
-
6,452
386
CHANGES IN 2019
UNLIKELY TO PAY
12,169
1,043
3,790
1,361
85
-
99
1
2,244
-
6,830
501
398
1,493
687
79
1,722
20
1,930
-
9,129
848
(€ million)
NON-PERFORMING
PAST DUE
462
10
421
366
-
-
4
-
51
-
417
55
-
128
-
-
234
-
-
-
466
7
UniCredit ·2019 Annual Report and Accounts 635
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
A.1.9bis On-balance sheet exposures with customers: changes by credit quality in gross forborne exposures
SOURCES/QUALITY
A. Opening balance (gross amount)
of which sold non-cancelled exposures
B. Increases
B.1 Transfers from performing non-forborne exposures
B.2 Transfers from performing forbone exposures
B.3 Transfers from non-performing forborne exposures
of which: business combinations
B.4 Other increases
of which: business combinations - mergers
C. Reductions
C.1 Transfers to performing non-forborne exposures
C.2 Transfers to performing forbone exposures
C.3 Transfers to non-performing forborne exposures
C.4 Write-offs
C.5 Collections
C.6 Sale proceeds
C.7 Losses from disposal
C.8 Other reductions
of which: business combinations
D. Closing balance (gross amount)
of which sold non-cancelled exposures
CHANGES IN 2019
FORBORNE
EXPOSURES: NON-
PERFORMING
9,294
735
2,461
63
422
X
X
1,976
-
5,000
X
310
X
551
1,022
627
33
2,457
-
6,755
800
A.1.10 On-balance sheet non-performing credit exposures with banks: changes in overall write-downs
(€ million)
FORBORNE
EXPOSURES:
PERFORMING
2,959
232
1,821
1,326
X
310
-
185
-
2,121
767
X
422
-
884
-
-
48
-
2,659
68
(€ million)
SOURCES/CATEGORIES
A. Opening balance (gross amount)
of which sold non-cancelled exposures
B. Increases
B.1 Write-downs of acquired or originated impaired
financial assets
of which: business combinations
B.2 Other write-downs
B.3 Losses on disposal
B.4 Transfers from other categories of non-
performing exposures
B.5 Contractual changes with no cancellations
B.6 Other increases
of which: business combinations - mergers
C. Reductions
C.1 Write-backs from valuation
C.2 Write-backs from collections
C.3 Gains from disposals
C.4 Write-offs
C.5 Transfers to other categories of non-performing
exposures
C.6 Contractual changes with no cancellations
C.7 Other decreases
of which: business combinations
D. Closing balance (gross amount)
of which sold non-cancelled exposures
NON-PERFORMING LOANS
OF WHICH
FORBORNE
EXPOSURES
-
-
-
TOTAL
-
-
-
CHANGES IN 2019
UNLIKELY TO PAY
OF WHICH
FORBORNE
EXPOSURES
-
-
-
TOTAL
4
-
-
NON-PERFORMING PAST DUE
OF WHICH
FORBORNE
EXPOSURES
-
-
-
TOTAL
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
X
-
-
-
-
X
-
-
-
-
-
-
-
-
X
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
4
-
X
-
-
-
-
X
-
-
-
-
-
-
-
-
X
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
X
-
-
-
-
X
-
-
-
-
-
-
-
-
X
-
-
-
-
636 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
A.1.11 On-balance sheet non-performing credit exposures with customers: changes in overall write-downs
NON-PERFORMING LOANS
CHANGES IN 2019
UNLIKELY TO PAY
SOURCES/CATEGORIES
A. Opening balance (gross amount)
of which sold non-cancelled exposures
B. Increases
B.1 Write-downs of acquired or originated impaired
financial assets
of which: business combinations
B.2 Other write-downs
B.3 Losses on disposal
B.4 Transfers from other categories of non-
performing exposures
B.5 Contractual changes with no cancellations
B.6 Other increases
of which: business combinations - mergers
C. Reductions
C.1 Write-backs from valuation
C.2 Write-backs from collections
C.3 Gains from disposals
C.4 Write-offs
C.5 Transfers to other categories of non-performing
exposures
C.6 Contractual changes with no cancellations
C.7 Other decreases
of which: business combinations
D. Closing balance (gross amount)
of which sold non-cancelled exposures
OF WHICH
FORBORNE
EXPOSURES
1,335
40
939
X
-
424
8
498
X
9
-
1,290
172
13
11
270
2
X
822
-
984
134
TOTAL
10,210
301
3,268
73
-
2,005
55
999
-
136
-
8,006
808
138
67
1,953
4
-
5,036
-
5,472
285
OF WHICH
FORBORNE
EXPOSURES
3,469
363
2,003
X
-
1,680
25
8
X
290
-
2,074
480
16
33
281
497
X
767
-
3,398
340
TOTAL
5,813
424
2,895
327
-
2,139
79
31
20
299
-
3,304
776
48
98
398
954
1
1,029
-
5,404
398
(€ million)
NON-PERFORMING PAST DUE
OF WHICH
FORBORNE
EXPOSURES
7
-
7
TOTAL
160
2
121
5
-
78
-
2
-
36
-
126
1
32
-
-
74
-
19
-
155
2
X
-
3
-
1
X
3
-
9
-
1
-
-
8
X
-
-
5
-
UniCredit ·2019 Annual Report and Accounts 637
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
A.2 Classification of credit exposure, of loan commitments and financial guarantees given based on internal and external ratings
A.2.1 Breakdown of financial assets, loan commitments and financial guarantees given by external rating classes (gross amounts)
EXPOSURES
CLASS 1
CLASS 2
A. Financial assets at amortised cost
AMOUNT AS AT
EXTERNAL RATING CLASSES
CLASS 4
CLASS 3
12.31.2019
(€ million)
CLASS 5
CLASS 6
NO RATING
TOTAL
- Stage 1
- Stage 2
- Stage 3
B. Financial assets at fair value
through other comprehensive income
- Stage 1
- Stage 2
- Stage 3
C. Financial instruments classified as
held for sale
- Stage 1
- Stage 2
- Stage 3
Total (A+B+C)
of which: acquired or originated
impaired financial assets
D. Loan commitments and financial
guarantees given
- Stage 1
- Stage 2
- Stage 3
Total (D)
Total (A+B+C+D)
1,918
1
-
4,484
-
-
-
-
-
6,403
12,048
2
-
5,121
-
-
-
-
-
17,171
60,479
86
-
18,879
-
-
-
-
-
79,444
10,954
164
-
1
-
-
-
-
-
11,119
3,724
241
-
20
-
-
-
-
-
3,985
-
-
-
-
-
615
7
-
622
7,025
2,974
4
-
2,978
20,149
14,900
-
-
14,900
94,344
7,239
-
-
7,239
18,358
2,168
7
-
2,175
6,160
16
1
-
-
-
-
-
-
-
17
-
66
18
-
84
101
198,245
9,843
15,287
287,384
10,338
15,287
1,381
-
-
29,886
-
-
-
-
592
225,348
-
-
592
343,487
80
80
31,038
1,869
1,077
33,984
259,332
59,000
1,905
1,077
61,982
405,469
The table details on- and off-balance sheet credits granted to counterparties rated by external rating agencies, which provide brief assessments of
the creditworthiness of different classes of borrowers such as Sovereigns, Banks, Public-Sector Entities, Insurance Companies and (usually large)
Enterprises.
The table refers to classification of 262/2005 Banca d’Italia Circular (6th update dated 30 November 2018); then it provides, for external ratings, 6
classes of creditworthiness.
Rating Agencies utilised to fill the table are: Moody’s, S&Ps and Fitch.
Where more than one rating agency is available, the most prudential rating is assigned.
Concerning the classification of credit exposure, of loan commitments and financial guarantees given based on internal and external ratings in force
for the UniCredit group is made to the paragraph of Part E - Notes to the consolidated accounts of UniCredit group - Information on risks and
hedging policies - Section 2 - Risks of the prudential consolidated perimeter - 2.1 Credit risk - Quantitative information - A. Credit quality - A.2
Classification of credit exposure based on internal and external ratings - A.2.1 Regulatory consolidation - Breakdown of financial assets, loan
commitments and financial guarantees given by external rating classes (gross amounts) which is herewith quoted entirely.
The 30.0% of rated counterparties were investment grade (from Class 1 to Class 3), referring to highly-rated borrowers.
Unrated exposures, i.e. those with no external rating, were 64.0% of the portfolio, due to the fact that a considerable proportion of borrowers were
private individuals or SMEs, which are not externally rated.
638 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
A.2.2 Breakdown of financial assets, loan commitments and financial guarantees given by internal rating classes (gross amounts)
EXPOSURES
A. Financial assets at amortised cost
- Stage 1
- Stage 2
- Stage 3
B. Financial assets at fair value through other
comprehensive income
- Stage 1
- Stage 2
- Stage 3
C. Financial instruments classified as held for
sale
- Stage 1
- Stage 2
- Stage 3
Total (A+B+C)
of which: acquired or originated impaired
financial assets
D. Loan commitments and financial guarantees
given
- Stage 1
- Stage 2
- Stage 3
Total (D)
Total (A+B+C+D)
AMOUNT AS AT
12.31.2019
INTERNAL RATING CLASSES
2
3
4
5
6
7
8
9
(€ million)
NO
RATING
TOTAL
586
-
-
420
-
-
-
-
-
1,006
65,104
542
-
127,834
820
-
21,020
1,201
-
16,033
1,277
-
7,112
1,631
-
2,173
1,587
-
698
2,442
-
46,816
837
15,287
287,384
10,338
15,287
23,382
-
-
-
-
-
89,028
880
-
-
-
-
-
-
-
-
-
-
-
129,534
-
-
-
22,221
-
-
-
17,310
-
-
-
-
-
-
8,743
-
-
-
-
-
-
3,760
-
-
-
2,227
-
-
29,886
-
-
-
-
-
3,140
-
-
592
65,759
-
-
592
343,487
1
8
1
-
2,977
-
-
-
-
-
2,986
-
-
-
-
-
-
-
-
-
80
80
652
56
-
708
3,694
196
-
-
196
1,202
17,753
14
-
17,767
106,795
22,286
217
-
22,503
152,037
3,364
509
-
3,873
26,094
3,595
177
-
3,772
21,082
1,213
189
-
1,402
10,145
391
428
-
819
4,579
102
104
-
206
3,346
9,448
211
1,077
10,736
76,495
59,000
1,905
1,077
61,982
405,469
The table contains on-balance and off-balance sheet exposures grouped according to the counterparties’ internal rating.
Ratings are assigned to individual counterparties using internally-developed models included in their credit risk management processes.
The internal models validated by the regulators are both ‘Local’ and ‘Group-wide’ (e.g. for banks, multinationals and sovereigns).
The various rating scales of these models are mapped into a single Group master-scale of 9 classes (illustrated above) based on Probability of
Default (PD).
UniCredit ·2019 Annual Report and Accounts 639
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
A.3 Distribution of secured credit exposures by type of security
A.3.1 Secured on-balance and off-balance sheet credit exposures with banks
AMOUNT AS AT
12.31.2019
COLLATERALS (1)
(€ million)
GROSS
EXPOSURE
NET EXPOSURE
PROPERTY -
MORTGAGES
PROPERTY -
LEASE LOANS
SECURITIES
OTHER
COLLATERALS
1. Secured on-balance sheet credit exposures
1.1 Totally secured
of which non-performing
1.2 Partially secured
of which non-performing
2. Secured off-balance sheet credit exposures
2.1 Totally secured
of which non-performing
2.2 Partially secured
of which non-performing
10,007
-
-
-
946
-
124
-
10,007
-
-
-
946
-
124
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
9,987
-
-
-
798
-
15
-
continued: A.3.1 Secured on-balance and off-balance sheet credit exposures with banks
-
-
-
-
148
-
60
-
(€ million)
AMOUNT AS AT
12.31.2019
GUARANTEES (2)
CREDIT DERIVATIVES
OTHER CREDIT DERIVATIVES
SIGNATURE LOANS (LOANS GUARANTEES)
GOVERNMENT
AND
CENTRAL
BANKS
CLN
OTHER
PUBLIC
ENTITIES
OTHER
ENTITIES
BANKS
GOVERNMENTS
AND OTHER
PUBLIC
SECTOR
ENTITIES
OTHER
PUBLIC
ENTITIES
BANKS
OTHER
ENTITIES
TOTAL
(1)+(2)
1. Secured on-balance sheet credit
exposures
1.1 Totally secured
of which non-performing
1.2 Partially secured
of which non-performing
2. Secured off-balance sheet credit
exposures
2.1 Totally secured
of which non-performing
2.2 Partially secured
of which non-performing
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
7
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
4
-
9,987
-
-
-
946
-
86
-
640 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
A.3.2 Secured on-balance and off-balance sheet credit exposures with customers
AMOUNT AS AT
12.31.2019
COLLATERALS (1)
(€ million)
GROSS
EXPOSURE
NET EXPOSURE
PROPERTY -
MORTGAGES
PROPERTY -
LEASE LOANS
SECURITIES
OTHER
COLLATERALS
1. Secured on-balance sheet credit exposures
1.1 Totally secured
of which non-performing
1.2 Partially secured
of which non-performing
2. Secured off-balance sheet credit exposures
2.1 Totally secured
of which non-performing
2.2 Partially secured
of which non-performing
147,545
9,700
9,550
958
31,737
643
4,254
195
140,601
3,440
8,763
214
31,624
550
4,216
160
61,543
2,340
174
46
1,745
166
1
1
-
-
-
-
-
-
-
-
55,535
60
610
8
11,424
19
144
8
continued: A.3.2 Secured on-balance and off-balance sheet credit exposures with customers
2,655
43
406
7
316
48
160
25
(€ million)
AMOUNT AS AT
12.31.2019
GUARANTEES (2)
CREDIT DERIVATIVES
OTHER CREDIT DERIVATIVES
SIGNATURE LOANS (LOANS GUARANTEES)
GOVERNMENT
AND
CENTRAL
BANKS
CLN
OTHER
PUBLIC
ENTITIES
OTHER
ENTITIES
BANKS
GOVERNMENTS
AND OTHER
PUBLIC
SECTOR
ENTITIES
OTHER
PUBLIC
ENTITIES
BANKS
OTHER
ENTITIES
TOTAL
(1)+(2)
1. Secured on-balance sheet
credit exposures
1.1 Totally secured
of which non-performing
1.2 Partially secured
of which non-performing
2. Secured off-balance sheet
credit exposures
2.1 Totally secured
of which non-performing
2.2 Partially secured
of which non-performing
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
1,010
-
-
-
-
-
-
-
-
-
-
-
-
-
2,906
62
1,702
20
1,963
2
306
2
44
-
7
-
414
33
165
2
1,516
72
128
21
1,277
10
130
7
15,517
590
1,390
35
14,329
265
1,412
53
139,716
3,167
5,427
137
31,468
543
2,318
98
UniCredit ·2019 Annual Report and Accounts 641
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
A.4 Financial and non-financial assets obtained by taking possession of collaterals
A. Property, plant and equipment
A.1 Used in business
A.2 Held for investment
A.3 Inventories
B. Equity instruments and debt securities
C. Other assets
D. Non-current assets and disposal groups
classified as held for sale
D.1 Property, plant and equipment
D.2 Other assets
12.31.2019
12.31.2018
Total
Total
CANCELLED
CREDIT
EXPOSURE
-
-
-
-
-
-
GROSS AMOUNT
-
-
-
-
-
-
OVERALL WRITE-
DOWNS
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
63
-
-
-
-
-
B. Distribution and concentration of credit exposures
B.1 Distribution by segment of on-balance and off-balance sheet credit exposures with customers
(€ million)
CARRYING VALUE
-
-
-
-
-
-
-
-
-
-
63
OF WHICH
OBTAINED
DURING THE
YEAR
-
-
-
-
-
-
-
-
-
-
-
(€ million)
EXPOSURES/COUNTERPARTIES
A. On-balance sheet credit exposures
A.1 Bad exposures
of which: forborne exposures
A.2 Unlikely to pay
of which: forborne exposures
A.3 Non-performing past-due
of which: forborne exposures
A.4 Performing exposures
of which: forborne exposures
Total (A)
B. Off-balance sheet credit exposures
B.1 Non-performing exposures
B.2 Performing exsposures
Total (B)
Total (A+B)
12.31.2019
Total (A+B)
12.31.2018
GOVERNMENTS AND OTHER
PUBLIC SECTOR ENTITIES
FINANCIAL COMPANIES
FINANCIAL COMPANIES (OF
WHICH INSURANCE
COMPANIES)
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NON-FINANCIAL COMPANIES
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
HOUSEHOLDS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
1
-
3
-
1
-
61,820
1
61,825
1
6,912
6,913
32
-
3
-
1
-
61
-
97
-
5
5
16
4
328
222
-
-
87,937
36
88,281
106
27,093
27,199
68,738
102
115,480
75,293
162
92,795
246
39
307
230
-
-
120
1
673
2
13
15
688
830
-
-
-
-
-
-
301
-
301
-
1,007
1,007
1,308
1,241
-
-
-
-
-
-
-
-
-
-
-
-
-
-
745
141
2,685
1,497
26
2
76,260
1,113
79,716
2,155
98,429
100,584
4,278
828
4,403
2,727
18
1
509
41
9,208
337
52
389
218
50
709
442
284
10
62,904
1,289
64,115
41
4,988
5,029
916
117
691
441
136
4
560
178
2,303
1
2
3
180,300
9,597
69,144
2,306
184,960
11,492
72,703
5,490
642 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
B.2 Distribution of on-balance and off-balance sheet credit exposures with customers by geographic area
EXPOSURES/GEOGRAPHIC AREAS
A. On-balance sheet credit exposures
A.1 Bad exposures
A.2 Unlikely to pay
A.3 Non-performing past-due
A.4 Performing exposures
Total (A)
B. Off-balance sheet credit exposures
B.1 Non-performing exposures
B.2 Performing exposures
Total (B)
Total (A+B)
12.31.2019
Total (A+B)
12.31.2018
ITALY
OTHER EUROPEAN
COUNTRIES
AMERICA
ASIA
REST OF THE WORLD
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
(€ million)
978
3,383
308
259,586
264,255
2,273
122,170
124,443
5,414
5,097
150
1,098
11,759
339
53
392
2
306
2
20,051
20,361
8
9,208
9,216
388,698
12,151
29,577
379,206
17,368
32,285
57
287
4
136
484
1
15
16
500
529
-
35
-
3,947
3,982
18
4,517
4,535
8,517
7,227
1
19
-
7
27
-
3
3
30
56
-
1
1
4,512
4,514
2
1,251
1,253
5,767
5,879
-
1
1
9
11
-
1
1
12
16
-
-
-
825
825
-
276
276
1,101
1,159
-
-
-
-
-
-
-
-
-
2
B.2 Distribution of on-balance and off-balance sheet credit exposures with customers by geographic area - Italy
EXPOSURES/GEOGRAPHIC AREAS
A. On-balance sheet credit exposures
A.1 Bad exposures
A.2 Unlikely to pay
A.3 Non-performing past-due
A.4 Performing exposures
Total (A)
B. Off-balance sheet credit exposures
B.1 Non-performing exposures
B.2 Performing exposures
Total (B)
Total (A+B)
12.31.2019
Total (A+B)
12.31.2018
NORTH-WEST ITALY
NORTH-EAST ITALY
CENTRAL ITALY
SOUTH ITALY AND ISLANDS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
(€ million)
208
894
67
67,083
68,252
588
43,762
44,350
1,209
1,422
32
344
3,007
97
19
116
241
628
58
38,330
39,257
612
31,119
31,731
1,142
1,110
26
210
2,488
127
11
138
268
1,281
73
131,719
133,341
984
42,000
42,984
1,580
1,560
36
305
3,481
101
16
117
261
580
110
22,454
23,405
89
7,286
7,375
1,483
1,005
56
239
2,783
14
7
21
112,602
3,123
70,988
2,626
176,325
3,598
30,780
2,804
122,494
4,957
69,679
3,369
154,495
4,763
32,538
4,279
UniCredit ·2019 Annual Report and Accounts 643
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
B.3 Distribution of on-balance and off-balance sheet credit exposures with banks by geographic area
EXPOSURES/GEOGRAPHIC AREAS
A. On-balance sheet credit exposures
A.1 Bad exposures
A.2 Unlikely to pay
A.3 Non-performing past-due
A.4 Performing exposures
Total (A)
B. Off-balance sheet credit exposures
B.1 Non-performing exposures
B.2 Performing exposures
Total (B)
Total (A+B)
12.31.2019
Totale (A+B)
12.31.2018
ITALY
OTHER EUROPEAN
COUNTRIES
AMERICA
ASIA
REST OF THE WORLD
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
(€ million)
-
-
-
19,307
19,307
-
2,830
2,830
22,137
11,266
-
-
-
1
1
-
-
-
1
2
-
-
-
23,300
23,300
-
20,616
20,616
43,916
51,635
-
-
-
14
14
-
2
2
16
21
-
-
-
488
488
-
954
954
1,442
1,393
-
4
-
1
5
-
-
-
5
4
-
-
-
1,184
1,184
-
5,084
5,084
6,268
5,821
-
-
-
10
10
-
1
1
11
5
-
-
-
399
399
-
1,289
1,289
1,688
1,587
-
-
-
1
1
-
-
-
1
-
B.3 Distribution of on-balance and off-balance sheet credit exposures with banks by geographic area - Italy
EXPOSURES/GEOGRAPHIC AREAS
A. On-balance sheet credit exposures
A.1 Bad exposures
A.2 Unlikely to pay
A.3 Non-performing past-due
A.4 Performing exposures
Total (A)
B. Off-balance sheet credit exposures
B.1 Non-performing exposures
B.2 Performing exposures
Total (B)
Total (A+B)
12.31.2019
Totale (A+B)
12.31.2018
B.4 Large exposures
a) Amount book value (€ million)
b) Amount weighted value (€ million)
c) Number
NORTH-WEST ITALY
NORTH-EAST ITALY
CENTRAL ITALY
SOUTH ITALY AND ISLANDS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
NET
EXPOSURE
OVERALL
WRITE-
DOWNS
(€ million)
-
-
-
5,973
5,973
-
2,067
2,067
8,040
7,999
-
-
-
1
1
-
-
-
1
2
-
-
-
1,082
1,082
-
294
294
1,376
568
-
-
-
-
-
-
-
-
-
-
-
-
-
12,252
12,252
-
132
132
12,384
2,597
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
101
-
-
-
-
-
-
-
-
-
-
12.31.2019
210,798
8,834
6
In compliance with Art.4.1 39 of Regulation (EU) No.575/2013 (CRR), in case of exposures towards a group of connected clients formed by a
Central Government and other groups of connected clients, such exposure towards the Central Government is reported for each group of connected
clients when remitting regulatory reporting; despite the abovementioned regulatory approach, both the amounts shown in letter a), b), and the
number in letter c) in the table above disclose only once the exposure towards the Central Government originated following the method used.
It should be noted that deferred tax assets towards Italian Central Government were considered as fully exempted and, as a consequence, the
weighted amount reported is null.
644 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
C. Securitisation transactions
Qualitative information
In 2019 UniCredit S.p.A. carried out six new securitisation transactions, two traditional and four synthetic ones:
Prisma - traditional;
Impresa Two - traditional (self-securitisation);
Bond Italia 6 Investimenti - synthetic;
Bond Italia 6 Misto - synthetic;
Bond Italia 7 - synthetic;
EaSI Microcredito - synthetic.
Details of the transactions, traditional and synthetic, are set out in the tables enclosed in the “Annexes” to the Consolidated financial statements,
including also those carried out in previous financial years.
It should be noted that, again during 2019:
the traditional transaction Cordusio RMBS Securitisation - Serie 2006 and the synthetic transactions Arts Midcap 2 and UniCredit Midcap 2014
were closed;
additional notes for size increase have been issued with reference to Sandokan 1 securitisation, as a consequence of other claims transferred by
the bank to the Special Purpose Vehicle during 2018;
a new securitisation transaction called Sandokan 2 was launched, concerning the sale of non-performing mortgage exposures portfolios, in
warehousing as at 31 December 2019, pending the issuance of ABS securities by the Special Purpose Vehicle.
It should also be noted that "self-securitisations" and transactions in warehousing phase are not included in the quantitative tables of Part C, as
required by regulations.
Part of the portfolio are:
own securitisation transactions, both traditional and synthetic, including also those traditional carried out by the Banks absorbed by UniCredit
S.p.A. in previous years, for a book value of €7,011 million as at 31 December 2019;
securities arising out of securitisation transactions carried out by other Companies belonging to the UniCredit group, for a book value of €1,010
million as at 31 December 2019;
other third-party securitisation exposures, for a book value of €60 million as at 31 December 2019.
Quantitative information
C.1 - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure
(€ million)
TYPE OF SECURITISED ASSETS/EXPOSURE
A.
A.1
B.
B.1
C.
C.1
C.2
C.3
C.4
Totally derecognised
CBO OTHERS
Partially derecognised
CLO OTHERS
Not-derecognised
RMBS Prime
CLO SME
CLO OTHERS
CONSUMER LOANS
SENIOR
BALANCE SHEET EXPOSURE
MEZZANINE
JUNIOR
CARRYING
VALUE
1,423
1,423
-
-
4,149
578
-
3,571
-
WRITE-
DOWNS/WRITE-
BACKS
-
-
-
-
-
-
-
-
-
CARRYING
VALUE
169
169
33
33
385
242
-
143
-
WRITE-
DOWNS/WRITE-
BACKS
-
-
-
-
-
-
-
-
-
CARRYING
VALUE
52
52
1
1
798
304
-
494
-
WRITE-
DOWNS/WRITE-
BACKS
-
-
1
1
(131)
(61)
-
(70)
-
UniCredit ·2019 Annual Report and Accounts 645
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
continued: C.1 - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure
TYPE OF SECURITISED ASSETS/EXPOSURE
A.
A.1
B.
B.1
C.
C.1
C.2
C.3
C.4
Totally derecognised
CBO OTHERS
Partially derecognised
CLO OTHERS
Not-derecognised
RMBS Prime
CLO SME
CLO OTHERS
CONSUMER LOANS
SENIOR
GUARANTEES GIVEN
MEZZANINE
JUNIOR
NET
EXPOSURE
-
-
-
-
258
-
-
258
-
WRITE-
DOWNS/WRITE-
BACKS
-
-
-
-
-
-
-
-
-
NET
EXPOSURE
-
-
-
-
-
-
-
-
-
WRITE-
DOWNS/WRITE-
BACKS
-
-
-
-
-
-
-
-
-
NET
EXPOSURE
-
-
-
-
-
-
-
-
-
WRITE-
DOWNS/WRITE-
BACKS
-
-
-
-
-
-
-
-
-
continued: C.1 - Exposure from the main "in-house" securitisation transaction broken down by type of securitised asset and by type of exposure
TYPE OF SECURITISED ASSETS/EXPOSURE
A.
A.1
B.
B.1
C.
C.1
C.2
C.3
C.4
Totally derecognised
CBO OTHERS
Partially derecognised
CLO OTHERS
Not-derecognised
RMBS Prime
CLO SME
CLO OTHERS
CONSUMER LOANS
SENIOR
CREDIT FACILITIES
MEZZANINE
JUNIOR
NET
EXPOSURE
-
-
-
-
9
-
-
9
-
WRITE-
DOWNS/WRITE-
BACKS
-
-
-
-
-
-
-
-
-
NET
EXPOSURE
-
-
-
-
-
-
-
-
-
WRITE-
DOWNS/WRITE-
BACKS
-
-
-
-
-
-
-
-
-
NET
EXPOSURE
-
-
-
-
-
-
-
-
-
WRITE-
DOWNS/WRITE-
BACKS
-
-
-
-
-
-
-
-
-
Write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2019
only.
C.2 - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of
exposure
TYPE OF SECURITISED ASSETS/EXPOSURE
- CLO OTHERS
- CONSUMER LOANS
- LEASING
SENIOR
BALANCE-SHEET EXPOSURE
MEZZANINE
JUNIOR
CARRYING
VALUE
7
2
1,010
WRITE-
DOWNS/WRITE-
BACKS
-
-
-
CARRYING
VALUE
-
-
-
WRITE-
DOWNS/WRITE-
BACKS
-
-
-
CARRYING
VALUE
51
-
-
WRITE-
DOWNS/WRITE-
BACKS
0
-
-
(€ million)
continued: C.2 - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure
TYPE OF SECURITISED ASSETS/EXPOSURE
- CLO OTHERS
- CONSUMER LOANS
- LEASING
SENIOR
GUARANTEES GIVEN
MEZZANINE
JUNIOR
NET
EXPOSURE
-
-
-
WRITE-
DOWNS/WRITE-
BACKS
-
-
-
NET
EXPOSURE
-
-
-
WRITE-
DOWNS/WRITE-
BACKS
-
-
-
NET
EXPOSURE
-
-
-
WRITE-
DOWNS/WRITE-
BACKS
-
-
-
646 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
continued: C.2 - Exposure resulting from the main third-party securitisation transactions broken down by type of securitised asset and by type of exposure
TYPE OF SECURITISED ASSETS/EXPOSURE
- CLO OTHERS
- CONSUMER LOANS
- LEASING
SENIOR
CREDIT FACILITIES
MEZZANINE
JUNIOR
NET
EXPOSURE
-
-
-
WRITE-
DOWNS/WRITE-
BACKS
-
-
-
NET
EXPOSURE
-
-
-
WRITE-
DOWNS/WRITE-
BACKS
-
-
-
NET
EXPOSURE
0
-
-
WRITE-
DOWNS/WRITE-
BACKS
-
-
-
Write-downs and write-backs, including depreciations and revaluations posted on the income statement or to reserves, refer to financial year 2019
only.
C.3 SPVs for securitisations
COUNTRY OF INCORPORATION
CONSOLIDATION
LOANS AND
RECEIVEBLES
DEBT
SECURITIES
OTHERS
SENIOR
MEZZANINE
JUNIOR
ASSETS
LIABILITIES
(€ million)
NAME OF
SECURITISATION/SPES
Capital Mortgage S.r.l. - BIPCA
Cordusio rmbs
Capital Mortgage S.r.l. -
CAPITAL MORTGAGE 2007 - 1
Cordusio RMBS - UCFin S.r.l
Cordusio RMBS Securitisation
S.r.l.
Piazzetta Monte 1 - 37121 Verona
Piazzetta Monte 1 - 37121 Verona
Piazzetta Monte 1 - 37121 Verona
Piazzetta Monte 1 - 37121 Verona
F-E Mortgages S.r.l. - 2003
Piazzetta Monte 1 - 37121 Verona
F-E Mortgages S.r.l. - 2005
Piazzetta Monte 1 - 37121 Verona
Heliconus S.r.l
Piazzetta Monte 1 - 37121 Verona
LARGE CORPORATE ONE SRL
ARCOBALENO FINANCE SRL
CREDIARC SPV SRL
FINO 1 SECURITISATION SRL
FINO 2 SECURITISATION SRL
ONIF FINANCE SRL
Pillarstone Italy SPV S.r.l. - Burgo
Pillarstone Italy SPV S.r.l. -
Premuda
Pillarstone Italy SPV S.r.l. -
Rainbow
PRISMA SPV S.R.L.
Sestante Finance S.r.l.
YANEZ SPV S.R.L.
Piazzetta Monte 1 - 37121 Verona
FORO BUONAPARTE,70 20121
MILANO
FORO BUONAPARTE,70 20121
MILANO
VIALE LUIGI MAJNO 45, 20122
MILANO
VIALE LUIGI MAJNO 45, 20122
MILANO
VIA ALESSANDRO PESTALOZZA
12/14, 20131 MILANO
Via Pietro Mascagni 14, 20122 MILANO
Via Pietro Mascagni 14, 20122 MILANO
Via Pietro Mascagni 14, 20122 MILANO
VIA VITTORIO ALFIERI 1, 31015
Conegliano
Via Borromei, 5 - 20123 Milano
VIA VITTORIO ALFIERI 1, 31015
Conegliano
Yes
Yes
Yes
Yes
Yes
Yes
Yes
Yes
No
No
No
No
No
No
No
No
No
No
No
257
541
381
671
91
153
45
157
55
23
506
313
256
176
142
41
1,249
208
575
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
23
29
24
22
26
13
13
151
395
187
397
22
65
10
130
258
4
2
104
221
24
10
90
58
11
18
380
267
37
6
5
1
169
1,210
-
41
145
4
100
74
148
236
57
37
27
-
-
-
70
201
112
132
201
47
80
90
-
67
13
2
8
32
9
38
55
26
50
40
99
27
90
106
30
9
288
750
C.4 Special Purpose Vehicles for securitisation not subject to consolidation
Refer to the corresponding item of Consolidated financial statements.
UniCredit ·2019 Annual Report and Accounts 647
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
C.5 Servicer activities - Collections of securitised loans and redemptions of securities issued by the special purpose vehicle for
securitisation
SERVICER
UniCredit
S.p.A.
SPECIAL PURPOSE
VEHICLE
Capital Mortgage
S.r.l. - BIPCA
Cordusio
Capital Mortgage
S.r.l. - 2007
Cordusio RMBS
Securitisation
S.r.L. - SERIE
2007
Cordusio RMBS
UCFin S.r.L.
F-E Mortgage
S.r.L. - SERIE
2003
F-E Mortgage
S.r.L. - SERIE
2005
Heliconus S.r.L.
Large Corporate
One S.r.L.
SECURITISED ASSETS
(YEAR END FIGURES)
LOANS COLLECTED
DURING THE YEAR
SENIOR
PERCENTAGE OF SECURITIES REDEEMED
(YEAR END FIGURES)
MEZZANINE
JUNIOR
IMPAIRED
PERFORMING
IMPAIRED
PERFORMING
IMPAIRED
ASSETS
PERFORMING
ASSETS
IMPAIRED
ASSETS
PERFORMING
ASSETS
IMPAIRED
ASSETS
PERFORMING
ASSETS
(€ million)
8
22
21
15
3
6
2
-
250
519
650
366
88
148
43
157
3
9
11
6
2
3
1
-
38
93
164
89
16
22
9
158
-
-
-
-
-
-
-
-
82.25%
83.40%
89.18%
91.97%
100.00%
93.18%
100.00%
-
-
-
-
-
-
-
-
-
-
-
-
-
3.26%
10.31%
12.61%
-
-
-
-
-
-
-
-
-
-
-
-
-
-
10.31%
-
-
D. Information on structured entities not consolidated for accounting purposes (other than vehicles for securitisation
transactions)
Qualitative information
Refer to the corresponding item of Consolidated financial statements.
Quantitative information
Refer to the corresponding item of Consolidated financial statements.
648 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
E. Sales transaction
A. Financial assets sold and not fully derecognised
Quantitative information
E.1 Financial assets sold and fully recognised and associated financial liabilities: book value
FINANCIAL ASSETS SOLD AND FULLY RECOGNISED
ASSOCIATED FINANCIAL LIABILITIES
OF WHICH:
SUBJECT TO
SECURITISATION
TRANSACTION
BOOK VALUE
OF WHICH:
SUBJECT TO
SALE
AGREEMENT
WITH
REPURCHASE
OBLIGATION
OF WHICH NON-
PERFORMING
BOOK VALUE
OF WHICH:
SUBJECT TO
SECURITISATION
TRANSACTION
OF WHICH:
SUBJECT TO
SALE
AGREEMENT
WITH
REPURCHASE
OBLIGATION
(€ million)
769
769
-
-
-
27
-
-
27
-
-
-
11,559
11,559
-
-
28,564
9,774
18,790
40,919
37,744
-
-
-
-
-
27
-
-
27
-
-
-
-
-
-
-
18,790
-
18,790
18,817
9,516
769
769
-
-
-
-
-
-
-
-
-
-
11,559
11,559
-
-
9,774
9,774
-
22,102
28,228
X
X
X
X
X
8
-
X
8
-
-
-
-
-
X
-
911
-
911
919
817
767
767
-
-
-
-
-
-
-
-
-
-
11,616
11,616
-
-
10,912
9,727
1,185
23,295
29,680
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
1,185
-
1,185
1,185
1,639
767
767
-
-
-
-
-
-
-
-
-
-
11,616
11,616
-
-
9,727
9,727
-
22,110
28,041
A. Financial assets held for trading
1. Debt securties
2. Equity instruments
3. Loans
4. Derivative instruments
B. Other financial assets mandatorily at fair value
1. Debt securties
2. Equity instruments
3. Loans
C. Financial assets designated at fair value
1. Debt securties
2. Loans
D. Financial assets at fair value through other
comprehensive income
1. Debt securties
2. Equity instruments
3. Loans
E. Financial assets at amortised cost
1. Debt securties
2. Loans
Total 12.31.2019
Total 12.31.2018
E.2 Financial assets sold and partially recognised and associated financial liabilities: book value
A. Finanacial assets held for trading
1. Debt securties
2. Equity instruments
3. Loans
4. Derivative instruments
B. Other financial assets mandatory at fair value
1. Debt securties
2. Equity instruments
3. Loans
C. Financial assets designated at fair value
1. Debt securties
2. Loans
D. Financial assets at fair value through other comprehensive
income
1. Debt securties
2. Equity instruments
3. Loans
E. Financial assets at amortised cost
1. Debt securties
2. Loans
Total
Total
12.31.2019
12.31.2018
ORIGINAL GROSS VALUE
OF ASSETS BEFORE SALE
-
-
-
-
-
-
-
-
-
-
-
-
BOOK VALUE OF ASSETS
STILL PARTIALLY
RECOGNISED
-
-
-
-
-
-
-
-
-
-
-
-
(€ million)
BOOK VALUE OF
ASSOCIATED FINANCIAL
LIABILITIES
-
-
-
-
-
-
-
-
-
-
-
-
OF WHICH NON-
PERFORMING
X
X
X
X
X
-
-
X
-
-
-
-
-
-
-
-
60
-
60
60
60
-
-
-
-
33
-
33
33
30
-
-
X
-
33
-
33
33
30
-
-
-
-
8
-
8
8
6
UniCredit ·2019 Annual Report and Accounts 649
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
E.3 Sale transactions relating to financial liabilities with repayment exclusively based on assets sold and not fully derecognised: fair
value
A. Financial assets held for trading
1. Debt securties
2. Equity instruments
3. Loans
4. Derivative instruments
B. Other financial assets mandatorily at fair value
1. Debt securties
2. Equity instruments
3. Loans
C. Financial assets designated at fair value
1. Debt securties
2. Loans
D. Financial assets at fair value through other comprehensive
income
1. Debt securties
2. Equity instruments
3. Loans
E. Financial assets at amortised cost (fair value)
1. Debt securties
2. Loans
Total associated financial assets
Total associated financial liabilities
Total net amount
Total net amount
12.31.2019
12.31.2018
FULLY
PARTIALLY
TOTAL
RECOGNISED
-
-
-
-
-
27
-
-
27
-
-
-
-
-
-
-
18,942
-
18,942
18,969
1,052
17,917
1,972
RECOGNISED
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
32
-
32
32
8
24
22
12.31.2019
-
-
-
-
-
27
-
-
27
-
-
-
-
-
-
-
18,974
-
18,974
19,001
X
17,941
X
(€ million)
12.31.2018
-
-
-
-
-
23
-
-
23
-
-
-
-
-
-
-
3,616
-
3,616
3,639
X
X
1,994
B. Financial assets sold and fully derecognised with recognition of continuing involvement
Qualitative and quantitative information
At the end of the year there were no disposals of financial assets that had been fully derecognised, which required the recognition of continuing
involvement.
650 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
C. Financial assets sold and fully derecognised
Quantitative information
Following The Bank of Italy's communication dated 23 December 2019 to the title "Financial statements of banks and financial entities closed or in
progress as of 31 December 2019", this is the quantitative information requested regarding the sales of financial assets to Investment Funds,
receiving as consideration units issued by the same Funds.
For more information on these transactions, refer to the Annexes – Annex 4 - Sales of financial assets to Investment Funds, receiving as
consideration units issued by the same Funds - qualitative tables of Consolidated financial statements of UniCredit group with specific reference to
UniCredit S.p.A. as Originator which is herewith quoted entirely.
C. Financial assets sold and fully derecognised
A. Financial assets held for trading
1. Debt securities
2. Equity instruments
3. Loans
4. Derivative instruments
B. Other financial assets mandatorily at fair value
1. Debt securities
2. Equity instruments
3. Loans
C. Financial assets designated at fair value
1. Debt securities
2. Loans
D. Financial assets at fair value through other comprehensive income
1. Debt securities
2. Equity instruments
3. Loans
E. Financial assets at amortised cost
1. Debt securities
2. Loans
Total 12.31.2019
ORIGINAL BOOK VALUE
OF ASSETS BEFORE SALE
-
-
-
-
-
-
-
-
-
-
-
-
6
-
6
-
253
-
253
259
OF WHICH NON-
PERFORMING
X
X
X
X
X
-
-
X
-
-
-
-
-
-
X
-
253
-
253
253
(€ million)
BOOK VALUE OF THE
UNITS OF THE FUND
UNDERWRITTEN
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
260
-
260
260
The units of Investment Funds underwritten are classified in the portfolio Financial assets mandatorily at fair value.
E.4 Covered bond transaction
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 1.1 Credit Risk - Quantitative information - D. Sales
Transactions - D. 4 Regulatory consolidation - Covered Bond Transactions - Part E of the Notes to the consolidated accounts, which is herewith
quoted entirely.
Information on Sovereign exposures
It should be noted that, as a result of IFRS9 adoption since 1 January 2019, Sovereign debt securities have been classified in the new categories
specified by the standard in consideration of the business model followed and the related cash flow features (Solely Payment of Principal and
Interests - SPPI Test).
It should also be noted that during the year:
no changes have been made to the business models adopted on the 1 January and, consequently, the sovereign debt securities have not been
subject to reclassification
the changed market circumstances also suggested the adoption of a "held to collect" business model for new purchases of Italian sovereign debt
securities which, consequently, have to be measured at amortised cost subject to verification of the features of the related cash flows.
With reference to the UniCredit S.p.A. Sovereign exposures, the book value of Sovereign debt securities as at 31 December 2019 amounted to
€50,954 million, of which nearly 75% in connection with Italy.
This exposures is shown in the table below:
UniCredit ·2019 Annual Report and Accounts 651
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
Breakdown of Sovereign Debt Securities by Country and Portfolio
COUNTRY/PORTFOLIO
- Italy
Financial assets at amortised cost
Financial assets mandatorily at fair value
Financial assets designated at fair value
Financial assets/liabilities held for trading (net exposure)
Financial assets at fair value through other comprehensive income
AMOUNTS AS AT 12.31.2019
NOMINAL VALUE
36,766
21,136
50
0
-194
15,774
BOOK VALUE
38,107
21,683
62
0
-598
16,960
(€ million)
FAIR VALUE
38,676
22,252
62
0
-598
16,960
The remaining 25% of the total of Sovereign debt securities, amounting to €12,847 million with reference to the book value as at 31 December 2019,
is divided into 15 countries, of which €6,216 million to Spain, €2,488 million to Japan, €2,105 million to United States.
The table below shows the classification of bonds belonging to the banking book and their percentage proportion of the total of the portfolio under
which they are classified:
Breakdown of Sovereign Debt Securities by Portfolio
AMOUNTS AS AT 12.31.2019
FINACIAL ASSETS
DESIGNATED AT
FAIR VALUE
FINANCIAL
ASSETS
MANDATORILY AT
FAIR VALUE
FINANCIAL
ASSETS AT FAIR
VALUE THROUGH
OTHER
COMPREHENSIVE
INCOME
FINANCIAL
ASSETS AT
AMORTISED COST
Book value
% Portfolio
100.00%
65
3.22%
24,905
79.30%
26,663
90.42%
(€ million)
TOTAL
51,633
In addition to the exposures to Sovereign debt securities, loans given to central and local governments and governmental bodies must be taken into
account.
The table below shows the total amount of the loans as at 31 December 2019:
Breakdown of Sovereign Loans by Country
COUNTRY
- Italy
- Qatar
- Kenia
- Dominican Republic
- Brazil
- Turkey
- Other
Total on-balance sheet exposures
(€ million)
AMOUNTS AS AT
12.31.2019
BOOK VALUE
2,831
389
117
50
28
12
30
3,457
Other transaction
With reference to the indications of Banca d’Italia/Consob/IVASS document No.6 of 8 March 2013 - Booking of "long-term structured repos" -
instructions, there are no transactions of this kind to report.
In addition, with reference to an investment of UniCredit S.p.A. in a debt security issued by the Italian Republic maturing on 30 August 2019 (ITALY
19EUR FRN) subscribed for during placement for a nominal amount of €750 million and classified in the “mandatorily-at-fair value” portfolio in
accordance with SPPI test result, a term repo (conducted in two stages) for a total nominal amount of €750 million, was completed in 2012 and
finally matured during the year.
At the same time, a 4.25% BTP maturing in September 2019 was purchased under a term reverse repo (conducted in 2 stages) for a total nominal
value of €750 million, with the economic purpose of obtaining the availability of more liquid securities (compared with the security ITALY 19EUR
FRN), with the same maturity and similar underlying risks, that has been therefore used more easily for refinancing operations until the reverse repo
maturity during the current year.
652 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
The term repo and the term reverse repo was subject to netting (whose value was collateralised by cash) in the event of the default of one of the two
counterparties or of the Italian Republic. This clause was accounted for as a financial guarantee issued, in accordance with the nature of the
commitments of the parties. The fair value at trade date, €22 million, was initially recorded in other liabilities and was amortised on a pro-rata basis
according to the current accounting rules.
Information on trading book derivative instruments with customers
The business model governing OTC derivatives trading with customers provides for centralization of market risk in the CIB Division - Markets Area,
while credit risk is assumed by the Group company which, under the divisional or geographical segmentation model, manages the relevant
customer’s account.
The Group’s operational model provides for customer trading derivatives business to be carried on, as part of each subsidiary’s operational
independence:
by the commercial banks and divisions that close transaction in OTC derivatives in order to provide non-institutional clients with products to
manage currency, interest-rate and price risk. Under these transactions, the commercial banks transfer their market risks to the CIB division by
means of equal and opposite contracts, retaining only the relevant counterparty risk. The commercial banks also place or collect orders on behalf
of others for investment products with embedded derivatives (e.g. structured bonds);
by the CIB division operating with large corporate and financial institutions, in respect of which it assumes and manages both market and
counterparty risk;
by CEE banks, which transact business directly with their customers.
The UniCredit group trades OTC derivatives on a wide range of underlying, e.g. interest rates, currency rates, share prices and indexes,
commodities (precious metals, base metals, petroleum and energy materials) and credit rights.
OTC derivatives offer considerable scope for personalization; new payoff profiles can be constructed by combining several OTC derivatives (for
example, a plain vanilla IRS with one or more plain vanilla or exotic options). The risk and the complexity of the structures obtained in this manner
depend on the respective characteristics of the components (reference parameters and indexation mechanisms) and the way in which they are
combined.
Credit and market risk arising from OTC derivatives business is controlled by the Chief Risk Officer competence line (CRO) in the Parent company
and/or in the Division or subsidiary involved. This control is carried out by means of guidelines and policies covering risk management,
measurement and controls in terms of principles, rules and processes, as well as by setting VaR limits.
The business with non-institutional clients does not (usually) entail the use of margin calls, whereas with institutional counterparties (dealt with by the
CIB Division) recourse may be made to credit-risk mitigation (“CRM”) techniques, by using netting and/or collateral agreements.
Write-downs and write-backs of derivatives to take account of counterparty risk are determined in line with the procedure used to assess other credit
exposure, specifically:
performing exposure to customers are mapped by deriving EAD (Exposure at Default) that take into account the Wrong Way Risk and measured
with PD (Probability of Default) and LGD (Loss Given Default) implied by current market default rates obtained from credit & loan-credit default
swaps, in order to obtain a value in terms of ‘expected loss’ (EL) to be used for items designated and measured at fair value maximising usage of
market’s inputs;
non-performing positions are valued in terms of estimated expected future cash flow according to specific indications of impairment (which are the
basis for the calculation of the amount and timing of the cash flow).
Here follows the breakdown of balance-sheet asset item “20 a. Financial assets held for trading” and of balance-sheet liability item “20. Financial
liabilities held for trading”.
To make the distinction between customers and banking counterparties, the definition contained in Banca d’Italia Circular 262 (which was used for
the preparation of the accounts) was used as a reference.
Structured products were defined as derivative contracts that incorporate in the same instrument forms of contracts that generate exposure to
several types of risk (with the exception of cross-currency swaps) and/or leverage effects.
The balance of item “20 a Financial assets held for trading” with regard to derivative contracts totaled €5,941 million (with a notional value of
€203,942 million) including €2,871 million with customers. The notional value of derivatives with customers amounted to €74,813 million, including
€2,715 related to structured derivatives (fair value €161 million). The notional value of derivatives with banking counterparties totaled €129,129
million (fair value of €3,070 million) including €2,022 million relating to structured derivatives (fair value of €32 million).
UniCredit ·2019 Annual Report and Accounts 653
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
The balance of item “20 Financial liabilities held for trading” with regard to derivative contracts totaled €5,987 million (with a notional value of
€184,121 million) including €1,619 million with customers. The notional value of derivatives with customers amounted to €47,987 million, including
€1,866 million in structured derivatives (fair value of €31 million). The notional value of derivatives with banking counterparties totaled €136,134
million (fair value of €4,368 million), including €2,559 million relating to structured derivatives (fair value €168 million).
F. Credit risk measurement models
As at 31 December 2019 the expected loss on the credit risk perimeter was 0.61% of total Bank credit exposure. This trend is mitigated by the
exposures which have migrated to default and therefore do not enter in the calculation of expected loss. Besides, since risk measurement systems
tend to be anti-cyclical, this may result in a smaller elasticity to the swift changes of the macroeconomic scenario.
The ratio between credit economic capital (including a component to cover migration risk) and its relative credit exposure amount is 4.05% with
reference date end of December 2019.
As far as quantitative information of UniCredit group, reference is made to the paragraph Part E - Notes to the consolidated accounts of UniCredit
group - Section 2 - Risk of the prudential consolidated perimeter - Quantitative information - E. Prudential perimeter - Credit risk measurement
models.
Section 2 - Market risk
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.2 Market risk - General aspects - Part E of the
Notes to the consolidated accounts, which is herewith quoted entirely.
Below end of year VaR, SVaR and IRC results:
Daily VaR on Trading book
UniCredit S.p.A.
SVaR on Trading book
UniCredit S.p.A.
IRC on Trading book
UniCredit S.p.A.
12.31.2019
AVERAGE
3.45
5.5
12.27.2019
AVERAGE
5.53
14.78
12.27.2019
AVERAGE
0.7
181.3
2019
MAX
9.8
2019
MAX
22.04
2019
MAX
291.9
(€ million)
2018
AVERAGE
5.1
(€ million)
2018
AVERAGE
19.67
(€ million)
2018
AVERAGE
180.3
MIN
3.0
MIN
5.19
MIN
0.7
2.1 Interest rate risk and price risk - Regulatory trading book
Qualitative information
Interest rate risk
A. General aspects
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.2 Market risk - 2.2.1. Interest rate risk - Qualitative
information - A. General aspects - Part E of the Notes to the consolidated accounts, which is herewith quoted entirely.
B. Operational processes and methods for measuring interest rate risk and price risk
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.2 Market Risk - 2.2.1. Interest rate risk - Qualitative
information - B. Risk management processes and measurement methods - Part E of the Notes to the consolidated accounts, which is herewith
quoted entirely.
654 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
Price risk
A. General aspects
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.2 Market risk - 2.2.1. Price risk - Qualitative
information - A. General aspects - Part E of the Notes to the consolidated accounts, which is herewith quoted entirely.
B. Operational processes and methods for measuring interest rate risk and price risk
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.2 Market risk - 2.2.1. Price risk - Qualitative
information - B. Risk management processes and measurement methods - Part E of the Notes to the consolidated accounts, which is herewith
quoted entirely.
Quantitative information
1. Regulatory trading portfolio: distribution by residual duration (re-pricing date) of financial assets and liabilities for cash and financial
derivatives
The table is not reported since a table showing interest rate sensitivity is described below, in accordance with internal model.
2. Regulatory trading portfolio: distribution of equity exposures and equity indices for the main listing countries
The table is not reported since a table showing price risk sensitivity is described below, in accordance with internal model.
3. Regulatory trading portfolio: internal models and other methods for sensitivity analysis
For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to analyse exposure,
also refer to the introduction on internal models.
Interest rate risk
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.2 Market risk - 2.2.1. Interest rate risk - Quantitative
information - Part E of the Notes to the consolidated accounts, which is herewith quoted entirely.
The tables below show trading book sensitivities.
+1BP
LESS
THAN 1
MONTH
-0.0
0.0
-0.0
-0.0
0.0
-0.0
+1BP 1
MONTH
TO 6
MONTHS
+1BP 6
MONTHS
TO 1
YEAR
-0.0
-0.1
0.0
-0.0
0.0
0.0
-0.0
-0.0
0.0
-0.0
0.0
0.0
+1BP 1
YEAR
TO 5
YEARS
-0.1
+1BP 5
YEARS
TO 10
YEARS
-0.3
-0.1
0.0
0.0
-0.0
0.0
-0.3
0.0
0.0
0.0
0.0
+1BP 10
YEARS
TO 20
YEARS
+1BP
OVER 20
YEARS
0.1
0.0
0.1
0.0
0.0
0.0
-0.0
-0.0
0.0
0.0
0.0
0.0
INTEREST
RATES
Total
of which:
EUR
USD
GBP
CHF
JPY
+1 BP
TOTAL
-0.3
-0.6
0.2
-0.0
0.0
0.0
-10
BP
3.5
5.5
-1.8
0.1
-0.0
-0.1
+10
BP
-3.5
-5.5
1.8
-0.1
0.0
0.1
-100
PB
35.0
55.9
-18.5
0.8
-0.2
-0.6
+100
BP
-29.0
-48.4
17.0
-0.8
0.2
0.6
(€ million)
CW
5.1
CCW
-5.0
5.4
-0.9
-0.2
0.1
0.2
-5.3
0.9
0.2
-0.1
-0.2
Price risk
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.2 Market risk - 2.2.1. Price risk - Quantitative
information - Part E of the Notes to the consolidated accounts, which is herewith quoted entirely.
2.2 Interest rate and price risk - Banking book
Qualitative information
Interest rate risk and price risk
A. General aspects, operational processes and methods for measuring interest rate risk and price risk
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.2 Market Risk - 2.2.2 Interest Rate Risk and Price
Risk - banking book - A. General aspects, operational processes and methods for measuring interest rate risk - Part E of the Notes to the
consolidated accounts, which is herewith quoted entirely.
UniCredit ·2019 Annual Report and Accounts 655
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
Quantitative information
1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities
AMOUNTS AS AT
12.31.2019
TYPE/RESIDUAL MATURITY
1. On-balance sheet assets
1.1 Debt securities
- With prepayment option
- Other
1.2 Loans to banks
1.3 Loans to customers
- Current accounts
- Other loans
- With prepayment option
- Other
2. On-balance sheet liabilities
2.1 Deposits from customers
- Current accounts
- Other
- With prepayment option
- Other
2.2 Deposits from banks
- Current accounts
- Other
2.3 Debt secuties in issue
- With prepayment option
- Other
2.4 Other liabilities
- With prepayment option
- Other
3. Financial derivatives
3.1 With underlying security
- Option
+ Long positions
+ Short positions
- Other derivates
+ Long positions
+ Short positions
3.2 Without underlying security
- Option
+ Long positions
+ Short positions
- Other derivatives
+ Long positions
+ Short positions
4. Other off-balance sheet transactions
+ Long positions
+ Short positions
ON DEMAND
33,483
462
-
462
3,381
29,640
11,991
17,649
10,737
6,912
172,194
168,446
163,481
4,965
-
4,965
3,120
786
2,334
625
-
625
3
-
3
-
-
-
-
-
-
3,935
3,244
224
15,827
UP TO 3
MONTHS
163,307
5,695
-
5,695
29,320
128,292
45
128,247
54,240
74,007
79,370
43,264
232
43,032
-
43,032
18,459
-
18,459
17,647
-
17,647
-
-
-
-
-
-
-
6,751
3,375
165,867
175,949
19,868
9,146
3 TO 6
MONTHS
21,690
3,684
-
3,684
1,347
16,659
4
16,655
7,581
9,074
24,502
1,281
16
1,265
-
1,265
20,342
-
20,342
2,879
-
2,879
-
-
-
-
-
-
-
2,875
2,875
43,145
46,754
2,017
1,716
6 MONTHS
TO 1 YEAR
17,530
6,520
-
6,520
2,001
9,009
161
8,848
3,551
5,297
5,982
167
8
159
-
159
156
-
156
5,659
-
5,659
-
-
-
-
-
-
-
6,251
6,251
74,862
71,781
1,538
1,616
1 TO 5
YEARS
60,297
31,132
-
31,132
2,588
26,577
388
26,189
16,013
10,176
34,732
327
-
327
-
327
15,473
-
15,473
18,932
-
18,932
-
-
-
-
-
-
-
46,881
47,605
205,312
204,655
1,912
30
(€ million)
INDEFINITE
MATURITY
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
OVER 10
YEARS
9,391
389
-
389
18
8,984
5
8,979
7,906
1,073
4,004
1,922
-
1,922
-
1,922
11
-
11
2,071
-
2,071
-
-
-
-
-
-
-
44,562
46,637
1,565
5,345
1,639
-
5 TO 10
YEARS
26,171
15,365
-
15,365
2
10,804
21
10,783
7,645
3,138
11,478
1,023
-
1,023
-
1,023
18
-
18
10,437
-
10,437
-
-
-
-
-
-
-
43,787
44,338
42,208
26,671
1,136
-
656 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: euro
AMOUNTS AS AT
12.31.2019
TYPE/RESIDUAL MATURITY
1. On-balance sheet assets
1.1 Debt securities
- With prepayment option
- Other
1.2 Loans to banks
1.3 Loans to customers
- Current accounts
- Other loans
- With prepayment option
- Other
2. On-balance sheet liabilities
2.1 Deposits from customers
- Current accounts
- Other
- With prepayment option
- Other
2.2 Deposits from banks
- Current accounts
- Other
2.3 Debt secuties in issue
- With prepayment option
- Other
2.4 Other liabilities
- With prepayment option
- Other
3. Financial derivatives
3.1 With underlying security
- Option
+ Long positions
+ Short positions
- Other derivates
+ Long positions
+ Short positions
3.2 Without underlying security
- Option
+ Long positions
+ Short positions
- Other derivatives
+ Long positions
+ Short positions
4. Other off-balance sheet transactions
+ Long positions
+ Short positions
ON DEMAND
32,571
442
-
442
2,764
29,365
11,936
17,429
10,731
6,698
168,442
165,897
161,130
4,767
-
4,767
2,046
667
1,379
496
-
496
3
-
3
-
-
-
-
-
-
3,890
2,087
51
15,353
UP TO 3
MONTHS
157,070
5,000
-
5,000
26,318
125,752
42
125,710
53,886
71,824
72,958
43,042
165
42,877
-
42,877
13,308
-
13,308
16,608
-
16,608
-
-
-
-
-
-
-
6,751
3,375
149,109
162,735
19,759
8,862
3 TO 6
MONTHS
20,025
3,664
-
3,664
1,206
15,155
4
15,151
7,575
7,576
24,382
1,265
-
1,265
-
1,265
20,277
-
20,277
2,840
-
2,840
-
-
-
-
-
-
-
2,875
2,875
43,057
46,049
2,012
1,715
6 MONTHS
TO 1 YEAR
15,829
6,299
-
6,299
1,098
8,432
161
8,271
3,546
4,725
5,890
154
-
154
-
154
114
-
114
5,622
-
5,622
-
-
-
-
-
-
-
6,251
6,251
74,559
71,175
1,538
1,614
1 TO 5
YEARS
54,791
28,151
-
28,151
1,593
25,047
388
24,659
15,937
8,722
28,406
327
-
327
-
327
15,463
-
15,463
12,616
-
12,616
-
-
-
-
-
-
-
46,507
47,605
189,823
193,446
1,911
30
5 TO 10
YEARS
24,068
13,660
-
13,660
2
10,406
21
10,385
7,580
2,805
10,821
1,023
-
1,023
-
1,023
18
-
18
9,780
-
9,780
-
-
-
-
-
-
-
43,787
44,338
36,385
22,881
1,136
-
(€ million)
INDEFINITE
MATURITY
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
OVER 10
YEARS
8,995
389
-
389
18
8,588
5
8,583
7,870
713
2,013
1,922
-
1,922
-
1,922
11
-
11
80
-
80
-
-
-
-
-
-
-
44,562
46,637
1,565
5,345
1,166
-
UniCredit ·2019 Annual Report and Accounts 657
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
1. Banking book: breakdown by maturity (repricing date) of financial assets and liabilities - Currency: other currencies
TYPE/RESIDUAL MATURITY
1. On-balance sheet assets
1.1 Debt securities
- With prepayment option
- Other
1.2 Loans to banks
1.3 Loans to customers
- Current accounts
- Other loans
- With prepayment option
- Other
2. On-balance sheet liabilities
2.1 Deposits from customers
- Current accounts
- Other
- With prepayment option
- Other
2.2 Deposits from banks
- Current accounts
- Other
2.3 Debt secuties in issue
- With prepayment option
- Other
2.4 Other liabilities
- With prepayment option
- Other
3. Financial derivatives
3.1 With underlying security
- Option
+ Long positions
+ Short positions
- Other derivates
+ Long positions
+ Short positions
3.2 Without underlying security
- Option
+ Long positions
+ Short positions
- Other derivatives
+ Long positions
+ Short positions
4. Other off-balance sheet transactions
+ Long positions
+ Short positions
AMOUNTS AS AT
12.31.2019
ON DEMAND
912
20
-
20
617
275
55
220
6
214
3,752
2,549
2,351
198
-
198
1,074
119
955
129
-
129
-
-
-
-
-
-
-
-
-
UP TO 3
MONTHS
6,237
695
-
695
3,002
2,540
3
2,537
354
2,183
6,412
222
67
155
-
155
5,151
-
5,151
1,039
-
1,039
-
-
-
-
-
-
-
-
-
45
1,157
173
474
16,758
13,214
109
284
3 TO 6
MONTHS
1,665
20
-
20
141
1,504
-
1,504
6
1,498
120
16
16
-
-
-
65
-
65
39
-
39
-
-
-
-
-
-
-
-
-
88
705
5
1
6 MONTHS
TO 1 YEAR
1,701
221
-
221
903
577
-
577
5
572
92
13
8
5
-
5
42
-
42
37
-
37
-
-
-
-
-
-
-
-
-
303
606
-
2
1 TO 5
YEARS
5,506
2,981
-
2,981
995
1,530
-
1,530
76
1,454
6,326
-
-
-
-
-
10
-
10
6,316
-
6,316
-
-
-
-
-
-
-
374
-
15,489
11,209
1
-
(€ million)
INDEFINITE
MATURITY
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
OVER 10
YEARS
396
-
-
-
-
396
-
396
36
360
1,991
-
-
-
-
-
-
-
-
1,991
-
1,991
-
-
-
-
-
-
-
-
-
-
-
473
-
5 TO 10
YEARS
2,103
1,705
-
1,705
-
398
-
398
65
333
657
-
-
-
-
-
-
-
-
657
-
657
-
-
-
-
-
-
-
-
-
5,823
3,790
-
-
658 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
2. Banking book: internal models and other methods for sensitivity analysis
Interest Rate Risk
As at 31 December 2019, the sensitivity of interest income to an immediate and parallel shift of +100bps was +€450 million.
The sensitivity of the economic value of shareholders’ equity to an immediate and parallel change in interest rates (“parallel shift”) of +200bps was
-€335 million as at 31 December 201948.
2.3 Exchange rate risk
Qualitative information
A. General aspects, risk management processes and measurement methods
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.2 Market risk - 2.2.3. Exchange rate risk -
Qualitative information - A. General aspects, risk management processes and measurement methods - Part E of the Notes to the consolidated
accounts, which is herewith quoted entirely.
B. Hedging exchange rate risk
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.2 Market risk - 2.2.3. Exchange rate risk -
Qualitative information - B. Hedging exchange rate risk - Part E of the Notes to the consolidated accounts, which is herewith quoted entirely.
Quantitative information
1. Distribution by currency of assets and liabilities and derivatives
ITEMS
A. Financial assets
A.1 Debt securities
A.2 Equity securities
A.3 Loans to banks
A.4 Loans to customers
A.5 Other financial assets
B. Other assets
C. Financial liabilities
C.1 Deposits from banks
C.2 Deposits from customers
C.3 Debt securities in issue
C.4 Other financial liabilities
D. Other liabilities
E. Financial derivatives
- Options
+ Long positions
+ Short positions
- Other derivatives
+ Long positions
+ Short positions
Total assets
Total liabilities
Difference (+/-)
U.S.
DOLLAR
12,833
3,152
548
4,918
4,215
-
615
17,801
5,376
2,278
10,147
-
17
681
307
37,120
33,360
51,249
51,485
(236)
JAPAN
YEN
2,545
2,488
-
46
11
-
3
76
6
29
41
-
-
7
7
620
3,066
3,175
3,149
26
AMOUNTS AS AT 12.31.2019
CURRENCIES
SWITZERLAND
FRANC
1,054
-
3
93
958
-
3
100
39
61
-
-
-
1
1
642
1,608
1,700
1,709
(9)
POLAND
ZLOTY
394
-
-
216
178
-
2
10
1
9
-
-
1
2
2
45
436
443
449
(6)
(€ million)
OTHER
CURRENCIES
1,396
-
-
376
1,020
-
65
785
450
315
20
-
4
147
147
4,116
4,820
5,724
5,756
(32)
BRITISH
POUND
185
-
-
10
175
-
352
581
471
110
-
-
2
6
6
2,438
2,402
2,981
2,991
(10)
2. Internal models and other methodologies for sensitivity analysis
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.2 Market risk - 2.2.3 Exchange rate risk -
Quantitative information - 2. Internal models and other methodologies for sensitivity analysis - Part E of the Notes to the consolidated accounts,
which is herewith quoted entirely.
48 The figures include modeled sensitivity estimates for assets and liabilities with not well-defined maturities, such as sight and savings deposits.
UniCredit ·2019 Annual Report and Accounts 659
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
Credit spread risk and Stress test
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.2 Market risk - Credit spread risk - Stress Test -
Part E of the Notes to the consolidated accounts, which is herewith quoted entirely.
Below end of year Stress test results:
Stress Test on Trading book
27 December 2019
Scenario
UniCredit S.p.A.
WIDESPREAD
CONTAGION
-21
2019
PROTECTIONISM
-12
(€ million)
IR SHOCK
13
Section 3 - Derivative instruments and hedging policies
3.1 Trading financial derivatives
A. Financial derivatives
A.1 Trading financial derivatives: end-of-period notional amounts
AMOUNTS AS AT
12.31.2019
OVER THE COUNTER
WITHOUT CENTRAL
COUNTERPARTIES
(€ million)
AMOUNTS AS AT
12.31.2018
OVER THE COUNTER
WITHOUT CENTRAL
COUNTERPARTIES
CENTRAL
COUNTERPARTIES
WITH
NETTING
AGREEMENT
WITHOUT
NETTING
AGREEMENT
ORGANISED
MARKETS
CENTRAL
COUNTERPARTIES
WITH
NETTING
AGREEMENT
WITHOUT
NETTING
AGREEMENT
ORGANISED
MARKETS
36,060
-
36,060
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
36,060
221,886
9,859
212,027
-
-
-
30,618
30,618
-
-
-
-
64,353
9,550
15,436
39,367
-
-
3,839
-
320,696
24,183
3,620
18,529
1,301
733
-
44
44
-
-
-
-
5,044
1,574
233
3,237
-
-
482
-
29,753
1,554
-
-
3
1,551
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
1,554
29,878
-
29,878
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
29,878
197,244
8,946
188,298
-
-
-
21,341
21,341
-
-
-
-
62,919
9,044
14,384
39,491
-
-
4,073
-
285,577
24,101
3,590
19,675
17
819
-
69
69
-
-
-
-
5,798
1,715
661
3,422
-
-
638
-
30,606
937
-
-
-
937
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
937
UNDERLYING ACTIVITIES/TYPE OF
DERIVATIVES
1. Debt securities and interest rate
indexes
a) Options
b) Swap
c) Forward
d) Futures
e) Other
2. Equity instruments and stock
indexes
a) Options
b) Swap
c) Forward
d) Futures
e) Other
3. Gold and currencies
a) Options
b) Swap
c) Forward
d) Futures
e) Other
4. Commodities
5. Other
Total
660 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
A.2 Trading financial derivatives: positive and negative gross fair value - breakdown by product
AMOUNTS AS AT
12.31.2019
OVER THE COUNTER
WITHOUT CENTRAL
COUNTERPARTIES
(€ million)
AMOUNTS AS AT
12.31.2018
OVER THE COUNTER
WITHOUT CENTRAL
COUNTERPARTIES
CENTRAL
COUNTERPARTIES
WITH
NETTING
AGREEMENT
WITHOUT
NETTING
AGREEMENT
ORGANISED
MARKETS
CENTRAL
COUNTERPARTIES
WITH
NETTING
AGREEMENT
WITHOUT
NETTING
AGREEMENT
ORGANISED
MARKETS
-
251
-
-
-
-
-
251
-
226
-
-
-
-
-
226
483
3,167
762
-
301
-
254
4,967
176
4,073
737
-
321
-
287
5,594
31
554
2
-
55
-
49
691
78
5
37
-
20
1
16
157
-
-
-
-
-
2
-
2
-
-
-
-
-
4
-
4
-
149
-
-
-
-
-
149
-
118
-
-
-
-
-
118
457
2,843
794
-
281
-
177
4,552
335
3,675
799
-
416
-
183
5,408
50
441
18
-
31
-
35
575
73
20
38
-
31
1
29
192
-
-
-
-
-
4
-
4
-
-
-
-
-
17
-
17
TYPE OF DERIVATIVES
1. Positive fair value
a) Options
b) Interest rate swap
c) Cross currency swap
d) Equity swap
e) Forward
f) Futures
g) Other
Total
2. Negative fair value
a) Options
b) Interest rate swap
c) Cross currency swap
d) Equity swap
e) Forward
f) Futures
g) Other
Total
UniCredit ·2019 Annual Report and Accounts 661
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
A.3 OTC trading financial derivatives: notional amounts, positive and negative gross fair value by counterparty
AMOUNTS AS AT
12.31.2019
CENTRAL
COUNTERPARTIES
BANKS
OTHER FINANCIAL
COMPANIES
OTHER ENTITIES
(€ million)
UNDERLYING ACTIVITIES
Contracts not included in netting agreement
1) Debt securities and interest rate indexes
- Notional amount
- Positive fair value
- Negative fair value
2) Equity instruments and stock indexes
- Notional amount
- Positive fair value
- Negative fair value
3) Gold and currencies
- Notional amount
- Positive fair value
- Negative fair value
4) Commodities
- Notional amount
- Positive fair value
- Negative fair value
5) Other
- Notional amount
- Positive fair value
- Negative fair value
Contracts included in netting agreement
1) Debt securities and interest rate indexes
- Notional amount
- Positive fair value
- Negative fair value
2) Equity instruments and stock indexes
- Notional amount
- Positive fair value
- Negative fair value
3) Gold and currencies
- Notional amount
- Positive fair value
- Negative fair value
4) Commodities
- Notional amount
- Positive fair value
- Negative fair value
5) Other
- Notional amount
- Positive fair value
- Negative fair value
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
36,060
251
226
-
-
-
-
-
-
-
-
-
-
-
-
1,812
-
4
-
-
-
507
14
2
-
-
-
-
-
-
173,725
1,630
3,120
30,618
346
51
54,536
901
967
2,514
171
215
-
-
-
2,572
55
-
-
-
-
173
5
10
-
-
-
-
-
-
34,239
834
801
-
-
-
2,413
16
21
196
3
8
-
-
-
A.4 OTC financial derivatives - residual life: notional amounts
UNDERLYING/RESIDUAL MATURITY
A.1 Financial derivative contracts on debt securities and interest rates
A.2 Financial derivative contracts on equity securities and stock indexes
A.3 Financial derivative contracts on exchange rates and hold
A.4 Financial derivative contracts on other values
A.5 Other financial derivatives
12.31.2019
Total
12.31.2018
Total
UP TO 1 YEAR
72,916
3,726
50,163
3,917
-
130,722
115,095
OVER 1 YEAR UP
TO 5 YEARS
155,138
20,949
15,494
404
-
191,985
147,447
OVER 5 YEARS
54,075
5,987
3,740
-
-
63,802
83,520
662 2019 Annual Report and Accounts · UniCredit
19,799
518
5
44
-
40
4,364
47
81
482
49
17
-
-
-
13,923
726
191
-
-
-
7,405
262
158
1,128
77
62
-
-
-
(€ million)
TOTAL
282,129
30,662
69,397
4,321
-
386,509
346,062
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
B. Credit derivatives
No data to be disclosed.
3.2 Hedging policies
Qualitative information
Hedging transactions are used to manage the exposure to market risks and volatility of financial outcomes that arise as part of our normal business
operations and are executed in accordance with internal policies.
Derivatives are mainly used to manage of the banking book interest rate risk with the following goals:
reducing banking book interest rate risk profile according to Risk Appetite Framework approved by the Board of Directors and limits defined by
relevant Committees or risk functions. Within Risk Appetite Framework, the banking book exposure to interest rate risk is defined either in terms of
Net Interest Income Sensitivity and Economic Value Sensitivity;
optimising the natural hedge between the risk profile of assets and liabilities using derivatives to manage the mismatch, even temporary, between
the volume and the rates of assets and liabilities with different repricing schedules;
minimising the net exposure of derivatives used for hedging either assets and liabilities.
A. Fair value hedging activities
The objective of fair value hedge on assets/liabilities is to hedge the exposure to changes in fair value coming from the embedded risk factor subject
to an hedging transaction.
The fair value hedge is applied both for identified financial instruments (securities, debt issues, loans, borrowings) and for portfolios of financial
instruments (in particular, fixed rate loans and non-maturity deposits).
The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the
hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship.
The hedging strategy on identified financial instruments classified as Held-to-Collect (HTC) and Held-to-Collect & Sell (HTCS) considers the
contractual features of each instruments and business intent.
The hedging strategy on portfolios of financial instruments refers to the amounts of money contained in the portfolio of interest rate exposures that
are not already subject to "micro/specific" hedging and mirrors to the nominal amount and financial conditions of hedging derivatives.
The objective of fair value hedge on assets/liabilities denominated in foreign currency is to hedge the exposure to changes in fair value by converting
to Euro denominated assets/liabilities.
The hedging instruments used mainly consist of interest rate swaps, basis swaps, caps, floors and cross currencies swaps.
B. Cash flow hedging activities
The objective of cash flow hedge on floating rate assets/liabilities is to hedge the exposure to changes in cash flows from borrowings/lendings that
bear a floating interest rate.
The hedging relationship is classified at the inception of the hedge by identifying the portion and type of risk to be hedged (partial term hedge), the
hedging strategy, the hedging instrument, and the methods used to assess the effectiveness of the hedging relationship.
Cash flow hedges are particularly used to hedge interest rate risk on floating-rate assets and liabilities, including rollovers, and foreign exchange
risks on highly probable forecast foreign currency revenues.
The hedging instruments used mainly consist of interest rate swaps, caps, floors, cross-currency swaps with a maturity up to 20-30 year for some
commercial assets.
C. Foreign net investments hedge activities
No hedging strategy is in place on an investment in entities whose functional currency differs from the Group’s functional currency.
UniCredit ·2019 Annual Report and Accounts 663
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
The Group put in place some economic hedges on forecasted foreign currency revenues stemming from those entities. The objective of the
economic hedge on is to reduce the volatility on the income statement coming from the foreign exchange risks. FX risk on forecasted foreign
currency revenues is continuously monitored and hedging strategies are periodically assessed. The hedging strategy and the percentage to be
hedged is defined on a case by case basis considering, inter alia, the diversification effect and taking into account the volatility and correlation in the
FX rates.
The derivatives used consist mainly of currency options. These derivatives may not qualify for hedge accounting even though achieves substantially
the same economic results. The impact of economic hedge is accounted in the Trading Income line.
D. Hedging instruments and E. Hedging elements
Prospective hedge effectiveness is established by the fact that all derivatives must, at inception, have the effect of reducing interest rate risk in term
of Economic Value Sensitivity (Fair Value Hedge) or Net Interest Income Sensitivity (Cash Flow Hedge) in the specific/portfolio of hedged
underlyings.
Retrospectively the hedge effectiveness is quarterly measured by referring to the most stable portion of assets/liabilities using a portfolio hedge
approach or by referring to the portion of risk being hedged using a micro/specific approach.
Sources of ineffectiveness comes from (i) the Euribor/Eonia basis for hedging derivatives transactions subject to a collateral agreement, (ii)
Credit/Debit Value and Funding Value adjustment impacting derivative transactions fair values, (iii) shortfall arising in the underlying’s specifically
associated with that hedge in term of nominal or reverse sensitivity due to prepayment or default on commercial assets or withdrawals on liabilities
included such as commercial non maturity deposits and are presented in Item 90 - Net gains (losses) on hedge accounting.
Quantitative information
A. Cash flow hedging derivatives
A.1 Hedging financial derivatives: end-of-period notional amounts
AMOUNTS AS AT
12.31.2019
OVER THE COUNTER
WITHOUT CENTRAL
COUNTERPARTIES
(€ million)
AMOUNTS AS AT
12.31.2018
OVER THE COUNTER
WITHOUT CENTRAL
COUNTERPARTIES
UNDERLYING ACTIVITIES/TYPE OF
DERIVATIVES
CENTRAL
COUNTERPARTIES
WITH NETTING
AGREEMENT
WITHOUT
NETTING
AGREEMENT
ORGANISED
MARKETS
CENTRAL
COUNTERPARTIES
WITH NETTING
AGREEMENT
WITHOUT
NETTING
AGREEMENT
ORGANISED
MARKETS
1. Debt securities and interest rate
indexes
a) Options
b) Swap
c) Forward
d) Futures
e) Other
2. Equity instruments and stock indexes
a) Options
b) Swap
c) Forward
d) Futures
e) Other
3. Gold and currencies
a) Options
b) Swap
c) Forward
d) Futures
e) Other
4. Commodities
5. Other
Total
2,378
-
2,378
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
2,378
261,464
4,557
256,907
-
-
-
-
-
-
-
-
-
17,359
-
17,359
-
-
-
-
-
278,823
203,815
-
247
-
203,568
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
203,815
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
1,675
-
1,675
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
1,675
325,068
4,207
320,861
-
-
-
-
-
-
-
-
-
14,196
-
12,886
1,310
-
-
-
-
339,264
257,706
-
347
-
257,359
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
257,706
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
664 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
A.2 Hedging financial derivatives: positive and negative gross fair value - breakdown by product
AMOUNT AS AT
12.31.2019
POSITIVE AND NEGATIVE FAIR VALUE
OVER THE COUNTER
WITHOUT CENTRAL COUNTERPARTIES
WITHOUT
NETTING
AGREEMENT
WITH NETTING
AGREEMENT
CENTRAL
COUNTERPARTIES
ORGANISED
MARKETS
CENTRAL
COUNTERPARTIES
AMOUNT AS AT
12.31.2018
POSITIVE AND NEGATIVE FAIR VALUE
OVER THE COUNTER
WITHOUT CENTRAL COUNTERPARTIES
WITHOUT
NETTING
AGREEMENT
WITH NETTING
AGREEMENT
(€ million)
AMOUNT AS AT
AMOUNT AS AT
12.31.2019
12.31.2018
ORGANISED
MARKETS
CHANGES IN VALUE USED TO
CALCULATE HEDGE
INEFFECTIVENESS
-
6
-
-
-
-
-
6
-
49
-
-
-
-
-
49
-
4,872
198
-
-
-
-
5,070
87
4,449
130
-
-
-
-
4,666
-
-
-
-
-
146
-
146
-
-
-
-
-
166
-
166
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
50
-
-
-
-
-
50
-
3,907
158
-
4
-
-
4,069
37
4,120
219
-
-
-
-
4,376
-
-
-
-
-
99
-
99
-
-
-
-
-
99
-
99
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
TYPE OF DERIVATIVES
1. Positive fair value
a) Options
b) Interest rate
swap
c) Cross currency
swap
d) Equity swap
e) Forward
f) Futures
g) Other
Total
2. Negative fair value
a) Options
b) Interest rate
swap
c) Cross currency
swap
d) Equity swap
e) Forward
f) Futures
g) Other
Total
UniCredit ·2019 Annual Report and Accounts 665
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
A.3 OTC hedging financial derivatives: notional amounts, positive and negative gross fair value by counterparty
UNDERLYING ACTIVITIES
Contracts not included in netting agreement
1) Debt securities and interest rate indexes
- Notional amount
- Positive fair value
- Negative fair value
2) Equity instruments and stock indexes
- Notional amount
- Positive fair value
- Negative fair value
3) Gold and currencies
- Notional amount
- Positive fair value
- Negative fair value
4) Commodities
- Notional amount
- Positive fair value
- Negative fair value
5) Other
- Notional amount
- Positive fair value
- Negative fair value
Contracts included in netting agreement
1) Debt securities and interest rate indexes
- Notional amount
- Positive fair value
- Negative fair value
2) Equity instruments and stock indexes
- Notional amount
- Positive fair value
- Negative fair value
3) Gold and currencies
- Notional amount
- Positive fair value
- Negative fair value
4) Commodities
- Notional amount
- Positive fair value
- Negative fair value
5) Other
- Notional amount
- Positive fair value
- Negative fair value
AMOUNTS AS AT 12.31.2019
CENTRAL
COUNTERPARTIES
BANKS
OTHER FINANCIAL
COMPANIES
OTHER ENTITIES
(€ million)
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
2,378
6
49
-
-
-
-
-
-
-
-
-
-
-
-
203,815
146
166
-
-
-
-
-
-
-
-
-
-
-
-
260,627
4,857
4,499
-
-
-
17,359
198
130
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
837
15
38
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
A.4 OTC hedging financial derivatives - residual life: notional amounts
UNDERLYING/RESIDUAL MATURITY
A.1 Financial derivative contracts on debt securities and interest rates
A.2 Financial derivative contracts on equity securities and stock indexes
A.3 Financial derivative contracts on exchange rates and gold
A.4 Financial derivative contracts on other values
A.5 Other financial derivatives
12.31.2019
Total
12.31.2018
Total
UP TO 1 YEAR
183,034
-
275
-
-
183,309
218,253
OVER 1 YEAR UP
TO 5 YEARS
218,193
-
13,921
-
-
232,114
314,427
OVER 5 YEARS
66,432
-
3,163
-
-
69,595
65,965
(€ million)
TOTAL
467,659
-
17,359
-
-
485,018
598,645
666 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
B. Hedging credit derivatives
No data to be disclosed.
C. Non hedging instruments
Note that, as provided by the Circular 262 of Banca d’Italia, the present table is not disclosed as the Group has exercised the option to continue
applying the existing IAS39 hedge accounting requirements for all its hedging relationships until the IASB completes the project on accounting for
macro-hedging.
D. Hedging instruments
Note that the Group has exercised the option to continue applying the existing IAS39 hedge accounting requirements for all its hedging relationships
until the IASB completes the project on accounting for macro-hedging.
In this context the following table provides the required information about hedged instruments.
Micro hedging and macro hedging: breakdown by hedged item and risk type
AMOUNT AS AT
12.31.2019
(€ million)
MICRO HEDGE:
CARRYING AMOUNT
MACRO HEDGE:
CARRYING AMOUNT
A) Fair value hedge
1. Assets
1.1 Financial assets measured at fair value through other comprehensive income
1.1.1 Interest rate
1.1.2 Equity
1.1.3 Foreign exchange and gold
1.1.4 Credit
1.1.5 Other
1.2 Financial assets measured at amortised cost
1.2.1 Interest rate
1.2.2 Equity
1.2.3 Foreign exchange and gold
1.2.4 Credit
1.2.5 Other
2. Liabilites
2.1 Financial liabilities measured at amortised costs
2.1.1 Interest rate
2.1.2 Equity
2.1.3 Foreign exchange and gold
2.1.4 Credit
2.1.5 Other
B) Cash flow hedge
1. Assets
1.1 Interest rate
1.2 Equity
1.3 Foreign exchange and gold
1.4 Credit
1.5 Other
2. Liabilites
2.1 Interest rate
2.2 Equity
2.3 Foreign exchange and gold
2.4 Credit
2.5 Other
C) Hedge of net investments in foreign operations
D) Porftolio - Assets
E) Porftolio - Liabilities
26,343
26,343
-
-
-
-
24,818
24,818
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
X
X
-
X
X
X
X
X
2,089
X
X
X
X
X
2,726
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
-
-
UniCredit ·2019 Annual Report and Accounts 667
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
E. Effects of hedging policy at equity
This table has to be filled in only by entities that apply IFRS9 hedge accounting rules.
3.3 Other information on derivatives instruments (trading and hedging)
A. Financial and credit derivatives
A.1 OTC financial and credit derivatives: net fair value by counterparty
No data to be disclosed.
Section 4 - Liquidity risk
Qualitative information
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.4 Liquidity Risk - A. General aspects, operational
processes and methods for measuring liquidity risk - Part E of the Notes to the consolidated accounts, which is herewith quoted entirely.
The only difference is related with the amount of material outflows due to deterioration of own credit quality, included in the components of the
Liquidity Coverage Ratio, which for UniCredit SpA amount to €7,723 million as at 31 December 2019. The increasing trend compared to the end of
June 2019 is mostly driven by new ABS issuances.
Quantitative information
1. Time breakdown by contractual residual maturity of financial assets and liabilities
ITEMS/MATURITY
A. On-balance sheet assets
A.1 Government securities
A.2 Other debt securities
A.3 Units in investment funds
A.4 Loans
- Banks
- Customers
B. On-balance sheet liabilities
B.1. Deposits and current accounts
- Banks
- Customers
B.2 Debt securities
B.3 Other liabilities
C. Off-balance sheet transactions
C.1 Financial derivatives with capital swap
- Long positions
- Short positions
C.2 Financial derivatives without capital
swap
- Long positions
- Short positions
C.3 Deposits and loans to be received
- Long positions
- Short positions
C.4 Commitments to disburse funds
- Long positions
- Short positions
C.5 Financial guarantees given
C.6 Financial guarantees received
C.7 Credit derivatives with capital swap
- Long positions
- Short positions
C.8 Credit derivatives without capital swap
- Long positions
- Short positions
ON DEMAND
22,652
1 TO 7 DAYS
24,281
7 TO 15 DAYS
12,353
15 DAYS TO
ONE MONTH
15,775
25
7
1,242
21,378
3,027
18,351
179,587
168,934
2,596
166,338
46
10,607
-
1
-
24,280
1,095
23,185
36,470
1,136
996
140
36
35,298
96
96
10,405
10,969
4,264
4,309
223
-
163
15,844
-
-
-
-
-
-
260
391
9,633
5,257
4,669
181
-
-
-
-
-
-
37
65
-
12,251
1,598
10,653
7,901
1,350
1,314
36
602
5,949
4,869
4,333
459
306
-
1,229
40
-
1
-
-
-
-
-
49
29
-
15,697
3,201
12,496
11,761
1,322
1,302
20
1,787
8,652
5,465
5,444
902
579
-
1,915
1,208
-
45
-
-
-
-
-
AMOUNT AS AT
12.31.2019
1 TO 3
MONTHS
33,538
210
48
-
33,280
9,213
24,067
8,123
1,212
993
219
1,415
5,496
3 TO 6
MONTHS
17,392
6 MONTHS TO
1 YEAR
26,674
1 TO 5 YEARS
107,906
1,301
189
-
15,902
1,481
14,421
22,526
104
83
21
2,747
19,675
7,373
387
-
18,914
2,447
16,467
5,939
64
48
16
4,668
1,207
30,349
5,970
-
71,587
4,713
66,874
45,522
36
-
36
27,728
17,758
(€ million)
INDEFINITE
MATURITY
11,472
-
45
-
11,427
11,406
21
212
-
-
-
212
-
OVER 5
YEARS
69,972
16,892
5,182
-
47,898
622
47,276
23,701
98
-
98
20,038
3,565
11,770
11,377
13,346
11,564
10,610
8,416
24,456
24,287
7,166
7,128
1,352
1,813
1,060
564
2,791
-
2
-
-
-
-
-
2,741
2,441
1,382
1,716
423
-
1
-
-
-
-
-
4,647
3,911
30
1,616
1,569
-
14
-
-
-
-
-
-
-
-
30
2,134
-
28
-
-
-
-
-
-
-
-
-
3,026
-
4
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
668 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: euro
AMOUNT AS AT
12.31.2019
ITEMS/MATURITY
A. On-balance sheet assets
A.1 Government securities
A.2 Other debt securities
A.3 Units in investment funds
A.4 Loans
- Banks
- Customers
B. On-balance sheet liabilities
B.1. Deposits and current accounts
- Banks
- Customers
B.2 Debt securities
B.3 Other liabilities
C. Off-balance sheet transactions
C.1 Financial derivatives with capital swap
- Long positions
- Short positions
C.2 Financial derivatives without capital
swap
- Long positions
- Short positions
C.3 Deposits and loans to be received
- Long positions
- Short positions
C.4 Commitments to disburse funds
- Long positions
- Short positions
C.5 Financial guarantees given
C.6 Financial guarantees received
C.7 Credit derivatives with capital swap
- Long positions
- Short positions
C.8 Credit derivatives without capital swap
- Long positions
- Short positions
ON DEMAND
21,583
22
7
1,034
20,520
2,415
18,105
175,963
165,733
1,746
163,987
45
10,185
1 TO 7 DAYS
23,688
-
1
-
23,687
900
22,787
35,149
138
37
101
36
34,975
30
66
3,258
3,299
50
-
163
15,369
-
-
-
-
-
-
5,579
6,030
259
328
9,599
5,250
4,666
101
-
-
-
-
-
-
7 TO 15 DAYS
11,577
37
59
-
11,481
1,098
10,383
6,267
104
100
15 DAYS TO
ONE MONTH
14,719
49
29
-
14,641
2,618
12,023
10,167
103
100
4
457
5,706
2,620
1,434
240
153
-
1,037
1
-
1
-
-
-
-
-
3
1,704
8,360
2,601
2,385
884
572
-
1,915
1,191
-
45
-
-
-
-
-
1 TO 3
MONTHS
31,391
210
47
-
31,134
7,875
23,259
7,076
318
140
178
1,370
5,388
4,961
5,507
1,274
1,496
1,060
560
2,782
-
-
-
-
-
-
-
3 TO 6
MONTHS
16,647
1,258
182
-
15,207
1,331
13,876
22,222
23
19
4
2,530
19,669
6,671
4,951
2,039
1,955
1,382
1,715
412
-
1
-
-
-
-
-
6 MONTHS TO
1 YEAR
24,848
7,119
372
-
17,357
1,514
15,843
5,578
9
7
2
4,373
1,196
4,390
2,794
3,630
2,987
30
1,614
1,569
-
12
-
-
-
-
-
(€ million)
INDEFINITE
MATURITY
11,463
-
36
-
11,427
11,406
21
212
-
-
-
212
-
OVER 5
YEARS
66,344
15,310
4,477
-
46,557
194
46,363
21,034
98
-
98
17,371
3,565
1 TO 5 YEARS
100,867
27,408
5,952
-
67,507
3,678
63,829
38,183
36
-
36
20,439
17,708
8,280
10,037
3,044
3,853
-
-
-
30
-
-
-
-
2,133
2,552
-
25
-
-
-
-
-
-
4
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
UniCredit ·2019 Annual Report and Accounts 669
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
1. Time breakdown by contractual residual maturity of financial assets and liabilities - Currency: other currencies
ITEMS/MATURITY
A. On-balance sheet assets
A.1 Government securities
A.2 Other debt securities
A.3 Units in investment funds
A.4 Loans
- Banks
- Customers
B. On-balance sheet liabilities
B.1. Deposits and current accounts
- Banks
- Customers
B.2 Debt securities
B.3 Other liabilities
C. Off-balance sheet transactions
C.1 Financial derivatives with capital swap
- Long positions
- Short positions
C.2 Financial derivatives without capital
swap
- Long positions
- Short positions
C.3 Deposits and loans to be received
- Long positions
- Short positions
C.4 Commitments to disburse funds
- Long positions
- Short positions
C.5 Financial guarantees given
C.6 Financial guarantees received
C.7 Credit derivatives with capital swap
- Long positions
- Short positions
C.8 Credit derivatives without capital swap
- Long positions
- Short positions
ON DEMAND
1,069
3
-
208
858
612
246
3,624
3,201
850
2,351
1
422
66
30
1,006
1,010
173
-
-
475
-
-
-
-
-
-
1 TO 7 DAYS
593
-
-
-
593
195
398
1,321
998
959
39
-
323
4,826
4,939
1
63
34
7
3
80
-
-
-
-
-
-
7 TO 15 DAYS
776
-
6
-
770
500
270
1,634
1,246
1,214
32
145
243
2,249
2,899
219
153
-
192
39
-
-
-
-
-
-
-
15 DAYS TO
ONE MONTH
1,056
-
-
-
1,056
583
473
1,594
1,219
1,202
17
83
292
2,864
3,059
18
7
-
-
17
-
-
-
-
-
-
-
AMOUNT AS AT
12.31.2019
1 TO 3
MONTHS
2,147
-
1
-
2,146
1,338
808
1,047
894
853
41
45
108
6,809
5,870
78
317
-
4
9
-
2
-
-
-
-
-
3 TO 6
MONTHS
745
43
7
-
695
150
545
304
81
64
17
217
6
6,675
6,613
702
486
-
1
11
-
-
-
-
-
-
-
6 MONTHS TO
1 YEAR
1,826
254
15
-
1,557
933
624
361
55
41
14
295
11
6,220
5,622
1,017
924
-
2
-
-
2
-
-
-
-
-
1 TO 5 YEARS
7,039
2,941
18
-
4,080
1,035
3,045
7,339
-
-
-
7,289
50
16,176
14,250
-
-
-
-
1
-
3
-
-
-
-
-
(€ million)
INDEFINITE
MATURITY
9
-
9
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
OVER 5
YEARS
3,628
1,582
705
-
1,341
428
913
2,667
-
-
-
2,667
-
4,122
3,275
-
-
-
-
474
-
-
-
-
-
-
-
Section 5 - Operational risk
Qualitative information
A. General aspects, operational processes and methods for measuring operational risk
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.5 Operational risks - Qualitative information -
A. General aspects - Part E of the Notes to the consolidated accounts, which is herewith quoted entirely.
B. Risks arising from legal disputes
Reference is made to the content of paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.5 Operational risks - Qualitative
information - B. Legal Risks - Part E of the Notes to the consolidated accounts, particularly relating to the parent company UniCredit S.p.A., which is
herewith quoted entirely.
C. Risks arising from employment law cases
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.5 Operational risks - Qualitative information -
C. Risks arising from employment law cases - Part E of the Notes to the consolidated accounts, which is herewith quoted entirely.
D. Risks arising from tax disputes
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.5 Operational risks - Qualitative information -
D. Risks arising from tax disputes - Part E of the Notes to the consolidated accounts, which is herewith quoted entirely.
670 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
E. Other claims by customers
Supporting the business structures, the Compliance function oversees the regulatory environment evolution relating to banking services and
products in areas like transparency, financial and investment services and anti-usury. Compliance, as control function, develops rules, checks
processes and procedures and monitors complaints trends. The Compliance function, along with the Legal one, also supports analysis and
evaluation stages of adequacy of potential "customer care" actions or other initiatives designed to compose particular situations in which UniCredit
S.p.A. might be involved in order to define them.
Considering the regulatory complexity and interpretations not always homogeneous, UniCredit S.p.A. time-to-time assesses the accounting of
provisions for risk and charges, aimed at facing costs, deemed probable, in a contest that has increased the litigiousness at baking system level.
Concerning the financing of consumer credit, the EU Directive 2008/48 establishes that “ the consumer shall be entitled at any time to discharge fully
or partially his obligations under a credit agreement. In such cases, he shall be entitled to a reduction in the total cost of credit, such reduction
consisting of the interest and the costs for the remaining duration of the contract".
Following the decision of the European Court of Justice in September 2019 (judgment C-383/18 referring to the "Lexitor" case) and the
communication of the Banca d’Italia issued in December 2020, UniCredit S.p.A. proceeded to adapt to the most recent interpretation of this
legislation. Therefore, in the event of a request for early repayment of the loan, the consumer is entitled to pay off his debt net of costs not yet
accrued on the repayment date.
In consideration of the above, as well as the interpretations prior to the aforementioned communication of the Bank of Italy, the Bank noted the
guidelines issued by the Authority adapting to the framework outlined, and has carried out the appropriate assessments, also to preserve the quality
of the customers relationship.
Diamond offer
Over the years, within the diversification of investments to which the available assets are addressed and also considering in this context those
investments with the characteristics of the so-called "safe haven" with a long-term horizon, several UniCredit S.p.A.’s customers have historically
invested in diamonds through a specialised intermediary company, with which the Bank has stipulated, since 1998, a collaboration agreement as
"Introducer", in order to regulate the "reporting” methods of the offer of diamonds by the same company to UniCredit customers.
Since the end of 2016, the liquidity available on the market to meet the requests of customers who intended to divest their diamond assets has
contracted to a certain extent until it became nil, with the suspension of the service by the brokerage company.
In 2017 UniCredit S.p.A. started a "customer care" initiative which envisaged the availability of the Bank to intervene for the acknowledgement
towards the customer of the original cost incurred for the purchase of precious items and the consequent withdrawal of the stones, upon certain
conditions.
The initiative has been adopted assessing the absence of responsibility for its role as "Introducer"; nevertheless, the AGCM ascertained UniCredit’s
responsibility for unfair commercial practice (confirmed in appeal by the Administrative Regional Court in the second half of 2018), imposing, in
2017, a fine of €4 million paid in the same year. UniCredit has filed an appeal to the Council of State. The proceedings are pending.
On 8 March 2018, a specific communication was issued from Banca d’Italia concerning the "Related activities exercisable by banks", in which large
attention was given to the reporting at the bank branches of operations, purchase and sale of diamonds by specialised third-party companies.
As at 31 December 2019, UniCredit:
received reimbursement requests for a total amount of about €387 million (cost originally incurred by the Clients) from No.11,313 Customers;
according to a preliminary analysis, such requests fulfill the requirements envisaged by the "customer care” initiative; the finalisation of the
reimbursement requests is currently carried out, aimed at assessing their effective compliance with the “customer care” initiative, and then proceed
with the settlement where conditions recur;
with reference to the scope outlined in the previous point (about €387 million), reimbursed No.6,942 customers for about €257 million (equivalent
value of original purchases), equal to about 66% of the reimbursement requests said above;
In order to cope with the probable risks of loss related to the repurchases of diamonds, a dedicated Risk and Charges Fund was set up; its
quantification was also based on the outcome of an independent study (commissioned to a primary third company) aiming at evaluating the
diamonds’ value.
Finally, the gems purchased are recognised for about €69 million in item ”130. Other assets” of the balance sheet.
UniCredit ·2019 Annual Report and Accounts 671
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
On 19 February 2019, the judge in charge of the preliminary investigation at the Court of Milan issued an interim seizure directed to UniCredit and
other financial institutions aimed at: (i) direct confiscation of the amount of €33 million against UniCredit for the offence of aggravated fraud and (ii)
indirect as well as direct confiscation of the amount of €72 thousand for the offence of self-laundering against UniCredit. From the seizure order it
emerges that investigations for the administrative offence under Art.25-octies of Legislative Decree No.231/2001 are pending against UniCredit for
the crime of self-laundering.
On 2 October 2019, the Bank and certain individuals received the notice of conclusion of the investigations pursuant to Article 415-bis of the Italian
Code of criminal procedure. The notice confirmed the involvement of certain current and former employees for the offence of aggravated fraud and
self-laundering. With regard to the latter, self-laundering serves as a predicate crime for the administrative liability of the Bank under Legislative
Decree No.231/2001. The next phase of the proceeding will be a request for indictments.
Quantitative information
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.5 Operational risks- Quantitative information - Part
E of the Notes to the consolidated accounts, which is herewith quoted entirely.
Operational losses 2019 divided by risk category
73.71%
Business practices
External fraud
Process execution
Material damage
IT Systems
Internal fraud
Employment practices
17.68%
8.33%
0.27%
0.01%.
The categories “Internal fraud” and “Employment practices” are not shown in the chart since they have a positive impact in the reference period due
to the effects of recoveries and releases of funds.
In 2019, the main source of operational risk (for this purpose, the positive effect due to the release of provisions set aside in previous years, as a
consequence of the settlement with US Authorities, has not been considered) was "Clients, products and business practices”, a category which
includes losses arising from the non-fulfilment of professional obligations towards clients or from the nature or characteristics of the products or
services provided, as well as any sanctions for violating regulations. The second largest contribution to losses refers to external fraud, followed by
errors in process management, execution and delivery due to operational or process management shortage.
There were also, in decreasing order, losses stemming from damage to physical assets from external events, IT Systems and internal fraud.
672 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part E - Information on risks and hedging policies
Section 6 - Other risks
Other risks included in economic capital
Reference is made to the paragraph of Part E - Notes to the consolidated accounts of UniCredit group - Section 2 - Risk of the prudential
consolidated perimeter - 2.6 Other risks - Other risks included in Economic Capital with specific reference to business risk, real estate risk and
financial investments risk which is herewith quoted entirely.
Reputational risk
Reference is made to the paragraph Section 2 - Risk of the prudential consolidated perimeter - 2.6 Others risks - Reputational risk - Part E of the
Notes to the consolidated accounts, which is herewith quoted entirely.
Top and emerging risk
Reference is made to the paragraph of Part E - Notes to the consolidated accounts of UniCredit group - Section 2 - Risk of the prudential
consolidated perimeter - 2.6 Other risks - Top and emerging risk which is herewith quoted entirely.
UniCredit ·2019 Annual Report and Accounts 673
Company financial statements | Notes to the accounts
Part F - Shareholders’ equity
Part F - Shareholders’ equity
Section 1 - Shareholders’ equity
A. Qualitative information
Reference is made to the corresponding paragraph of Part F - Notes to the consolidated accounts of UniCredit group which is herewith quoted
entirely.
B. Quantitative information
B.1 Company shareholders' equity: breakdown
ITEMS/VALUES
1. Share capital
2. Share premium reserve
3. Reserves
- from profits
a) legal
b) statutory
c) treasury shares
d) other
- other(*)
4. Equity instruments
5. Treasury shares
6. Revaluation reserves
- Equity instruments designated at fair value through other comprehensive income
- Hedge accounting of equity instruments designated at fair value through other comprehnsive
income
- Financial assets (different from equity instruments) at fair value through other comprehnsive income
- Property, plant and equipment
- Intangible assets
- Hedges of foreign investments
- Cash flow hedges
- Foreign investments hedging
- Exchange differences
- Non-current assets and disposal groups classified as held for sale
- Financial liabilities designated at fair value through profit or loss (own creditworthiness changes)
- Actuarial gains (losses) on definited benefit plans
- Changes in valuation reserve pertaining to equity method investments
- Special revaluation laws
7. Net profit (loss)
Total
AMOUNT AS AT
12.31.2019
20,995
13,225
11,783
7,108
1,518
7,504
-
(1,914)
4,675
5,602
(2)
471
(242)
-
250
510
-
-
(31)
-
-
-
(71)
(222)
-
277
(555)
51,519
(€ million)
12.31.2018
20,940
13,393
10,031
5,541
1,518
6,161
-
(2,138)
4,490
4,610
(2)
(503)
(244)
-
(316)
-
-
-
(66)
-
-
-
42
(196)
-
277
2,442
50,911
Note:
(*) The sub-item "Reserves - other" includes the "Reserve of treasury shares" (€2 million), originally formed with the withdrawal from the "Share premium reserve", as well as a part of the "Legal reserve" (€2,683 million) also
constituted, as resolved by the approval of the Ordinary Shareholders' Meeting of 11 May 2013 and of 13 May 2014 and of 14 April 2016 with the withdrawal from the "Share premium Reserve".
Shareholders’ equity at 31 December 2019, additionally to the changes in capital explained in details in Part B - Section 12 - Shareholders’ equity,
reflects, among the others, the changes resulting from the ordinary Shareholders’ Meeting resolutions of 11 April 2019 regarding the allocation of
profit for the year 2018 of €2,458 million:
distribution to holders of ordinary shares of a dividend for a total amount of €600 million;
allocation of €4 million to social, charity and cultural initiatives;
allocation of €55 million to the Reserve connected to the medium-term incentive plan for Group staff;
allocation of €1,799 million to the Statutory reserve.
674 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part F - Shareholders’ equity
Shareholders’ equity at 31 December 2018 shown in comparison reflects the change in the valuation criterion of properties held for investment.
As detailed in Part A, Section 4 - Other aspects, the retroactive application of the accounting principle entailed the recognition of a specific positive
reserve from the first application on 1 January 2018 of €91 million (net of the effect tax) and an adjustment of the result for the year 2018 (net of the
tax effect) of -€16 million following the evolution of the fair value of the period and the amortization adjustments.
B.2 Revaluation reserves of financial assets at fair value through other comprehensive income: breakdown
ASSETS/VALUES
1. Debt securities
2. Equity securities
3. Loans
Total
AMOUNT AS AT 12.31.2019
AMOUNT AS AT 12.31.2018
(€ million)
POSITIVE RESERVE
291
63
-
354
NEGATIVE RESERVE
(40)
(305)
-
(345)
POSITIVE RESERVE
169
89
-
258
NEGATIVE RESERVE
(486)
(333)
-
(819)
B.3 Revaluation reserves of financial assets at fair value through other comprehensive income: annual change
ASSETS/VALUES
1. Opening balance
2. Positive changes
2.1 Fair value increases
2.2 Net losses on impairment
2.3 Reclassification through profit or loss of negative reserves: following
disposal
2.4 Transfers to other comprehensive shareholders' equity
(equity instruments)
2.5 Other changes
3. Negative changes
3.1 Fair value reductions
3.2 Recoveries on impairment
3.3 Reclassification throught profit or loss of positive reserves: following
disposal
3.4 Transfers to other comprehensive shareholders' equity
(equity instruments)
3.5 Other changes
4. Closing balance
B.4 Revaluation reserves to defined benefit plan: annual changes
1. Net opening balance
2. Positive changes
2.1 Fair value increase
2.2 Other changes
3. Negative changes
3.1 Fair value reductions
3.2 Other changes
4. Closing balance
DEBT SECURITIES
(317)
1,092
858
-
CHANGES IN 2019
EQUITY SECURITIES
(244)
70
42
X
234
-
-
(524)
(335)
-
(189)
-
-
251
X
21
7
(68)
(67)
-
X
(1)
-
(242)
CHANGES IN
2019
(194)
-
-
-
(28)
(28)
-
(222)
(€ million)
LOANS
-
-
-
-
-
-
-
-
-
-
-
-
-
-
(€ million)
2018
(196)
13
13
-
(11)
(11)
-
(194)
Section 2 - Own funds and regulatory ratios
For information on the regulatory ratios of UniCredit S.p.A. at the reference date and for the comparison with the previous periods refer to the own
funds disclosure reported into the UniCredit group disclosure (Pillar III).
UniCredit ·2019 Annual Report and Accounts 675
Company financial statements | Notes to the accounts
Part G - Business combinations
Part G - Business combinations
Section 1 - Business combinations completed in the year
1.1 Business combinations
Business combinations with counterparties outside the Group are performed using the “purchase method” as required by IFRS3 “Business
Combinations”, cited in the disclosure of Accounting policies, part A.2 - Main items of the accounts.
In 2019, the Bank did not carry out any business combinations outside the Group.
With reference to business combinations within the Group, since 1 September 2019 the partial demerger of UniCredit Services S.C.p.A. versus
UniCredit S.p.A. was performed with reference to the transfer of real estate and operations activities and logistics currently supplied in Italy in favour
to Italian customers (so-called "Reus" demerger).
Section 2 - Business Combinations completed after year-end
No business combination have been completed after year end.
Section 3 - Retrospective adjustments
No retrospective adjustments has been applied in 2019 on business combinations competed in previous years.
676 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part H - Related-party transactions
Part H - Related-party transactions
Introduction
Reference is made to the corresponding paragraph of Part H - Notes to the consolidated accounts of UniCredit group which is herewith quoted
entirely.
1. Details of Key management personnels’ compensation
Details of Key management personnel’s 2019 remuneration are given below pursuant to IAS24 and to Banca d’Italia Circular 262 dated 22
December 2005 (6th update of 30 November 2018) requiring that also the Statutory Auditors’ compensation be included.
Key management personnel are persons having authority and responsibility for planning, directing, and controlling UniCredit’s activities, directly or
indirectly. Key management personnel include the Chief Executive Officer and the other members of the Board of Directors, the Standing Auditors,
the General Manager and the other Senior Executive Vice Presidents directly reporting to the Board of Directors or to the Chief Executive Officer.
Remuneration paid to key management personnel (including directors)
a) short-term employee benefits
b) post-retirement benefits
of which: under defined benefit plans
of which: under defined contribution plans
c) other long-term benefits
d) termination benefits
e) share-based payments
Total
YEAR 2019
16
1
-
1
-
4
5
26
(€ million)
YEAR 2018
16
1
-
1
-
-
6
23
The information reported above include the compensation paid to Directors (€4 million), Statutory Auditors (€0.9 million), General Manager
(€0.1million) and other Managers with strategic responsibilities (€10 million), as shown in the document "Information Tables Pursuant Art.84 -quarter
“Annual Report - Section II” of the Regulation No.11971 Issued by Consob" attached to the “2020 Group Remuneration Policy”, and €11 million
relating to other costs borne in 2019 (the company share of social security contributions, accruals to severance pay funds and share-based
payments using UniCredit and its subsidiaries’ equity instruments).
The compensation paid shows a substantial stability versus 2018, in line with the conservative approach to remuneration that has been adopted
during Transform 2019 plan. The €4 million increase in the total compensation versus the previous year is linked to severance payments related to
employment terminations, having by their own nature a non-recurring nature.
UniCredit ·2019 Annual Report and Accounts 677
Company financial statements | Notes to the accounts
Part H - Related-party transactions
2. Related-party transactions
The following table sets out the assets, liabilities, guarantees and commitments, for each group of related parties, pursuant to IAS24.
Related-party transactions: balance sheet items
AMOUNTS AS AT
12.31.2019
CONTROLLED
JOINT
VENTURES
ASSOCIATED
COMPANIES
KEY
MANAGEMENT
PERSONNEL
OTHER
RELATED
PARTIES
% ON
ACCOUNTS
ITEM
TOTAL
SHAREHOLDERS(*)
(€ million)
% ON
ACCOUNTS
ITEM
Financial assets at fair value
through profit or loss
a) Financial assets held for
trading
b) Financial assets
designated at fair value
c) Other financial assets
mandatorily at fair value
Financial assets at fair value
through other comprehensive
income
Financial assets at amortised
cost
a) Loans and advances to
banks
b) Loans and advances to
customers
Hedging derivatives (assets)
Non-current assets and disposal
groups classified as held for
sale
Other assets
Total assets
Financial liabilities at amortised
cost
a) Deposits from banks
b) Deposits from customers
c) Debt securities in issue
Financial liabilities held for
trading and designated at fair
value
Hedging derivatives (liabilities)
Liabilities associated with
disposal groups classified as
held for sale
Other liabilities
Total liabilities
Guarantees given and
commitments
3,063
2,849
-
214
-
-
-
-
-
-
38,796
2,150
15,076
1,452
23,720
5,015
-
219
47,093
11,008
8,477
556
1,975
4,253
4,545
-
226
20,032
698
-
-
5
2,155
1
1
-
-
-
-
-
1
2
23,580
2,133
-
-
-
-
-
390
-
390
-
-
-
390
315
-
315
-
-
-
-
30
345
39
Note:
(*) Shareholders and related companies holding more than 2% of voting shares in UniCredit.
-
-
-
-
-
1
-
1
-
-
-
1
5
-
5
-
-
-
-
-
5
-
-
-
-
-
-
1
-
1
-
-
-
1
161
-
161
-
-
-
-
-
161
3,063
20.84%
2,849
22.47%
-
-
214
10.60%
-
-
41,338
13.73%
16,528
39.29%
24,810
5,015
9.58%
96.02%
-
224
49,640
11,490
8,478
1,037
1,975
-
5.74%
13.88%
3.49%
14.72%
0.48%
3.62%
4,253
4,545
24.81%
93.10%
-
257
20,545
-
4.18%
5.75%
2
25,754
15.40%
-
-
-
-
-
0.01%
-
0.01%
-
-
-
0.01%
0.01%
0.04%
-
-
-
-
-
-
0.01%
-
-
-
-
-
19
-
19
-
-
-
19
23
23
-
-
-
-
-
-
23
-
678 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part H - Related-party transactions
The following table sets out the impact of transactions, for each group of related parties, on income statements, pursuant to IAS24.
Related-party transactions: profit and loss items
AMOUNTS AS AT
12.31.2019
CONTROLLED
JOINT
VENTURES
ASSOCIATED
COMPANIES
KEY
MANAGEMENT
PERSONNEL
OTHER
RELATED
PARTIES
% ON
ACCOUNTS
ITEM
TOTAL
SHAREHOLDERS(*)
10. Interest income and similar
revenues
20. Interest expenses and
similar charges
30. Net interest margin
40. Fees and commissions
income
50. Fees and commissions
expenses
60. Net fees and commissions
70. Dividend income and similar
revenues
80. Net gains (losses) on trading
90. Net gains (losses) on hedge
accounting
100. Gains (Losses) on disposal
and repurchase of
a) Financial assets at
amortised cost
b) Financial assets at fair
value through other
comprehensive income
c) Financial liabilities
110. Net gains (losses) on other
financial assets/liabilities at fair
value through profit or loss
a) Financial assets/liabilities
designated at fair value
b) Other financial assets
mandatorily at fair value
120. Operating income
130. Net losses/recoveries on
credit impairment relating to
a) Financial assets at
amortised cost
b) Financial assets at fair
value through other
comprehensive income
140. Gains/Losses from
contractual changes with no
cancellations
190. Administrative expenses
a) Staff costs
b) Other administrative
expenses
200. Net provisions for risks and
charges
230. Other operating
expenses/income
240. Operating costs
(201)
713
512
98
(173)
(75)
-
(152)
287
(4)
(4)
-
-
8
-
8
576
(233)
(233)
-
-
(1,141)
(15)
(1,126)
2
70
(1,069)
109
-
109
4
-
4
-
-
-
-
-
-
-
-
-
-
113
(6)
(6)
-
-
1
1
-
1
6
8
30
(1)
29
755
(8)
747
-
-
-
-
-
-
-
-
-
-
776
(42)
(42)
-
-
-
1
(1)
6
(59)
(53)
Note:
(*) Shareholders and related companies holding more than 2% of voting shares in UniCredit.
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
(62)
712
650
857
(181)
676
-
1.21%
54.73%
17.02%
19.67%
32.61%
17.78%
-
(152)
34.31%
287
(4)
(4)
-
-
8
-
n.m.
3.28%
5.26%
-
-
3.32%
-
8
1,465
57.14%
14.88%
(281)
10.20%
(281)
10.26%
-
-
-
(2)
-
(2)
-
-
(2)
-
(1,142)
(13)
-
21.29%
0.47%
(1,129)
43.37%
9
3.13%
17
(1,116)
5.86%
20.82%
1
(1)
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
(€ million)
% ON
ACCOUNTS
ITEM
0.02%
0.08%
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
UniCredit ·2019 Annual Report and Accounts 679
Company financial statements | Notes to the accounts
Part H - Related-party transactions
The “Other related-parties IAS” category includes:
close family members of key management personnel (i.e. those family members who, as is expected, may influence, or be influenced by, the
person in question);
companies controlled (or jointly controlled) by key management personnel or their close family members;
Group employee post-employment benefit plans.
With reference to the description of main transactions with related parties, reference is made to the corresponding paragraph of Part H - Notes to the
consolidated accounts of UniCredit group which is herewith quoted for the transactions related to UniCredit S.p.A.
680 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part I - Share-based payments
Part I - Share-based payments
A. Qualitative information
1. Description of payment agreements based on own equity instruments
Reference is made to the paragraph Share-Based Payments Part I - A. Qualitative information - 1. Description of payment agreements based on
own equity instruments of the Notes to the consolidated accounts, which is herewith quoted for the part that concern the delivery of UniCredit
shares.
B. Quantitative information
1. Annual changes
Reference is made to the paragraph Share-Based Payments Part I - B. Quantitative information - 1. Annual changes of the Notes to the
consolidated accounts, which is herewith quoted entirely.
2. Other information
All Share-Based Payment granted after 7 November 2002 whose vesting period ends after 1 January 2005 are included within the scope of the
IFRS2.
Financial statement presentation related to share based payments
(Costs)/Revenues
- connected to equity-settled plan(1)
- connected to cash-settled plans
Debts for cash-settled plans
Note:
(1) Includes costs for €1.6 million related to golden parachute.
2019
TOTAL
(27)
(27)
-
-
VESTED PLANS
-
2018
TOTAL
(20)
(20)
-
-
(€ million)
VESTED PLANS
-
UniCredit ·2019 Annual Report and Accounts 681
Company financial statements | Notes to the accounts
Part L - Segment reporting
Part L - Segment reporting
Segment reporting of UniCredit S.p.A., parent company of the UniCredit banking group, is provided in Part L of the Notes to the consolidated
accounts, in accordance to the IFRS8.
682 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part M - Information on leases
Part M - Information on leases
Section 1 - Lessee
Qualitative information
The Bank in conducting its business, signs lease contracts for which accounts for rights of use that mainly relate to the following type of tangible
assets:
Buildings;
Others (eg. cars).
These contracts are accounted for in accordance with rules set in accounting standard IFRS16 further detailed in Part A - Accounting policies - A.2 -
Main items of the accounts (section to refer to).
The rights of use deriving from these lease contracts are mainly used to provide for services or for administrative purposes and accounted for
according to the cost method. If these rights of use are sub-leased to third parties, a financial or operating lease contract is booked based on their
characteristics.
As allowed by the accounting standard, the Bank has decided not to account for rights of use or lease liabilities in case of:
short-term leases, lower than 12 months; and
lease of low value assets. In this regard, in this respect an asset is considered as low value if its fair value when new is equal to or lower than €5
thousand. This category mainly includes office machines (PCs, monitors, tablets, etc.) as well as fixed and mobile telephony devices.
The lease payments deriving from this type of activity are booked in item “160. Administrative expenses” on an accrual basis.
Quantitative information
The book value of the rights of use arising from lease contracts are exposed in Part B - Balance sheet - Assets - Section 8 - Property, plant and
equipment of the Notes to the accounts.
During the year, these rights of use resulted in the recognition of depreciations for €182 million of which:
€175 million relating to buildings;
€7 million relating to the other category (eg cars).
In addition, impairment for €7 million has been booked.
With reference to leasing liabilities, the related book value is shown in Part B - Balance sheet - Liabilities - Section 1 - Financial liabilities at
amortised cost of the Notes to the accounts (section to refer to).
During the year, these lease liabilities led to the recognition of interest expenses shown in Part C - Income statement - Section 1 - Interests of the
Notes to the accounts.
With reference to short-term leases and leases of low value assets, it should be noted that during the year, rentals were accounted for €58 million. It
should be noted that such amount also includes VAT on rentals which is not included in the lease liability calculation.
Finally, with reference to the sublease contracts, it should be noted that these contracts determined operating income for €27 million.
For the purposes of determining the lease term, the Bank considers the non-cancellable period established by the contract, during which the lessee
has the right to use the underlying asset as well as any renewal options where the lessee has reasonable expectation to proceed with the renewal.
In particular, with reference to contracts that provide the lessee with the option to automatically renew the lease at the end of a first period, the lease
term is determined considering elements such as the duration of the first period, the existence of any plan leading to the disposal of the asset leased
as well as any other circumstance indicating the reasonable certainty of renewal.
Therefore, the amount of cash flows, not reflected in the calculation of the lease liability, to which the Bank is potentially exposed, is essentially due
to the possible renewal of lease contracts and the subsequent extension of the lease term not included in the original calculation of the lease
liabilities taking into account the information available and expectations existing as at 1 January 2019 (date of initial application of IFRS16) or on the
starting date of the lease.
UniCredit ·2019 Annual Report and Accounts 683
Company financial statements | Notes to the accounts
Part M - Information on leases
Section 2 - Lessor
Qualitative information
The Bank carries out financial leasing activities associated with the sublease of properties both to other Group’s companies and to third parties; the
corresponding credits for financial leases have taken on a significantly higher amount compared to previous years due to both the change in
ownership of the related lease contracts from UniCredit Services S.C.p.A. to UniCredit S.p.A. and the introduction of the IFRS16 which establishes
the right of use, and no longer the underlying tangible asset, as the element on which to evaluate the presence of a financial lease.
These contracts are exposed through the recognition of a credit for financial leases recognized in item “40. Financial assets at amortised cost”, of
the related income on an accrual basis in item "10. Interest income and similar revenues" and of the impairment for the expected credit loss in item
“130. Net losses/recoveries on credit impairment”.
Operating leases activities, on the other hand, are essentially attributable to the leasing of owned properties to parties external to the Group.
These contracts are represented through the recognition, on an accrual basis, of the rentals received in item “200. Other operating
expenses/income”.
Quantitative information
1. Balance sheet and Income statement information
With reference to financial lease contracts, the book value of credit for financial leases is shown in Part B - Balance sheet - Assets - Section 4 -
Financial assets at amortised cost of these Notes to the accounts.
Such loans determined, during the year, interest income shown in Part C - Income statement - Section 1 - Interests of Notes to the accounts.
With reference to operating lease contracts, it should be noted that the book value of the owned assets granted under operating lease is composed
as follows:
Land: €212 million;
Buildings: €317 million.
Rentals recognised on an accrual basis during the year for leasing of these activities are shown in Part C - Income statement - Section 14 - Other
operating expenses/income of these Notes to the accounts.
2. Financial leases
2.1 Classification for time bucket of Payments to be received and Reconciliation with Lease Loans booked in the Assets
TIME BUCKET
Up to 1 year
1 year to 2 years
2 year to 3 years
3 year to 4 years
4 year to 5 years
Over 5 years
Total Payments to be received for lease
RECONCILIATION WITH LOANS
Unpaid Financial Profits (-)
Not guaranteed Residual Amount (-)
Lease Loans
(€ million)
12.31.2019
PAYMENTS TO BE RECEIVED FOR
LEASE
6
-
1
4
2
84
97
-
-
97
It should be noted that the Bank has decided, as permitted by the accounting standard, not to restate comparative information as a result of the first
adoption of accounting standard IFRS16. Consequently, the table does not report the balances as at 31 December 2018.
The value shown in the table represents the gross exposure. This value is decreased by impairment, equal to €1 million, leading to the amount of
€96 million shown among the Assets - Section 4 - Financial assets at amortised cost of these Notes to the accounts.
684 2019 Annual Report and Accounts · UniCredit
Company financial statements | Notes to the accounts
Part M - Information on leases
2.2 Other information
With regard to financial leases, the credit risk associated with the contract is managed according to what is stated in Part E - Information on risks
and hedging policies - Section 1 - Credit risk of the Notes to the accounts (section to referred to).
The classification of the contract as a finance lease is determined by the fact that the risks and rewards of the leased right of use are transferred to
the lessee mainly through contract durations substantially aligned with the useful life of the related right.
3. Operating leases
3.1 Classification for time bucket of Payments to be received
TIME BUCKET
Up to 1 year
1 year to 2 years
2 year to 3 years
3 year to 4 years
4 year to 5 years
Over 5 years
Total
(€ million)
12.31.2019
PAYMENTS TO BE RECEIVED
FOR LEASE
18
17
17
17
16
88
173
It should be noted that the Bank has decided, as permitted by the accounting standard, not to restate comparative information as a result of the first
adoption of accounting standard IFRS16. Consequently, the table does not report the balances as at 31 December 2018.
3.2 Other information
There is no further significant information to report compared to the above.
UniCredit ·2019 Annual Report and Accounts 685
Company Financial Statements | Annexes
Annex 4 - Securitisation - qualitative tables
686 2019 Annual Report and Accounts · UniCredit
Company financial statements | Certification
Annual Financial Statements certification pursuant to art.81-ter of Consob
regulation No.11971/99, as amended
1. The undersigned Jean Pierre Mustier (as Chief Executive Officer) and Stefano Porro (as the Manager charged with preparing the financial
reports) of UniCredit S.p.A., also in compliance with Art.154-bis, (paragraphs 3 and 4) of Italian Legislative Decree No.58 of 24 February 1998, do
hereby certify:
the adequacy in relation to the Legal Entity’s features, and
the actual application
of the administrative and accounting procedures employed to draw up the 2019 Annual Financial Statements.
2. The adequacy of the administrative and accounting procedures employed to draw up the 2019 Annual Financial Statements has been evaluated
by applying a model developed by UniCredit S.p.A., in accordance with the “Internal Control - Integrated Framework (CoSO)” and the “Control
Objective for IT and Related Technologies (Cobit)”, which represent generally accepted international standards for internal control system and for
financial reporting in particular.
3. The undersigned also certify that:
3.1 the 2019 Annual Financial Statements:
a) were prepared in compliance with applicable international accounting standards recognised by the European Community pursuant to
European Parliament and Council Regulation No.1606/2002, of 19 July 2002;
b) correspond to the results of the accounting books and records;
c) are suitable to provide a fair and correct representation of the economic and financial situation of the issuer;
3.2 the Report on Operations includes a reliable analysis of the operating trend and results as well as of the situation of the issuer, together with
a description of the main risks and uncertainties they are exposed to.
Milan, 5 February 2020
Certification
Jean Pierre MUSTIER
Stefano PORRO
UniCredit ·2019 Annual Report and Accounts 687
I
UniCredit Group - Internal Use Only
688 2019 Annual Report and Accounts · UniCredit
Company financial statements | Report and resolutions
Board of Statutory Auditors’ Report
Report and resolutions
Board of Statutory Auditors’ Report
(English translation of the Italian original document)
BOARD OF STATUTORY AUDITORS' REPORT
TO THE SHAREHOLDERS MEETING OF 9 APRIL 2020
(PURSUANT TO ART.153 OF ITALIAN LEGISLATIVE DECREE 58/1998 AND ART.2429, PAR. 2, OF THE ITALIAN CIVIL CODE)
Dear Shareholders,
the Board of Statutory Auditors (hereinafter, also the “BoSA”) is called to report to the Shareholders' Meeting of UniCredit S.p.A. (hereinafter, also
the “Bank”, the ”Parent company”, “UniCredit”) on the oversight activity performed during the year and on any detected omissions and censurable
facts, pursuant to Art.153 of Italian Legislative Decree No.58/1998 (Consolidated law on finance TUF) and Art.2429, paragraph 2, of the Italian Civil
Code. The Board of Statutory Auditors is also entitled to make comments and proposals concerning the financial statements, their approval and all
matters within its remit. This report provides the information required by Consob Communication 1025564/2001 as amended and/or supplemented.
During 2019, the Board of Statutory Auditors performed its institutional duties in compliance with the Italian Civil Code, Italian Legislative Decree
No.385/1993 (Consolidated law on banking TUB), No.58/1998 (TUF) and No.39/2010 and subsequent amendments and/or additions, the provisions
of the company Bylaws and those issued by the Authorities that exercise supervisory and control activities, also taking into consideration the rules of
conduct recommended by the Italian National Board of Certified Public Accountants and Accounting Experts (Consiglio Nazionale dei Dottori
Commercialisti e degli Esperti Contabili).
1. Appointment and activities of the Board of Statutory Auditors
On 11 April 2019, the Shareholders’ Meeting of UniCredit S.p.A. renewed the Board of Statutory Auditors, which had lapsed from office after
completing its three-year term, appointing its members for the subsequent period and until the approval of the financial statements at 31 December
2021. These were Mr. Marco Rigotti (Chairman), Ms. Antonella Bientinesi, Mr. Angelo Rocco Bonissoni, Ms. Benedetta Navarra and Mr. Guido
Paolucci (Permanent Statutory Auditors). The Statutory Auditors Ms. Antonella Bientinesi, Mr. Angelo Rocco Bonissoni, Ms. Benedetta Navarra and
Mr. Guido Paolucci were already present in the previous composition of the BoSA.
The Board of Directors of UniCredit, in its meeting held on 6 February 2019, approved by resolution to charge the Board of Statutory Auditors with
the functions of Supervisory Body pursuant to Italian Legislative Decree No.231/2001 as from its aforementioned renewal for the financial years
2019-2021. Until the renewal of the Board of Statutory Auditors, the previous organizational structure was therefore maintained, entrusting these
functions to an independent body, specifically set up for this purpose, composed of external members and senior executives of the Company with
the task of guidance, support and control functions.
During the year 2019, the Board of Statutory Auditors held overall No.57 meetings with an average duration of about 4 hours:
No.10 meetings, up to the date (13 March 2019) of the meeting called for the approval of the previous Report of the Board of Statutory Auditors at
the Shareholders' Meeting;
No.3 meetings, held after 13 March 2019, and until the date of the Shareholders’ Meeting of 11 April 2019;
No.44 meetings, held after the renewal of the Board of Statutory Auditors, of which No.31 as ordinary session and No.13 acting as 231
Supervisory Body's.
During 2020 and until the date of the present Report, the Board of Statutory Auditors met 12 times.
During 2019, the Board of Statutory Auditors attended all No.18 meetings of the Board of Directors, and the Shareholders’ Meeting.
In compliance with the provisions of the “UniCredit - Corporate Bodies and Committees Regulation”, during 2019, the Chairman of the Board of
Statutory Auditors, attended all meetings of the Internal Control & Risks Committee, as a permanent guest; the entire Board of Statutory Auditors
also attended these Committee meetings, when issues of common interest were discussed (annual and half-yearly financial reports and accounting
issues related to the new business Plan Team 23). In the second half of 2019, the Chairman of the Board of Statutory Auditors, also attended the
meetings of the Related Parties Committee; almost all members of the Board of Statutory Auditors attended one meeting of the Committee.
2. Group activities development operations and other corporate transactions
The Board of Statutory Auditors, besides attending the meetings in which the Board of Directors carried out the ongoing monitoring of the execution
of the 2016-2019 Strategic Plan “Transform 2019” (the “Transform 2019 Plan”) completed its analysis aimed at examining the implementation of
the main actions contemplated in the Transform 2019 Plan, and carried out specific in-depth analysis with the Top Management within the
respective remits, regarding the implementation of the five pillars of the Plan itself:
Transforming the operating model;
Maximizing the commercial bank value;
Strengthening and optimizing the capital;
Improving asset quality;
Adopting a Group Corporate Center that is streamlined yet with directional powers strongly oriented towards coordinating the business.
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Board of Statutory Auditors’ Report
The implementation of Transform 2019 was fully in line with expectations. In particular, as at 31 December 2019, the Group shows a strong capital
position with the CET1 (Common Equity Tier 1 Capital) ratio equal to 13.09%, including the effect from the proposed share buyback (i.e. 13.22%
excluding it), compared to the 10.4% prior to the beginning of the Transform 2019 Plan.
Since the end of 2019 the SREP (Supervisory Review and Evaluation Process) Pillar 2 Capital Requirement (P2R) has lowered by 25 basis points to
175 basis points, based on the SREP letter issued by ECB (European Central Bank) on 2 December 2019.
In terms of improving asset quality, in 2019 the proactive risk reduction measures have continued, leading the Non-Performing Exposure (NPE) ratio
to 5.04% at the end of December, in comparison to the 7.72% of the end of 2018, with a coverage ratio increased to 65.24%, compared to 60.96%
of the end of 2018 (restated values, as indicated in the financial statements report).
The consolidated report on operations also includes the sale initiatives of non-performing loans portfolio, aimed at reducing the Non-Performing
Exposure (NPE) and Non Core asset.
With regard to the transactions and initiatives involving shareholdings, described in the financial statements report, please note the following:
Reduction of UniCredit stake in Yapi Kredi Bank below 32%
At the end of November 2019 UniCredit and Koç Group entered into a set of agreements related to certain shares transfers (as better described
below) and to the termination of the existing shareholders agreement related to Koç Finansal Hizmetleri A.S. (“KFS”), the Turkish joint venture
vehicle through which Koç Group and UniCredit have run a commercial banking operation in Turkey since 2002.
Specifically, as reported in the financial statements report (“Subsequent events”) the agreements signed meant that when the transaction was
concluded on 5 February 2020, the following were completed: (i) the disposal of the entire UniCredit’s 50% stake in“KFS” to the Koç Group, (ii) the
disposal of shares of Yapi ve Kredi Bankasi A.Ş. (“Yapi Kredi”) by KFS to UniCredit S.p.A and Koç Holding A.Ş., as a result of which UniCredit S.p.A
became a direct shareholder of Yapi Kredi with a stake equal to 31.93% of the share capital, and (iii) the termination of the shareholders agreement
related to KFS.
On the same date, UniCredit S.p.A completed the Accelerated BookBuilding offering for the disposal to institutional investors of the 11.93% of the
share capital of Yapi Kredi; following such transaction UniCredit S.p.A holds a direct stake in Yapi Kredi equal to 20% of the share capital, which is
accounted among the participations under significant influence.
Disposal of FinecoBank
Accelerated bookbuilding of 17% of FinecoBank and exit from UniCredit group
On 7 May 2019, UniCredit S.p.A. announced the launch of a placement of ordinary shares in FinecoBank S.p.A. representing 17% of the issued
share capital, compared to 35.3% held on the same date. On 8 May 2019 the successful completion of the transaction has been announced
following the placement to institutional investors of No.103.5 million of ordinary shares at a price of €9.80 per share. The price represented a
discount of 4.4% to the last pre-announcement closing price of FinecoBank S.p.A. Gross proceeds in favour of UniCredit S.p.A. amounted to €1,014
million.
Before the abovementioned announcement, on the same day, UniCredit S.p.A. and FinecoBank S.p.A. announced a series of actions and
procedures aimed at ensuring FinecoBank S.p.A. ability to operate independently in case of exit from the UniCredit group. In this context, the parties
have entered into a framework agreement concerning, inter alia:
financial guarantee contract granted by UniCredit S.p.A. in favour of FinecoBank S.p.A. in order to neutralise the credit risk exposure of
FinecoBank S.p.A. against UniCredit S.p.A.;
a contract that allows FinecoBank S.p.A. to use, free of charge, certain names and trademarks containing the term "Fineco”, owned by UniCredit
S.p.A., together with the provision of an American option in favour of FinecoBank S.p.A. for the acquisition of the brand;
a Master Service Agreement for the supply of certain services for a specific period of time by UniCredit group in favour of FinecoBank S.p.A.
Following the completion of the placement's settlement, on 10 May 2019 UniCredit S.p.A. informed that FinecoBank S.p.A. was no longer part of the
Group.
Accelerated bookbuilding of UniCredit’s residual stake in FinecoBank
On 8 July 2019, UniCredit S.p.A. announced the launch of a placement of the residual stake held in FinecoBank S.p.A., equal to 18.3% of the issued
share capital, that lead to the placement to institutional investors of No.111.6 million of ordinary shares at a price of €9.85 per share. The price
represented a discount of 4.4% to the last pre-announcement closing price of FinecoBank S.p.A. Gross proceeds in favour of UniCredit S.p.A.
amounted to €1,099 million.
690 2019 Annual Report and Accounts · UniCredit
Company financial statements | Report and resolutions
Board of Statutory Auditors’ Report
Exercise of the option for the purchase of the brand “Fineco” by FinecoBank
By exercising the option provided by the contract stipulated with UniCredit S.p.A., in November 2019 FinecoBank S.p.A. purchased the brand
“Fineco” at the price of €22.5 million. The change of ownership at the relevant trademark offices, where the brand “Fineco” is registered, is in
progress.
Accelerated bookbuilding of 8,4% of Mediobanca
On 6 November 2019, UniCredit S.p.A. announced the launch of a placement of its total stake held in Mediobanca - Banca di Credito Finanziario
S.p.A., for an amount equal to 8.4% of the issued share capital. On the same day, the successful completion of the transaction has been
announced, following the placement to institutional investors of No.74.5 million of ordinary shares at a price of €10.53 per share. The price
represented a discount of 2.3% to the last pre-announcement closing price of Mediobanca. Gross proceeds of the placement amounted to €785
million.
Disposal of Ocean Breeze, German offshore wind farm
In December 2019, UniCredit S.p.A. sold Ocean Breeze Energy GmbH & Co. KG (“Ocean Breeze”), held through UniCredit Bank AG, to Macquarie
Infrastructure and Real Assets Ocean Breeze is the owner and operator of the 400MW offshore wind farm BARD Offshore 1, the first operative
offshore wind farm in the German North Sea.
Foundation of UniCredit Leased Asset Management S.p.A.
Within the goal of accelerating the rundown of the Non Core portfolio by 2021, in April 2019 UniCredit Leased Asset Management S.p.A., a company
entirely owned by UniCredit Leasing S.p.A., was set up to optimise the property management returned to UniCredit Leasing and preserve the value
of the real estate guarantees underlying loans to Group customers, through auction activity intervention, in order to allow a better valuation and a
more efficient placement of the property on the market.
The new company, whose target is on real estate assets from business activities, became operative after the spin-off of the Leased Asset
Management branch division and the previously repossessed property of UniCredit Leasing.
Reorganisation of the activities carried out by UniCredit Services S.C.p.A.
In February 2019 UniCredit approved the reorganisation project of the activities carried out by its subsidiary UniCredit Services S.C.p.A. through the
transfer to UniCredit S.p.A. of the Italian activities related to “operations” and “real estate” business today carried out by UniCredit Services in Italy
for the benefit of Italian customers.
The transfer of the activities is expected to generate benefits in terms of synergies and simplification of procedures and/or complexities reduction
and governance enhancement, also through a clearer accountability and budgeting process.
The reorganisation project, which obtained the European Central Bank authorisation in April 2019, took place through a partial non-proportional and
asymmetric demerger of UniCredit Services in favor of UniCredit; in July 2019 the aforementioned demerger was approved by the extraordinary
shareholders' meeting of UniCredit Services and by the Board of Directors of UniCredit, according to the provisions of Article 2505-bis of the Italian
Civil Code; the project was completed on September 1st, 2019.
In relation to the aforementioned transactions, the Board of Statutory Auditors has examined the strategic reasons, rationales, economic effects and
accounting profiles, with the relevant Functions, and based on the information available, it can reasonably confirm that the transactions themselves
comply with the law and the Bank's Articles of Association and are not manifestly imprudent, risky, contrary to the resolutions of the Shareholders'
Meeting, or such as to compromise the integrity of the corporate assets.
3. Other information on Group activities
Team 23 - UniCredit 2020-2023 Strategic Plan
The new Strategic Plan Team 23,(hereinafter also referred to as the “Team 23 Plan”, “The Plan”), approved by the UniCredit S.p.A. Board of
Directors on 2 December 2019, and subsequently presented to the financial community, is based on four pillars:
1. Grow and strenghten client franchise. Examples of initiatives underway include: (i) building on UniCredit’s position as the “go-to” bank for
European SMEs, thanks to local presence in its markets, a single group-wide service model across the Group’s unique pan European network,
and the full range of corporate products and services delivered by a fully plugged-in CIB; ii) redesigning the product and service offering for
individuals through enhancements to the service and distribution models, including a continued migration of transactions towards direct channels;
iii) fully exploiting the CEE leadership position and economic potential with a strengthened commercial strategy, driven by a clear customer focus
and leveraging on the enhanced digital processes and international franchise; iv) delivering the fully plugged-in CIB’s complete product offering to
all customers across the Group’s pan European network including SMEs, Corporates, Private Banking, Wealth Management and Financial
Institutions.
2. Transform and maximise productivity. Through this continuous transformation and simplification of processes, the Group will achieve three key
objectives: i) enhanced customer experience; ii) improved productivity across the value chain; iii) reduced operational risks.
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Board of Statutory Auditors’ Report
3. Disciplined risk management & controls. A strict focus on credit risk and asset quality remains a strategic goal of Team 23. The Group will
maintain its discipline in origination, targeting the best rated clients. The monitoring and management of credit risk will be further strengthened
through the use of new technologies and data sources. Automatic risk approval will be used for selected segments and products using enhanced
data analytics during the pre-evaluation phase. The bank will continue to manage NPEs proactively to optimise value and capital.
4. Capital and balance sheet management. The initiatives cover the commitment to deliver enhanced capital returns for investors through a
combination of capital distribution (dividends, share buybacks) as well as by growing tangible equity, including (i) proactive capital allocation, (ii)
gradual alignment of domestic sovereign bond portfolios and evolution of Group structure. When presenting the Team 23 Plan, the Management
explained that, in order to optimise its MREL (Minimum Requirement for own funds and Eligible Liabilities) requirement in the medium term,
UniCredit will continue working on a project to create a subholding, based in Italy but not listed, for UniCredit Bank AG, UniCredit Bank Austria AG
and the legal entities of the CEE banks, where UniCredit S.p.A. would remain the operating holding, and the resolution strategy would remain
Single Point of Entry, which is the basis for the multi-year funding plan. At present, no decisions have been submitted to the Board of Directors in
relation to the aforementioned project. The Board of Statutory Auditors has requested to be updated on any developments, with particular
reference to the profiles associated to the new corporate structure and governance.
4. Atypical or unusual transactions
The financial statements, the information received during the meetings of the Board of Directors and the information received from the Chairman and
the CEO, the Management, the Head of Internal Audit, the direct subsidiaries’ Boards of Statutory Auditors, and the External Auditor revealed no
atypical or unusual transactions, carried out with third parties, related parties or intragroup.
5. Related-party transactions
Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA”
The Board of Directors, by resolution dated February 6th, 2019, after consulting the Related Parties Committee and the Board of Statutory Auditors,
approved the updated version of the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA” for
the management of transactions with parties in conflict of interest, pursuant to Consob Regulation 17221/2010, Banca d’Italia Circular 285/2013 and
Art.136 of Italian Legislative Decree 385/1993.
The aforementioned Global Policy foresees the definition of the periodic changes to Global Policy itself, within the first quarter following the end of
the calendar year, taking into account, inter alia, the effectiveness shown by the same in practice and any changes in the reference regulations.
However, in view of the forthcoming review by CONSOB of the “Regulation on related-party transactions”, following the consultation started by the
Supervisory Authority on 31 October 2019, the review has therefore been postponed after the publication of the CONSOB Regulations, in order to
take into account the impact that the new regulations will have on internal procedures.
The financial statements report contains information relating to related-party transactions, together with the related certifications (pursuant to Art.5 of
the Consob Regulation No.17221/2010 containing the provisions on related-party transactions adopted by resolution No.17221/2010 and
subsequent amendments ruled “Public information on related-party transactions”). In particular, it should be noted that:
according to the Global Policy “Transactions with related parties, associated persons and Corporate Officers ex Art.136 CBA” adopted by the
Board of Directors of UniCredit S.p.A. on 6 February 2019, and published on the website www.unicreditgroup.eu, during 2019 the Bank’s Presidio
Unico received no reports of transactions of greater importance ended in the period;
during 2019, no transactions with related parties as defined by article 2427, paragraph 22-bis of the Civil Code were conducted, under different
conditions from normal market conditions and materially affecting the Group’s financial and economic situation;
during 2019, there were no changes or developments in the individual transactions with related parties already described in the latest annual
report that had a material effect on the Group’s financial position or results during the reference period.
6. Oversight of the external audit activity
Directive 2014/56/EU Art.28 amended Directive 2006/43/EC concerning external audit and was transposed in Italy with Legislative Decree
No.135/2016, which updated Italian Legislative Decree No.39/2010. Regulation (EU) 537/2014 of 16 April 2014, Art.10 (hereafter also the
“Regulation”) defines the specific requirements of the audit report for public interest entities.
The Financial Statements of UniCredit S.p.A, of the Company and the Consolidated Financial Statements as at 31 December 2019, are audited by
the External Auditors Deloitte & Touche S.p.A. pursuant to Legislative Decree No.39 of 27 January 2010, and in execution of the Shareholders’
resolution of 11 May 2012. The financial statements of the other Group companies are audited by Deloitte & Touche S.p.A. itself, or by other
companies in the Deloitte & Touche network.
Pursuant to Art.19 of Italian Legislative Decree No.135/2016, during the course of 2019 and up to the date of this Report to the Shareholders, the
Board of Statutory Auditors carried out an in-depth monitoring process during all the activity carried out by the External Auditors.
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Board of Statutory Auditors’ Report
The BoSA scheduled a series of specific meetings during the various phases of the audit, during which it examined, inter alia:
the 2019 Transparency Report (independent auditing policies and procedures and internal quality control system (practice review);
the resources and hours budgeted for the 2019 external audit;
the scope of work, materiality and significant risks 2019;
the 2019 Audit Plan;
the 2019 Group Audit timetable.
The Board of Statutory Auditors analysed the methodology adopted by the External Auditors and acquired the necessary information during the task,
with constant interaction on the audit approach used for the various significant areas of the financial statements, sharing the issues related to
corporate risks, as well as receiving updates on the progress of the audit and on the main aspects examined by the External Auditors.
In November 2019, the Board of Statutory Auditors met in two separate sessions with the Partners of the Deloitte network in charge of the audits
of UniCredit Bank AG, UniCredit Bank Austria AG, AO UniCredit Bank and of the Companies belonging to CEE (Central Eastern Europe), as well as
Cordusio SIM, Cordusio Fiduciaria, UniCredit Factoring, UniCredit Leasing SpA, UniCredit Services S.C.p.A., for the usual annual update on the
scenario developments in the various countries and on the main results of the respective audit activities.
The Board of Statutory Auditors reviewed the following reports of the External Auditors Deloitte & Touche S.p.A., whose activity supplements the
general framework of the control Functions required by the regulations in regard to financial information process:
the auditing reports issued on 10 March 2020, pursuant to Art.14 of Italian Legislative Decree 39/2010 and Art.10 of Regulation (EU) No.537/2014;
the supplemental report issued on 10 March 2020, pursuant to article 11 of the aforementioned Regulation, to the Board of Statutory Auditors in its
capacity as internal control and auditing committee;
the annual confirmation of independence, issued on 10 March 2020, pursuant to Art.6 par.2) subpar. a) of the Regulation and pursuant to
paragraph 17 of ISA Italia 260.
The aforementioned reports on the audit of the Company financial statements and the consolidated financial statements of the Group highlight that
they both provide a truthful and correct representation of the equity and financial situation of UniCredit S.p.A. and of the UniCredit group at 31
December 2019, of the economic performance and cash flow for the year ended on that date, in accordance with the International Financial
Reporting Standards adopted by the European Union as well as the provisions issued in implementation of Art.9 of Italian Legislative Decree
No.38/05 and of Art.43 of Italian Legislative Decree No.136/15.
Furthermore, in the opinion of the External Auditors, the Management Report and some specific information contained in the Report on Corporate
Governance and Ownership Structure indicated in Art.123-bis, paragraph 4, of Italian Legislative Decree No.58/98 (TUF) are consistent with the
financial statements of UniCredit S.p.A. and with the consolidated financial statements of the UniCredit group at 31 December 2019, and are
prepared in accordance with the law. With reference to the possible identification of significant errors in the Management Report (Article 14,
paragraph 2, subpar. e) of Italian Legislative Decree No.39/2010), the External Auditors declared that there was nothing to report.
The reports on the auditing of the financial statements and the consolidated financial statements show the key matters that, according to the
professional opinion of the External Auditors, were more significant in the accounting audit of the Company and consolidated financial statements for
the year under review [ISA (Italy) 701]:
the change in the evaluation criterion of tangible assets: properties used in business (IAS16) and properties held for investment (IAS40);
the risk of uncorrected classification and valuation of performing customers loans;
the risk of uncorrected classification and valuation of non-performing loans (unlikely to pay and bad loans);
Prisma Transaction: accounting derecognition of a portfolio of non-performing loans following transfer through securitisation.
With regard to the aforementioned key matters, for which the External Auditors’ reports illustrate the related audit procedures adopted, the External
Auditors do not express a separate opinion, as the same have been dealt within the audit, and in the assessment of the financial statements as a
whole. The aforementioned key matters have been the subject of detailed analysis and updating during the periodic meetings that the Board of
Statutory Auditors held with the External Auditors.
The Board of Statutory Auditors met regularly with the Auditing Company as required by Art.150, paragraph 3, of Italian Legislative Decree 58/1998
(TUF) for a mutual exchange of information. It informed the Board of Statutory Auditors that there were no censurable actions or facts or
irregularities which would have required specific reporting under Art.155, paragraph 2, of Italian Legislative Decree 58/1998 (TUF).
In light of the foregoing, the Board of Statutory Auditors deems the process of interaction with the the External Auditors to be adequate and
transparent. It also believes that the improvement of the “two-way dialogue” between the External Auditors and the Bodies responsible for
governance on the areas of financial statements risk and on the procedures identified to oversee them further supported the role and responsibility
of the parties involved in the preparation of the financial statements and in the auditing activities.
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7. Oversight on the independence of the External Auditors
During the 2019 financial year, pursuant to Art.19 of Italian Legislative Decree 39/2010, the Board of Statutory Auditors verified and monitored the
independence of the External Auditors Deloitte & Touche S.p.A., pursuant to articles 10, 10-bis, 10-ter, 10-quater and 17 of the aforementioned
decree and article 6 of the Regulation, in particular with regard to the adequacy of the provision of services other than auditing to the audited entity.
Furthermore, as previously stated (see previous paragraph), the Board of Statutory Auditors received by Deloitte & Touche the declaration
confirming its independence from UniCredit S.p.A.
Since January 2017, with regard to the correct application of EU Regulation No.537/2014, the Bank has sent operating instructions to all the
companies of the UniCredit group so that they may submit each individual non-audit assignment for the assessment and approval of the Control
Body of each Group company (Board of Statutory Auditors, Audit Committee or equivalent Body), and subsequently to the UniCredit S.p.A. Board of
Statutory Auditors to issue its final binding opinion. The Board of Statutory Auditors also took note of the information concerning non-audit services
prepared through a preventive and four-monthly flow by the competent Function. Therefore, pursuant to this process, all the companies of the
UniCredit group contributed to the transmission of the data requested and required by internal regulations, in order to enable the timely monitoring of
the costs of the services provided to the External Auditors and by all entities belonging to the Deloitte network.
Following the renewal of the Board of Statutory Auditors in 2019, the Control Body, together with the Bank’s competent Functions, carried out a
review of the existing internal regulations, Global Operational Regulation (GOR), called “Principles and rules for the management of contractual
relations with the Group's External Auditors”. It was issued in March 2018, and addressed to all the Group’s subsidiaries, prompting specifically the
introduction of wider restrictions than those foreseen by the regulations concerning the identification of the non-audit services number that can be
assigned to the Group’s External Auditors network. At the date of this Report, the review of the internal regulations is close to be published.
On the basis of the final data for 2019, the services provided by the Group’s External Auditors amount to approximately €33,9 million, of which €5
million refer to non-audit services.
The ratio between the cost of non-audit services and the three-year average of audit services (2016-2017-2018) amounted to 31% for 2019, at
consolidated level, lower than the 70% limit established by internal regulations and applicable external regulations (“fee cap”). On the other hand,
with regard to the non-audit services planning for 2020, the Deloitte network will be assigned services with a value of approximately €7.5 million, with
a forecast fee cap of 35% at consolidated level.
With reference to the information concerning the Parent company, provided in the statement relating to the “Publication of the remuneration -
UniCredit S.p.A. - 2019 financial year - Deloitte network”, the Board of Statutory Auditors notes that, compared to the previous year, the costs of the
services assigned to the External Auditors increased, net of inflation, by €250,000 in consideration of the supplemental fees requested by the
External Auditors following the change in the valuation criteria of tangible assets held both for business and investment purposes, while the costs of
certification services, amounting to €2,318,000 increased compared to the previous year by 16%. The costs of non-audit services, amounting to
€994,000 increased compared to the previous year by 18%.
At the Group level, the costs of non-audit services assigned to the External Auditors decreased by 8% compared to 2018.
8. Oversight of the financial information process
For the purposes of overseeing the financial reporting processes, the Board of Statutory Auditors, in addition to the aforementioned in-depth analysis
carried out with the External Auditors, which did not reveal significant critical issues of the internal control system concerning the financial reporting
process, carried out the planned and periodic meetings with the Manager in charge of preparing the Financial Statements and the competent
Accounting and Group Risk Management structures.
The administrative and accounting procedures for drafting the Company and consolidated financial statements and all other financial information
were set up under the responsibility of the Manager in charge of preparing the Financial Statements who, together with the CEO, attests that they
are adequate and actually applied.
During the above mentioned periodic meetings, the Manager in charge of preparing the Financial Statements did not report any significant
shortcomings in the operating and control processes that could undermine the adequacy and actual application of the administrative and accounting
procedures, in order to correctly represent the economic, asset and financial aspects of the accounting events in compliance with international
accounting standards.
The Manager in charge of preparing the Financial Statements and the Chief Executive Officer signed the statements relating to the individual and
consolidated financial statements at 31 December 2019, pursuant to Art.81-ter of the Issuer Regulation, approved by Consob with Resolution
11971/1999 as amended and supplemented.
The Board of Statutory Auditors took note of the updates that have occurred in the internal regulations concerning the internal control system
applicable to Financial Reporting and the Manual on Group accounting rules and principles, most recently approved by the Board of Directors at its
meeting of 5 March 2020.
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The Board of Statutory Auditors also therefore acknowledged the “Report on the status of the internal control system on the Financial
Reporting - Management Report” with regard to the certification campaign pursuant to the Law 262/05 of the consolidated and individual financial
statements at 31 December 2019, issued on 5 February 2020.
In light of the information received and of the analyses carried out, as also described below, the Board of Statutory Auditors deems the overall
administrative accounting system to be adequate in regards to the current regulations.
Compared to a total of 482 companies wholly consolidated, on the basis of the criteria defined in the aforementioned internal regulations, and 47
companies consolidated using the equity method as at 31 December 2019, the companies subject to certification for the 262 campaign amount to 61
and cover 98.1% of the Group Total Aggregated Assets (“GTAA”).
The certification campaign as at 31 December 2019, which for UniCredit S.p.A. involved No.477 processes that undergo No.2.003 checks, and
No.2,180 processes relating to the other Group companies on which there were a total of No.7,484 checks, ended with the issuance of all the so-
called “internal certifications” to the Manager in charge of preparing the Financial Statements of UniCredit S.p.A. by the counterparties of the
relevant companies subjected to the campaign.
With reference to the points of attention that emerged for UniCredit S.p.A., the Board of Statutory Auditors has recommended the finalization of the
implementation of the new IT platform for the management of mortgage guarantees "PRZ Revolution”.
Regarding the areas of improvement identified by the certification campaign, which are mainly related to i) the existence of substantial manual
procedures that characterize part of the operations of Functions directly involved in the preparation of Company and consolidated financial
statements/reports, ii) the supply of automated reports/procedures to improve the production and control activities carried out manually, (iii)
identification of structures, owner of controls in some areas of activity, the BoSA will continue to monitor the complete addressing of the related
remedial actions (Group Remediation Plan), in order to gradually reduce the use of compensatory actions, which are often manual and operationally
burdensome, and which can increase the related operational risk.
The Board of Statutory Auditors has taken note of the procedures carried out by the External Auditors requested by the Bank (“Agreed upon
procedures”) as suggested by the Board of Statutory Auditors, regarding the production of the disclosure made with reference to 31 December 2019,
by UniCredit S.p.A. in the Information Document of the UniCredit group drawn up pursuant to Regulation (EU) No.575/2013 (“Pillar III”), in relation
to: (i) the processes and their first and second-level controls for: (a) the determination of the Own Funds and Banking Regulatory Ratios; (b) the
determination of Risk Weighted Assets; (c) the production of the disclosure made in Pillar III; (ii) verifying the composition, the correct determination
and the arithmetic correctness of certain information provided in Pillar III; (iii) the trend and consistency analysis of the Own Funds, Banking
Regulatory Ratios and Risk Weighted Assets.
The Board of Statutory Auditors believes that the above-described activity makes it possible to consider the internal regulatory framework adequate
and updated, the design of the procedures and the control processes implemented sufficiently formalized and comprehensible, and the planned
control activities (both first and second level) actually implemented and effective. It also contributes to the growth of the internal culture regarding the
analysis of the phenomena underlying the formation of the Own Funds, as well as an ever greater transparency towards the markets.
With regard to the activities related to the strengthening of the governance of data and information (Data Quality), as well as the strongest
safeguards serving the decision-making and risk-control processes, a topic on which the Board of Statutory Auditors has always paid significant
attention over time, during 2019 updates have been carried out with the relevant Functions for the start of a new multi-year strategic initiative called
Umbrella Program, led by the GRM, CFO and COO Functions, with the aim of data quality/architecture/aggregation/reporting initiatives, in order to
increase the accuracy of the Group's data and the relative flexibility in data aggregation, in order to be able to deal with new or ad hoc regulatory
requirements, also in the context of scenarios characterized by stress, also taking into account the Supervisory Review and Evaluation Process
(SREP) recommendations of the Supervisor.
The Umbrella Program was presented to ECB’s Joint Supervisor Team (“JST”) during the year.
Keeping in mind the overall capacity to produce reporting quickly and comprehensively, the Board of Statutory Auditors considers it important, as per
the approach adopted by the Bank, that each architectural investment aimed at strengthening the data aggregation capacity or speed is included in
the Umbrella Program in order to synergistically harmonize the strengthening initiatives and the projects that involve data quality. In addition, the
Board of Statutory Auditors highlighted the importance of accurate program governance and related accountability, as well as adequate structuring
in terms of assigned resources, receiving assurances in this regard. The Board of Statutory Auditors will therefore continue to monitor the planned
releases with a strong focus on the identified benefits (increase in the accuracy, flexibility and adaptability of the data).
Change in the evaluation criterion of the Group’s real estate portfolio
As detailed in the financial statements report, the UniCredit group, also following the several business combinations, holds a significant real estate
portfolio including land and buildings (4,250 items) whose book value as at 30 June 2019 amounted to €5,199 million of which €3,055 million for
assets used in business (IAS16) and €2,144 million for assets held for investment (IAS40).
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In the last years, and following a constantly changing market scenario, the Group has launched a series of initiatives to enhance such this real
estate assets through actions which constitute now an integral part of those contained in the Team 23 Plan.
With reference to the properties used in business, these initiatives are aimed at a continuous enhancement of these properties through an “active
management” of the portfolio even beyond the time horizon of Team 23 Plan, according to a corporate strategy mainly oriented to typical commercial
banking activities, including also the possibility of disposal in case of suitable conditions. These initiatives are influenced by the strategic choices
included in the Plan, e.g.:
flexible working;
rationalisation of the spaces of the headquarters structures present in the major cities, to be carried out through the progressive merging into
management centers with shared workstations;
digitalisation and progressive focus on remote marketing channels;
further transformation of the “physical” branches;
rationalisation of labor costs also connected to the automation of business processes which lead to a progressive reduction of the occupied areas
and the subsequent sale of the vacated spaces.
With reference to properties held for investment, a gradual disposal of the properties in the portfolio is expected by 2025.
Based on the above, in order to correctly reflect the effects of these initiatives in the financial statements, for the purposes of preparing the financial
statements at 31 December 2019, the Group has decided to change, compared to the financial statements of previous year, the evaluation criterion
of the Group’s real estate portfolio, in particular:
for the properties used in business (ruled by IAS16 “Property, plant and machinery”) providing for the transition from the cost model to the
revaluation model for the measurement subsequent to initial recognition;
for the properties held for investment (ruled by IAS40 "Investment property") providing for the transition from the cost model to the fair value
model.
This decision was made by the UniCredit S.p.A. Board of Directors on the Management’s proposal during the meeting held on 2 December 2019.
The Board of Statutory Auditors, together with the relevant Functions structures and the External Auditors, carefully examined the change in the
valuation criteria in question and the related impacts, including the effects in the CET1 (+58pb), considering the approach taken by the Bank
compliant with the accounting standards, specifically consistent with the new Team 23 Plan and the managerial strategies adopted. The related
disclosure in the financial statements appears adequate.
The Board of Statutory Auditors also focused on the possible volatility risk as well as on the increase in the so-called real estate risk, resulting from
the change in the valuation criterion of properties at current values, noting the sensitivity analysis carried out with regard to the increase/decrease in
the values of the real estate markets. Furthermore, on the basis of the CRR (EU Capital Requirements Regulation) provisions on the subject, it
recommended, to the attention of the Management, the requirements, control systems, risk analysis and measurement, organizational structures,
documentation and specific models necessary, with reference to the situation in question.
Deferred Tax Assets for the carry-forward of unused tax losses - DTA TLCF
The Bank has updated the calculation method applied to the sustainability test of deferred tax assets from tax losses carried forward with reference
to the perimeter of the Italian tax consolidation, of which detailed information is provided in the financial statements report.
As explained, starting from financial year 2019, the sustainability test for both IRES and IRAP has been developed on a 10 years-time length (from
2020 to 2029) lengthening the forecast interval compared to the 5-year period used in previous years, since it is considered more appropriate based
on the following considerations:
the implementation of 2019 Transform Plan, completed in line with expectations, through which UniCredit has demonstrated its forward-looking
ability, also confirming the underlying assumption of the sustainability of positive long-term results,
the approval of new Team 23 Plan, which including, among others, non-recurring elements such as the updating of the rundown strategy of the
Non Core portfolio by 2021, as well as the completion of the operational reorganization (including extraordinary operations already carried out or
planned in the plan horizon), allows to assume the stability of future operating results, and the definition of a context of greater reliability of
forecasts.
The lengthening of the time period also includes periods subsequent to the official forecasts contained in the Strategic Plan Team 23 (MYP), that is,
beyond the period 2020-2023. Therefore in order to mitigate the effects of the uncertainty inherent the adoption of an approach based also on
estimates beyond the plan horizon, it has been adopted a model incorporating a probabilistic component, in particular, in line with ESMA
recommendation issued on 15 July 2019, the new sustainability test for the determination of future taxable incomes envisages:
a deterministic approach for the years for which official projections are available (i.e. the period 2020-2023)
a statistical approach for the years beyond official projections (2024-2029); this approach is based on the statistical generation of multiple
scenarios that lead to generating projections of future taxable income in the test time horizon. As far as possible, objective criteria and realistic
assumptions have been adopted to define the values of this projection, such as: (i) long-term annual growth rate set at 2%, which incorporates an
assumption of growth at 0% in real terms, as 2% represents the target rate of price stability; (ii) nominal future growth rate with 4% cap applied to
pre-tax profit for projections beyond the deterministic period, which leads to consistency with the long-term annual growth rate of 2%.
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Furthermore, in line with IAS12, as well as taking into consideration the ESMA document No.20167410, a confidence interval has been selected
which reflects a probability greater than 50% in relation to the expected tax incomes.
The Board of Statutory Auditors took note of the rationale underlying the aforementioned update, carrying out several in-depth analyses with the
competent structures and the External Auditors, and has deemed the approach adopted by the Bank to be in compliance with the accounting
principles, consistent with the new Team 23 Plan, as well as the managerial strategies adopted, and adequate the related disclosure in the financial
statements; lastly, it recommended that Management should pay constant attention to measuring compliance with the Team 23 Plan, and the
consequent effectiveness of the assumptions made in the detection of the DTA TL CF.
The Board of Statutory Auditors has noted the results of the analyses carried out with regard to the impairment of intangible assets. Specifically, as
at 31 December 2019, UniCredit Services S.C.p.A. and its subsidiary UniCredit Services GmbH booked write-downs an overall amount of €195
million on intangible assets, referred: (i) for €187 million to intangible assets produced internally; (ii) for €8 million to the review of the useful life of
some assets.
With the Team 23 Plan approval and the new ICT strategies, UniCredit Services S.C.p.A. and its subsidiary assessed the existence of a significant
impact on landscape of banking business applications, as well as and on ICT Platforms technology. Consequently, the companies executed an
extraordinary impairment test campaign on self-created software, in order to verify the existence of benefits associated to the assets in production
from some years; as a result, the afore mentioned write-backs were recognised, especially with reference to projects started before 2016 and ICT
applications and platforms which turned into obsolescence.
The financial statement report contains detailed information on any liabilities and costs that may arise from pending legal proceedings.
The Board of Statutory Auditors, together with the relevant Functions of the Bank, has examined in detail the methodology and process adopted in
the analysis of litigation, and in the analysis and assessment of provisions for risks and charges, and has requested to be periodically and
promptly updated on the evolution of the main situations.
In particular, the financial statements report provide information on developments in the investigations started by the US authorities, on the
compliance with the regulations on the financial sanctions imposed by U.S. laws, by UCB AG, UCB Austria and UniCredit S.p.A.
The parent company UniCredit S.p.A., and the other Companies have each cooperated extensively with the U.S. and New York authorities,
including conducting their own voluntary investigation of their U.S. dollar payments practices and its historical compliance with applicable U.S.
financial sanctions, in the course of which certain historical non-transparent practices were identified. Even before the conclusion of these
investigations, the Group initiated substantial and substantive remediation activities relating to policies and procedures, which are ongoing.
On 15 April 2019, the parent company UniCredit S.p.A., UniCredit Bank AG, and UniCredit Bank Austria AG reached a resolution with the U.S. and
New York authorities regarding these investigations. As part of such resolution, the parent company UniCredit S.p.A., UniCredit Bank AG, and
UniCredit Bank Austria AG entities have paid penalties totalling approximately $1.3 billion and have agreed to implement certain remedial policies
and procedures. The amount paid by the respective entities was entirely covered by their provisions, and the final penalty amount has not had a
material impact on UniCredit group. No further enforcement actions are expected relating to the subject of the resolved investigation.
As part of the settlements with the U.S. and New York authorities (DANY, OFAC, DOJ, DFS and Fed), UniCredit S.p.A., UniCredit Bank AG, and
UniCredit Bank Austria AG made certain commitments to implement remedial compliance controls and conduct risk assessments relating to
UniCredit group’s global business lines, to provide periodic reports and certifications concerning the implementation and effectiveness of the group’s
compliance program to the U.S. and New York authorities, and to engage an independent external party to conduct an annual review of the
effectiveness of the group’s compliance program whose findings will be shared with the U.S. and New York authorities.
The Notes to the consolidated accounts also update on the proceedings relating to:
Squeeze-Out of UCB AG and UCB Austria’s former minority shareholders (Appraisal Proceeding). In 2008, approximately 300 former minority
shareholders of UCB AG filed a request before the District Court of Munich to have a review of the price paid to them by the parent company
UniCredit S.p.A., equal to €38.26 per share, in the context of the squeeze out of minority shareholders (Appraisal Proceeding). The dispute mainly
concerns the valuation of UCB AG, which is the basis for the calculation of the price to be paid to the former minority shareholders. At present the
proceeding is pending in the first instance. With reference to UCB Austria, 2008, approximately 70 former minority shareholders of UCB Austria
commenced proceedings before the Commercial Court of Vienna claiming that the squeeze-out price paid to them, equal to €129.4 per share, was
inadequate, and asking the court to review the adequacy of the amount paid (Appraisal Proceeding). At present the proceeding is pending in the
first instance.
Euro-denominated bonds issued by EU Countries. On 31 January 2019, the parent company UniCredit S.p.A. and UCB AG received a
Statement of Objections from the European Commission referring to the investigation by the European Commission of a suspected violation of
antitrust rules in relation to European government bonds. The subject matter of the investigation extends to certain periods from 2007 to 2012, and
includes alleged activities by UCB AG in a part of this period. The “Statement of Objections” does not prejudge the outcome of the proceeding;
should the European Commission conclude that there is sufficient evidence of an infringement, a decision prohibiting the conduct and imposing a
fine could be adopted, with any fine subject to a statutory maximum of 10% of the company’s annual worldwide turnover. The parent company
UniCredit S.p.A. and UCB AG had access to the entirety of the European Commission’s file on the investigation from 15 February 2019, onwards.
As a result of the assessment of the files, the parent company UniCredit S.p.A. and UCB AG regard it no longer remote but possible, even though
not likely, that a cash outflow might be required to fulfil a potential fine arising from the outcome of the investigation. On the basis of the current
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information, it is not possible to estimate reliably the amount of any potential fine at the present date. The parent company UniCredit S.p.A. and
UCB AG have responded to the raised objections on 29 April 2019, and participated in a hearing before the European Commission on 22-24
October 2019. Proceedings are ongoing. There is no legal deadline for the European Commission to complete antitrust inquiries.
On 11 June 2019, UCB and UniCredit Capital Markets LLC were named, among other financial institutions, as defendants in a putative class
action already pending in the United States District Court for the Southern District of New York. The third amended class action complaint, filed on
3 December 2019, alleges a conspiracy among dealers of Euro-denominated bonds issued by European central banks to fix and manipulate the
prices of those bonds, among other things by widening the bid-ask spreads they quoted to customers. The putative class consists of those who
purchased or sold Euro-denominated bonds issued by European central banks in the US between 2007 and 2012. The third amended class action
complaint does not include a quantification of damages claimed. The proceedings are in their inception. “Motions to dismiss”, a procedural device
contemplated by the United States Federal Rules of Civil Procedure which provides defendants with an opportunity to challenge the legal
sufficiency of a complaint and present arguments that the complaint should be dismissed, will likely be fully briefed before the end of the second
quarter of 2020 and will likely include the argument that the complaint fails to state a claim.
In the financial statements report, the Directors inform about the proceedings related to certain forms of banking transactions with customers that do
not specifically concern the UniCredit group, but involve the financial system as a whole.
The proceedings pertaining to compound interest mainly involve damages requests from clients arising from the alleged unlawfulness of the
calculation methods of the amount of interest payable in connection with certain banking contracts. Starting from the early years 2000, there has
been a progressive increase in claims brought by the account holders due to the unwinding of the interest payable arisen from the quarterly
compound interest. In 2019, the number of claims for refunds/compensation for compound interest did not show particular variations compared to
2018. At present, UniCredit S.p.A. has made provisions that it deems appropriate for the risks associated with these claims.
With regard to the litigation connected to derivative products, the Directors report that several financial institutions, including UniCredit group
companies, entered into a number of derivative contracts, both with institutional and non-institutional investors. In Germany and in Italy there are a
number of pending proceedings against certain Group companies that relate to derivative contracts concluded by both institutional and non-
institutional investors. The filing of such litigations affects the financial sector generally and is not specific to the parent company UniCredit S.p.A.
and its Group companies. At present, the parent company UniCredit S.p.A. and the involved Group companies have made provisions deemed
appropriate based on the best estimate of the impact which might derive from such proceedings.
With respect to proceedings relating to foreign currency loans, in the last decade, a significant number of customers in the Central and Eastern
Europe area took out loans and mortgages denominated in a foreign currency (“FX”). In a number of instances customers, or consumer associations
acting on their behalf, have sought to renegotiate the terms of such FX loans and mortgages, including the possibility that the principal and
associated interest payments related to the loan redenominated in the local currency at the time that the loan was taken out, and floating rates
retrospectively changed to fixed rates.
In addition, in a number of countries legislation that impacts FX loans was proposed or implemented. These developments resulted in litigation
against subsidiaries of the parent company UniCredit S.p.A. in a number of CEE countries including Croatia, Slovenia and Serbia.
In 2019 the Supreme Court in Croatia confirmed that the Swiss franc (CHF) currency clause was invalid. In the course of 2019, court decisions,
recent court practice related to FX matter along with the expiration of the statute of limitation for filing individual lawsuits in respect to invalidity of the
interest rate clause, led to a significant increase in number of new lawsuits against Zagrebačka Banka (“Zaba”). There are several court decisions
pending before the Croatian courts which may have an adverse impact. Provisions have been booked which are deemed appropriate.
Within the diversification of investments to which the available assets are addressed and also considering in this context those investments with the
characteristics of the so-called “safe haven” with a long-term horizon, several UniCredit S.p.A.’s customers have historically invested in diamonds
through a specialised intermediary company, with which the Bank has stipulated, since 1998, a collaboration agreement as “Introducer”, in order to
regulate the “reporting” methods of the offer of diamonds by the same company to UniCredit customers.
As reported in the financial statement report, since the end of 2016, the liquidity available on the market to meet the requests of customers who
intended to divest their diamond assets has contracted to a certain extent until it became nil, with the suspension of the service by the brokerage
company.
Already starting from 2017 UniCredit S.p.A. started a “customer care” initiative which envisaged the availability of the Bank to intervene for the
acknowledgement towards the customer of the original cost incurred for the purchase of precious items and the consequent withdrawal of the
stones, upon certain conditions.
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The initiative has been adopted assessing the absence of responsibility for its role as “Introducer”; nevertheless, the AGCM (Italian Competition and
Market Authority) ascertained UniCredit’s responsibility for unfair commercial practice (confirmed in appeal by the Administrative Regional Court in
the second half of 2018), imposing, in 2017, a fine of €4 million paid in the same year. UniCredit has filed an appeal against this decision to the
Council of State and the proceedings are pending.
On 8 March 2018, a specific communication was issued from Banca d’Italia concerning the “Related activities exercisable by banks”, in which large
attention was given to the reporting at the bank branches of operations, purchase and sale of diamonds by specialised third-party companies.
As at 31 December 2019, UniCredit S.p.A:
received reimbursement requests for a total amount of about €387 million (cost originally incurred by the Clients) from No.11,313 Customers;
according to a preliminary analysis, such requests fulfill the requirements envisaged by the “customer care” initiative; the finalisation of the
reimbursement requests is currently carried out, aimed at assessing their effective compliance with the “customer care” initiative, and then proceed
with the settlement where conditions recur;
with reference to the scope outlined in the previous point (€387million), reimbursed No.6,942 customers for about €257 million (equivalent value of
original purchases), equal to about 66% of the reimbursement requests said above.
In order to cope with the probable risks of loss related to the repurchases of diamonds, a dedicated Risk and Charges Fund was set up; its
quantification was also based on the outcome of an independent study (commissioned to a primary third company) aiming at evaluating the
diamonds’ value.
Finally, the gems purchased are recognised for about €69 million in item ”130. Other assets” of the balance sheet.
On 19 February 2019, the judge in charge of the preliminary investigation at the Court of Milan issued an interim seizure directed to UniCredit and
other financial institutions aimed at: (i) direct confiscation of the amount of €33 million against UniCredit for the offence of aggravated fraud and (ii)
indirect as well as direct confiscation of the amount of €72 thousand for the offence of self-laundering against UniCredit, assuming the administrative
liability of UniCredit S.p.A. pursuant to Article 25 octies of Legislative Decree 231/2001 for the crime of self laundering. On 2 October 2019, the Bank
received notice of the conclusion of the preliminary investigations pursuant to Article 415-bis of the Italian Criminal Code, which found that some
employees and former employees of UniCredit S.p.A. were investigated for the crime of aggravated fraud and self-laundering and the Bank itself for
the crime of self-laundering pursuant to Legislative Decree No.231/2001. With regard to this matter, the Board of Statutory Auditors, acting as
Supervisory Body 231, has followed, and will continue to follow, the evolution of the matter in close coordination with the Functions and with the
external legal advisor.
With regard to other claims by customer, the Compliance Function, supporting the business structures oversees the regulatory environment
evolution relating to banking services and products in areas like transparency, financial and investment services and anti-usury. Compliance, as
control Function, develops rules, checks processes and procedures and monitors complaints trends. The Compliance Function, along with the Legal
one, also supports analysis and evaluation stages of adequacy of potential “customer care” actions or other initiatives designed to compose
particular situations in which UniCredit S.p.A. might be involved in order to define them.
Considering the regulatory complexity and interpretations not always homogeneous, UniCredit S.p.A. time-to-time assesses the accounting of
provisions for risk and charges, aimed at facing costs, deemed probable, in a contest that has increased the litigiousness at baking system level.
Concerning the financing of consumer credit, the EU Directive 2008/48 establishes that “the consumer shall be entitled at any time to discharge
fully or partially his obligations under a credit agreement. In such cases, he shall be entitled to a reduction in the total cost of credit, such reduction
consisting of the interest and the costs for the remaining duration of the contract”. Following the decision of the European Court of Justice in
September 2019 (judgment C-383/18 referring to the “Lexitor” case) and the communication of the Banca d’Italia issued in December 2020,
UniCredit S.p.A. proceeded to adapt to the most recent interpretation of this legislation. Therefore, in the event of a request for early repayment of
the loan, the consumer is entitled to pay off his debt net of costs not yet accrued on the repayment date.
In consideration of the above, as well as the interpretations prior to the aforementioned communication of the Banca d’Italia, the Bank noted the
guidelines issued by the Authority adapting to the framework outlined, and has carried out the appropriate assessments, also to preserve the quality
of the customers relationship.
The Notes to the consolidated accounts also include information on the provision for tax risks for risks arising from tax disputes and risks arising
from labour lawsuits.
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9. Oversight of the adequacy of the internal control and risk management system
The internal control system in the UniCredit group is based on:
Control bodies and functions which involve, each for their respective remits, the Board of Directors, the Internal Controls & Risks Committee
(IC&RC), the Chief Executive Officer as Director in charge of the internal control and risk management system, the Board of Statutory Auditors, as
well as the company Functions with specific duties in this regard;
information flows and methods of coordination between the parties involved in the internal control and risk management system;
Group Governance mechanisms.
As indicated in the Report on Corporate Governance and Ownership Structures, the types of control in UniCredit, in compliance with current
legislation and inspired by international best practices, are structured on three levels:
line controls (known as first-level controls), handled by the corporate Functions responsible for the business/operating activities, as well as with
regard to UniCredit S.p.A, a dedicated structure (Internal Controls Italy), which supports the Co-CEO Italy as system manager of first-level
operational controls, including those set forth by “special laws”, with reference to the relevant structures/activities;
controls on risks and compliance (known as second-level controls), handled by the Group Compliance and Group Risk Management Functions,
each for the matters within their respective remit;
internal audit (known as third-level controls), handled by the Internal Audit Function.
Pursuant to Circular No.285/2013 of Banca d’Italia, the Anti-Money Laundering Function and the Internal Validation Function are also included in the
corporate control Functions, respectively positioned within Group Compliance and Group Risk Management.
During the period under examination, the Board of Statutory Auditors acknowledges having carried out a periodic exchange of relevant information
with the aforementioned Control Functions. It also acknowledges that the aforementioned Control Functions have fulfilled the related disclosure
obligations towards theBoSA.
Moreover, in order to guarantee a continuous and timely flow of information with Internal Audit, the Head of the Function has a standing invitation to
the Board of Statutory Auditors meetings.
On the basis of the information acquired and included in the 2019 Report (Integrated Audit Report) of the Internal Audit Function, the internal
control system was assessed by the same overall as “mostly satisfactory”, (confirming the same assessment referred to the previous period), in light
of the stable trend of audit analysis process with negative results, the reduction of the findings issued by the Supervisory Authorities, and the
maintenance of a strong focus and a strict discipline on the completion of remedial actions, with reference to both audit findings and those of the
Authorities.
In the period under examination, the Board of Statutory Auditors received and discussed, with the Internal Audit Department, several Audit Reports
and some special investigations. In the cases of “unsatisfactory” or “partially satisfactory” audit reports, the Board of Statutory Auditors asked to be
kept up-to-date about the implementation of the Remediation Plans and, where appropriate, has called upon the Managers of the concerned areas,
in order to discuss the audit results and the related Remediation Plans directly.
Generally, the most important issues at Group level were Compliance - AML (Anti-money laundering) (see also “Compliance risk” below) and IT
security risks, for which the Bank and the Group have taken steps, compared to previous years, to further increase its levels risk management
application standards, following lessons learned related to events external to the Bank, affecting the banking and financial sector during the year, as
well as the increasing interest of Supervisors on the aforementioned issues. Other issues of greater importance were the documentation relating to
customer business relationships, the Parent company’s coordination role with regard to smaller subsidiaries and foreign branches, Data
quality/Aggregation.
The Board of Statutory Auditors has examined and formulated its own recommendations on all the aforementioned issues.
The Board of Statutory Auditors has examined in detail the underlying root causes and examined the detailed remedial plans defined and launched
by Management, whose execution it will monitor, also calling the Parent company’s central structures to a strong focus on steering and control, in all
Group companies.
In particular, the Board of Statutory Auditors has also emphasised, to the Board of Directors, the need to achieve in 2020 significant progress in the
management of the issues mentioned, acknowledging the strong commitment shown by Management to this end.
With reference to the report “Outsourcing of business activities” prepared by the Internal Audit Function in compliance with the requirements of
Banca d’Italia (Circular 285/2013), in addition to the Supervisory provisions, said report also includes the results of the audits in relation to non-
relevant external outsourcers and ICT third parties (not considered outsourcers), from which no specific critical issues have emerged in relation to
the Group outsourcing framework.
The new EBA Guidelines, which came into force in October 2019, were also taken into account. The overall monitoring process of RTO (Retained
Organization) Functions on the quality of the service provided was effective. However, Internal Audit Function has detected some areas worthy of
strengthening, with reference, for example to the monitoring of security risk, for which despite the improvements achieved, time and effort are still
needed to reach the desired level of maturity.
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The results of the audit activity expressed in the “Annual Internal Audit Report” on the provision of investment services (“MiFID” Report, Art.14
Bank d’Italia/CONSOB Joint Regulation of 29 October 2007, and CONSOB Resolution No.17297 of 28 April 2010), have confirmed an overall
assessment of “mostly satisfactory” for the internal control system for 2019. The results of the audit analyses of the processes are all positive.
The activities of collection, archiving and centralisation of the customer's compulsory documentation together with the actions to ensure their
dematerialisation are still underway, with interventions whose completion is expected by 2020.
Credit, counterparty, market, operational risk management
With regard to credit risk management, the Internal Audit assessment is confirmed as “mostly satisfactory” within the Group. In UniCredit S.p.A.,
improvements emerged in 2019 which led to the core credit component being considered “mostly satisfactory”; however, in UC S.p.A. the overall
assessment remains “partially satisfactory” considering that: (i) some operational deficiencies have emerged (in the SME - Small Medium Enterprise
segment, in credit origination, monitoring, collateral) mainly due to inadequate IT tools; the automated underwriting phase (MyCredit platform - SME
Business; data quality; restructuring tool); (ii) the need to strengthen the second-level controls in the Risk Management area, against which the
Internal control framework Project (2020/21) was recently started, which will specifically insist on the strengthening of controls on credit processes;
(iii) some gaps identified by the Bank itself in the comparison analysis with the draft of the new EBA Guidelines on loan origination/monitoring,
mainly related to governance and loan origination.
With reference to Internal Models, during the course of its supervisory activities, the Board of Statutory Auditors has positively noted, through the
necessary updates with the relevant Functions, the progress of the actions envisaged by the “Model Roadmap 2018-2020”, specifically a positive
trend mainly in the governance of the same, and in the effective implementation of the Model Road Map, also in consideration that ECB has
approved the Model Changes in the Italian perimeter.
The Board of Statutory Auditors has therefore noted and appreciated the considerable commitment and discipline shown by the Management and
the Functions responsible for implementing the aforementioned Model Road Map.
With regard to the credit risk (IRB Systems), the assessments of the Internal Validation (Internal Validation - GRM) and Internal Audit Function,
agree that the IRB systems are compliant with regulatory requirements.
The Board of Statutory Auditors however noted that the assessment remains “partially satisfactory” mainly in relation to the weaknesses found in the
GW (Group Wide) risk parameters models, currently in production, where mitigation actions have been implemented with dedicated MOC “Margins
of conservativeness” as well as in the IT and Data Quality area.
The Board of Statutory Auditors considers it necessary, however, to bear in mind the persistence of execution risk in relation to the activities
addressed by the Model Roadmap, due to the high number of applications to ECB expected in 2020, as well as the implementation of many actions
foreseen by the “New Definition of Default Project”.
With regard to counterparty, market (IMOD) and operational (AMA) risks, the assessments of the Validation and Internal Audit Function,
respectively “adequate” and “mostly satisfactory”, considered the relevant systems to be overall compliant with the regulatory provisions.
The Board of Statutory Auditors has also taken note of the “mostly satisfactory” assessment carried out by the Supervisor and the Internal Audit
Function at UniCredit S.p.A., and in the main Group companies with regard to the Risk Management Functions.
On 5 March 2020, the Board of Statutory Auditors issued its favourable opinion for the certification by the Board of Directors of the existence of the
requirements for using the Group's credit, counterparty, market and operational risk management, measurement and control systems.
As part of the various credit initiatives, the Board of Statutory Auditors took note of the “Semi annual update on the implementation of the strategic
and operational plan to address NPEs and foreclosed assets” forwarded to the Supervisor, noting the qualitative and quantitative progress recorded
for the Group NPEs (non-performing exposures).
Liquidity risk
In the context of the initiatives and actions concerning the liquidity monitoring processes, the Board of Statutory Auditors welcomed the new “Global
Policy - Roles and responsibilities in the context of liquidity management & control", approved by the Board of Directors in January 2019, which
implements the innovations in terms of roles and responsibilities within the liquidity framework, with a strengthening of the procedures between the
different involved parties (CFO, CRO, GRM), in particular to further strengthen the steering by the Parent company and the overall framework of the
first- and second-level controls, in line with the ECB Guidelines and the requests formulated in the scope of the “LCR deep dive”.
Furthermore, in December 2019, the new version of the “Global Policy Internal Liquidity Adequacy Assessment Process” was approved, with the aim
of defining a dedicated escalation process between the first and second defense levels in liquidity management, in the event of disagreement in the
assessments for the different liquidity areas. The Board of Statutory Auditors welcomed this update, which allows completing the action plan relating
to an ECB finding which recommended strengthening the control environment in liquidity management.
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Compliance risk
The Board of Statutory Auditors took note of the Annual Report of the Compliance Function, which includes the assessments formulated by the
Compliance Function with regard to potential compliance risks, at the Group level, with reference both to Italian companies, including UniCredit
S.p.A., and to the main foreign companies.
The abovementioned report also fulfilled the requirements of Consob regulation No.20307/2018 and of Art.89 of Consob regulation No.20197/2017.
Taking into account the results of the compliance risk assessment and second-level controls carried out, the activities completed in accordance with
the 2019 Compliance Plan, the Compliance Function expressed a “mostly satisfactory” opinion on the management of the non-compliance risk.
As already mentioned, the continuous effort in the improvement of the Anti-Financial Crime area is ongoing. The AML (Anti-money laundering) area,
as described below, remains an important point of attention and is assessed as “partially satisfactory” due to: (i) results of the Compliance Risk
Assessment and second-level control Group Controls; (ii) results of the compliance quality assurance review (QAR) activities; and (iii) results of
some audits and Supervisor’s assessments in the AML area.
The Board of Statutory Auditors has therefore emphasised the need for a significant strengthening of first- and second-level controls in the area, as
well as the related IT profiles, and has taken note of the further initiatives planned in 2020, aimed, inter alia, at (i) increasing the Group’s compliance
culture and especially in the business area, (ii) introducing additional mechanisms to discourage non-compliant behaviour, also with an impact on
remuneration profiles, (iii) strengthening control points at local level, (iv) strengthening technical and managerial skills through initiatives to manage
the resources directly involved.
The Board of Statutory Auditors has also favourably noted the actions and initiatives put in place during 2019 by the Bank, targeted for each of the 5
Pillars of the Compliance Culture Framework (support of the Top Management and Tone from the Top, Governance and processes, learning and
development communication and people engagement, and performance appraisal), also expected the importance of the increasing spread of ethics
in business, including: 2019 Tone from the Top Program; Compliance Ambassador Program, 2019 Compliance Day, Compliance Culture
communication initiatives.
The training activities were also strengthened and further developed, constantly monitoring their level of fruition at the Group level.
The Board of Statutory Auditors considers of utmost importance that the strengthening of the risk culture is maintained and further developed,
appreciating the strong commitment of the Management for such topic; it also hopes that the strong focus expressed by the Top Management with
regard to the “Culture” topic, at the entire Group’s level, as a key element for the Group’s overall sustainability, will be constantly maintained.
The Board of Statutory Auditors was informed on the implementation of the Group Rules by the Group companies: at the end of 2019 there is some
delay in their implementation, which is expected to be completed within the first months of 2020.
The Board of Statutory Auditors has taken note of the “Report on the Overall State of Complaints received by UniCredit S.p.A.” submitted to
the Board of Directors on 5 March 2020, which highlights, compared to 2018, an increase of about 8% in written complaints received (No.38,730).
Specifically, there was a significant increase in Privacy related complaints, No.1,475 complaints received in 2019 (+1.109% compared to 2018),
largely determined by the communications sent to clients following a data breach regarding a file generated in 2015, and which took place in the
second half of 2019, involving approximately 3 million people.
With reference to complaints accepted with refund, the highest incidences are recorded within the macro-items “Mortgages and Loans” (64%),
“Other Services” (14%) and “Cards” (11%), the Board of Statutory Auditors, during its in-depth meetings with the relevant Function, requested an
analysis of the recurring cases and related corrective measures undertaken by the Bank.
Reimbursements to customers increased by 138.4% vs 2018, equal to €89.4 million.
The increase in reimbursements compared to the same period of the previous year was determined exclusively by the increase in reimbursements
related to complaints with regard to the Bank’s role as “Introducer” in relation to the purchase of diamonds. Refunds on diamonds rose from €25.6
million in 2018 to €79.6 million in 2019.
As already mentioned in paragraph 8,with regard to the overall status of the customer care initiative launched by the Bank at the beginning of 2017,
it should be noted that, as at 31 December 2019, the Bank proceeded to reimburse customers (through the purchase of diamonds) a total amount of
approximately €257 million.
The Board of Statutory Auditors also received information from the relevant departments that a new “mapping” of Non Core Products offered at
Group level was carried out in 2019; following these checks, the list of Non Core products at Group level was updated, and the related internal
Compliance regulations “Non Core products/services” was issued, aimed at establishing Group rules for the approval and marketing of Non Core
products, including monitoring and controls on such products. At the same time, the standard of controls to be carried out by Compliance on this
type of products was defined.
During the year, considered the importance, the Board of Statutory Auditors continued examining the issues relating to AML/FC (Anti-money
laundering/Financial Crime) area, requesting specific updates to the relevant Functions. Among these issues is worth mentioning the ATLAS
Project, which involved some Group Companies, and aimed at bringing all the initiatives present in SIM, with regard to the AML area, under single
governance, maintaining a close monitoring of the progress of the planned actions, whose results have been submitted to the Board of Statutory
Auditors on several occasions.
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The Board of Statutory Auditors, in confirming its previous opinion, believes that the AML topic continues to represent a very significant risks area, in
relation to which the complexity of the phenomena to be controlled is growing (an example is represented by crypto-currencies), as well as the
attention of the Supervisory Authorities. The Board of Statutory Auditors invited the Management to keep such area under constant and strict
control, strengthening the appropriate activities, including steering being devoted to all Group companies, as well as the smaller ones and Foreign
Branches, considering the possible consequences also from a reputational point of view.
The Board of Statutory Auditors favourably noted the increased attention paid by the Management to this issue, characterized by an appropriate
tone at the top and several initiatives started in the period under examination, during which the BoSA will monitor implementation and further
strengthening, and recommended to keep such attention and commitment strong and constant, given the changing nature of the threats posed by
money laundering and terrorist financing.
The Board of Statutory Auditors will take due account of the recommendations expressed by the Supervisory Body in its communication of 27
February 2020, on the importance of money laundering and terrorist financing risks in prudential supervision, with particular focus on the
organisational and control system appropriate to the level of risk to which intermediaries are actually exposed, considering that effective
organisational and control structures constitute an essential condition for preventing and mitigating corporate risk factors.
The Board of Statutory Auditors therefore examined the “Report on the Anti-Money Laundering Function of UniCredit S.p.A. - Italian Perimeter -
Year 2019” submitted to the Board of Directors of UniCredit at the meeting held on 5 March 2020. As at 31 December 2019, the activities carried out
for the self-assessment of the risks of money laundering and terrorist financing have assigned a “Significant" residual risk level in line with the
previous year.
The residual risk level in 2019 is mainly due to: (i) results of second-level controls carried out in the third and fourth quarters 2019; (ii) methodology
and prudential thresholds adopted in the execution of risk assessment activities, in compliance with the stricter requirements of the Banca d’Italia;
(iii) actions in progress to resolve findings highlighted by the Supervisory Authority, the Internal Audit Function and the Compliance Function itself
following the execution of its controls.
The Board of Statutory Auditors has noted that the Bank has started and promptly addressed a series of corrective measures in relation to the
above; several initiatives, mainly on “Know Your Customer”, have been launched on the Commercial Network.
The Board of Statutory Auditors was also informed about the analysis of “Suspicious Transaction Reports (SOS)” which saw a reversal of the
downward trend in the flow of “Suspicious Transaction Reports (SOS)” received by the relevant UniCredit Functions in 2018 compared to 2017
(-16.5%); in fact, the number of “Suspicious Transaction Reports (SOS)” received in 2019 amounted to 13,726 (+115% compared to 6,388 in 2018).
The main reasons for the increase are due to:
effects of the further monitoring measures implemented, following the findings of the Supervisory Authority during an assessment aimed at
verifying “Compliance with anti-money laundering regulation” and carried out during 2019 (e.g. the issuance of the new Service Order No.4032/11
dated 18 November 2019, “Anti-Money Laundering Regulatory Updates”, which requires the production of reports for all persons affected by
measures related to criminal investigations by the Judicial Authority);
special investigations conducted on particular phenomena that have highlighted positions to be reported.
Furthermore, the gradual but continuous increase in the complexity and number of “Suspicious Transaction Reports (SOS)” received, the growing
involvement of territorial structures and the particular analysis/control activities in order to monitor/oversee the risks of money laundering linked to
particular “phenomena” and behaviours must be taken into account.
The Board of Statutory Auditors has received assurance that in order to deal with the aforementioned increase in “Suspicious Transaction Reports
(SOS)”, a specific task force has been defined, pending a formal transfer of internal full time equivalents from another structure, by April 2020, to be
dedicated to the activities in question.
The Board of Statutory Auditors also took note of some organisational changes, adopted in order to achieve greater organisational clarity and to
better outline the role of the resources dedicated to the Group Perimeter and those dedicated to the Italy Perimeter: since October 2019; the
following two separate structures have been operating managerially - instead of the pre-existing “AML” Function: “AML Italy”, responsible for the
monitoring of anti-money laundering issues in the UniCredit Perimeter and “AML”, responsible for the monitoring of anti-money laundering issues at
Group level. Further organizational changes are being implemented as at the date of writing of the present Report.
At the meeting of the UniCredit Board of Directors held on 10 December 2019, the “Anti-Money Laundering Policy” was approved (as required by the
Banca d’Italia Provision “Provisions applicable to organisation, procedures and internal controls aimed at preventing the use of intermediaries for the
purpose of money laundering and financing of terrorism” issued on 26 March 2019).
Lastly, the Board of Statutory Auditors has taken note of the Anti-Money Laundering Training Plan 2020 - UniCredit S.p.A., which aims to
continuously mitigate the risks of money laundering, diversifying training courses on the basis of the specific activities identified, and ensure the
increase of staff knowledge and skills recipient. The Training Plan provides for classroom and online courses modulated according to the different
corporate roles and the associated risks.
During the financial year, the Board of Statutory Auditors proceeded to investigate in-depth the whistleblowing reports, on which received information
in its function as 231 Supervisory Body’s of UniCredit S.p.A., investigating, as the Board of Statutory Auditors, with the support of the Human Capital
Function, several whistleblowing reports that could give rise to conduct/unlawful conduct issues, regardless of their relevance pursuant to Legislative
Decree 231/2001.
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The Board of Statutory Auditors has therefore taken note of the information contained in the “Report on the internal system for reporting violations
(so-called whistleblowing) for 2019” - prepared in compliance with the Banca d’Italia's Supervisory Provisions (Circular No.285/2013 Part One, Title
IV, Chapter 3, Section VIII “Internal systems for reporting violations”.
The Board of Statutory Auditors has noted that the UniCredit group is particularly committed to promoting a corporate culture characterised by
correct behavior, and has shared and stressed, in several occasions, with the Management and the Human Capital Function the importance of
paying the utmost attention to the correctness of the behaviors assumed by the resources in the Group. The Board of Statutory Auditors was
therefore pleased to note that the Global Whistleblowing Policy was updated in June 2019, and the new Global Policies “Prohibition of Retaliation”
and “Fight against Harassment, Sexually Inappropriate Behaviour and Bullying”, were issued, which in addition to laying down particularly advanced
rules on these issues, make specific processes and communication channels available to whistleblowers (e.g. with regard to Italian Legal Entities
the new Italian dedicated “Parlami” channel, a telephone service managed centrally by a specific Human Capital Function).
The Board of Statutory Auditors believes that, inter alia, the Group’s “Ethics & Respect” communication campaign, the issue of Policies and training
activities, have made a significant contribution to spreading the Group’s attention to employees in promoting correct behavior (“do the right thing”),
the Speak Up culture and the whistleblowers’ protection.
The analysis of the Whistleblowing reports, which may constitute a violation of the rules governing the banking business, is an important element in
order to detect potential issues of non-compliance risk, as well as possible reputational implications for the Bank.
The Board of Statutory Auditors agrees on the importance of this instrument in the context of crime prevention, because they come from the same
context in which the offence was committed and can provide fundamental information that cannot be acquired in any other way.
On 26 November2019, at the European Union level, Directive (EU) 2019/1937 on “the protection of persons who report infringements of EU law”
was published in the Official Journal. Its main purpose is to establish common minimum standards to ensure a high level of protection for persons
who report infringements of EU law in specific sectors. The Directive will have to be implemented by European Union countries within two years and
the recently updated Group Policy has already been inspired by this Directive.
The Board of Statutory Auditors has examined the information contained in the Report of the Data Protection Officer (DPO) of UniCredit S.p.A. for
the year 2019.
Following the implementation of the minimum requirements already achieved in May 2018 (date of entry into force of the regulations), further targets
were achieved in 2019 within the dedicated Group project, specifically referred to: i) implementation of the “right to be forgotten” (deletion of personal
data by “selective” approach for product/service), ii) definition and adoption of the new second-level controls catalog, iii) updating of the relevant
internal regulations of the GDPR (General Data Protection Regulation, EU Regulation No.2016/679) and iv) employee training.
GDPR risk assessment activities for UC S.p.A. ended with a “significant” risk assessment, mainly due to the high level of “basic” risk factors (so-
called inherent risk) determined by factors related to UniCredit's size and operations (e.g. number of subjects whose data are processed, type of
data processed, number of processes and procedures involved).
With regard to violations (so-called data breaches), the Board of Statutory Auditors lastly noted the most significant cases identified during the year,
applying the process adopted in UniCredit S.p.A., whose basic principles were extended to Group companies in 2019, with the issue of a specific
Global Policy, determined by: (i) criminal activities aimed at obtaining information useful for cloned checks, (ii) leak carried out by unknown persons,
of a file prepared in 2015, containing personal data of about 3 million customers and former customers (iii) the involvement, albeit marginal, in the
so-called “Capital One” case.
The cases detected in UniCredit S.p.A. and submitted to the DPO check were No.79, of which No.33 were considered relevant for GDPR purposes,
but only No.8 showed characteristics requiring notification to the competent Supervisory Authority (Data Protection Supervisor) and No.5 also to
interested parties. It should also be noted that any IT or security weaknesses detected have been remedied, and further measures have been
implemented to reduce the risk of potential unauthorized data leak.
The Board of Statutory Auditors has been informed of the corrective measures taken and of the settlement of any IT or security weaknesses.
In 2019, the competent Supervisory Authority did not carry out any inspections involving UniCredit S.p.A.
A specific IT tool (used by UniCredit to manage ICT and Security incidents) was also adopted at the end of 2019 which, thanks to specific
implementations on GDPR, will allow the tracking and “end-to-end” management of personal data breaches, with particular reference to DPO
processes. As requested by Internal Audit, the use of the tool has also been extended to other Italian Group entities, both centralised and non-
centralised, and, during 2020, will be extended, based on the results of a specific feasibility study, to other Italian and foreign Group entities.
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As explained in the financial statement report (“Subsequent events”), the Board of Statutory Auditors was informed that on 5 February 2020, the
Italian Personal Data Protection Authority notified the parent company UniCredit S.p.A. of the start of sanctioning proceedings regarding a
customers’ personal data breach following a Cyber-attack (data breach) occurred in October 2018; the Bank provided to communicate such breach
through its Group website on 22 October 2018. As required by the “Italian personal data protection Code (Art.166, c.6 of Legislative Decree 196/03)”
the Bank will present its statement of defense on the matter and will request a hearing with the Authority to explain its arguments. It is currently not
possible to define the timeline and outcome of the proceedings.
With regard to the provision of investment services and related controls, the Board of Statutory Auditors lastly examined the annual reports prepared
by the competent Functions:
“MiFID” report (Art.13 Banca d’Italia/CONSOB Regulation of 29 October 2007, and CONSOB Resolution No.17297 of 28 April 2010) prepared by
Group Risk Management with reference to the controls carried out on the performance of investment activities,
“Report on the procedures for the performance of services and investment activities”, as per CONSOB Resolution 17297 of 28 April 2010” and the
“Report on the Management of Conflicts of Interest (COI)”, prepared by the Compliance Function.
ICT Risk
In 2019, the Board of Statutory Auditors increased its attention to ICT Risk by meeting with the relevant Functions, in different periods, for the
necessary in-depth analysis.
The Board of Statutory Auditors has received, inter alia, updates on “ICT Security and 2019 main priorities” focusing on :(i) internal and external
assessment carried out in order to measure the cybersecurity maturity level throughout the Group; (ii) Findings on Access Rights Management
(FARM) project started following the findings issued by ECB in the framework of the inspection on access management carried out in 2018, and
analysed the Adequacy and Cost of ICT (Information Communication Technology) report, which shows the substantial adequacy of the ICT process
maturity cycle.
The Board of Statutory Auditors considers of utmost importance to ensure the compliance with the commitments and investments expected,
specifically in the ICT and Security Areas, given the specific importance of the risks related to IT security and Cyber Risk, as also highlighted both by
the priorities for the 2020 financial year, identified by the Supervisors, and by their recent inspections. In this respect, the BoSA asked for frequent
and regular updates, and the Chairman of the BoSA, in agreement with the Chairman of the IC&RC, has agreed on a specific update and induction
programme.
Lastly, the Board of Statutory Auditors has received updates from the experts of the External Auditors on the strengthened audit activities relating to:
(i) the Bank’s and Group’s information systems (ISAE 3402 E&Y), (ii) the Cyber Risk and its benchmarks, (iii) the exposure of the confidentiality
security.
The Board of Statutory Auditors was updated about the incidents occurred during the period under examination regarding the ICT security, including
unauthorised data access dating back to 2015, as reported in the financial statement report, the root causes and consequent measures.
Operational Risk - Group Top Risks
The “Group Operational & Reputational Risks Committee” is responsible for the evaluation and monitoring of operational (including ICT and Cyber)
and reputational risks at Group level. It enables the coordination among the control functions in identifying and sharing Group priorities concerning
Operational & Reputational Risks (e.g. emerging risks) and monitors the effectiveness of initiatives put in place to oversee them.
The “Group Operational & Reputational Risks Committee”, is responsible for evaluating and monitoring operational (including ICT and Cyber) and
reputational risks at Group level.
The Board of Statutory Auditors took positive note of the initiative - implemented - launched by the three Control Functions, aimed at providing an
integrated view about the activities and initiatives related to the main operational risks for 2019, and has taken note of the substantial confirmation
for the risk areas already identified for 2019 (Cyber Risk; Third Party/Outsourcing; Evolution of the regulatory framework; Operational Model
transformation/IT; Conduct Risk & Risk Culture) to which is added, as an emerging risk for 2020, Climate Change, for which the Board of Statutory
Auditors noted the growing managerial focus with the intention of strengthening the concept of sustainability also in terms of the inherent risk
management (see below “Systemic Threats”).
The initiative in question has allowed the three Functions to develop synergies, thanks to the mutual exchange of the results of the enacted activities
and to benefit from the different approaches to the issues.
The Board of Statutory Auditors has advised the Bank to continue with determination in the assessment and integrated monitoring of the operational
risk by the Control Functions, in order to take account of each new arising risk that could potentially affect the Group, helping to change at any given
time and with high priority the interventions on priority risks and to extend the monitoring where necessary.
Lastly, the Board of Statutory Auditors noted the Annual Operational Risk Report 2019.
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Operational risk remains an important area of focus for the Group, with the strengthening of business controls and governance processes in all
Group companies. The intensification of the focus on controls in order to prevent financial crimes, and on KYC (Know Your Customer) includes
better supervision through centralized and stricter compliance requirements, in addition to staff rotation between business and control functions.
Other Risks - Systemic Threats
In the context of a regulatory framework, and an external scenario constantly and rapidly evolving, the Board of Statutory Auditors has had the
opportunity to analyse some of the main features in terms of systemic threats, with the relevant Functions. Specifically:
Systemic threats associated with cybercrime
Along with the continuous digitalisation of banking services, both the financial industry itself and its clients are increasingly exposed to cyber-attacks,
exacerbated by the heightened geopolitical tensions around the globe. This requires reinforced governance with a continuous strong focus on data
protection and security.
Possible IT risks can be caused by interruptions, faults, damage, inappropriate uses, ineffective changes, incorrect procedures, design errors, which
can affect ICT infrastructures and related software applications, causing potential damages due the loss of integrity and availability of data and
information.
This risk is increasing as, in addition to the above mentioned risks, further risks deriving from threats perpetrated are getting relevant through the
use of networks with which the Group is interconnected, both internally and towards the outside world. These attacks are aimed at the theft of data
and information injections of malware and viruses through social engineering techniques or through “Distributed Denial of Service” (DDoS) attacks in
order to cause system overloads that hamper the proper services’ performance.
Considering the above, it should be noted that UniCredit group, over the past few years, has been subject to some cyber-attacks which led, even
though only in a few limited cases, to the theft of personal data. In this regard, taking into account the type of risks detected, UniCredit, in addition to
strengthening the protection measures already in place, carried out a wide and in-depth assessment of the effects that may derive also for financial
statements purposes.
Systemic threats associated with climate change
Climate change-related risks (both physical and transition) and the accompanying shift towards sustainable finance (see also paragraph 12 Non-
Financial Statement) are mounting challenges to the financial sector and may impact underwriting, credit or market risks.
The Board of Statutory Auditors has noted the Bank’s proactive approach in this regard: for instance the setting up of a dedicated team within the
Group Risk Management (GRM) Function, responsible for the supervision and management of processes related to climate change risks and
UniCredit’s approach to sensitive sectors.
The first activity put in place by the team is focused on assessing the transition risk of corporate and investment banking listed companies to define
more in detail climate change impact on the risk profile. With reference to physical risk, it has been performed a preliminary estimation of potential
impact of sea-level rise on the value of individuals mortgage collaterals related to properties located along the Italian coastline.
Systemic threats associated with coronavirus outbreak
In the financial statements document, the Directors report some considerations, referring to 5 February 2020, regarding the actions taken by
UniCredit following the coronavirus outbreak, and the possibility of an economic slowdown, also in the Eurozone, with potential impacts, as at 5
February 2020 not yet quantifiable, also on the Group's profitability, mainly with reference to the operating income and the cost of risk.
Other contributions
With reference to further reporting containing information on the internal control and risk management system, the Board of Statutory Auditors has
noted that, at the date of this Report, the assessment of the adequacy of the allocation of Group capital (ICAAP) is underway by the structures in
charge, together with the assessment of the overall functionality of the Internal Liquidity Adequacy Assessment Process (ILAAP), whose reports will
be prepared within the set deadlines.
The Board of Statutory Auditors examined the “2019 Group ICS Management Evaluation Assessment” document, prepared by the Finance &
Controls Area, aimed at supporting the Board of Directors in assessing the completeness, adequacy, functionality and reliability of the Group Internal
Control System as a whole.
Based on the self-assessment carried out by the Management in 2019, the Group’s internal control system (No.22 companies subject to self-
assessment by the reference Management and 15 Group's Foreign Branches) was rated overall as “mostly satisfactory”, in line with the
aforementioned rating expressed by the Internal Audit Function. With regard to No.3 Companies, the downgrading to “unsatisfactory” rating was
necessary, due to critical issues arising in the AML area. With regard to UniCredit S.p.A., the self-assessment confirmed the “mostly satisfactory”
opinion.
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The Board of Statutory Auditors, in line with what was assessed in the course of its activities, has therefore noted the areas of attention identified
mainly relating to: Anti-money laundering, Third Parties Management, Data Protection, Fraud Management, and took note of the initiatives adopted
or being finalised, aimed at further strengthening the internal control and risk management system.
In conclusion, the Board of Statutory Auditors did not identify critical situations or facts that could make the internal control and risk management
system as a whole inadequate, even though situations that required the planning and addressing of specific corrective actions did emerge. Lastly,
the Board of Statutory Auditors acknowledges the ever greater renewed reactivity and proactive nature of the Management in relation to the
definition and operational implementation of the actions to improve and remedy the detected weaknesses and shortcomings.
10. Oversight of the adequacy of the organisational structure
In consideration of the fact that the organisational and managerial structure is an integral part of the Bank’s and the Group’s transformation plan, the
Board of Statutory Auditors acknowledges that the Group’s structure reflects an organisational and business model that guarantees the autonomy of
the countries and local banks on specific activities in order to ensure greater proximity to the customer. This model also guarantees efficient
decision-making processes and considers a divisional structure with regard to the governance of the Corporate Investment Banking (CIB)
products/businesses, the Wealth Management, and the business in the Central and Eastern Europe (CEE) area countries, as well as a global
supervision of the COO Functions as well as of Finance & Controls Functions.
The Board of Statutory Auditors examined the report prepared by the competent Group Human Capital structure which considers the organisational
structure of UniCredit S.p.A. to be adequate, by virtue of the robustness of the overall regulatory framework that ensures the uniqueness of the
system of responsibility and powers with reference to the bodies/committees and the corporate structures.
The Board of Directors Meeting held on 6 February 2019, approved the optimisation of the organisational model and the managerial team
reorganisation project with the start of the development of the Team 23 Plan, with the aim of continuing the streamlining process that was launched
with Transform 2019 and to ensure that the managerial team, that will implement the new Plan, is in charge of it from the beginning of the planning
process.
The current organisational structure is focused on the following main areas of responsibility:
the Chief Executive Officer maintain direct supervision besides the Business, over the Risks, Compliance, Legal and Human Resources, as well
as over the optimisation of the Costs and the main operational activities; Chief Operating Officer (COO) position covered by two co-Heads (co-
Chief Operating Officers), responsible for supervising the costs management and the development of IT & Operations activities, the transformation
of digital processes and procedures in compliance with defined Group strategies;
Commercial Banking Western Europe (CB WEU) and Commercial Banking Central Eastern Europe (CB CEE), both positions covered by two co-
Heads (co-CEO), who are responsible for all business activities, focusing on developing customer services and optimising cross-selling for the
respective perimeter of competence; the CIB Division, reporting to the two specifically appointed co-CEOs CB WEU and CB CEE, has a coverage
role for multinational clients (“Multinational”), for selected “Large Corporate” clients with a strong potential demand for investment banking
products, for Financial and Institutional Groups (FIG) and is responsible for global product lines “Global Transaction Banking (GTB)”, “Global
Financing & Advisory (F & A)”, “Markets”, as well as the international network;
as far as the Italian perimeter is concerned, the co-Heads (co-CEOs) CB Italy are responsible for the definition of the business strategies of the
“commercial banking” and for directing, coordinating and controlling the Networks.
the various Functions called “Competence Line” (Planning, Finance & Administration; Risk Management; Lending; Legal; Compliance; Internal
Audit; Identity & Communication; Human Capital) oversee, each within their remit, the guidance, coordination and control of the UniCredit group's
activities and related risks.
The Board of Statutory Auditors has examined the main organisational changes that occurred in 2019, including:
creation of “Non Core Asset Management” (NCAM) structure, reporting to “Group Risk Management” (GRM), with functional line reporting to
“Group Lending Office” (GLO), responsible for coordinating and managing the files classified under restructuring and workout by UniCredit S.p.A.
in relation to the non-performing Non Core portfolio, as well as performing the distressed asset management, according the rundown strategy of
the Non Core portfolio defined by the Group; as part of the reorganization of “Non Core” activities, with reference to the Italian perimeter, in the
same year the “overcoming” of the Special Network Italy and the creation of the “Non Core Network” was approved, reporting to “Non Core
Restructuring Italy” (within the GRM scope), which has been assigned the responsibility for the management of “Non Core” clients mainly with the
aim of containing the related risk and the progressive “Run Down” of the related portfolio; “Corporate Special Portfolio Areas” have also been
created: they report to the Corporate Businesses of the Regions, responsible for the management of Core Customers, mainly with the aim of
developing the related business - acting in close coordination with the relevant Corporate Sales & Marketing departments - as well as credit quality
and associated risk containment;
cancellation of the position of General Manager and creation/amendment of the following positions reporting directly to the Chief Executive Officer:
- Commercial Banking Western Europe (CB WEU) and Commercial Banking Central Eastern Europe (CB CEE) - both positions covered by two co-
CEOs, who are responsible for all business activities for the respective perimeter of competence;
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- Finance & Controls (F&C) which centralizes the Planning, Finance & Administration, Identity and Communication activities, relations with
Institutional counterparties and Banking Supervisory Authorities, credit disbursement, management and supervision of the overall internal
controls system. Moreover, the Head of Finance & Controls coordinates Group Risk Management, Group Compliance and Group Legal
Functions, facilitating the identification and achievement of synergies for the entire competence area, monitors cross-functional projects (e.g.
M&A transactions) and the achievement of efficiency and transformation targets of the Area; the hierarchical reporting to the Chief Executive
Officer of the aforementioned three Functions remains in place.
- Chief Operating Officer (COO), position covered by two co-Heads (co-COOs), focused on the oversight and transformation of the operational
machine (through the Transformation, Information, Security, Real Estate, Procurement & Cost Management, Operations, and Digital Processes
activities). Moreover, the COO coordinates Group Human Capital Function, facilitating the identification and achievement of synergies, monitors
cross-functional projects, and the achievement of efficiency and transformation targets defined for the competence area.
- reorganisation of property management and Operations activities carried out in Italy, as well as the related governance activities identified, as a
result of the partial spin-off of UniCredit Services S.C.p.A. into UniCredit S.p.A. (so-called “REUS” Project);
- establishment, currently being finalised, of the “Business Operational Excellence” structure with the responsibility - with regard to the CB WEU,
CB CEE and CIB perimeters - to ensure the effectiveness of the first-level control system by enabling the business functions to act as the first
line of defense in reducing operational risks. Such structure is also responsible for ensuring the efficiency and consistency of the new product
approval process (“NPP”) at Group level. “Business Operational Excellence” reports hierarchically to “CB WEU” and functionally to “CB CEE” and
“CIB”.
Lastly, the Board of Statutory Auditors examined the changes occurred in the Chief Operating Office area, noting that the “Group ICT and Security
Office” Function has been divided into two separate functions in order to strengthen Group Governance in the ICT and Security areas respectively.
The “Group Chief Information Office” (GCIO) ensures the governance and coordination of ICT activities within the Group, guaranteeing the unity of
management view and IT risk, as well as uniformity of application of IT system rules, while the “Group Chief Security Office” (“GCSO”) is responsible
for defining the Group’s security strategy, in order to protect people, information and assets (tangible and intangible), by ensuring the governance
and coordination of physical security activities, and Top Management protection, logical security and access management, ICT, Cyber Security, and
Anti-Fraud services, ensuring the unity of managerial management.
The Board of Statutory Auditors considered the need to strengthen the monitoring Function specifically with regard to security and cyber profiles,
and the difficult harnessing on the market of external resources with the required skills. The BoSA has therefore taken note of the managerial
positions held recently (second half of 2019) into the Group Chief Security Office, covering the responsibilities of Group Cyber Security, Group
Corporate Security, Group Security Governance & Resilience.
With reference to the new organisational structure of the Finance & Controls area, which was taken over by an international experienced Manager,
who joined UniCredit in January 2020, the Board of Statutory Auditors will closely monitor the suitability and operational effectiveness of the model,
on an ongoing basis, also with reference to functional reporting to the Heads of the GRM and Compliance Control Functions.
Steering activity
In the period, the BoSA paid specific attention to issues concerning the strengthening of the Parent company's steering activities, focusing on the
coordination, management and control of smaller Group Companies and foreign subsidiaries.
Among the actions actually implemented, the review of the first-and second-level controls aimed at harmonizing the global business approach to
controls, with specific centrally coordinated on-site projects and other organizational initiatives, should be included, as well as those already
mentioned (e.g. the creation of the Business Operational Excellence).
The managerial and functional reporting lines within the Control Functions at Group level were also reviewed, as well as the governance and
organisation model of the Foreign Branches (CIB Foreign Network) and oversight mechanisms with global supervision, both on business and
controls, guaranteed by the Head Office Functions through the existing reporting lines involved in the local Internal Control Committees.
UniCredit S.p.A. has also recently issued a new version of the Group Managerial Golden Rules, a set of mechanisms and rules aimed at the
exercise by the Parent company’s role of guidance and control over the Functions within the various subsidiaries, in compliance with the
responsibilities of the Corporate Bodies of the same, by implementing the following actions:
defining budget objectives, policy and guidelines/competence models, also through the issue of Group regulations;
monitoring the implementation of policies, training activities and competence models;
providing non-binding prior indications regarding the definition of the organisational structure of the corresponding Functions within the Company;
providing recommendations and proposals for the appointment, dismissal and career path, and for the implementation of performance evaluation
and short-term incentive systems for line Managers.
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In addition to the aforementioned actions, the Heads of the Control Functions (Internal Audit, Compliance and Risk Management - and other
Functions identified as having control responsibilities) have a direct role, also through their first reporting Lines, in the exercise of the following
additional specific powers of direction and control over subsidiaries:
issuing findings whenever deficiencies, problems or unauthorised deviations from the Group-wide standards are detected (e.g. as part of audits
and special investigations, Compliance Risk Assessment, Desk and Thematic Review, Quality Assurance Review);
establishing the standards of conduct and expected behaviour of Group employees (Tone from the Top).
The Board of Statutory Auditors appreciates the strong commitment of the Management, will provide to monitor, in order to ensure that all the
initiatives and actions implemented will continue to strengthen overall risk awareness, reducing the compliance and operational risk, as well as the
risk of missing or incomplete oversight by the central Functions.
Suitability of Control Functions and Activity Plans
Internal Audit Function
The Board of Statutory Auditors examined the Audit Plan 2019 UC SpA review, not finding significant changes in risk coverage, as well as the 2020
Audit Plan (as an integral part of the Multi-year Audit Plan) approved by the Board of Directors in January 2020. Such Plan, together with the Internal
Audit Guidelines for 2020 communicated to Group Companies, consolidates, based on the professional opinion of Internal Audit, the information
relating to: i) the risk scenarios reported by external sources (EBA, ECB etc.); ii) the contribution of UniCredit S.p.A. Top Management; iii) the
findings and the indications of the Supervisory Authorities and External Auditors; iv) the top risk reported by the Internal Audit Function of the main
Legal Entities.
The Board of Statutory Auditors has received updates on capacity developments, also with respect to the gaps identified in 2019, and has therefore
noted the number of resources belonging to the Function, the related skills, the job rotation initiatives undertaken with the Business Functions, and
other Control Functions, also aimed at improving the spread of risk culture.
The BoSA has received a reporting about the DAT project - Digital Audit Transformation - within the Audit area, which provides for the strengthening
of the approach based on data analytics techniques and the enhancement of the skills required for Internal Auditors, developing in the Pillars (i)
People - adoption of new mind-sets and skills; (ii) Technologies - Introduction of innovative technologies; (iii) Sharing & Best Practice.
The overall efficiency of the Function is increased by relying on a number of levers, such as remote audits and remote controls and greater data
availability. Based on the information acquired, the Board of Statutory Auditors considers the Function’s capacity to fulfill its tasks to be adequate.
Group Risk Management
The Board of Statutory Auditors has examined the Activities Plan 2020, approved by the Board of Directors in January 2020, of the Group Risk
Management (GRM) Function, developed taking into account the overall context of ECB requests, the developments in the regulatory framework,
the attention to operational and reputational risk, Cyber/IT risks, the spread of the Risk Culture, and awareness of issues of conduct risk, also with
attention to third parties.
With regard to GRM priorities and targets, focus is given to: ongoing collaboration with GLO functions on projects related to key topics of the Team
23 Plan, strict monitoring of GRM key areas (completion of Non core rundown; proactive management of NPEs in order to maximize value and
capital), non-financial risk.
The Board of Statutory Auditors has been informed that the resources sizing, belonging to the GRM area are now substantially adequate, due to an
intensive recruiting process, especially in the Universities; moreover, some recruitments are already planned in the Operational & Reputational Risk
area with a specific focus on Cyber Risk. The strategy of giving priority to recruitment instead of turning to external consultants has also made it
possible to achieve significant savings in this regard.
Based on the information acquired, the Board of Statutory Auditors considers the size and capacity of the GRM Function to be adequate for
achieving the objectives laid down in the 2020 Activity Plan.
Compliance Function
The Board of Statutory Auditors has examined the founding principles of the 2020 Activity Plan of the Compliance Function (approved by the Board
of Directors in January 2020).
The Plan has been developed in continuity with last year's Compliance Plan, taking into account, inter alia, the targets of the new Team 23 Plan, and
the assumption of a number of elements such as Governance and effective coordination, ensuring consistent IT investments for the Plan within a
common Group framework, the New Advisory approach and tool, and ensuring a robust and common risk presidium.
In terms of resource development and skill adaptation, the training programs have been further strengthened. Overall, the challenge for the future
will be based on finding and organizing a correct mix of skills also in the use of new technologies, such as artificial intelligence, areas in which the
Bank is investing heavily.
The Board has been informed of the imminent entry into the Compliance Competence Line of FTE (Full Time Equivalent) resources coming from
Internal Controls Italy and CEE Commercial Banking, who will be responsible for strengthening key activities and controls, such as AML activities
and controls.
Based on the information acquired, the Board of Statutory Auditors considers the Function’s capacity to fulfil its tasks to be adequate.
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11. Remuneration policies
The Board of Statutory Auditors noted that the Board of Directors, in its meeting held on 5 March 2020, approved the document “2020 Group
Remuneration Policy and Report”, and the related Board of Directors’ Report to be submitted to the Shareholders’ Meeting. This document defines
the principles and standards used to design, implement and monitor the Group’s remuneration systems, as part of the review of the Group’s strategy
described in the Team 23 new Strategic Plan.
The Board of Statutory Auditors took note of the report issued by the Internal Audit Function “2019 Remuneration Policies and Practices”, which
ends with the formulation of a “satisfactory” rating.
Lastly, in compliance with the current regulations, the Board of Statutory Auditors examined the proposal for:
Goal Setting 2020 for the Chief Executive Officer, the Manager in charge of preparing the Financial Reports and the Head of the Internal Audit
Function of UniCredit S.p.A.;
2020 remuneration review for the Manager in charge of preparing the Financial Reports and the Head of the Internal Audit Function of UniCredit
S.p.A;
review of the 2019 bonus for the Manager in charge of preparing the Financial Reports and the Head of the Internal Audit Function of UniCredit
S.p.A. and LTI (Long Term Incentive Plan) for the Chief Executive Officer.
and verified the correctness of the Bank’s adopted process and criteria, including the consistency with the relevant regulations, thus expressing its
positive opinions to the Board of Directors.
12. Non-Financial Statement
The Board of Statutory Auditors has taken note of the adherence to the highest standards of policies with regard to ESG (Environmental, Social,
Governance) topic and principles with external monitoring and recognition.
Beyond internal actions, as announced to the market on 26 November 2019, UniCredit has signed up to key institutional and international
agreements with external monitoring requirements: the Task Force on Climate-Related Financial Disclosures (TCFD), Principles for Responsible
Banking (PRB) and OECD Business for Inclusive Growth Coalition (B4IG).
UniCredit’s committment to ESG topics has been recognised with the confirmation of the Group as a constituent of the FTSE4Good Index Series. In
particular, FTSE Russell assigned an ESG rating to UniCredit equal to 5,0 (the top score on its ESG rating scale). This positions UniCredit in the
99th percentile, among Diversified Banks peers.
The Board of Statutory Auditors, taken note of Italian Legislative Decree No.254/2016 on the disclosure of non-financial information and the
Implementing Regulation issued by Consob with a resolution dated 18 January 2018, No.20267, exercised its functions by supervising the
compliance with the provisions contained therein regarding the drafting of the Non-Financial Statement (hereinafter referred to as “DNF”) as part of
the Integrated Financial Statements, approved by the Board of Directors on 5 March 2020.
The Board of Statutory Auditors held several meetings with the Function responsible for drafting the DNF, the representatives of the appointed
External Auditors (Deloitte & Touche) and examined the documentation made available. The BoSA analyzed the Assonime Circular No.13 of 12
June 2017, a commentary on Italian Legislative Decree No.254/2016 and Legislative Decree No.4 dated 11 February 2019, (“News on non-financial
reporting”), noted the application of the Global Rule “Preparation of Non-Financial Information for the Integrated Report Production”, aimed at
defining roles, responsibilities, activities, controls and information flows of coordination between the Parent company and the Group's Companies
and structures.
The Board of Statutory Auditors took note of the recent issuance (December 2019) of some specific Global Policies - “Non-Conventional Oil and Gas
Industry and Oil and Gas in the Arctic Region” and “Coal Sector - Environmental, Social and Reputational Risk”, which aim to define principles and
rules for assessing the reputational and environmental, social and reputational risk of the related sector.
It also acknowledged the report issued by the External Auditors on 10 March 2020, which states that no elements were received that would suggest
that the DNF of the UniCredit group, with regard to the financial year ended on 31 December 2019, had not been drafted in all significant aspects in
compliance with the relevant regulations.
On the basis of the information acquired, the Board of Statutory Auditors certifies that, during its examination of the Non-Financial Statement,
elements of non-compliance and/or violation of the relevant regulatory provisions have not come to its attention.
13. Additional activity by the Board of Statutory Auditors and information requested by Consob
In the performance of its duties, the Board of Statutory Auditors, as required by Article 2403 of the Italian Civil Code and Article 149 of Legislative
Decree 58/1998 (TUF):
exercised oversight on the implementation of the corporate governance rules contained in the codes of conduct that the Company declares to
abide by. UniCredit S.p.A. complies with the Corporate Governance Code approved by the Corporate Governance Committee promoted by Ania,
Assogestioni, Assonime, Confindustria and Borsa Italiana . and has prepared, pursuant to Article 123-bis of Italian Legislative Decree No.58/1998
(TUF), the annual “Report on Corporate Governance and Ownership Structure”;
exercised oversight of the adequacy of the instructions given to subsidiaries pursuant to Art.114, par.2 of Italian Legislative Decree 58/1998 (TUF);
exchanged information with the Boards of Statutory Auditors of the directly controlled companies as required by Art.151, paragraph 2, of Italian
Legislative Decree No.58/1998 (TUF) and by the Supervisory Instructions of Banca d’Italia. In January 2019, in addition to an exchange of
correspondence, the Board of Statutory Auditors met the Chairmen of the Boards of Statutory Auditors of the main Italian companies of the Group,
in order to receive reports on any critical issues affecting the administration and control systems and the general trend of corporate activity;
carried out its oversight activities at some Foreign Branches of UniCredit S.p.A. (Abu Dhabi), as well as through investigations conducted at the
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Italy Network (North West Region) on selected samples of managed files;
in compliance with the regulations and customary practices, the BoSA met with ECB, acting as Supervisory Authority of the Parent company, for
the purpose of a fruitful exchange of information on subjects of mutual interest, including specific issues illustrated in this Report.
From the date of the previous Report of the Board of Statutory Auditors and up to the date of this Report, communications and/or complaints have
been received, also qualified as such pursuant to Art.2408 of the Italian Civil Code.
Specifically, the following are noted:
a communication by certified e-mail, dated 8 April 2019, received from the shareholder Mr. Marco Bava, who complained about the application of
the regulations carried out by UniCredit, in the pre-Shareholders’ meeting questions;
a communication by certified e-mail, dated 28 April 2019, received from the shareholder Mr. Tommaso Marino, who complained about the content
of a response received to his question formulated in the pre-Shareholders’ meeting, regarding the possibility of viewing the financial statements of
an association;
a communication by registered letter, dated 31 January 2020, received from the shareholder Mr. Francesco Santoro, who asked the Board of
Statutory Auditors to carry out verifications in relation to the possibility of recovering some loans disbursed and the possible transfer of the same to
third parties.
In response to each communication received, the Board of Statutory Auditors promptly carried out adequate in-depth examinations with the support
of the Bank's relevant Functions, checking the real validity of the reported facts, gathering the necessary information to examine and evaluate the
cases submitted and sharing, in all cases, the reasonableness of the conclusions presented by those Functions. As outcome of the investigations,
no irregularities were found that required reporting to the Shareholders' Meeting.
During the year, the Board of Statutory Auditors, in addition to what has already been expressly stated in this Report, issued the opinions and
expressed the observations that the current regulations and supervisory provisions for banks assign to its responsibility.
Furthermore, the Board of Statutory Auditors reports that:
it has taken note of the self-assessment required by the regulatory provisions, carried out by the Board of Directors in the meeting of 5 March
2020,
it found that the criteria and procedures establishing the requirements of independence adopted by the Board of Directors for the annual
assessment of the independence of its members were correctly applied;
it found that the Board of Directors carried out the verification of the positions held for the purposes of the interlocking prohibition pursuant to
Article 36 of Italian Legislative Decree 201/2011;
it verified the fulfilment of the independence requirements of the individual members of the Board of Statutory Auditors and carried out, periodically
and occasionally, the acknowledgement and the assessments concerning the communications received by the individual members regarding the
number of awarded/lapsed appointments and the associated time commitment;
in addition to the Board Meetings, it participated in specific meetings with the Directors, also open to the Statutory Auditors, dedicated to the
perspectives and key elements of the strategy of the Group and the entire European Banking Sector;
it oversaw that transactions undertaken with persons with administrative, managerial or control functions were always conducted in compliance
with Art.136 TUB and Supervisory Instructions.
The Board of Statutory Auditors does not deem it necessary to exercise the option of making proposals to the Shareholders’ Meeting pursuant to
Art.153, second paragraph, of Italian Legislative Decree 58/1998 (TUF).
Corporate Governance
The Board of Statutory Auditors of UniCredit S.p.A. operates within the framework of an integrated governance and of adequate and structured
internal corporate information flows. The BoSA took note of the information provided in the Report on Corporate Governance and Ownership
Structures, approved by the Board of Directors during the meeting held on March 5th, 2020.
On 25 February 2020, the Board of Statutory Auditors completed the self-assessment process on the adequacy in terms of composition, correct and
effective functioning of the Body. The self-assessment process was carried out in compliance with the Regulations for Corporate Bodies and
Committees, adopted in compliance with the Supervisory Provisions on Corporate Governance for Banks and in compliance with the indications
contained in the document “Self-assessment of the Board of Statutory Auditors” issued by the National Council of Chartered Accountants and
Accounting Experts in May 2019.
The Board of Statutory Auditors carried out the self-assessment on its composition, considering it adequate, also in the light of its development over
time and the diversity in terms of skills, competences and expertise, as well as gender, which ensured the effective ongoing functioning of the Body.
During the year, the members of the Board of Statutory Auditors participated to the permanent induction program for the members of the Board of
Directors, which included, inter alia, recurring training sessions in order to preserve over time the technical skills needed to play the role with
awareness.
UniCredit ·2019 Annual Report and Accounts 711
Company financial statements | Report and resolutions
Board of Statutory Auditors’ Report
The Board of Statutory Auditors reported every six months to the Board of Directors and the IC&RC about the main activities carried out and the
recommendations made.
In addition to what has already been stated in paragraph 1. “Appointment and activities of the Board of Statutory Auditors” regarding attendance at
meetings of the Bodies, the Board of Statutory Auditors received the usual information flows, during the period (provided for in the “Corporate Bodies
and Committees Regulation” and in the policies) on the activities of the Remuneration Committee and Related-Party transactions.
In this regard, it should be noted that the Regulation, approved by the Board of Directors in 2018, provide for the participation of the Chairman of the
Board of Statutory Auditors in meetings of the Internal Controls and Risks Committee, without prejudice to the right of each member of the Board of
Statutory Auditors to attend specific meetings of the Board Committees.
This approach, fully consistent with the Corporate Governance Code for listed companies, differs from the practice existing between Italian listed
banks and major Italian listed companies. Moreover, the Chairman of each Committee may invite the Chairman of the Board of Statutory Auditors, or
another Statutory Auditor designated by him/her, to attend meetings.
The BoSA carried out the usual periodic checks, together with the competent Functions, examining a selected sample of reports within the forms
pursuant to Article 23 of the Articles of Association, detecting no exceptions. The Board of Statutory Auditors asked to review the relevant
procedure, in order to make it more consistent with the definition of significant transactions set out in the above-mentioned Article 23 and in the
provisions of law on which it is based, hoping the new procedure to be adopted soon.
In line with what was discussed with the JST, the BoSA is planning to visit the Group's main Legal Entities, as part of its supervisory and steering
activities, regarding some in-depth analysis of specific Legal Entities and cross issues within the Group itself.
With specific reference to the assignment to the Board of Statutory Auditors also of the functions of Supervisory Body pursuant to Italian
Legislative Decree No.231/2001 (“OdV 231”) starting from the renewal of its mandate which took place with the Shareholders’ Meeting of 11 April
2019, the Board of Statutory Auditors, charged with functions of Supervisory Body, reported to the Board of Directors every six months on the
activities carried out on the implementation of the Organisational and Management Model adopted by UniCredit S.p.A. pursuant to the
aforementioned Legislative Decree (at the meetings held on 6 August 2019, and 5 February 2020, respectively).
During the reference period, the Board of Statutory Auditors, acting as 231 Supervisory Body’s, oversaw the functioning and compliance with the
Model, and the verification and control activity, based on the information made available to it, and it was functional to the objectives of its effective
implementation. The 231 Supervisory Body pursued these objectives with the collaboration of Internal Audit and Compliance Functions without
substituting, replacing or duplicating the control tasks institutionally assigned to these Functions.
The Board of Statutory Auditors has adopted specific operating practices in order to perform its ordinary role in synergy with the one acting as 231
Supervisory Body.
Audit engagement of the appointment of the Statutory Auditors for the period 2022-2030
With the approval of Individual financial statement of UniCredit S.p.A. and consolidated financial statements of the UniCredit group as at 31
December 2021, by the Shareholders’ Meeting of UniCredit S.p.A. to be called in 2022, the statutory audit appointment conferred on 11 May 2011,
by UniCredit S.p.A. Shareholders’ Meeting to Deloitte & Touche S.p.A. (“Deloitte”), for the nine-year period 2013-2021, will expire.
Based on current legislation (European Regulation No.537/2014, Legislative Decree No.39/2010 supplemented by Legislative Decree No.135/2016
which has transposed Directive 2014/56/EU), this appointment will not be renewable and the new statutory audit mandate should be assigned by the
Shareholders' Meeting on the basis of a reasoned recommendation of the Board of Statutory Auditors acting as the Audit Committee pursuant to
Art.19 of Legislative Decree No.135/2016, following a specific selection procedure according to the criteria and procedures set out in Art.16 of the
European Regulation.
Considering the size and complexity of UniCredit group, the Board of Statutory Auditors (hereinafter referred to as “BoSA”) acting as Audit
Committee, pursuant to Art.19 of Legislative Decree No.135/2016, in agreement with the relevant corporate functions, deemed it appropriate to start
the selection procedure for the statutory audit appointment for the 2022-2030 financial years, as at June 2019, in order to submit the appointment for
approval to the Ordinary Shareholders' Meeting of UniCredit S.p.A. which will be convened to approve the financial statements for the Financial year
as at 31 December 2019.
This early appointment of the external auditor, a widespread practice among the main listed entities, allows, first of all, a more profitable handover
between the outgoing auditor and the new auditor, the compliance with the time limits set to guarantee the auditor’s independence (so-called cooling
in period ex Art.5 of the European Regulation), as well as the appointment by the other entities of the Group.
The Shareholders' Meeting is also called upon to decide on the remuneration of the auditors as well as on any criteria for adjusting the fees, which is
also the subject of the reasoned proposal of the Board of Statutory Auditors.
The related Reasoned Proposal of the Board of Statutory Auditors, made available within the time limits and methods provided for by current
regulations, is therefore submitted to the assessments of the UniCredit S.p.A. Shareholders’ Meeting.
712 2019 Annual Report and Accounts · UniCredit
Company financial statements | Report and resolutions
Board of Statutory Auditors’ Report
Conclusions
The oversight of the Board of Statutory Auditors revealed no censurable actions, omissions or irregularities requiring to be noted in this Report.
During the meetings of the Board of Directors, during which the most significant economic, financial and equity transactions of UniCredit S.p.A. and
its subsidiaries were examined, the Board of Statutory Auditors received the information pursuant to Art.150, paragraph 1, of Italian Legislative
Decree. 58/1998 (TUF)
Based on the information acquired through its oversight activity, the Board of Statutory Auditors did not become aware of any operations during the
period covered by this report performed not in compliance with the principles of proper management, resolved and carried out not in accordance
with the law and the Company Bylaws, not in the Company’s interest, not in accordance with Shareholders’ resolutions, manifestly imprudent or
reckless, lacking the necessary information where Directors’ interests were involved, or prejudicial to the Company’s assets.
Having regard to the foregoing, the Board of Statutory Auditors, having examined the reports drawn up by the Auditing Company, having noted the
joint attestations issued by the Chief Executive Officer and the Financial Reporting Manager, does not find in the areas under its remit any
impediment to the approval of the proposal of the Financial Statements as at 31 December 2019 and the destination of dividends submitted by the
Board of Directors. In this regard, the Board of Statutory Auditors notes that the Board of Directors assessed the dividend destination proposal
based on prudent assumptions aimed at allowing, linearly over time, the constant compliance with prudential capital requirements.
Milan, 10 March 2020
For the Board of Statutory Auditors
The Chairman
Marco Rigotti
Report of the Board of Statutory Auditors
UniCredit ·2019 Annual Report and Accounts 713
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Board of Statutory Auditors’ Report
714 2019 Annual Report and Accounts · UniCredit
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?VPTPUT VZWXZHTY YU HWY& ),$ VHWHNWHVO * "L#$ UM AAI NL=IMG=NA@ EINJ NDA 2ICGEMD G=ICO=CA MJGAGS BJL NDA ?JIPAIEAI?A JB EINALI=NEJI=G LA=@ALM&
Company financial statements | Report and resolution
Report of the External Auditors
726 2019 Annual Report and Accounts · UniCredit
Company financial statements | Report and resolutions
Ordinary Shareholders’ Meeting resolution of 9 April 2020
Ordinary Shareholders’ Meeting resolution of 9 April 2020
The UniCredit S.p.A. Ordinary Shareholders’ Meeting approved the 2019 Financial Statements of UniCredit S.p.A., comprising the Balance Sheet,
Income Statement, Statement of Comprehensive Income, Statement of Changes in Shareholders' Equity, Cash Flow Statement and Notes to the
Accounts, as presented by the Board of Directors as a whole and with regard to the individual entries and thereby approved the coverage of the
negative reserves totaling €3,407,151,223.87 through use of i) Share Premium Reserve for the amount of €3,283,308,260.33, preventively
authorized by the Supervisory Authority, to eliminate the negative reserve related to the repayment of Additional Tier 1 coupons in 2018 and 2019
and the negative reserve related to the first time adoption of the IFRS9 and ii) Statutory Reserve for the amount of €123,842,963.54 to eliminate the
negative reserves arising from the payment of usufruct fees in 2019 related to Cashes financial instruments.
The Ordinary Shareholders’ Meeting also resolved:
to cover the entire loss from the 2019 financial year through the use of the Share Premium Reserve for the amount of €555,260,165.28; the use of
the Share Premium reserve has been preventively authorized by the Supervisory Authority;
to set in fourteen the number of Directors;
to integrate the Board of Directors, by appointing the directors Mrs. Beatriz Lara Bartolomé and Mr. Diego De Giorgi, already co-opted by the
Board in the meeting of 5 February 2020, who will hold the office until the expiration of the current Board of Directors and, therefore, until the
Shareholders' Meeting convened to approve the 2020 financial statements;
to confer the statutory audit mandate to the auditing firm KPMG S.p.A. for the years 2022-2030, also determining the fees;
to approve the 2020 Group Incentive System;
to approve the 2020 Group Remuneration Policy and the Remuneration Report which forms an integral part of it;
to approve the 2020-2023 Long-Term Incentive Plan.
9 April 2020
UniCredit ·2019 Annual Report and Accounts 727
Company financial statements | Report and resolution
Shareholders’ meeting resolution
728 2019 Annual Report and Accounts · UniCredit
Company financial statements | Annexes
Annex 1 - Reconciliation between reclassified balance sheet and
income statement accounts and mandatory reporting schedules
Annexes
Annex 1 - Reconciliation between reclassified balance sheet and income statement accounts and mandatory reporting schedules
A reconciliation of the reclassified balance sheet and profit and loss account to the mandatory reporting schedules, is provided below.
Any discrepancy in the data shown in this table is solely due to roundings.
An explanation for the restatement of comparative figures is provided in the previous sections.
Balance sheet
ASSETS
Cash and cash balances
10. Cash and cash balances
Financial assets held for trading
20. Financial assets at fair value through profit and loss: a) Financial assets held for trading
Loans to banks
40. Financial assets at amortised cost: a) Loans and receivables with banks
less: Reclassification of debt securities in Other financial assets
Loans to customers
40. Financial assets at amortised cost: b) Loans and receivables with customers
less: Reclassification of debt securities in Other financial assets
+ Reclassification of loans from Other financial assets - Item 20 c)
Other financial assets
20. Financial assets at fair value through profit and loss: c) Other financial assets mandatorily at fair value
less: Reclassification of loans in Loans to customers
30. Financial assets at fair value through other comprehensive income
70. Equity investments
+ Reclassification of debt securities from Loans to banks - Item 40 a)
+ Reclassification of debt securities from Loans to customers - Item 40 b)
Hedging instruments
50. Hedging derivatives
60. Changes in fair value of portfolio hedged items (+/-)
Property, plant and equipment
80. Property, plant and equipment
Goodwill
90. Intangible assets of which: goodwill
Other intangible assets
90. Intangible assets net of goodwill
Tax assets
100. Tax assets
Non-current assets and disposal groups classified as held for sale
110. Non-current assets and disposal groups classified as held for sale
Other assets
120. Other assets
Total assets
(€ million)
AMOUNTS AS AT
12.31.2019
12.31.2018
2,395
2,395
12,678
12,678
38,637
42,068
(3,431)
229,625
259,095
(29,564)
94
104,199
2,019
(94)
31,407
37,873
3,431
29,564
7,311
5,223
2,089
4,172
4,172
-
-
4
4
10,405
10,404
1,142
1,142
3,906
3,906
414,474
7,461
7,461
11,834
11,834
28,635
30,972
(2,336)
222,591
239,585
(17,052)
58
112,294
3,164
(58)
46,927
42,873
2,336
17,052
5,853
4,167
1,686
2,363
2,363
-
-
4
4
10,662
10,662
117
117
3,877
3,876
405,691
UniCredit ·2019 Annual Report and Accounts 729
Company financial statements | Annexes
Annex 1 - Reconciliation between reclassified balance sheet and
income statement accounts and mandatory reporting schedules
continued: Balance sheet
LIABILITIES AND SHAREHOLDERS' EQUITY
Deposits from banks
10. Financial liabilities at amortised cost: a) Deposits from banks
less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities
Deposits from customers
10. Financial liabilities at amortised cost: b) Deposits from customers
less: Reclassification of leasing liabilities IFRS16 in Other financial liabilities
Debt securities issued
10. Financial liabilities at amortised cost: c) Debt securities in issue
Financial liabilities held for trading
20. Financial liabilities held for trading
Other financial liabilities
30. Financial liabilities designated at fair value
+ Reclassification of leasing liabilities IFRS16 from Deposits from customers - Item 10 b)
+ Reclassification of leasing liabilities IFRS16 from Deposits from banks
Hedging instruments
40. Hedging derivatives
50. Value adjustment of hedged financial liabilities (+/-)
Tax liabilities
60. Tax liabilities
Liabilities included in disposal group classified as held for sale
70. Liabilities referrable to disposal groups classified as held for sale
Other liabilities
80. Other liabilities
90. Provision for employee severance pay
100. Provisions for risks and charges
Shareholders' equity:
- Capital and reserves
110. Valuation reserves
120. Redeemable shares
130. Equity instruments
140. Reserves
150. Share premium
160. Share capital
170. Treasury shares (-)
- Net profit (loss)
180. Profit (Loss) of the period (+/-)
Total liabilities and shareholders' equity
(€ million)
AMOUNTS AS AT
12.31.2019
12.31.2018
57,571
57,578
(7)
215,696
217,039
(1,343)
54,509
54,509
13,403
13,403
5,090
3,740
1,343
7
7,608
4,882
2,726
1
1
-
-
9,077
6,155
623
2,299
51,519
52,074
472
-
5,602
11,783
13,225
20,995
(2)
(555)
(555)
414,474
58,995
58,995
-
211,872
211,872
-
52,969
52,969
10,384
10,384
3,535
3,535
-
-
6,295
4,525
1,770
2
2
-
-
10,728
7,617
629
2,483
50,911
48,469
(503)
-
4,610
10,031
13,393
20,940
(2)
2,442
2,442
405,691
730 2019 Annual Report and Accounts · UniCredit
Company financial statements | Annexes
Annex 1 - Reconciliation between reclassified balance sheet and
income statement accounts and mandatory reporting schedules
Income statement
(€ million)
YEAR
Net interest
30. Net interest margin
+ Derivatives instruments - Economic Hedges - Others - Interest component
+ Reclassification for IFRS16
Dividends and other income from equity investments
70. Dividend income and similar revenue
less: Dividends on equity investments, shares and equity instruments mandatorily at fair value
Net fees and commissions
60. Net fees and commissions
less: Expenses for payment services and cards
Net trading income
80. Net gains (losses) on trading
less: Derivatives instruments - Economic Hedges - Others - Interest component
90. Net gains (losses) on hedge accounting
100. Gains (Losses) on disposal and repurchase of: b) financial assets at fair value through other comprehensive income
100. Gains (Losses) on disposal and repurchase of: c) financial liabilities
110. Net gains (losses) on other financial assets/liabilities at fair value through profit or loss
+ Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities (from Item 100 a)
+ Dividends on equity investments, shares and equity instruments mandatorily at fair value (from Item 70)
Net other expenses/income
200. Other operating expenses/income
less: Recovery of expenses
less: Leasehold improvements
less: Integration costs
less: Net results from trading of physical gold, precious stones and metals
+ Gains (Losses) on disposal and repurchase of financial assets at amortised cost - performing loans (from Item 100 a)
OPERATING INCOME
Payroll costs
160. Administrative expenses: a) staff costs
less: Administrative expenses - staff costs - integration costs
Other administrative expenses
160. Administrative expenses: b) Other administrative expenses
less: Other administrative expenses contributions to Resolution Funds and Deposit Guarantee Schemes (DGS) and Guarantee fees for
DTA
less: Other administrative expenses - integration costs
less: Reclassification for IFRS16
+ Other operating expenses/income - leasehold improvements (from Item 200)
+ Expenses for payment services and cards (from Item 60)
Recovery of expenses
+ Other operating expenses/income - recovery of expenses (from Item 200)
Amortisation, depreciation and impairment losses on intangible and tangible assets
180. Net value adjustments/write-backs on property, plant and equipment
190. Net value adjustments/write-backs on intangible assets
+ Reclassification for IFRS16
Operating costs
OPERATING PROFIT (LOSS)
2019
3,849
3,819
31
-
1,844
1,906
(62)
3,802
3,802
-
327
443
(31)
(3)
57
(11)
(241)
52
62
(91)
292
(480)
25
-
78
(8)
9,731
(2,756)
(2,760)
4
(2,130)
(2,603)
386
111
-
(25)
-
480
480
(319)
(316)
(2)
-
(4,725)
5,006
2018
4,156
4,166
-
(10)
2,587
2,630
(43)
3,830
3,950
(120)
121
-
-
1
87
(1)
(9)
-
43
(73)
412
(508)
21
1
2
(1)
10,621
(2,866)
(2,866)
-
(2,284)
(2,960)
384
2
191
(21)
120
508
508
(313)
(131)
(2)
(181)
(4,955)
5,666
UniCredit ·2019 Annual Report and Accounts 731
Company financial statements | Annexes
Annex 1 - Reconciliation between reclassified balance sheet and
income statement accounts and mandatory reporting schedules
continued: Income statement
OPERATING PROFIT (LOSS)
Net impairment losses on loans and provisions for guarantees and commitments
100. Gains (Losses) on disposal and repurchase of: a) financial assets at amortised cost
less: Gains (Losses) on disposal and repurchase of financial assets at amortised cost - performing loans
less: Gains (Losses) on disposal and repurchase of financial assets at amortised cost - debt securities
130. Net losses/recoveries on impairment relating to: a) financial assets at amortised cost
less: Net losses/recoveries on impairment relating to financial assets at amortised cost - debt securities
130. Net losses/recoveries on impairment relating to: b) financial assets at fair value through other comprehensive income
less: Net losses/recoveries on impairment relating to financial assets at fair value through other comprehensive income - debt securities
140. Gains/Losses from contractual changes with no cancellations
170. Net provisions for risks and charges: a) commitments and financial guarantees given
NET OPERATING PROFIT (LOSS)
Other charges and provisions
170. Net provisions for risks and charges: b) other net provisions
less: Tax disputes relating to income tax (interests and sanctions excluded)
+ Administrative expenses - other administrative expenses contributions to Resolution Funds and Deposit Guarantee Schemes (DGS)
and Guarantee fees for DTA (from Item 160 b)
Integration costs
+ Administrative expenses - staff costs - integration costs (from Item 160 a)
+ Administrative expenses - other administrative expenses - integration costs (from Item 160 b)
+ Net other expenses/income - integration costs - (from Item 200)
Net income from investments
220. Profit (Loss) of equity investments
230. Net gains (losses) on tangible and intangible assets measured at fair value
250. Gains (Losses) on disposal of investments
+ Net losses/recoveries on impairment relating to financial assets at amortised cost - debt securities (from Item 130 a)
+ Net losses/recoveries on impairment relating to financial assets at fair value through other comprehensive income - debt securities (from
Item 130 b)
+ Net results from trading of physical gold, precious stones and metals (from Item 200)
PROFIT (LOSS) BEFORE TAX
Income tax
270. Tax expenses (income) from continuing operations
+ Other changes and provisions - Tax disputes relating to income tax (interests and sanctions excluded) - (from Item 170 b)
PROFIT (LOSS) AFTER TAX
Profit (Loss) from non-current assets held for sale after tax
290. Profit (Loss) after tax from discontinued operations
PROFIT (LOSS) FOR THE PERIOD
Goodwill impairment
240. Goodwill impairment
NET PROFIT (LOSS)
300. Net profit (loss) for the period
(€ million)
YEAR
2019
5,006
(2,659)
76
8
(52)
(2,740)
(7)
(16)
16
(21)
77
2,347
(752)
(365)
-
(386)
(114)
(4)
(111)
-
(1,737)
(1,397)
(251)
-
7
(16)
(78)
(256)
(299)
(299)
-
(555)
-
-
(555)
-
-
(555)
(555)
2018
5,666
(1,986)
(34)
1
-
(1,998)
11
(14)
14
(3)
38
3,680
(786)
(428)
26
(384)
(3)
-
(2)
(1)
(1,607)
(1,590)
(34)
44
(11)
(14)
(2)
1,284
1,158
1,184
(26)
2,442
-
-
2,442
-
-
2,442
2,442
732 2019 Annual Report and Accounts · UniCredit
Company financial statements | Annexes
Annex 2 - Fees for annual audits and related services
Annex 2 - Fees for annual audits and other services
(pursuant to article 149-duodecies, CONSOB Regulation No.11971/99, as supplemented)
DISCLOSURE OF EXTERNAL AUDITORS' FEES - UNICREDIT S.p.A. - FINANCIAL YEAR 2019 - DELOITTE NETWORK
As prescribed by §149-duodecies of the Consob Issuers Regulation, the following table gives fees paid in 2019 for audit services rendered by the Auditor and firms in its network.
EXTERNAL AUDITING
SERVICE PROVIDER
NAME OF AUDITING FIRM
UNICREDIT GROUP
SUBSIDIARY ASSIGNING
THE SERVICE
COMPANY NAME
DESCRIPTION OF SERVICE
Auditing Firm
Deloitte & Touche S.p.A.
UniCredit S.p.A.
Audit of Company and Consolidated Accounts and First Half
Report, accounting checks and foreign branches(2)
Auditing Firm Total
External Auditing Total
CHECKING FOR THE
PURPOSES OF OTHER
OPINIONS
SERVICE PROVIDER
UNICREDIT GROUP
SUBSIDIARY ASSIGNING
THE SERVICE
NAME OF AUDITING FIRM
COMPANY NAME
DESCRIPTION OF SERVICE
FEES(1)
(€ million)
FEES(1)
3.4
3.4
3.4
Auditing Firm
Deloitte & Touche S.p.A.
UniCredit S.p.A.
Limited review on 2019 non financial information, Limited review
on 1Q 2019 and 3Q 2019 Consolidated Reports for the inclusion
of interim net profit in Common Equity Tier 1 Capital, Issuing
Comfort Letters concerning bond issues, Signing the Italian tax
declaration forms, Supervisory Fees ECB ISA805, English
translation of the Auditor's Reports
Auditing Firm Total
Network Auditing Firm(s)
Network Auditing Firm(s)
Total
Data Checking Total
Deloitte Touche Tohmatsu
CPA LLP, Deloitte & Touche
Middle Est LLP, Deloitte SL
UniCredit S.p.A.
Statutory audit of foreign branches Shanghai, Abu Dhabi and
Madrid financial statements according to local regulations
2.1
2.1
0.2
0.2
2.3
SERVICE PROVIDER
UNICREDIT GROUP
SUBSIDIARY ASSIGNING
THE SERVICE
OTHER NON-AUDITING
SERVICES
NAME OF THE AUDITING
FIRM
COMPANY NAME
DESCRIPTION OF SERVICE
TYPE
FEES(1)
Auditing Firm
Auditing Firm Total
Deloitte & Touche S.p.A.
UniCredit S.p.A.
Network Auditing Firm(s)
Deloitte Consulting S.r.l.
UniCredit S.p.A.
Network Auditing Firm(s)
Other Non-Auditing Services
Total
Grand Total
Agreed Upon Procedure (AUP) on Own
Funds, AUP on quarterly calculation foreign
exchange risk of CIUs, AUP on
contributions to the Single Resolution Fund,
AUP on Servicing Report Cordusio RMBS
Other services
Support to Projects "Mobile Leadership
Evolution Projects", "Evoluzione App Mobile
Banking", "Liquidity Risk Model
enhancements" and "My Credit Program"
Other services
0.2
0.2
0.7
0.7
1.0
6.7
Notes:
(1) Excluding VAT and expenses.
(2) Contract authorised by the Resolution of the Shareholders' Meeting of 11 May 2012 for a total amount of €2,206,600 (integrated by €150,000 in 2013, by €250,000 in 2016, by €250,000 in 2017, €224,000 in 2018 and by
€150,000 in 2019), plus ISTAT indexation amounting to €128,610.
UniCredit ·2019 Annual Report and Accounts 733
Company financial statements | Annexes
Annex 3 - Internal pension funds: statement of changes in the year
and final accounts
Annex 3 - Internal pension funds: statement of changes in the year and final accounts
Internal Pension Funds
As at 31 December 2019 UniCredit S.p.A. with regard to internal pension funds maintain commitments to the funds set up for the employees of the
London and the Munich branch - of which the main details follow:
Statement of changes in internal pension funds
FUNDS AND DESCRIPTION OF MOVEMENTS
NO. OF RETIREES
AS AT 12.31.2019
NO. OF MEMBERS
AS AT 12.31.2019
TYPE
ACCOUNTING
FIGURES
CONTRIBUTION
RATE
(€ million)
_
_
2.8
0.2
(0.1)
0.1
(0.3)
0.1
0.4
3.2
10.5
7.3
3.2
0.7
0.2
-
0.8
(0.8)
(2.0)
0.0
1.1
0.0
31.0
31.0
0.0
6
20(*)
Defined benefit
Statement of the "Pension fund for employees
of the former Banca di Roma - London Branch
Opening balance as at 12.31.2018
Provisions for the year:
- Past service cost
- Interest cost on defined benefit obligations
- Interest Income on plan assets
Administrative expenses paid from plan assets
Employer Contributions
Exchange rate effect
Actuarial (gains)/losses recognised in the year
Balance as at 12.31.2019
Present value of the liabilities
Present value of plan assets
Net Liability as at 12.31.2019
Note:
(*) of which 20 deferred benefit.
"Pension fund for the employees of the London
Branch" (ex Credito Italiano)
10
66(*)
Defined benefit
Opening balance as at 12.31.2018
Provisions for the year:
- Current service cost (gross)
- Past service cost
- Interest cost on defined benefit obligations
- Interest Income on plan assets
Employer Contributions
Exchange rate effects
Actuarial (gains)/losses recognised in the year
Balance as at 12.31.2019
Present value of the liabilities
Present value of plan assets
Net Liability as at 12.31.2019
Note:
(*) of which 66 deferred benefit.
734 2019 Annual Report and Accounts · UniCredit
Company financial statements | Annexes
Annex 3 - Internal pension funds: statement of changes in the year
and final accounts
"Pension fund for the employees of Munich
Branch
Opening balance as at 12.31.2018
Provisions for the year:
- Current service cost (gross)
- Interest cost on defined benefit obligations
- Interest Income on plan assets
Employer Contributions
Other increases (decreses)
Actuarial (gains)/losses recognised in the year
Balance as at 12.31.2019
Present value of the liabilities
Present value of plan assets
Net Liability as at 12.31.2019
Note:
(*) of which 3 deferred benefit.
10(*)
Defined benefit
0.6
-
0.3
0.0
(0.0)
(0.5)
0.3
0.4
1.0
1.9
0.9
1.0
UniCredit ·2019 Annual Report and Accounts 735
Company financial statements | Annexes
Annex 4 - Securitisation - qualitative tables
Annex 4 - Securitisations - qualitative tables
Reference is made to the Annexes - Annex 3 - Securitisations - qualitative tables of Consolidated financial statements of UniCredit group with
specific reference to UniCredit S.p.A. as Originator which is herewith quoted entirely.
736 2019 Annual Report and Accounts · UniCredit
Company financial statements | Annexes
Annex 5 - Sales of financial assets to investment funds, receiving
as consideration units issued by the same funds - qualitative tables
Annex 5 - Sales of financial assets to investment funds, receiving as consideration units issued by the same funds - qualitative tables
Reference is made to the Annexes - Annex 4 - Sales of financial assets to investment funds, receiving as consideration units issued by the same
Funds - qualitative tables of Consolidated financial statements of UniCredit group with specific reference to UniCredit S.p.A. as originator which is
herewith quoted entirely.
UniCredit ·2019 Annual Report and Accounts 737
Company Financial Statements | Annexes
Annex 4 - Securitisation - qualitative tables
738 2019 Annual Report and Accounts · UniCredit
Incorporations of qualitative information by reference
Incorporations of qualitative information by reference
The following is the list of the incorporations of qualitative information by reference made by the Consolidated financial statements to the Company
financial statements:
PART OF THE CONSOLIDATED
FINANCIAL STATEMENTS WHERE
A REFERENCE IS PRESENT
Part B - Information on consolidated
balance sheet - Assets - Section 2 -
Financial assets at fair value through
profit or loss - Item 20
Part B - Information on consolidated
balance sheet - Assets - Section 3 -
Financial assets at fair value through
other comprehensive income - Item
30
Part B - Information on consolidated
balance sheet - Assets - Section 11 -
Tax assets and tax liabilities - Item
110 (Assets) and Item 60 (Liabilities)
Part B - Information on consolidated
balance sheet - Liabilities - Section
13 - Group shareholders’ equity -
Items 120, 130, 140, 150, 160, 170
and 180
Part C - Information on consolidated
income statement - Section 21 - Tax
expenses (income) for the period
from continuing operations - Item 300
Part E - Information on risks and
hedging policies - Section 1 - Risks
of the accounting consolidated
perimeter - Qualitative information
Part E - Information on risks and
hedging policies - Section 2 - Risks
of the prudential consolidated
perimeter - 2.1 Credit risk -
Qualitative information
Part E - Information on risks and
hedging policies - Section 2 - Risks
of the prudential consolidated
perimeter - 2.1 Credit risk -
Quantitative information - E.
Prudential perimeter - Credit risk
measurement model
Part E - Information on risks and
hedging policies - Section 2 - Risks
of prudential consolidated perimeter -
Section 2.5 - Operational risks
DESCRIPTION OF THE PART OF THE COMPANY FINANCIAL STATEMENTS WHERE IS
DETECTABLE THE QUALITATIVE INFORMATION INCORPORATED BY REFERENCE
The paragraph “Information about the units of Atlante Fund and Italian Recovery Fund” is incorporated by
reference to Part B - Balance sheet - Assets - Section 2 - Financial assets at fair value through profit or loss
- Item 20 of the Notes to the accounts.
The paragraph “Information about the investments in the “Schema Volontario” (Voluntary Scheme) is
incorporated by reference to Part B - Balance sheet - Assets - Section 2 - Financial assets at fair value
through profit or loss - Item 20 of the Notes to the accounts.
The paragraph “Information about the shareholding in Banca d'Italia” is incorporated by reference to Part B
- Balance sheet - Assets - Section 3 - Financial assets at fair value through other comprehensive income -
Item 30 of the Notes to the accounts.
The qualitative disclosure of deferred tax assets and liabilities of the Parent company is incorporated by
reference to Part B - Information on balance sheet - Assets - Section 10 - Tax assets and tax liabilities -
Item 100 (Assets) and Item 60 (Liabilities) of the Notes to the accounts.
The paragraphs “12.1 Share capital and treasury shares", “12.2 Share capital - Number of shares”, “12.3
Capital: other information” and “12.5 Equity instruments: breakdown and annual changes” are incorporated
by reference to Part B - Information on balance sheet - Liabilities - Section 12 - Shareholders’ equity - Item
110, 130, 140, 150, 160, 170 and 180 of the Notes to the accounts.
The qualitative disclosure of tax expenses (income) for the period of the Parent company is incorporated by
reference to Part C - Income statement - Section 19 -Tax expenses (income) for the period from continuing
operations - Item 270 of the Notes to the accounts.
The paragraph “Prisma transaction” is incorporated by reference to the same paragraph in Part E -
Information on risks and hedging policies - Section 1 - Risks of the accounting consolidated perimeter -
Quantitative information of the Notes to the accounts.
The qualitative disclosure with reference to governance issues, commercial policies and credit strategies
relating to the UniCredit S.p.A. perimeter, is incorporated by reference to paragraph of Part E - Information
on risks and hedging policies - Section 1 - Credit Risk - Qualitative information - 1. General Aspects of the
Notes to the accounts.
The qualitative disclosure with reference to the Italian perimeter of UniCredit S.p.A., reporting to the “Group
Lending Office”, is incorporated by reference to Part E - Information on risks and hedging policies - Section
1 - Credit Risk - Qualitative information - 2. Credit risk management policies - 2.1 Organisational aspects of
the Notes to the accounts.
The quantitative information of UniCredit S.p.A. on Credit risk measurement model is incorporated by
reference to the paragraph in Part E - Information on risks and hedging policies - Section 1 - Credit Risk -
Quantitative information - F. Credit risk measurement models of the Notes to the accounts.
The paragraph “E. Other claims by customers” and the sub-paragraph “Diamond offer” are incorporated by
reference to the similar paragraphs of Part E - Information on risks and hedging policies - Section 5 -
Operational risks of the Notes to the accounts.
UniCredit ·2019 Annual Report and Accounts 739
Incorporations of qualitative information by reference
The following is the list of the incorporations of qualitative information made by reference by the Company financial statements to the Consolidated
financial statements:
PART OF THE COMPANY
FINANCIAL STATEMENTS
WHERE A REFERENCE IS
PRESENT
Report on operations -
Introduction and highlights
DESCRIPTION OF THE PART OF THE CONSOLIDATED FINANCIAL STATEMENTS WHERE IS
DETECTABLE THE QUALITATIVE INFORMATION INCORPORATED BY REFERRENCE
The paragraph “Share information” is presented by reference to the paragraph “Share information” - Group and
UniCredit share historical data series of the Consolidated report on operations.
The paragraph “Macroeconomic situation, banking and financial markets” is presented by reference to the
paragraph “Macroeconomic situation, banking and financial markets” - Group results of the Consolidated report on
operations.
References of UniCredit official website where can be found Report on corporate governance and ownership
structure, Report on remuneration and Non-financial information are reported in Other information of the
Consolidated report on operations.
The paragraph “Research and development projects” is presented by reference to the paragraph “Research and
development projects” - Other information of the Consolidated report on operations.
Information of significant organizational changes and organizational structure are presented by reference to the
paragraph “Organisational model” - Other information of the Consolidated report on operations.
Report on operations -
Results of the year - Capital
and value management
The qualitative disclosure of “Principles of value creation and disciplined capital allocation”, “Capital ratios” for
information relating to transitional capital requirements and buffers for UniCredit group and “Capital strengthening“
are incorporated by reference to the same paragraphs in “Capital and value management” - Group results of the
Consolidated report on operations.
Report on operations - Other
information
The paragraph “Group activities development operations and other corporate transactions”, with specific reference
to events relating to the parent company UniCredit S.p.A., is incorporated by reference to the same paragraph
“Group activities development operations and other corporate transaction” - Other information of the Consolidated
report on operations.
Report on operations -
Subsequent events and
Outlook
The paragraph “Certifications and other communications” is incorporated by reference to the same paragraph
“Certifications and other communications” - Other information of the Consolidated report on operations.
The paragraph “Subsequent events”, with specific reference to events relating to the parent company UniCredit
S.p.A., is incorporated by reference to the paragraph “Subsequent events” - Other information of the Consolidated
report on operations.
The paragraph “Outlook” is incorporated by reference to the paragraph “Outlook” of the Consolidated report on
operations.
The paragraph “Contributions to Resolution and Guarantee Funds” is incorporated by reference to the paragraph
“Contributions to Resolution and Guarantee Funds Part C - Consolidated income statement - Section 12
Administrative expenses - Item 190 of the Notes to consolidated accounts.
The paragraph “Introduction” is incorporated by reference to the paragraph “Introduction” of Part E - Information on
risks and hedging policies of the Notes to consolidated accounts.
Part C - Income statement -
Section 10 - Other
administrative expenses -
Item 160
Part E - Information on risks
and hedging policies -
Introduction
740 2019 Annual Report and Accounts · UniCredit
Incorporations of qualitative information by reference
Part E - Information on risks
and hedging policies - Section
1 - Credit risk - Qualitative
information
Qualitative information relating to “1. General aspects”, “2. Credit risk management policies”, “3. Non-performing
credit exposure”, “4. Commercial renegotiation of financial assets and forborne exposures” is incorporated by
reference to the same paragraphs of Part E - Information on risks and hedging policies Section 2 - Risks of
prudential perimeter - 2.1 Credit risk - Qualitative information of the Notes to consolidated accounts.
Part E - Information on risks
and hedging policies - Section
1 - Credit risk - Quantitative
information
The paragraph “Strengthening of the rundown strategy for Non Core perimeter” is incorporated by reference to the
relevant paragraph “The strengthening of the rundown strategy of the Non Core perimeter” in Part E - Information
on risks and hedging policies - Section 1 Risks of the accounting consolidated perimeter of the Notes to
consolidated accounts.
Concerning the classification of credit exposure, of loan commitments and financial guarantees given based on
internal and external ratings in force for the UniCredit group reference is made to the paragraph of Part E -
Information on risks and hedging policies - Section 2 - Risks of the prudential consolidated perimeter of the Notes
to consolidated accounts.
Quantitative information regarding the sales of financial assets to Investment Funds, receiving as consideration
units issued by the same Funds in entirely incorporated by reference to Part E - Information on risks and hedging
policies – Section 2 - Risks of the prudential consolidated perimeter of the Notes to consolidated accounts.
The paragraph “E.4 Covered bond transaction” is incorporated by reference to the paragraph “D.4 Covered bond
transaction” Section 2 - Risks of the prudential consolidated perimeter - 2.1 Credit risk - Qualitative information Part
E - Information on risks and hedging policies of the Notes to consolidated accounts.
Part E - Information on risks
and hedging policies - Section
2 - Market risk
Qualitative information as introduction (“Risk management strategies and processes”, “Structure and organisation”,
“Risk measurement and reporting systems”, “Hedging policies and risk mitigation”, “Internal model for price,
interest rate and exchange rate risk of the Regulatory trading book”) is incorporated by reference to qualitative
information of paragraph of Part E - Information on risks and hedging policies - Section 2 - Risk of the prudential
consolidated perimeter - 2.2 Market risk of the Notes to consolidated accounts.
Qualitative information of “2.1 Interest rate risk and price risk - Regulatory trading book”, “2.2 Interest rate and price
risk - Banking book” and “2.3 Exchange rate risk” is incorporated by reference to qualitative information of
paragraph of Part E - Information on risks and hedging policies - Section 2 - Risk of the prudential consolidated
perimeter - 2.2 Market risk of the Notes to consolidated accounts.
Quantitative information of paragraph “3. Regulatory trading portfolio: internal models and other methods for
sensitivity analysis” of Interest rate risk and price risk - Regulatory trading book and of “2. Internal models and
other methodologies for sensitivity analysis” of Exchange rate risk is incorporated by reference to qualitative
information of paragraph of Part E - Information on risks and hedging policies - Section 2 - Risk of the prudential
consolidated perimeter - 2.2 Market Risk of the Notes to consolidated accounts.
Information on “Credit spread risk” and “Stress test” are incorporated by reference to the relevant paragraphs in
Section 2 - Risk of the prudential consolidated perimeter - 2.2 Market risk of the Notes to consolidated accounts.
Part E - Information on risks
and hedging policies - Section
4 - Liquidity risks
Qualitative information is incorporated by reference to qualitative information of paragraph of Part E Information on
risks and hedging policies Section 2 - Risk of the prudential consolidated perimeter - 2.4 Liquidity risk of the Notes
to consolidated accounts.
UniCredit ·2019 Annual Report and Accounts 741
Incorporations of qualitative information by reference
Part E - Information on risks
and hedging policies - Section
5 - Operational risk -
Qualitative information
The paragraph “A. General aspects, operational processes and methods for measuring operational risk” is
incorporated by reference paragraph “A. General aspects, operational processes and methods for measuring
operational risk” of Part E - Information on risks and hedging policies - Section 2 - Risk of the prudential
consolidated perimeter - 2.5 Operational risks of the Notes to consolidated accounts.
The paragraph “B. Risks arising from legal disputes” is incorporated by reference to paragraph “B. Risks arising
from legal disputes” of Part E - Information on risks and hedging policies - Section 2 - Risk of the prudential
consolidated perimeter - 2.5 Operational risks of the Notes to consolidated accounts.
The paragraph “C. Risks arising from employment law cases” is incorporated by reference to paragraph “Risks
arising from employment law cases” of Part E - Information on risks and hedging policies - Section 2 - Risk of the
prudential consolidated perimeter - 2.5 Operational risks of the Notes to consolidated accounts.
The paragraph “D. Risks arising from tax disputes is incorporated by reference to paragraph “D. Risks arising from
tax disputes” Part E - Information on risks and hedging policies - Section 2 - Risk of the prudential consolidated
perimeter - 2.5 Operational risks of the Notes to consolidated accounts.
Quantitative information are incorporated by reference to the relevant paragraph in Part E - Information on risks
and hedging policies - Section 2 - Risk of the prudential consolidated perimeter - 2.5 Operational risks of the Notes
to consolidated accounts.
Qualitative information of paragraphs “Other risks included in Economic Capital”, “Reputational risk” and “Top and
emerging risk” is incorporated by reference to qualitative information in different paragraph of Part E - Information
on risks and hedging policies - Section 2 - Risk of the prudential consolidated perimeter - 2.6 Other risks of the
Notes to consolidated accounts.
Part E - Information on risks
and hedging policies - Section
5 - Operational risk -
Quantitative information
Part E - Information on risks
and hedging policies - Section
6 - Other risk
Part F - Shareholders’ equity
Part H - Related-party
transactions
Part I - Share-based
payments
The paragraph “A. Qualitative information” is incorporated by reference to paragraph “A. Qualitative information” of
Part F - Consolidated shareholders’ equity of the Notes to consolidated accounts.
The paragraph “Introduction” and the qualitative information of paragraph “2. Related-party transactions” are
incorporated by reference paragraphs “Introduction” and “2. Related-party transactions” of Part H - Related-party
transactions of the Notes to consolidated accounts.
The paragraph “A. Qualitative information” and paragraph “B. Quantitative information -1. Annual changes” are
incorporated by reference to paragraphs “A. Qualitative information” and “1 B. Quantitative information -1. Annual
changes” of Part I - Shared base payments of the Notes to consolidated accounts.
Annex 4 - Securitisations -
qualitative tables
Information is incorporated by reference to information in Annex 3 - Securitisations - qualitative tables of the
consolidated financial statements.
Annex 5 - Sales of financial
assets to investment funds,
receiving as consideration
units issued by the same
funds - qualitative tables
Information is incorporated by reference to information in Annex 4 - Sales of financial assets to investment funds,
receiving as consideration units issued by the same funds - qualitative tables of the consolidated financial
statements.
742 2019 Annual Report and Accounts · UniCredit
Incorporations of qualitative information by reference
UniCredit ·2019 Annual Report and Accounts 743
Incorporations of qualitative information by reference
744 2019 Annual Report and Accounts · UniCredit
Glossary
Glossary
ABB Accelerated Bookbuild
An accelerated bookbuild is a form of offering in the equity capital markets of material stake of a company’s share to institutional investors.
ABCP Conduits - Asset Backed Commercial Paper Conduits
Asset Backed Commercial Paper Conduits are a type of “SPV - Special Purpose Vehicle” (see item) set up to securitise various types of assets and
financed by Commercial Paper (see item).
Commercial Paper generally matures in 270 days, with payment of principal and interest depending on the cash flow generated by the underlying
assets.
ABCP Conduits may be single-sellers or multi-sellers according to the number of issues they make. Conduits generally require several SPVs. The
first-level vehicles issue the Commercial Paper and finance one or more second-level vehicles or Purchase Companies (see item) which purchase
the assets to be securitised.
An ABCP Conduit will have the following:
issues of short-term paper creating a maturity mismatch between the assets held and the paper issued;
liquidity lines covering the maturity mismatch; and
security covering default risk in respect of both specific assets and the entire programme.
ABS - Asset Backed Securities
Debt securities, generally issued by an “SPV - Special Purpose Vehicle” (see item) guaranteed by assets of various types such as mortgage loans,
consumer credits, credit card receivables, etc. Principal and interest payments are subject to the performance of the securitised assets and the
existence of any further security guaranteeing the bond. ABSs are divided into tranches (senior, mezzanine and junior) according to the priority with
which principal and interest will be paid.
Acquisition Finance
Finance for business acquisition operations. The most common form of Acquisition Finance is the leveraged buy-out (see Leveraged Finance).
Affluent
Banking customer segment whose available assets for investment are regarded as moderate to high.
Allocated capital
It represents the amount of capital absorbed by the Group and the Divisions to perform their business activities and to cover all the types of related
risks. It is measured by Regulatory Capital obtained by multiplying risk-weighted assets by target Common Equity tier 1 ratio, plus certain regulatory
deductions (e.g. shortfall, securitisations, equity exposures). If calculated as actual figure it can be also titled Absorbed Capital.
ALM - Asset & Liability Management
Integrated management of assets and liabilities, designed to allocate resources in such a manner as to optimise the risk/return ratio.
AMA (Advanced Measurement Approach)
Applying this methodology the operational risk requirement is obtained with calculation models based on operational loss data and other evaluation
elements collected and processed by the bank. Admittance threshold and specific suitability requirements have been provided for the use of the
standardised and advanced approaches. For the AMA approach the requirements concern, beside the management system, also the measurement
system.
Asset allocation
Decisions to invest in markets, geographical areas, sectors or products.
Asset management
Activities of management of the financial investments of third parties.
UniCredit ·2019 Annual Report and Accounts 745
Glossary
ATM - Automated Teller Machine
Automated machine that allows customers to carry out operations such as withdrawing cash, paying in cash or checks, requesting account
information, paying utility bills, topping up mobile phone credits, etc.
The customer activates the terminal by inserting a smart card and entering his/her Personal Identification Number.
Audit
Process of controlling a company's activities and accounting, carried out either by an internal body (internal audit) or by an external firm of auditors
(external audit).
Back-testing
Statistical technique which entails the comparison of model estimates of risk parameters with the ex-post empirical evidences.
Bad Loans (“Sofferenze”)
Exposures to borrowers in a state of insolvency (even when not recognised in a court of law) or in an essentially similar situation, regardless of any
loss forecasts made by the bank (i.e. irrespective of whether any, secured or personal, guarantees covering the exposures).
Banking Book
Used in relation to financial instruments, particularly securities, this term identifies the portion of such portfolios intended for "proprietary" activities.
Bank Levy
Charges applied at national level specifically to financial institutions, mainly based on Balance Sheet figures, or parts of it.
Basel 2
New international capital agreement redefining the guidelines for determining the minimum capital requirements for banks.
The new prudential regulations, which came into force in Italy in 2008, are based on three pillars.
Pillar 1: while the objective of a level of capitalisation equivalent to 8% of the risk-weighted exposures remains unchanged, a new set of rules has
been defined for measuring the typical risks associated with banking and financial activities (credit risk, counterparty risk, market risk and
operational risk) which provides for alternative calculation methods characterised by different levels of complexity, with the ability to use internally
developed models subject to prior authorisation by the Regulatory Authority;
Pillar 2: this requires the banks to have processes and tools for determining the adequate level of total internal capital (Internal Capital Adequacy
Assessment Process - ICAAP) for covering all types of risk, including risks other than those covered by the overall capital requirement (Pillar 1),
within the framework of an evaluation of current and future exposure that takes account of strategies and of changes in the reference context. It is
the Regulatory Authority's task to examine the ICAAP process, formulate an overall judgment and, where necessary, apply the appropriate
corrective measures;
Pillar 3: this introduces obligations to publish information concerning capital adequacy, exposure to risks, and the general characteristics of the
systems used for identifying, measuring and managing those risks.
Basel 3
As a consequence of the crisis that, since 2008 has hit the financial markets, the Basel Committee on Banking Supervision has approved the
substantial enhancement of the minimum capital requirements and the changes to the rules on the liquidity of banks (Basel 3) by providing for the
gradual introduction of the new prudential requirements as at 1 January 2014. These rules have been implemented at the European level through
the CRDIV “Package”.
Best practice
Behaviour commensurated with the most significant experience and/or the best level of knowledge achieved in relation to a given technical or
professional field.
CBO - Collateralised Bond Obligations
CDO - Collateralised Debt Obligations (see item) with bonds as underlyings.
746 2019 Annual Report and Accounts · UniCredit
Glossary
CCF - Credit Conversion Factor
Ratio between (a) the unused portion of the line of credit that it is estimated may be used in the event of default and (b) the portion currently unused.
CDO - Collateralised Debt Obligations
Bonds issued by a vehicle with loans, bonds, ABS - Asset Backed Securities (see item) or other CDOs as underlyings. CDOs make it possible to
derecognise assets in the bank’s balance sheet and also to arbitrage the differences in yield between the securitised assets and the bonds issued
by the vehicle.
CDOs may be funded if the vehicle legally acquires title to the assets or unfunded if the vehicle acquires the underlying risk by means of a CDS -
Credit Default Swap (see item) or similar security.
These bonds may be further subdivided as follows:
CDOs of ABSs, which in turn have tranches of ABSs as underlyings;
Commercial Real Estate CDOs (CRE CDOs), with commercial property loans as underlyings;
Balance Sheet CDOs which enable the Originator (see item), usually a bank, to transfer its credit risk to third investors, and, where possible under
local law and supervisory regulations, to derecognise the assets from its balance sheet;
Market Value CDOs whereby payments of interest and principal are made not only out of cash flow from the underlying assets, but also by trading
the instruments. The performance of the notes issued by the vehicle thus depends not only on the credit risk, but also on the market value of the
underlyings;
Preferred Stock CDOs with hybrid debt/equity instruments or Preference shares (see item) issued by financial institutions;
Synthetic Arbitrage CDOs which arbitrage the differences in yield between the securitised assets acquired synthetically by means of derivatives
and the bonds issued by the vehicle.
CDS - Credit Default Swap
A derivative in which a seller of protection engages, for a fee, to pay the buyer of protection a fixed amount should a certain event indicating a
deterioration of the creditworthiness of a reference entity occur.
CEO
Chief Executive Officer.
CFO
Chief Financial Officer.
CGU - Cash Generating Unit
A cash-generating unit is the smallest identifiable group of assets that generates cash inflows that are largely independent of the cash inflows from
other assets or groups of assets.
CIU - Collective Investment Undertakings
Collective Investment Undertaking means an UCITS “Undertakings for Collective Investments in Transferable Securities” that may be constituted in
accordance with contract law (as common funds managed by management companies), trust law (as unit trusts), or statute (as investment
companies), an AIF (Alternative Investments Fund) or a non-EU AIF.
CLO
Chief Lending Officer.
CLO - Collateralised Loan Obligations
CDO - Collateralised Debt Obligations (see item) with loans made by authorised lenders such as commercial banks as underlyings.
CMBS - Commercial Mortgage Backed Securities
ABS - Asset Backed Securities (see item) with commercial mortgages as underlyings.
Commercial Paper
Short-term securities issued to raise funds from third-party subscribers as an alternative to other forms of debt.
Commodity risk
The risk that the value of the instrument decreases due to commodity prices (e.g. gold, crude oil) changes.
Corporate
Customer segment consisting of medium to large businesses.
UniCredit ·2019 Annual Report and Accounts 747
Glossary
Cost/Income Ratio
The ratio between operating expenses and operating income. It is one of the main key performance indicators of the bank’s efficiency: the lower the
ratio, the more efficient the bank.
Cost of risk
The annualised ratio between loan loss provisions and average net volumes of loans and receivables with customers. It is one of the indicators of
the bank assets’ level of risk: the lower the ratio, the less risky the bank assets.
Counterparty Credit Risk
The risk that the counterparty to a transaction involving financial instruments might default prior to completing all agreed cash-flows exchanges.
Covenant
A loan agreement clause whereby the lender is entitled to restructure or call in the loan on occurrence of the events specified in the clause, which
ties changes in the borrower’s profits and financial situation to events of default or restructuring (modifying e.g. the repayment schedule or the
interest rate charged).
Covered bond
A bond which, as well as being guaranteed by the issuing bank, may also be covered by a portfolio of mortgages or other high-quality loans
transferred, to this end, to a suitable SPV - Special Purpose Vehicle (see item).
CRD (Capital Requirement Directive)
EU directives No.2006/48 and 2006/49, incorporated into Banca d’Italia Circular No.263/2006 of 27 December 2006 as amended.
The CRDIV “Package” has replaced the two aforementioned Directives and consists of the EU Directive 2013/36 on the taking up of the business of
credit institutions and prudential supervision and the EU Regulation 575/2013 on prudential requirements, incorporated into Banca d’Italia Circular
285 of 17 December 2013 as amended.
CRDV
Amendment to the CRDIV “Package”.
Credit risk
The risk that an unexpected change in the creditworthiness of a counterparty, the value of the guarantees provided by it or the margins used by it in
the event of insolvency might produce an unexpected change in the value of the bank's credit position.
Credit Valuation Adjustment (CVA)
It is the adjustment to the valuation of a portfolio of transactions reflecting the market value of the counterparties' credit risk.
CRM
Credit Risk Mitigation is a set of techniques, contracts accessories to the loan or other instruments (e.g. securities, guarantees), which allows a
reduction of the credit risk capital requirements.
CRO
Chief Risk Officer.
CRR (Capital Requirements Regulation)
Regulation EU no. 575/2013 of the European Parliament and of the Council of 26 June 2013, and subsequently amendment in Regulation (EU)
2019/876 of the European Parliament and of the Council of 20 May 2019 (“CRR2”), on prudential requirements for credit institutions and investment
firms and that amending Regulation (EU) No 648/2012.
Currency risk
The risk that the value of the instrument decreases due to foreign exchange rates changes.
Daily VaR
It reflects the Value at Risk risk measures calibrated to a 1-day holding period to compare with the 99% confidence level with its trading outcomes.
748 2019 Annual Report and Accounts · UniCredit
Glossary
Default
A party's declared inability to honor its debts and/or the payment of the associated interest.
Duration
This is generally calculated as the weighted average of the maturities for payment of the interest and capital associated with a bond, and represents
an indicator of the interest rate risk to which a security or a bond portfolio is subject.
EAD - Exposure at Default
With reference to the on-balance and off-balance sheet positions, EAD is defined as the estimation of the future value of an exposure at the time of
the debtor’s default. Only banks that meet the requirements for adopting the IRB - Internal Rating Based (see item) advanced approach are allowed
to estimate EAD (see item). Other banks are required to refer to regulatory estimations.
Earnings at risk perspective
The focus of the analysis is the impact of changes of interest rates on Net Interest Income that is the difference between the revenues generated by
interest sensitive assets and the cost relating to interest sensitive liabilities.
EBA - European Banking Authority
The European Banking Authority is an independent EU Authority which works to ensure effective and consistent prudential regulation and
supervision across the European banking sector. Its overall objectives are to maintain financial stability in the EU and to safeguard the integrity,
efficiency and orderly functioning of the banking sector.
ECAI
External Credit Assessment Institution.
ECB
The European Central Bank is the central bank for Europe's single currency, the euro. The ECB's main task is to preserve the purchasing power of
the single currency thus ensuring the maintenance of price stability in the Euro area.
Economic capital
Capital level that is required to cover the bank’s losses that may occur with at a time horizon of one year and a certain probability or confidence
level. Economic Capital is a measure of the variability of the Expected Loss of the portfolio and depends on the degree of diversification of the
portfolio itself.
Economic value perspective
Variation in interest rates can affect the economic value of assets and liabilities.
EL
Expected Losses are the losses recorded on average over a one year period on each exposure (or pool of exposures).
EPS - Earnings Per Share
An indicator of a company’s profitability calculated as: Net Profit divided by Average total outstanding shares (excluding treasury shares).
Equity risk
The risk that the value of the instrument decreases due to stock or index prices changes.
Expected Shortfall
Risk measure representing the expected loss of a portfolio or a counterparty calculated in the scenarios of loss exceeding the VaR.
EVA - Economic Value Added
EVA is equal to the difference between the Net Operating Profit After Tax (“NOPAT” Net Operating Profit After Tax - see item) and the cost of the
allocated capital. It expresses the ability to create value in monetary terms.
UniCredit ·2019 Annual Report and Accounts 749
Glossary
Factoring
Contract for the sale without recourse (with credit risk borne by the buyer) or with recourse (with credit risk borne by the seller) of commercial credits
to banks or specialist companies, for the purposes of management and collection. It may be associated with financing in favor of the seller.
Fair value
The sum for which, in a freely competitive market, an item can be exchanged or a liability extinguished between aware and independent parties.
FINREP
Document issued by the Committee of European Banking Supervisors (CEBS). The Committee gives advice to the European Commission on policy
and regulatory issues relating to banking supervision; it also promotes cooperation and convergence of supervisory practice across the European
Union. The objective of FINREP is to provide guidelines for the implementation of the consolidated Financial Reporting framework for supervisory
purposes; it is based on International Financial Reporting Standards (IFRSs).
Forbearance/Forborne exposures
According to EBA Implementing Technical Standards, forborne exposures consist of exposures to which forbearance measures have been
extended, i.e. concessions towards a debtor who is facing or about to face difficulties in meeting its financial commitments (“financial difficulties”).
Forwards
Forward contracts on interest rates, exchange rates or share indices, generally traded on "OTC - Over-the-Counter" (see item) markets, in which the
conditions are fixed when the contract is agreed but execution will take place at a predetermined future date, by means of the collection or payment
of differentials calculated with reference to various parameters according to the subject of the contract.
FTE - Full Time Equivalent
The number of a company’s full-time employees. Part-time employees are considered on a pro-rata temporis basis.
Full Revaluation Approach
It is a methodology behind the historical simulation approach for VaR calculation, when the value of a portfolio is estimated by the complete
revaluation of its value according to the simulation results.
Funding
Provision, in various forms, of the funds necessary to finance business activities or particular financial transactions.
Futures
Standardised contracts whereby the parties undertake to exchange money, transferable securities or goods at a preset price at a future date. These
contracts are traded on regulated markets, where their execution is guaranteed.
GDP (Gross Domestic Product)
The total market value of the products and services produced by Country residents in a given time frame.
GIV
Group Internal Validation.
GLO
Group Lending Office.
Goodwill
The additional sum paid for the acquisition of an equity interest, equal to the difference between the cost and the corresponding share of net assets,
for the portion not attributable to the identifiable assets of the acquired company.
GW BANKS
IRB calculation model - Group Wide model Financial Institution & Banks.
750 2019 Annual Report and Accounts · UniCredit
Glossary
GW MNC
IRB calculation model - Group Wide Multinational Corporate.
Hedge Fund
Speculative mutual investment fund adopting hedging techniques which generally are not used by ordinary mutual funds, in order to deliver a
constant performance, which is only hardly linked to reference markets. Hedge Funds are distinguished by a limited number of partners and require
a high minimum level of investment.
IAS/IFRS
International accounting standards issued by the International Accounting Standard Board (IASB), a private international body established in April
2001, involving representatives of the accounting professions of the principal countries and, as observers, the European Union, IOSCO
(International Organisation of Securities Commissions) and the Basel Committee. This body is the successor of the International Accounting
Standards Committee (IASC), set up in 1973 to promote harmonisation of the rules for the preparation of company accounts. When the IASC
became the IASB, it was decided, among other things, to name the new accounting principles "International Financial Reporting Standards" (IFRS).
At international level, work is currently underway to harmonise the IAS/IFRS with the US GAAP - United States Generally Accepted Accounting
Principles (see item).
ICAAP - Internal Capital Adequacy Assessment Process
See "Basel 2 - Pillar 2".
ILC
IRB calculation model - Italian Large Corporate.
Impaired loans
Loans are subjected to periodic examination in order to identify those which, following events occurring after their entry in the accounts (at the
market value, normally equal to the disbursed amount including the transaction costs and revenues directly attributable to the disbursement of the
loan), show objective signs of a possible loss of value. This category includes loans that have been classed as bad, doubtful, restructured or
overdue, in accordance with Banca d’Italia rules consistent with IAS/IFRS (see item).
Impairment
Within the framework of the IAS/IFRS (see item), this refers to the loss of value of a balance sheet asset, recorded when the book value is greater
than the recoverable value, i.e. the sum that can be obtained by selling or using the asset.
Index linked
Policies whose performance at maturity depends on a benchmark parameter that may be a share index, a basket of securities or another indicator.
Interest rate risk
The risk that the value of the instrument decreases due to interest rates changes.
Investor
Any entity other than the Sponsor (see item) or Originator (see item) with exposure to a securitisation.
UniCredit ·2019 Annual Report and Accounts 751
Glossary
IPRE
Income Producing Real Estate.
IRB - Internal Rating Based
Method for determining the capital needed to cover credit risk within the framework of Pillar 1 of Basel 2 (see item). The rules are applied to the
exposures of the banking portfolio. Furthermore, in the IRB methods the risk weightings of the assets are determined on the basis of the bank's own
internal evaluations of the debtors (or, in some cases, of the transactions). Using systems based on internal ratings, the banks determine the
weighted risk exposure. The IRB methods consist of a basic method and an advanced method, which differ in terms of the risk parameters that the
bank must estimate: in the basic method, the banks use their own estimates for "PD - Probability of Default” and the regulatory values for the other
risk parameters; in the advanced method, the banks use their own estimates for " PD - Probability of Default ", "LGD - Loss Given Default", "CCF -
Credit Conversion Factors" and, where provided for, "M - Maturity" (see item). The use of IRB methods for the calculation of capital requirements is
subject to authorisation of Banca d’Italia.
IRC
Incremental Risk Charge is a measure of potential losses arising from default and migration risks of unsecuritised credit products over a 1-year
capital horizon at a 99.9% confidence level, taking into account the liquidity horizons of individual positions.
IRS - Interest Rate Swap
See "Swap".
Joint venture
Agreement between two or more companies for the conduct of a given economic activity, usually through the constitution of a joint stock company.
Junior, Mezzanine and Senior exposures
In a securitisation transaction, the exposures may be classified as follows:
junior exposures are the last to be repaid, and consequently absorb the first loss produced by the securitisation transaction;
mezzanine exposures are those with medium repayment priority, between senior and junior;
senior exposures are the first to be repaid.
Ke
The cost of equity is the minimum return on investment required by the shareholder. It is the sum of a risk-free rate and an additional spread
remunerating the shareholder for the credit risk and the volatility of the share price. The cost of capital is based on medium/long term averages of
market parameters.
KPI - “Key Performance Indicators”
Set of indicators used to evaluate the performance of a business activity or process.
LCR (Liquidity Coverage Ratio)
The ratio of a credit institution’s liquidity buffer to its net liquidity outflows over a 30 calendar day stress period.
Leasing
Contract whereby one party (the lessor) grants to another party (the lessee) for a given period of time the enjoyment of an asset purchased or built
by the lessor at the choice and on the instructions of the lessee, with the latter having the option of acquiring ownership of the asset under
predetermined conditions at the end of the leasing contract.
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Glossary
Leveraged finance
Loans provided mainly to Private Equity funds in order to finance the acquisition of a company through a financial transaction based on the cash flow
generation capacity of such target company. This can result in a higher level of debt and therefore a higher level of risk. Leveraged finance may be
syndicated.
LGD - Loss Given Default
Expected value (which may be conditional upon adverse scenarios) of the ratio, expressed as a percentage, between the loss giving rise to the
default and the amount of exposure at the time of the default (“EAD - Exposure At Default”, see item).
Liquidity risk
The risk of the company being unable to meet its payment commitments due to the inability to mobilise assets or obtain adequate funding from the
market (funding liquidity risk) or due to the difficulty/impossibility of easily liquidating positions in financial assets without significantly and
unfavourably affecting the price because of insufficient depth or temporary malfunction of the financial market (market liquidity risk).
M - Maturity
The average, for a given exposure, of the residual contractual maturities, each weighted for the relevant amount.
Market risk
The effect that changes in market variables might have on the economic value of the Group's portfolio, where this includes both the assets held in
the Trading Book and those entered in the Banking Book, or the operations connected with the characteristic management of the commercial bank
and its strategic investment choices.
MDA
Maximum Distributable Amount, i.e. a limit to the distributable profits in order to preserve the Combined Buffer Requirement.
Medium Term Note
Bond with a maturity of 5 - 10 years.
Non-Performing Exposures
According to EBA Implementing Technical Standards, Non-Performing Exposures are debt instruments and off-balance sheet exposures which
satisfy either or both of the following criteria: (i) material exposures which are more than 90 days past-due; (ii) the debtor is assessed as unlikely to
pay its credit obligations in full without realisation of collateral, regardless of the existence of any past-due amount or of the number of days past
due.
NOPAT - Net Operating Profit After Tax
Net Operating Profit after tax and minority interests, adjusted by elements that would not allow to assess the capability to create value through
ordinary operations, such as extraordinary expenses and earnings.
It represents the share of Group Net Profit produced by typical business activities, gross of the costs of capital.
Operational risk
The risk of losses due to errors, violations, interruptions, damages caused by internal processes, personnel or systems, or by external events. This
definition includes legal and compliance risk, but excludes strategic and reputational risk.
For example, operational risks include losses deriving from internal or external fraud, employment contracts and employment protection regulations,
customer claims, distribution of products, fines and other sanctions arising from breaches of regulations, damages to the company’s assets,
interruption of operations, malfunction of systems and the management of processes.
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Glossary
Option
The right, but not the commitment, acquired by the payment of a premium, to buy (call option) or sell (put option) a financial instrument at a given
price (strike price) by or at a determined future date (American option/European option).
Originator
The entity that originated the assets to be securitised or acquired them from others.
OTC - Over the counter
Over-the-counter (OTC) trading consists of the exchange of financial instruments such as shares, bonds, derivatives or goods directly between two
counterparties. The OTC markets do not have standardised contracts or buying/selling procedures and are not associated with a set of rules
(admissions, controls, obligations of information, etc.) like those that govern the official markets.
Past Due
Problematic exposures that, at the reporting date, are more than 90 days past due on any material obligation, as required by the relevant prudential
regulation. Past due can be determined either at individual debtor or at single transaction level according to the relevant local prudential regulation.
Payout ratio
It indicates the percentage of net income that is distributed to shareholders. The percentage distributed is determined mainly on the basis of the
company’s self-financing needs and the return expected by shareholders.
PD - Probability of Default
Probability of a counterparty entering into a situation of "default" (see item) within a time horizon of one year.
Preference shares
Capital instruments that associate forms of remuneration tied to market rates with particularly pronounced subordination conditions, such as non-
recovery in subsequent years of the interest not paid by the bank and bearing a share of its losses in the event that these produce a significant
reduction in the capital requirements. The regulatory authorities set the conditions under which preference shares may be counted among the core
capital of banks and banking groups.
Private banking
Financial services targeting the so-called "high-end" individual customers for the global management of financial needs.
Private equity
Investments in the risk capital of companies, generally unlisted but with high growth potential and the ability to generate constant cash flows.
Investments in private equity include a wide range of operations that vary according to both the development phase of the company concerned and
the investment techniques used. These techniques include closed-end private equity funds.
Purchase companies
Vehicle used by “ABCP Conduits - Asset Backed Commercial Paper Conduits” (see item) to purchase the assets to be securitised and subsequently
financed by the Conduit vehicle by means of commercial paper.
Rating
Evaluation of the quality of a company or its issues of debt securities on the basis of the company's financial soundness and prospects. This
evaluation is made either by specialist agencies or by the bank on the basis of internal models.
Retail
Customer segment consisting principally of private individuals, self-employed professionals, traders and artisans.
RIC
IRB calculation model - Integrated Corporate Rating.
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Glossary
RIP
IRB calculation model - Integrated Private Rating.
RISB
IRB calculation model - Integrated Private Rating.
RMBS - Residential Mortgage Backed Securities
Asset Backed Securities (see item) with residential mortgages as underlyings.
ROA - Return On Asset
Ratio between Net Profit/(Loss) of the year and Total Assets as per IFRS balance sheet.
ROAC - Return On Allocated Capital
Annualised ratio between the net profit and the average allocated capital. It shows in percentage terms the earning capacity for absorbed capital
units. A corrective factor is applied to divisional net profit where capitalisation is substantially higher than Group’s target.
ROTE - Return on Tangible Equity
Annualised ratio between the net profit and the average tangible equity. Tangible Equity is defined as Shareholders’ equity (including Consolidated
Profit of the period) less intangible assets (goodwill and other intangibles), less AT1 component. Dividend pay-out is accounted for on a cash basis.
RWA - Risk Weighted Assets
On-balance sheet assets and off-balance sheet assets (derivatives and guarantees) classified and weighted by different coefficients referring to
risks, following banking rules issued by local Supervisors (i.e. Banca d’Italia, Bafin, etc.), to calculate solvency ratios.
Securitisation
Transfer of a portfolio of assets to an “SPV - Special Purpose Vehicle” (see item) and the issue of securities with various levels of seniority to meet
any default by the underlying assets.
Securitisations can be:
traditional: method of securitisation whereby transfer of the assets is by means of sale of the portfolio to the “SPV - Special Purpose Vehicle” (see
item);
synthetic: method of securitisation whereby the transfer of assets is by means of credit derivatives or similar security enabling the risk of the
portfolio to be transferred.
Sensitivity
The greater or lesser degree of sensitivity with which certain assets or liabilities react to changes in rates or other reference parameters.
SFA
Supervisory Formula Approach.
SME
Small and Medium Enterprises.
Sponsor
An entity other than the Originator (see item) which sets up and manages an ABCP conduit or other securitisation scheme where assets are
acquired from a third entity for securitisation.
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Glossary
SPV - Special Purpose Vehicles
An entity, partnership, limited company or trust, set up to carry out a set object, such as isolating financial risk or obtaining special regulatory or tax
treatment for specific portfolios of financial assets.
SPV’s operations are accordingly limited by a set of rules designed for this purpose.
In general SPVs’ sponsors (see item) do not hold equity in them. The equity is held by other entities in order to ensure that there is no shareholder
relationship with the Sponsor (see item). SPVs are usually bankruptcy-remote, in that their assets cannot be claimed by the creditors of the sponsor,
even if the latter becomes insolvent.
Stress Test
Risk measure complementary to the VaR, that allows a portfolio analysis with stress exercises by the application of simple and complex scenarios.
Subprime (Residential Mortgages)
Although Subprime has no univocal definition, this category includes mortgages granted to borrowers who have had repayment difficulties in the
past, e.g. delayed installments, insolvency or bankruptcy, or who are more likely to default than the average due to high loan-to-value and
installment-to-income ratios.
SVaR - Stressed VaR
Stressed VaR is a quantification of exposures to particular extreme losses that can be inflicted to a Bank during market tensions, by modeling the
portfolio response conditional on historical data from a (continuous 12-month) period of significant financial stress.
Swap
A transaction that generally consists of the exchange of financial streams between operators according to different contractual arrangements.
In the case of an interest rate swap (IRS), the counterparties exchange payment streams that may or may not be linked to interest rates, calculated
on a notional principal amount (for example, one counterparty pays a stream on the basis of a fixed rate, while the other does so on the basis of a
variable rate).
In the case of a currency swap, the counterparties exchange specific amounts in two different currencies, with these amounts being exchanged back
in due course according to predefined arrangements that may concern both the capital (notional) and the streams of interest payments.
Tangible Equity
Shareholders’ equity (including consolidated profit of the period) less intangible assets (goodwill and other intangibles), less AT1 component;
dividend pay-out is accounted for on a cash basis.
TLAC -Total Loss Absorbing Capacity
TLAC represents the indicator of the Total Loss Absorbing Capacity, a new Pillar I requirement established by the Regulation (EU) 2019/876 (CRR
II), entered into force on 27 June 2019, for Global Systemically Important Banks (G-SIBs). The TLAC standard requires G-SIBs, to hold a sufficient
amount of highly loss absorbing liabilities.
Tier 1 Capital
The most reliable and liquid part of a bank’s capital, as defined by regulatory rules.
Tier 1 Capital Ratio
The percentage of a bank’s Tier 1 Capital to its risk weighted assets “RWA - Risk Weighted Assets” (see item).
TSR - Total Shareholder Return
It is the full reward, in terms of capital gain and dividends, that a shareholder gets from holding one share.
UCITS - Undertakings for Collective Investment in Transferable Securities
This term covers open-end real estate investment funds, both Italian and foreign, and investment companies with variable capital. The latter are joint
stock companies that have the sole purpose of collective investment of the assets gathered through a public offer of their own shares.
756 2019 Annual Report and Accounts · UniCredit
Glossary
UGRM
The pool of software applications, IT structure and database used by The Group for the financial risk analysis.
Underlying Net Profit
The principle behind the “Underlying Net Profit” is to identify the relevant recurring and sustainable profit base of the bank, which is the base for
capital distribution. It is quantified excluding the non-operating items impacting the “ordinary business” executed by the Bank, which is expected to
be in-line with assumption behind the MYP. Among the main non-operating items, both positive and negative in terms of income statement, it is
worth mentioning the disposal of real estate assets, the sale of companies, the restructuring costs, etc. This approach was considered appropriate
by the Remuneration Committee for the subsequent proposal to the Board of Directors.
Unlikely to Pay
The classification in this category is the result of the judgment of the bank about the unlikeliness, without recourse to actions such as realising
collaterals, that the obligor will pay in full (principal and/or interest) its credit obligations. This assessment should be carried out independently of the
presence of any amount (or rate) past due and unpaid.
US GAAP - United States Generally Accepted Accounting Principles
Accounting principles issued by the FASB (Financial Accounting Statement Board), generally accepted in the USA.
VaR - Value at Risk
A method used for quantifying risk. It measures potential future losses which will not be exceeded within a specified period and with a specified
probability.
Vintage
The year of issue of the collateral underlying bonds created by securitisation. In the case of subprime mortgages this information is an indicator of
the riskiness of the bond, since the practice of granting mortgages to subprime borrowers became significant in the US starting in 2005.
Warehousing
A stage in the preparation of a securitisation transaction whereby an “SPV - Special Purpose Vehicle” (see item) acquires assets for a certain period
of time until it reaches a sufficient quantity to be able to issue an ABS.
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Glossary
758 2019 Annual Report and Accounts · UniCredit
Contacts
Contacts
UniCredit S.p.A.
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Media Relations:
Tel. +39 02 88623569; e-mail: MediaRelations@unicredit.eu
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Tel. +39 02 88621034; e-mail: InvestorRelations@unicredit.eu
UniCredit ·2019 Annual Report and Accounts 759
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April 2020
The emissions related to the printing and distribution of the 2019 Annual Report and Accounts
and the 2019 Integrated Report have been compensated with the support of Officinæ Verdi, which uses
Gold Standard credits gained through the development of a landfill gas capture project in China.
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