The periodic analysis performed for internal monitoring purposes confirms that the risks assumed by customers continue to remain generally low and they outlined a conservative profile for UBI Group business in OTC derivatives with customers.
A quantitative update as at 30th June 2014 showed the following:
- the total negative mark-to-market for customers stood at 6.70% of the notional amount of the contracts, compared with 5.13% at the end of 2013;
- the notional amount for existing contracts, totalling €5.669 billion, was attributable to interest rate derivatives amounting to €5.033 billion and currency derivatives amounting to €0.617 billion. The notional amount for commodities contracts was marginal (€19 million);
- transactions in hedging derivatives accounted for 99.5% of the notional amount traded, in the case of interest rate derivatives and 97% of the notional in the case of currency derivatives;
- the net total mark-to-market value (interest rate, currency and commodities derivatives) amounted to approximately -€376 million. Those contracts with a negative mark-to-market for customers were valued at approximately -€380 million.
The rules governing trading in OTC derivatives with customers are contained in the “Policy for
the trading, sale and subscription of financial products” and in the relative regulations to
implement it, updated in 2013, as follows:
• customer segmentation and classes of customers associated with specific classes of products, stating that the purpose of the derivatives transactions must be hedging and that transactions containing speculative elements must be of a residual nature;
• rules for assessing the appropriateness of transactions, defined on the basis of the products sold to each class of customer;
• principles of integrity and transparency on which the range of OTC derivatives offered to customers must be based, in compliance with the guidelines laid down by the Italian Banking Association (and approved by the Consob) for illiquid financial products;
• rules for assessing credit exposure, which grant credit lines with maximum limits for trading with “qualified”, “professional” and “non-individual retail” counterparties and provide credit lines for single transactions for trading with individual retail counterparties, while counterparty risk is assessed on the basis of Bank of Italy circular No. 263/2006;
• rules for managing restructuring operations, while underlining their exceptional nature;
• the rules for the settlement of transactions in OTC derivative instruments with customers that are subject to verbal or official dispute;
OTC interest rate derivatives: details of instrument types and classes of customer
Data as at 30th June 2014
Type of instrument Customer classification Number of
transactions Notional MtM of which negative MtM
Purchase of caps Qualified 29 21,339,619.58 59,099.43 - 3: Professional 43 49,422,039.75 59,634.22 - 2: Non private individual retail 1,041 316,436,925.04 582,289.48 - 1: Private individual retail 1,148 126,654,955.40 242,559.79 -
Purchase of caps Total 2,261 513,853,539.77 943,582.92 -
Capped swaps Qualified 36 132,363,981.39 -2,593,335.47 -2,593,335.47
3: Professional 56 199,287,130.12 -6,673,991.41 -6,673,991.41
2: Non private individual retail 1,145 677,119,233.18 -16,214,056.07 -16,214,056.07 1: Private individual retail 2,193 235,735,648.25 -3,842,002.40 -3,842,002.40
Capped swaps Total 3,430 1,244,505,992.94 -29,323,385.35 -29,323,385.35
IRS Plain Vanilla Qualified 37 128,519,955.63 -11,783,078.18 -11,783,078.18
3: Professional 247 1,180,884,360.54 -102,087,507.88 -102,087,507.88
2: Non private individual retail 1,035 1,480,710,151.31 -148,002,216.66 -148,002,216.66 1: Private individual retail 222 39,416,469.52 -2,452,454.32 -2,452,454.32
Plain Vanilla IRS Total 1,541 2,829,530,937.00 -264,325,257.04 -264,325,257.04
IRS Step Up Qualified 2 2,962,200.38 -243,685.42 -243,685.42
3: Professional 29 258,614,013.82 -49,954,533.85 -49,954,533.85
2: Non private individual retail 42 96,479,370.81 -25,523,666.59 -25,523,666.59 1: Private individual retail 2 1,121,004.45 -165,459.56 -165,459.56
IRS Step up Total 75 359,176,589.46 -75,887,345.42 -75,887,345.42
Purchase of collars Qualified 1 5,608,069.87 -453,104.46 -453,104.46
3: Professional 1 7,500,000.00 -214,120.50 -214,120.50
2: Non private individual retail 6 4,403,045.27 -291,809.28 -291,809.28
Purchase of collars Total 8 17,511,115.14 -959,034.24 -959,034.24
Total Class 1: hedging derivatives
7,315 4,964,578,174.31 -369,551,439.13 -370,495,022.05 Class 1: % of Group total
99.62% 98.65% 99.00% 98.99%
Purchase of caps with KI/KO 3: Professional 2 17,048,329.06 -250,476.24 -250,476.24
2: Non private individual retail 4 3,978,606.97 -27,133.39 -27,133.39
Purchase of caps with KI/KO Total 6 21,026,936.03 -277,609.63 -277,609.63
Purchase of collars with KI/KO 2: Non private individual retail 1 3,208,000.00 -868,786.15 -868,786.15
Purchase of collars with KI/KO Total 1 3,208,000.00 -868,786.15 -868,786.15
IRS Convertible Qualified 1 9,292,637.91 -439,423.43 -439,423.43
3: Professional 1 222,222.22 -4,564.36 -4,564.36
2: Non private individual retail 6 8,119,202.95 -888,555.88 -888,555.88
IRS Convertible Total 8 17,634,063.08 -1,332,543.67 -1,332,543.67
Total Class 2: hedging derivatives with possible exposure 15 41,868,999.11 -2,478,939.45 -2,478,939.45
to contained financial risks
Class 2: % of Group total 0.20% 0.83% 0.66% 0.66%
3 a
IRS Range 2: Non private individual retail 11 19,800,000.00 -1,024,452.68 -1,024,452.68
IRS Range Total 11 19,800,000.00 -1,024,452.68 -1,024,452.68
Total Class 3a: partial hedging derivatives and 11 19,800,000.00 -1,024,452.68 -1,024,452.68
maximum pre-established loss
3 b
Gap floater swaps 2: Non private individual retail 1 1,951,710.00 -279,186.62 -279,186.62
Gap floater swaps Total 1 1,951,710.00 -279,186.62 -279,186.62
IRS Range stability 3: Professional 1 4,500,000.00 32,133.93 -
IRS Range stability Total 1 4,500,000.00 32,133.93 -
Total Class 3b: speculative derivatives and maximum loss 2 6,451,710.00 -247,052.69 -279,186.62
unquantifiable
Total Class 3: derivatives not for hedging 13 26,251,710.00 -1,271,505.37 -1,303,639.30
Class 3: % of Group total
0.18% 0.52% 0.34% 0.35%
Total UBI Banca Group 7,343 5,032,698,883.42 -373,301,883.95 -374,277,600.80
2
Product class
OTC currency derivatives: details of instrument types and classes of customer
Data as at 30th June 2014 Product
class Type of instrument Customer classification
Number of
transactions Notional MtM
of which negative MtM
Forward synthetic Qualified 20 10,706,238.89 63,702.19 -7,292.11 3: Professional 181 216,111,108.66 -1,243,580.25 -1,708,684.72 2: Non private individual retail 17 6,179,052.11 2,397.41 -15,979.53 Forward synthetic Total 218 232,996,399.66 -1,177,480.65 -1,731,956.36
Plafond Qualified 10 4,874,799.80 -90,672.87 -97,254.35
3: Professional 173 145,219,497.65 -888,286.51 -1,509,814.10 2: Non private individual retail 317 117,159,414.72 -544,717.48 -1,099,821.90
Plafond Total 500 267,253,712.17 -1,523,676.86 -2,706,890.35
Currency collars 3: Professional 2 1,488,714.04 598.47 -638.23 2: Non private individual retail 6 2,287,836.27 -4,315.01 -6,822.50
Currency collars Total 8 3,776,550.31 -3,716.54 -7,460.73
Vanilla currency options purchased 3: Professional 1 2,894,736.84 80,445.41 - 2: Non private individual retail 1 724,637.68 19,166.64 - Vanilla currency options purchased 2 3,619,374.52 99,612.05 -
Total Class 1: hedging derivatives 728 507,646,036.66 -2,605,262.00 -4,446,307.44 Class 1: % of Group total 77.61% 82.30% - 89.50%
2
Knock in collars 3: Professional 28 5,762,730.48 -1,971.32 -10,428.12
Knock in collars Total 28 5,762,730.48 -1,971.32 -10,428.12
Knock in forward Qualified 6 543,478.26 4,485.23 - 3: Professional 101 72,479,652.30 -147,116.84 -394,625.26 2: Non private individual retail 19 5,334,837.23 25,856.91 -4,700.08 Knock in forwards Total 126 78,357,967.79 -116,774.70 -399,325.34 New collars 3: Professional 2 5,932,452.50 20,454.98 - New collars Total 2 5,932,452.50 20,454.98 -
Total Class 2: hedging derivatives with possible exposure 156 90,053,150.77 -98,291.04 -409,753.46 to contained financial risks
Class 2: % of Group total 16.63% 14.60% - 8.25%
Knock out forwards 3: Professional 2 578,034.98 287.76 -1,423.26
Knock out forwards Total 2 578,034.98 287.76 -1,423.26
Knock out knock in forwards Qualified 6 433,213.02 4,893.89 - 3: Professional 30 10,580,243.40 11,560.31 -33,077.61 Knock out knock in forwards Total 36 11,013,456.42 16,454.20 -33,077.61 Vanilla currency options sold by the customer 3: Professional 16 7,561,760.79 -77,335.85 -77,335.85 Vanilla currency options sold by the customer Total 16 7,561,760.79 -77,335.85 -77,335.85
Total Class 3: derivatives not for hedging 54 19,153,252.19 -60,593.89 -111,836.72 Class 3: % of Group total 5.76% 3.10% - 2.25%
Total UBI Banca Group 938 616,852,439.62 -2,764,146.93 -4,967,897.62
1
OTC commodities derivatives: details of instrument types and classes of customer Data as at 30th June 2014 Type of instrument Customer classification Number of
transactions Notional MtM of which negative MtM
Commodity swaps Qualified 4 3,284,411.53 197,078.24 -101,586.00 3: Professional 24 10,357,347.01 -39,027.34 -317,589.65 2: Non private individual retail 1 1,524,000.00 15,019.00 - Commodity swaps Total 29 15,165,758.54 173,069.90 -419,175.65 Forward synthetic commodities 3: Professional 8 1,433,185.00 -27,650.00 -45,146.00 2: Non private individual retail 5 1,964,295.00 5,753.00 -13,164.00 Forward synthetic commodities Total 13 3,397,480.00 -21,897.00 -58,310.00
Vanilla options on commodities purchased 3: Professional 1 459,900.00 25,195.00 - Vanilla options on commodities purchased 1 459,900.00 25,195.00 -
Total Class 2: hedging derivatives with possible exposure
43
19,023,138.54 176,367.90 -477,485.65 to contained financial risks
Class 2: % of Group total 100.00% 100.00% - 100.00%
Total UBI Banca Group 43 19,023,138.54 176,367.90 -477,485.65
TOTAL UBI BANCA GROUP 8,324 5,668,574,461.58 -375,889,662.98 -379,722,984.07
Product class
2
OTC derivatives: first 5 counterparties by bank (figures in euro)
Data as at 30th June 2014
Bank Classification MtM of which negative MtM
UBI Banca 3: Professional -42,513,632 -42,513,632
3: Professional -27,952,297 -27,952,297
3: Professional -5,860,747 -5,860,747
3: Professional -4,790,920 -4,790,920
3: Professional -4,653,063 -4,653,063
Banca Popolare Commercio & Industria 2: Non private individual retail -6,944,778 -6,944,778
Qualified -4,017,913 -4,017,913
3: Professional -2,777,112 -2,777,112
2: Non private individual retail -2,210,841 -2,210,841
Qualified -1,618,096 -1,618,096
Banca Popolare di Ancona 2: Non private individual retail -6,664,146 -6,664,146
2: Non private individual retail -1,735,634 -1,735,634
3: Professional -1,725,087 -1,725,087
3: Professional -1,385,036 -1,385,036
3: Professional -1,191,624 -1,191,624
Banco di Brescia 3: Professional -3,695,773 -3,695,773
Qualified -2,328,425 -2,328,425
2: Non private individual retail -2,051,434 -2,051,434
3: Professional -1,673,656 -1,673,656
3: Professional -1,543,964 -1,543,964
Banca Regionale Europea 3: Professional -3,315,487 -3,315,487
2: Non private individual retail -1,892,155 -1,892,155
3: Professional -853,109 -855,684
3: Professional -845,996 -845,996
3: Professional -826,489 -826,489
Banca Popolare di Bergamo 3: Professional -3,208,870 -3,208,870
2: Non private individual retail -2,544,869 -2,544,869
2: Non private individual retail -1,260,944 -1,260,944
2: Non private individual retail -1,052,215 -1,052,215
2: Non private individual retail -1,004,098 -1,004,098
Banca Carime 3: Professional -591,803 -591,803
2: Non private individual retail -475,796 -475,796
2: Non private individual retail -304,270 -304,270
3: Professional -215,468 -222,227
2: Non private individual retail -119,186 -119,186
Banca di Valle Camonica 2: Non private individual retail -300,733 -300,733
2: Non private individual retail -279,730 -279,730
3: Professional -273,616 -273,616
3: Professional -269,411 -269,411