pnlexplanation_october_2013 cib.pdf

8/13/2019 PnLExplanation_October_2013 CIB.pdf

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P&L Explanation October 2013

Product Control, November 2013

Corporates & Investment Banking


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Management Summary

The P&L of Markets within the UniCredit Bank AG perimeter increased by +100m in October.*

UCI SpA contributed +60m, Bank Austria +7.3m so that the preliminary global monthly P&L reaches +167m.

Valued mark-to-market and limited to the trading result of UniCredit Bank AG, the month-to-date economic P&L was +148m,thereof +95m on Munich accounts.

n Rates +28m, mostly due to client driven trading in Flow and Structured IR Derivatives. Bond Portfolios experienced gains mainly on

tightening spreads

n G10 FX +8.3m, mostly Sales driven trading and CTS revenues in FX Cash cross locations

n CEE +2.1m, mostly on significantly decreasing yields in main CEE Rates and by new trading activity in STIRT and Rates/FX

n Macro Strategic Hedge (MSH) unchanged

n Equity Derivatives Trading +16m mainly due to new deals +12m, repo curve effects +3.6m, wider JPY/EUR CCS spreads -3.2m,

dividend expectations +2.0m and fair value adjustments -4.4m

n Commodities +1.9m mainly due to new deals +0.8m, time effects +0.3m and several smaller effects

n

Brokerage +3.7m mainly due to new deals +0.5m and commissions & fees +3.2mn ICT June +28m

n Core +27.5m (YtD +319m), P&L Including MtM on Banking books +78m

ICT Core PL was largely driven by the Strategic ABS portfolio (+18m), +15m relates to EPIC Plc. were various classes

were marked up to par following an announcement that are to be fully redeemed early. Elsewhere continued spread

tightening on the Spanish regional bonds lead to +6.6m on the Strategic covered bonds and sovereigns portfolio.

n Legacy -0.9m (YtD +0.8m), PnL Including MtM on Banking books -0.9m

ICT Legacy saw tightening credit spreads generate losses on short Index positions within the Structured Credit trading

Legacy area -1.6m and gains on Spanish and Italian titles within the Credit Trading Legacy area +0.7m.

n Ring Fence +1.8m (YtD +17m), P&L Including MtM on Banking Books +3m

ICT Ring fence PL was driven by the Structured Credit Trading area +1.3m with the Index positions outperforming the

CDS's.n Markets Management +13m mainly due to Credit Value Adjustments +27m and Own Credit Spreads effects -9.7m

n Treasury +88m o/w Italy +52m / Germany +29m / Austria +6.8m

n Financing & Advisory (outside Markets) +15m mainly due to new deals (e.g. IT0004966401, XS0982584004 +7.4m, equity spot

(e.g. New Smith Inv.) +0.9m and commission and fees +6.2m

Disclaimer: Preliminary results as available on 20/11/2013. Fair Value Adjustments are based on values as of October 2013.

*All values in EUR


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Rates (MMZ)Trading Result

Rates (MMZ) MtD +28m (YtD +436m) thereof Fair Value Adjustments (incl. Model Risk) MtD 0 (YtD +25.4m),

Investment Benefits +4.1m (YtD +40.7m).

n Flow Derivatives (MMZ1) +11.6m

EUR Desk Milan +3.8m, mainly due to new trading activity +2.0m (in particular, hedging operations on Mediobanca issue

executed on Oct 18th and hedge of UC Lower Tier2 issue on Oct 21st) and by an OIS adjustment +1.2m, IR delta and IR

vega unchanged, theta -0.1m. Monthly release of accruals on the Republic of Italy deal +0.4m and Investment Benefits

+0.4m.

EUR Desk Munich +3.2m, mainly due to trading (+3.4m, mainly three new fwd starting 250m CHF-EUR CS) partially offset by

market moves, mainly theta -0.6m, IR delta (+0.3m, mainly on USD curve flattening on short end -25bp and USD Xccy and

USD 6m/3m basis tightening -9bp respective -0.4bp) and Bnd./Fut.spreads +0.2m. Fair Value Adjustments +0.1m,

Investment Benefits +0.3m and Brokerage Fees -0.5m.

Non-EUR Desk +4.0m, mainly due to trading (+4.6m, mainly 105m IRS restructuring and LIB margins on placements and

hedge coordination), partially offset by marked moves mainly on IR delta (-1.0m, due to EUR curve flattening on belly -12bpand EUR 6m/3m basis spread tightening -0.6bp) and theta -0.9m. Fair Value Adjustments +0.6m, Investment Benefits

+1.0m and Fees -0.3m.

CTS (Non-UCB): CTS Italy +0.5m, CTS Vienna +0.1m.

n Euro Government Bonds trading (MMZ2) +7.2m

Milan +1.1m, mainly +1.0m from Italian govies spread tightening on short term. Bond cash position stable at 1.5bln, duration

around 2 months. Investment Benefits -0.2m.

UC SpA Italy +7.5m, due to IR delta +2.5m (steepening of EUR Swap curve) and Bnd./Fut. spread tightening +2.5m, trading

+1.2m and theta +1.0m. Bond cash position stable at +2.2bln, duration approx 3y.

Munich -1.4m, mainly on Government Bond portfolios -2.3m (new deals -1.1m and bond/futures spreads -0.6m), partially

offset by SSA Bonds with Bond spread tightening +1.0m and Sovereign CDS credit spreads -0.5m. Fair Value Adjustments

+0.1m. Investment Benefits -0.2m.


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Rates (MMZ)Trading Result

n Structured IRD (MMZ4) +9.3m

Milan RMM +2.9m, mainly due to Bond-CDS basis spreads (decomposed in -1.9m CDS spread tightening, +3.5m bond spreadtightening); new trading activities +1.0m (mainly UCI bonds). Overall position on UCI paper decreased approx. 400m.

Milan Structured IRD +2.5m, mainly restructure in covered bond securitizations book +1.0m and +0.6m commissions on

UniCredit Step Up 31Dec2018; theta +0.7m and IR delta +0.3m. Fair Value Adjustments +0.1m.

Munich Structured IRD +3.3m, driven by trading gains (+4.5m; most notable +1.0m from a structured payoff, several tranches

notional 25m, with Land Sachsen-Anhalt), partially offset by IR delta (-1.1m, as EUR 3m/6m basis tightened 0.5bp and

yield curves flattened by decreasing mid term 10 to 7bp and towards longer end 4 to 2bp) and CMS spread correlation

adjustments -0.3m, while losses on vega (-1.4m, mainly from skew remarks amounting to -0.9m) have been offset by gains

on theta. Fair Value Adjustments -0.3m, Investment benefits +0.2m.

Munich Inflation IRD +0.6m, +0.2m from Infl. delta, mainly AT/GE CPI spread (mid term vs longer end exposure), +0.2m theta

and +0.2m from Infl. Index and Seasonality updates.

Milan Inflation IRD +0.2m, due to Inflation delta.BACA -0.2m.

n Investment Products (CTS on securities and deposits) +0.1m


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G10 FX (MMC) + Macro Strategic Hedge (MSH) + CEE (MCE)Trading Result

G10 FX (MMC) MtD +8.3m (YtD +102m), thereof Fair Value Adjustments (incl. Model Risk) MtD -0.1m (YtD

-0.5m), Investment Benefits +0.3m (YtD +3.1m)

G10 FX Spots (MMC22, UCB AG without CTS) +2.2m, were EUR/CAD -12.6m; USD/CAD +7.6m; EUR/USD +4.5m;

EUR/GBP -4.4m; EUR/CHF +4.2m; GBP/USD +1.8m. Sales accounted for 40% (+0.9m) of the total trading revenue +2.3m.

G10 FX Forwards (MMC23) +0.2m, mostly trading related; the main contributors to FX PnL were EUR/GBP -7.3m, EUR/USD

+4.0m, GBP/USD +3.5m, AUD/USD -0.6m and EUR/AUD +0.6m.

Munich FX Derivatives +0.3m.

Asia +0.3m, mainly derived from JPY.

New York +0.5m, mainly trading (customer margins in FX Sales +0.2m) and trading +0.3m (EUR/USD and USD/MXN).

Milan FX Derivatives +0.1m, Milan FX Spot +0.2m, BACA FX Spot +0.6m, CTS +4.3m (FX Derivatives incl. Non-UCB,

+4.3m CTS update UCB Munich Flash October).

Management Books -0.4m.

CEE (MCE) MtD +2.1m (YtD +36.2m), thereof Fair Value Adjustments MtD -0.1m (YtD +1.0m), InvestmentBenefits +0.3m (YtD +2.7m)

CEE STIRT +1.9m, due to new trading activity +1.0m (Margin +0.4m, FX Swap +0.2m RON, +0.2m RUB) and by IR delta

+0.9m (mainly TRY Money Market position with decreasing rates).

CEE Rates/FX +0.2m, CEE Credit -0.1m mainly Fair Value Adjustments.

CEE Structured +0.1m, Trading Management unchanged.

Macro Strategic Hedge (MSH) unchanged


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Equity Derivatives Trading (MMT)

MtD +16m (YtD +158m) thereof Fair Value Adjustments MtD -4.3m (YtD +5.8m), Investment Benefits MtD +0.7m (YtD +6.5m) and

Commissions & Fees MtD -0.7m (YtD -0.2m)

n Structured Equity Trading (MMT1) +11.8m mainly due to new deals +10m, equity spot +2.5m, dividend expectations +1.0m, equity

volatility -2.6m, credit spread +1.4m, time effect -1.2m, Fair Value Adjustments -1.0m, Investment Benefits +0.3m and commission and

fees -1.0m

n Linear Equity Derivatives Trading (MMT2) +5.2m mainly due to repo curve effects (e.g. Eurostoxx50 and Nikkei225) +3.6m, wider

JPY/EUR CCS spreads (3Y, -5bp; 4Y, -5bp; 7Y, -4bp) -3.2m, equity spot +0.9m, dividend expectations +1.0m, time effects +2.4m, new

deals +0.5m, Fair Value Adjustments -0.1m and Investment Benefits +0.3m

n Fund Derivatives Trading (MMT3) +1.8m mainly due to equity volatility +0.6m, new deals +1.7m, credit spread effects -0.8m,

reserves update +0.8m, Fair Value Adjustments -0.2m and Investment Benefits +0.1m

n Structured Equity Trading (MMTL) -3.1m mainly due to Fair Value Adjustments

n HVB Structured Invest +0.3m commission & fees

Macro economic development October 2013:

The US government grabbed the stage during October as a possibility of a US default was avoided by a last minute agreement between Republicans and

Democrats, the divergence of opinion over the American budget caused several government agencies to a standstill until the dispute has been resolved.

Meanwhile the new continent added 148000 jobs. In Europe Italy has also avoided a political crisis, a newly found equilibrium by the government pushed

the FTSEMIB substantially up.


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Equity Derivatives Trading (MMT)

in EUR m

MTD

October

2013

YtD

October

2013

Equity

Derivatives

Trading (MMT)

16 158

MMT1 12 92

MMT2 5.2 32

MMT3 1.8 27

MMTL -3.1 4.4

MMT-STRUINV 0.3 2.0


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Brokerage (MMW-B)

MtD +3.7m (YtD +36m) thereof Investment Benefits MtD +0.1m (YtD +0.8m) and Commissions & Fees MtD +3.2m (YtD +30m)

n Brokerage (MMW-B): +3.7m mainly due to new deals +0.5m and commissions & fees +3.2m

in EUR mMtD

October

2013

YtD

October

2013

Brokerage (MMW-B) 3.7 36

Germany 1.7 20

Equity/Bonds 0.6 6.1

Funds 0.3 4.0

Derivatives 0.9 10

Business Support -0.1 -0.9

Italy 1.8 14

Equity 1.6 12

Bonds 0.2 2.0

Derivatives 0.0 0.8

Austria 0.2 1.8

Equity/Bonds/Deriv. 0.2 1.8


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MCT Core

MCT Core Area MtD +27.5m (YtD +319m), thereof Fair Value Adjustments MtD +1.4m (YtD 0m), Investment

benefit +2.2m (YtD 21.7m). P&L Including MtM on Banking books MtD +78m

nSecuritised Products ICT +1.6m,

Mainly driven by Conduit Arabella, with the main part from interest income (+0.7m) and fees (+0.1m). Additionally +0.3m Non-

Conduit Business mainly from fees London.

Fair Value Adjustments +0.3m.

nStructured Credit Trading +0.4m,

Converts +0.3m The main trading portfolio 799739 was driven by certificates gaining +3.8m, offset by the equity hedge losses

-3.4m

CLN Trading +1.8m Gains mainly from credit spreads tightening +2.16m on cds and Index positions

Index Market Making & Options -7.7m Losses driven by credit spread tightening with the Itraxx main positions -12.5m (5Years - S20

-6m / S19 -4m / S18 -2m) offset by the +4.55m Itraxx Financials (Sen +1.8m and Sub +2.6m)

Residual Correlation positions +5.9m Gains driven by credit spreads tightening. Old Index and corporate cds +2.76m with

the Itraxx +1m, CDX +1m and cds +0.76m. The main cds shift was Banca Monte Del Pashi gaining +1.4m due to 5y cds

200bp tightening. Sovereign CDS +3.1m with Republic of Portugal +1.8m and Republic of Italy +0.6m

Investment benefits +0.1m

nCredit Trading +0.1m

Covered Bonds +1m +1.0m, which was clearly driven by tightening bond spreads (+0.7m, with main part coming from Italian

and Spanish titles), supported by +0.2m gains from trading. Remaining gains can be referred to IR delta.

Leveraged Trading -0.5m based on Credit Spreads -1.7m ( mainly driven by Credit Event of CODERE FINANCE / ITRAXX-

XOVERS-0.9m), Trading +1.1( XLAHLD 9.125 +0.3m, INEGRP +.02m, ODEON +0.1m ), Theta +0.2m and IR Delta +0.1m.

Retail and Network Services +0.5m based on Trading +0.4m (BAWAG +0.1m)

Flow Credit Trading -1.1m. based on Credit Spreads -0.9m (ITRAXX-FINSENS19-5Y -0.7m, ITRAXX-EUROPES20-5Y -0.2m),

Bond spreads -1.7m (TELEFO -0.1m, RBS -0.1m), Trading +1.6m (EGGER 7.000 +0.2m), IR Delta +0.6m , Time Effect +0.2m

and Refi -0.1m. Fees (MCT4FC-MU) -0.2m.

Fair Value Adjustment +0.3m, Investment benefits +0.2m


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MCT Core

n Strategic ABS Portfolio +18m (Austrian Sub group +0.3m), P&L including MtM on Banking books +44m

Result is mainly driven by MtM due to tightening bond spreads (+15.8m). A notable +15m gain relates to EPIC Plc. werevarious classes were marked up to par following an announcement that are to be fully redeemed early.

Fair Value Adjustment 0.7m, Investment benefits (+1m), Net Interest income from Vienna (+0.3m).

MtM on Banking Books +26m mainly due to general tightening of bond spreads across a number of positions.

n Strategic Portfolio Basis book +0.4m,

MCT5BB-MU gained +0.25m, driven by a tightening basis on the USD Position (-0.57m , mainly driven by Citigroup Bond and

CDS Position +0.33m/basis -6 bps) and a tightening basis on the GBP position, amounting to +0.13m (mainly due to the ITV

Bond and CDS Buy Protection +0.08m/basis -7bp). Those gains have been mostly offset by a widening basis on the EUR

position, -0.44m (mainly driven by FIAT Bond and CDS Buy Protection -0.18m/basis +40bp).

Fair Value Adjustment +0.1m, Investment benefits +0.1m

n Strategic Portfolio Covered Bonds/Sovereigns +6.6m, P&L Including MtM on Banking books +30m

Result was driven by MTM on the Spanish regional bonds as spreads continued too tighten and saw an avge price move of

+160bp on the portfolio.

Investment Benefit +0.1m

MtM on Banking Books +24.4m PL was driven by MtM on the reclassified bond portfolio through an avge price move of

+260bp

n Strategic Portfolio Long Corporate and Financials +0.4m, P&L Including MtM on Banking books +1.9m

PL +0.2m, Investment benefits +0.1m

MtM on Banking Books +1.5m PnL was driven by Bond MTM on the American financials FRN's within the Available for saleand reclassified portfolios.


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n Strategic ABS Portfolio (Ring Fence) +0.2m, P&L including MtM on Banking books +1.1m


MtM on Banking Books +0.9m mainly due to general tightening of bond spreads.

n Strategic Portfolio Covered Bonds/Sovereigns (Ring fence) +0.1m, P&L including MtM on Banking books +0.2m


MtM on Banking Books +0.1m

n Strategic Portfolio Long Corporate and Financials (Ring Fence) -0.1m, P&L Including MtM on Banking books +1m

MtM on Banking Books +11m with MTM on the available for sale FRN's from American financial institutions with the most

notable move being +0.5m on the General Electric position.

nIntegrated Credit Trading Management (Ring Fence) 0m, P&L Including MtM on Banking books +5.1m

MtM on Banking Books +5.1m Mainly driven by +8m MTM on the Generali bond from tightening spreads

MCT Ring Fence (Contd.)

15


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Treasury (MMA5)

Treasury (MMA5) P&L +88m (accounting)

Markets Development*

Italy:

Italian bond spreads still in tightening versus core countries despite some political tensions during the month .

On Repo side, Italian rates were very stable thanks to very liquid market conditions.

Overall results in line with expectations.

Germany:

Sound liquidity and solid business with clients. Higher GC classic basket repo rates in the short run driven by month end / year end and

LTRO repayments helped to invest surplus liquidity on higher levels, whereas rate cut expectations in the longer run helped to generate

good inflow from client business on attractive levels. Bond portfolio increased by 10m due to credit spread and OISBOR.

Austria:

Market environment broadly unchanged; mismatch result for Q3 was -2.5M on YTD corrections, with positive correction of 10,4M

announced by P&C for Q4.

*kindly provided by Group Finance & Treasury Business Management17


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Treasury (MMA5)

n Treasury Germany (UCB AG) +29m accounting (+9.9m economic)

- Munich +23m (accounting) is mainly driven credit spread tightening on bonds (EUR +8.3m) as well as interest rate movements (EUR+5.8m) and new trades including margins (EUR +5.8m).*

- Munich +6.3m (economic) is mainly driven by new trades including margins (EUR +10.1m) as well as by valuation decrease in

USD/EUR CCS due to tightening USD CCS Basis (EUR -11.8m), credit spread tightening on bonds (EUR +9.5m) and repo

spreads (EUR -1.7m).*

- London -0.5m (-0.3m economic)

- Milan +2.7m (+2.5m economic)

- Asia +1.0m (+0.9m economic)

- Americas -0.0m (+0.4m economic)

- Luxembourg +2.1m

n Treasury Italy (UCI SpA) +52m (accounting)- Interest Rate Management +25m; thereof short term +15m and mid/long term +9.6m

- NII Bond Portfolio +25m

- Foreign Branches +0.6m; thereof London +0.5m and New York +0.1m

- AFS Bond Sale Consolidation +1.4m

- Collateral Cost Rebate -0.5m

n Treasury Austria (BACA): +6.8m (accounting)

- Interest short term +4.4m

- Interest long term +1.2m

- EEMEA Markets +1.2m

*kindly provided by GAL


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pnlexplanation_october_2013 cib.pdf

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