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Annual Report 2017 17th year of operations Sala degli Arazzi (Tapestry Room) Palazzo Bricherasio, Turin © photo Alessandra Chemollo 17 Banca Patrimoni Sella & C. S.p.A. Via Lagrange n.20 – 10123 Turin tel. +39 011 5607111 fax +39 011 5618245 www.bancapatrimoni.it Gruppo Banca Sella Heritage is, first and foremost, a commitment. A commitment towards all those who have created it and towards all those who will perpetuate its legacy. Banca Patrimoni Sella & C. has always been aware of the importance of this commitment and of the unceasing effort to preserve its heritage. FEDERICO SELLA CEO, GM AND DIRECTOR ©foto Alessandra Chemollo ©foto Alessandra Chemollo Annual Report 2017 17th year of operations ANNUAL REPORT 2017 – 17TH YEAR OF OPERATIONS MANAGEMENT REPORT Our milestones: a history of continuous commitment to our clients Some of the most significant moments in the history of Banca Patrimoni Sella & C. 2007 Incorporation of Sella Consult Sim P.A. The Bank changes its name to Banca Patrimoni Sella & C. S.p.A. 2005 Merger between Gestnord Intermediazione Sim S.p.A. and Sella Investimenti. Establishment 2006 of Banca Patrimoni e Investimenti The Bank changes its name to Banca Patrimoni S.p.A. 2001 Establishment of Sella 1993 Investimenti Banca S.p.A. Establishment of Gestnord Intermediazione Sim S.p.A. 8 BANCA PATRIMONI SELLA & C. ANNUAL REPORT 2017 – 17TH YEAR OF OPERATIONS MANAGEMENT REPORT 2017 Banca Patrimoni Sella & C. acquires a majority stake in the trust company Selfid S.p.A. from Banca Sella Holding 2017 Subscription of an 2010 agreement with Establishment of Family Schroders ltaly Sim Advisory Sim S.p.A. Sella & S.p.A. to acquire the Partners and acquisition of wealth management 85% of its shares by Banca 2013 activities in Italy Patrimoni Sella & C. Relocation of the corporate headquarters of Banca Patrimoni Sella & C. to Palazzo Bricherasio, acquired in 2010 2011-2012 The Bank consolidates its presence on the territory and 2009 establishes itself as a high Banca Patrimoni Sella & C. standing Private Bank also S.p.A. acquires the private in Rome, Milan and Naples wealth management branch from Sella Gestioni S.G.R. 9 BANCA PATRIMONI SELLA & C. ANNUAL REPORT 2017 – 17TH YEAR OF OPERATIONS CONTENTS CONTENTS 13 Banca Sella Group map at 31 December 2017 14 Corporate offices Board of directors Board of statutory auditors Independent auditors 16 Management Report 17 Financial highlights 18 Alternative Performance Indicators 19 Highlights 2017 20 Our funding 21 1–The Bank’s strategy and business model 22 2–Events during the year 24 3–Macroeconomic scenario 31 4–Profitability – the profit and loss result 41 5–Balance Sheet and Shareholders’ Equity figures 52 6–Products offered and service model 57 7–Human resources 59 8–The organisation and the IT system 60 9–The risk management system and exposure 63 10–Business outlook 64 11–Research and development 65 12–Going concern: the Bank’s strategy and profitability 65 13–Significant events after year end 66 14–Treasury shares and shares of the Parent Company 66 15–Other information 67 16–Relations with Group companies 70 17–Proposed allocation of profit BANCA PATRIMONI SELLA & C. ANNUAL REPORT 2017 – 17TH YEAR OF OPERATIONS CONTENTS 100 Financial Statements at 31 December 2017 101 Balance Sheet 102 Income Statement 103 Statement of Comprehensive Income 104 Statement of Changes in Shareholders’ Equity at 31 December 2016 104 Statement of Changes in Shareholders’ Equity at 31 December 2017 106 Statement of Cash Flows – Direct Method 108 Explanatory Notes 109 Part A – Accounting policies 145 Part B – Information on the Balance Sheet - Assets 167 Part B – Information on the Balance Sheet - Liabilities 181 Part C – Information on the Income Statement 194 Part D – Comprehensive income 195 Part E – Information on risks and related hedging policies 236 Part F – Information on equity 241 Part G – Business combinations involving companies or business units 244 Part H – Related party transactions 247 Part I – Share-based payment arrangements 247 Part L – Segment reporting 249 Other Information 250 Financial statements of the company exercising management and coordination BANCA PATRIMONI SELLA & C. ANNUAL REPORT 2017 – 17TH YEAR OF OPERATIONS GROUP MAP Banca Sella Group map at 31 December 2017 BANCA SELLA HOLDING S.P.A. BANCA SELLA BANCA PATRIMONI EASY NOLO S.P.A. SELLA & C. S.P.A. S.P.A. BANCA SELLA FAMILY ADVISORY SELIR S.R.L. CHENNAI BRANCH SIM SELLA & PARTNERS BIELLA LEASING SELFILD S.P.A. IMMOBILIARE S.P.A. LANIFICIO MAURIZIO SELLA S.P.A. CONSEL S.P.A. SELLA GESTIONI IMMOBILIARE S.G.R. S.P.A. SELLA S.P.A. BROSEL S.P.A. HI-MTF SIM SELLA OPEN S.P.A. FINTECH PLATFORM S.P.A. MARTIN MAUREL DPIXEL S.R.L. SELLA BANQUE PRIVEE - MONACO S.A.M. COMMERCIAL BANKING PRIVATE BANKING AND PAYMENT AND BANKING INVESTMENT SERVICES SERVICES SOLUTIONS Operating companies of Sella Group Related campanies of Sella Group Note that following corporate transactions, from 3 January 2018 Martin Maurel Sella Banque Privee, an investee of Finanziaria 2010 and consolidated at equity, is no longer included in the scope of consolidation of the Sella Group. 13 BANCA PATRIMONI SELLA & C. ANNUAL REPORT 2017 – 17TH YEAR OF OPERATIONS CORPORATE OFFICE Corporate offices BOARD OF DIRECTORS IN OFFICE UNTIL APPROVAL OF THE 2018 FINANCIAL STATEMENTS CHAIRMAN Maurizio Sella DEPUTY CHAIRMEN Mario Renzo Deaglio Massimo Coppa CEO AND MANAGING DIRECTOR Federico Sella DIRECTOR AND HONORARY CHAIRMAN Giovanni Coppa DIRECTORS Eugenio Brianti Veronica Buzzi Gregorio Chiorino Silva Maria Lepore Carlo Maria Mascheroni Priscilla Pettiti Sebastiano Sella Attilio Viola BOARD OF STATUTORY AUDITORS IN OFFICE UNTIL APPROVAL OF THE 2018 FINANCIAL STATEMENTS STANDING AUDITOR - CHAIRMAN Mario Pia STANDING AUDITORS Pier Vincenzo Pellegrino Emanuele Menotti Chieli ALTERNATE AUDITORS Giovanni Rayneri Marina Mottura INDEPENDENT AUDITORS INDEPENDENT AUDITORS Deloitte & Touche S.p.A. 14 BANCA PATRIMONI SELLA & C. ANNUAL REPORT 2017 – 17TH YEAR OF OPERATIONS Management Report BANCA PATRIMONI SELLA & C. ANNUAL REPORT 2017 – 17TH YEAR OF OPERATIONS MANAGEMENT REPORT Financial highlights FINANCIAL HIGHLIGHTS (IN THOUSANDS OF EUR) CHANGES BALANCE SHEET FIGURES 31/12/2017 31/12/2016 ABSOLUTE % TOTAL ASSETS 1,497,238.1 1,473,991.9 23,246.2 1.6% FINANCIAL ASSETS (1) 293,579.7 132,435.0 161,144.7 121.7% TOTAL CASH LENDING (2) 486,450.1 364,529.9 121,920.2 33.5% INVESTMENTS 1,987.6 430 1,557.6 362.2% PROPERTY, PLANT AND EQUIPMENT AND INTANGIBLE ASSETS 31,568.5 30,878.8 689.7 2.2% TOTAL FUNDING (3) 12,708,551.5 11,342,562.9 1,365,988.5 12% DIRECT FUNDING (4) 1,260,454.9 1,297,006.2 -36,551.3 -2.8% GUARANTEES GIVEN 7,707.7 6,910.2 797.5 11.5% SHAREHOLDERS’ EQUITY 80,299.6 75,478.5 4,821.1 6.4% CET 1 CAPITAL 74,523.0 70,814.9 3,708.1 5.2% T2 CAPITAL - 95.4 -95.4 -100% TOTAL OWN FUNDS 74,523.0 70,910.2 3,612.8 5.1% RECLASSIFIED INCOME STATEMENT FIGURES INTEREST MARGIN 8,098.4 8,934.1 -835.7 -9.4% FEE AND COMMISSION EXPENSE -48,633.3 -43,456.0 -5,177.3 11.9% NET FEES AND COMMISSIONS 42,037.7 31,684.3 10,353.4 32.7% GROSS REVENUE FROM SERVICES (5) 101,994.4 86,040.4 15,954.0 18.5% NET REVENUE FROM SERVICES (NET OF FEE AND COMMISSION EXPENSE) 53,361.1 42,584.4 10,776.7 25.3% NET INTEREST AND OTHER BANKING INCOME 61,459.5 51,518.5 9,941.0 19.3% OPERATING EXPENSE NET OF TAX AND DUTY RECOVERIES -47,263.6 -39,260.8 -8,002.8 -20.4% OPERATING RESULT 14,195.9 12,257.7 1,938.2 15.8% NET VALUE ADJUSTMENTS/REVERSALS FOR IMPAIRMENT LOSSES -194.1 64.4 -258.5 -401.4% OTHER INCOME STATEMENT ITEMS (6) -1,998.0 -1,722.1 -275.9 16.0% INCOME TAXES -3,943.4 -3,428.4 -515.0 15.0% PROFIT (LOSS) FOR THE YEAR 8,060.4 7,171.5 888.9 12.4% (1) The aggregate is the sum of the following asset trol figures prepared and approved monthly by the (4) Direct funding corresponds to liabilities item 20 sets, c) financial assets held to maturity, d) finan- items of the Balance Sheet: item 20 - Financial as- Board of Directors. To this end, note that when the - Due to customers in the Balance Sheet. cial liabilities. sets held for trading, item 40 - Available-for-sale fi- assets managed and administered were being re- (5) The aggregate represents the sum of the fol- (6) Given by the sum of the following items: 160. nancial assets and item 50 - Financial assets held calculated by Internal Control, arrangements were lowing items of the Reclassified Income Statement: Net allocations to provisions for risks and charg- to maturity. made to more strongly consider insurance business 40. Fee and commission income, 80. Net gains es; 130. Net adjustments/reversals for impairment (2) The aggregate refers to asset item 70 - Due volumes, as part of a calculation fine-tuning which (losses) from trading, 90. Net gains from hedging of AFS financial assets and other financial trans- from customers in the Balance Sheet. then also led to adjustment of the amount for the and 100. Gains (losses) from disposal or repurchase actions; 240. Gains (losses) from disposal of in- (3) The aggregate corresponds to Internal Con- previous year. of: a) receivables, b) available-for-sale financial as- vestments. 17 BANCA PATRIMONI SELLA & C.
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  • Calibration Risk for Exotic Options

    Calibration Risk for Exotic Options

    Forschungsgemeinschaft through through Forschungsgemeinschaft SFB 649DiscussionPaper2006-001 * CASE - Center for Applied Statistics and Economics, Statisticsand Center forApplied - * CASE Calibration Riskfor This research was supported by the Deutsche the Deutsche by was supported This research Wolfgang K.Härdle** Humboldt-Universität zuBerlin,Germany SFB 649, Humboldt-Universität zu Berlin zu SFB 649,Humboldt-Universität Exotic Options Spandauer Straße 1,D-10178 Berlin Spandauer http://sfb649.wiwi.hu-berlin.de http://sfb649.wiwi.hu-berlin.de Kai Detlefsen* ISSN 1860-5664 the SFB 649 "Economic Risk". "Economic the SFB649 SFB 6 4 9 E C O N O M I C R I S K B E R L I N Calibration Risk for Exotic Options K. Detlefsen and W. K. H¨ardle CASE - Center for Applied Statistics and Economics Humboldt-Universit¨atzu Berlin Wirtschaftswissenschaftliche Fakult¨at Spandauer Strasse 1, 10178 Berlin, Germany Abstract Option pricing models are calibrated to market data of plain vanil- las by minimization of an error functional. From the economic view- point, there are several possibilities to measure the error between the market and the model. These different specifications of the error give rise to different sets of calibrated model parameters and the resulting prices of exotic options vary significantly. These price differences often exceed the usual profit margin of exotic options. We provide evidence for this calibration risk in a time series of DAX implied volatility surfaces from April 2003 to March 2004. We analyze in the Heston and in the Bates model factors influencing these price differences of exotic options and finally recommend an error func- tional.