UBI Banca Group

• Bull/Bear Flattening: a shock on the yield curve where the decrease/increase in short term
interest rates is smaller/greater than that for long term rates.
• Shock Credit Spread: a widening in the credit spread of 100 basis point for corporate and
government securities with a rating of less than AAA.
• Flight to quality: this simulates a shift from investment in high risk to low risk assets. The
shock applied is a decrease of 100bp in the interest rates for AAA government securities, and
increase of 100bp in the credit spread on corporate and banking securities, and a
depreciation in equity instruments of 10%.
The table below gives the results of the theoretical stress tests performed on the portfolios of the UBI
Group.
The effect of theoretical shocks on the trading and banking book of the UBI Group
Data as at 31/12/11
UBI GROUP TRADING
BOOK 31/12/11
UB I GROUP BANKING
BOOK 31/12/11
TOTAL UBI GROUP
31/12/11
Change in NAV Change in NAV Change in NAV
Risk Factors IR
Shock Shock +1bp -56,377 0.00% 1,027,418 0.01% 971,112 0.01%
Risk Factors IR
Shock Shock -1bp 56,332 0.00% -1,030,826 -0.01% -974,566 -0.01%
Risk Factors IR
Shock Shock +100bp -4,938,081 -0.29% 86,235,349 1.06% 81,304,077 0.83%
Risk Factors IR
Shock Shock -100bp 9,022,482 0.53% -114,888,880 -1.42% -105,870,015 -1.08%
Risk Factors IR
Shock Bear Steepening -3,660,386 -0.22% 164,649,583 2.03% 160,992,773 1.64%
Risk Factors IR
Shock Bull steepening 5,377,485 0.32% -41,146,862 -0.51% -35,769,882 -0.36%
Risk Factors IR
Shock Bear Flattening -5,301,008 -0.31% 38,763,982 0.48% 33,463,414 0.34%
Risk Factors IR
Shock Bull Flattening 2,986,127 0.18% -165,248,391 -2.04% -166,184,132 -1.70%
Risk Factors Equity
Shock +10% 641,902 0.04% 10,631,387 0.13% 11,639,843 0.12%
Risk Factors Equity
Shock -10% -641,902 -0.04% -10,631,387 -0.13% -11,639,843 -0.12%
Risk Factors Volatility
Shock +20% -80,227 0.00% 2,659,085 0.03% 2,578,858 0.03%
Risk Factors Volatility
Shock -20% 107,274 0.01% -3,460,615 -0.04% -3,353,341 -0.03%
Risk Factors Forex
Shock +15% -2 ,645,263 -0.16 % -1,600,5 80 -0.0 2% -4,245,843 -0 .0 4%
Risk Factors Forex
Shock -15% 2,645,263 0.16% 1,600,580 0.02% 4,245,843 0.04%
Risk Factors Credit Spread
Shock -18,104,524 -1.07% -411,533,456 -5.07% -429,648,753 -4.38%
Flight to qua lity scenario -19,585,224 -1.16% -422,164,843 -5.20% -442,121,203 -4.51%
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