UBI Banca Group

Quantitative information
1. Banking portfolio: distribution by residual life (by repricing date) of financial assets and
liabilities
See the subsequent sub-section which contains an analysis of sensitivity to interest rate risk
2. Banking portfolio: internal models and other methods of sensitivity analysis.
The exposure of the Group to interest rate risk, measured in terms of core sensitivity measured on a
scenario of a increase in interest rates of +100 bp, on items as at 31 st December 2011 amounted to
approximately -€243.78 million (-€346.38 million as at 31 st December 2010), equal to 1.99% of the
consolidated supervisory capital, compared to a limit of -€420 million set on that aggregate by the
2011 Policy to Manage Financial Risks and an early warning threshold on that same indicator of -
€350 million.
The total level of exposure includes an estimate, consistent with the provisions of the Financial Risks
Policy, of the impact of the early repayment of loans (approximately +€180.55 million in terms of
sensitivity) and also the effect of structural ALM action taken using derivatives, even if subject to a
capital requirement for market risk, with the objective of acting on the individual sensitivity of Group
companies.
In detail, the core sensitivity originated by the network banks amounted to approximately -€30.71
million, while approximately -€34.18 million is attributable to the activities of the product companies.
The Parent contributes a total of approximately -€170.94 million, including -€26.35 million from
structural and sensitivity action relating to Group member companies. In fact UBI Banca operates as
the sole counterparty for Group member companies in hedging derivatives contracts and, if
necessary, it then closes the positions on the market on the basis of positioning with respect to the
limits set by the Financial Risks Policy and expected scenarios for future interest rate trends.
The table below reports the exposure, measured in terms of economic value sensitivity in a scenario
of an increase in reference interest rates of +200 bp, recorded in 2011, given as a percentage of tier
one capital and supervisory capital as at 31 st December 2011.
Risk indicators - average amounts 2011 2010
parallel shift of +200 bp
sensitivity/tier 1 6.90% 8.99%
sensitivity/supervisory capital 4.65% 5.98%
Risk indicators - end of period values 31/12/2011 31/12/2010
parallel shift of +200 bp
sensitivity/tier 1 5.66% 9.13%
sensitivity/supervisory capital 3.81% 6.06%
Sensitivity analysis of net interest income focuses on changes in profits resulting from a parallel
shock on the yield curve measured over a time period of 12 months. The overall determination of
exposure contributes to the analysis of the viscosity of on-demand items. The exposure of the UBI
Group to interest rate risk, estimated in terms of an impact on net interest income of an increase in
reference interest rates of 100 bp, amounted to +€81.94 million as at 31 st December 2011.
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