Letno poročilo 2007 - UniCredit Banka Slovenija dd

Risk ReportRisk ReportUniCredit Banka Slovenija d.d. did not hold any equity positions in 2007 and 2006 respectively.VaR of UniCredit Banka Slovenija d.d., 2006-2007Value at Risk 2006 Value at Risk 2007EUR 1,000 Minimum Maximum Average Minimum Maximum AverageSlovenia 47.26 775.00 239.91 19.09 1,016.64 405.55The Bank positions itself mainly in EUR, USD and CHF, with all other currencies, open positions are significantly loweInterest rate basis point shift for 2007Currency Up to 1 month 1 monthto 3 months31. 12. 2007 Annual max, min, average3 monthsto 1 year1 yearto 5 yearsOver 5 years Total AnnualmaximumAnnualminimumAbsoluteaverageCHF 17 575 13 (18) - 586 2,834 (2,044) 810EUR (1,157) (10,173) 6,458 (8,574) 14,040 594 44,947 (29,038) 17,283USD 111 22 302 1,735 - 2,170 2,209 807 1,425Total 1,305 10,812 6,773 10,327 14,040 3,412 46,004 1,325 19,545Interest rate basis point shift for 2006Currency Up to 1 month 1 monthto 3 months29. 12. 2006 Annual max, min, average3 monthsto 1 year1 yearto 5 yearsOver 5 years Total AnnualmaximumAnnualminimumAbsoluteaverageCHF (56) (96) (365) (17) (15) (549) 2,130 (7,861) 838EUR 671 671 (7,183) 22,520 32,163 48,842 57,670 (8,380) 17,401SIT (550) (1,270) (2,333) (28,721) (42,180) (75,054) (18,569) (81,809) 49,756USD (38) 163 403 (1,156) 1,926 1,298 1,334 (505) 547Total 1,315 2,201 10,286 52,414 76,284 125,742 140,481 20,792 68,545Spread basis point valueMaturity Up to 6 months 6 monthsto 2 years29. 12. 2006 Annual max, min, average2 yearsto 7 yearsOver 7 years Total AnnualmaximumAnnualminimumAbsoluteaverageTotal (688) (9,954) (64,037) (52,561) 127,239 131,347 126,043 129,521184 2007 Annual Report · UniCredit Bank