Letno poročilo 2007 - UniCredit Banka Slovenija dd

Basel II establishes for the first time a relation between ‘interest raterisk in the banking book’ and the Bank’s capital by comparing achange in the market value of the banking book after a 2 % interestrate shock with the Bank’s net capital resources. In the event thatsuch an interest rate shock absorbs more than 20 % of a Bank’s netcapital resources, the bank supervisory authority could require theBank to take measures to reduce risk.A 2 % interest rate shock at year end would absorb about 3.9 % ofthe Bank’s net capital resources; this calculation also includes thecurrent investment of equity capital as an open risk position. Thismeans that the figure for UniCredit Banka Slovenija d.d. is far belowthe outlier level of 20 %.Besides VaR, FX positioning also is monitored by each currency onan aggregated position level.Larger positions were held only in the major currencies.Open FX position during 2007:EUR 1,000Currency max. short max. longAUD (587) 630BAM (70) 69BGN (41) 30CAD (696) 114CHF (4,969) 1,527CZK (127) 29DKK (21) 94GBP (2,672) 2,423HKD (150) 35HRK (297) 201HUF (93) 569JPY (3,687) 4,077NOK (43) 41PLN (123) 195RSD (94) 132SEK (275) 59SKK (19) 30USD (5,067) 19,625UniCredit Bank · 2007 Annual Report 185