Letno poroÄilo 2009.pdf - UniCredit Banka Slovenija dd
Letno poroÄilo 2009.pdf - UniCredit Banka Slovenija dd
Letno poroÄilo 2009.pdf - UniCredit Banka Slovenija dd
- No tags were found...
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
VaR development of <strong>UniCredit</strong> <strong>Banka</strong> <strong>Slovenija</strong> d.d. in 2009765432in Million EUR10-1-2-302. 01.02. 02.02. 03.VolatilityCredit Spread30. 03.28. 04.28. 05.Foreign ExchangeEquity29. 06.27. 07.24. 08.22. 09.20. 10.Interest RateTotal18. 11.17. 12.Compensation EffectIn the management of interest rate risk the Bank positions itself mainly in EUR, USD and CHF. Exposures in these currencies during 2009 and2008 are presented below and include trading book as well as all banking book items. The Bank only ran insignificant positions in currenciesother than presented here.The relation between interest rate risk in the banking book and the Bank's capital established by the Basel II framework requires the Bank tocompare the change in market value of the banking book after a 2 % interest rate shock with the Bank's net capital resources. In case such aninterest rate shock absorbs more than 20 % of the Bank's net capital resources the Bank’s supervisory authority may require the Bank to takemeasures in order to reduce risk.Stress testing results show that a 2 % interest rate shock at year end 2009 would absorb about 3.9 % of the Bank’s net capital resources whichis far below the threshold level of 20 %. The current investment of equity capital is taken into account as an open risk position.Interest rate basis point shift in 2009EUR 31. 12. 2009 Annual max, min, averageCurrencyUp to 1month1 month to3 months3 months to1 year1 year to 5yearsOver 5yearsTotalAnnualmaximumAnnualminimumAbsoluteaverageCHF (58) (248) (1,968) 590 91 (1,592) 2,944 (8,435) 2,629EUR (65) 2,134 (6,892) 4,370 6,051 5,599 29,803 (22,110) 9,085USD (34) 9 110 1,049 467 1,600 2,352 (275) 1,879Total 163 2,393 9,040 6,009 6,610 8,858 33,591 63 13,649Interest rate basis point shift in 2008EUR 31. 12. 2008 Annual max, min, averageCurrencyUp to 1month1 month to3 months3 months to1 year1 year to 5yearsOver 5yearsTotalAnnualmaximumAnnualminimumAbsoluteaverageCHF (352) 1,534 (4,051) 458 306 (2,105) 6,907 (5,929) 2,015EUR (666) 1,958 (5,412) 9,300 (5,362) (182) 27,832 (23,259) 12,786USD (24) 22 (47) 428 1,699 2,078 2,568 (321) 2,124Total 1,044 3,540 9,510 10,186 7,367 4,392 32,798 111 16,988The Bank’s debt security portfolio mainly comprises bonds from first-class issuers classified as trading, available for sale or held to maturity.The Bank regularly monitors the situation on the financial markets and estimates credit ratings of the issuers. In a<strong>dd</strong>ition to exposures in debt<strong>UniCredit</strong> Bank · 2009 Annual Report 213