Letno poroÄilo 2009.pdf - UniCredit Banka Slovenija dd

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Risk ReportRisk ReportThe principal tool used to measure and control market risk exposures is Value at Risk (VaR). VaR is the estimated loss that will arise on aspecific portfolio over a specified period of time (holding period) from an adverse market movement with a specified probability (confidencelevel). VaR for internal risk measurement is based on a one-day holding period and a confidence interval of 99 %. Besides VaR, the presentvalue of the basis point (pvbp) and credit spread basis point are calculated. Basis point limits per currency and maturity band, basis pointsums per currency and/or per maturity segment (total of absolute basis point values) and credit spread basis point limit are used for riskmanagement.Other factors of equal importance are stress-oriented volume and position limits. Additional elements of the limit system are loss-warninglevel limits. Monitoring income trends by means of stop-loss limits provide an early indication of any accumulation of position losses.Regular stress scenario calculations complement the information provided to ALCO and the Management Board. Such stress scenarios arebased on assumptions of extreme movements in individual market risk parameters. UniCredit Banka Slovenija d.d. analyses the effect of thesefluctuations and a liquidity disruption in specific products and risk factors on the Bank's results and net asset position.These assumptions of extreme movements are dependent on currency and liquidity and are set by the Bank in close cooperation with theStrategic Risk Management unit of UniCredit Bank Austria AG, Vienna on a discretionary basis. The results of these stress tests are taken intoaccount in establishing and reviewing limits.In addition to the risk model results, income data from market risk activities are also determined and communicated on a daily basis. Thesedata are presented over time and compared with current budget figures. Reporting covers the components reflected in IFRS-based net incomeand the marking to market of all investment positions regardless of their recognition in the IFRS-based financial statements (‘total return’).In order to check the market conformity of deals, UniCredit Banka Slovenija d.d. uses the ‘MARCONIS’ system, which was developed byUniCredit Bank Austria AG, Vienna. ‘MARCONIS’ reviews completely and systematically the market conformity of each treasury transaction.Both in 2009 and in 2008, there were no deals concluded which were finally classified as not market conform.INTEREST RATE, FOREIGN EXCHANGE, EQUITY AND SPREAD RISKThe results of the internal model based on VaR (one day holding period, 99 % confidence level) for 2009 are higher than the previousyear's results. The main reasons are the increased equity risk exposure in the banking book arising out of the non-performing equity reverserepurchase agreements and the persisting volatility of credit spreads in the local capital and money markets. The VaR figures for 2009 arecompared to the 2008 figures in the below table and include interest, foreign exchange, equity and spread positions of the Bank.VaR of UniCredit Banka Slovenija d.d. in 2009 and 2008in 1,000 EURValue at Risk 2009 Value at Risk 2008Minimum Maximum Average Minimum Maximum AverageSlovenia 1,446.20 4,844.50 2,824.70 700.41 2,466.72 1,228.24212 2009 Annual Report · UniCredit Bank
VaR development of UniCredit Banka Slovenija 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 addition to exposures in debtUniCredit Bank · 2009 Annual Report 213
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2009 Letno porocilo / Annual Report
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Kazalo / ContentsPredstavitev Banke
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ciljev. Leto 2010 bo zato leto tran
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• Na trgu dela so se novi pogoji
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Cenjene sodelavke in sodelavci, dov
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Organi upravljanja BankeNadzorni sv
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Poslovna mrežaPE Ljubljana BTCŠma
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po vsej Sloveniji. Ob tej priložno
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100-odstotna zašËita vplaËanih s
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Poslovno poroËiloGospodarsko okolj
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Poslanstvo, vizija in strategijaNa
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Poslovno poroËiloFinanËni rezulta
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finanËnimi instrumenti za stranke,
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FINAN»NE OBVEZNOSTI2009 2008191211
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Poslovno poroËiloPoslovanje Banke
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Poslovno poroËiloPoslovanje Banke
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Poslovno poroËiloObvladovanje posl
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Poslovno poroËiloObvladovanje posl
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Poslovno poroËiloDružbena odgovor
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Jozsef Varga,Valid Dental-Medical N
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PoroËilo nadzornega svetaPoroËilo
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HeaderTitle 24ptDace MarkeviËaUral
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PoroËilo neodvisnega revizorjaPoro
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RaËunovodski izkaziRaËunovodski i
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RaËunovodski izkaziBilanca stanjaV
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RaËunovodski izkaziIzkaz gibanja k
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RaËunovodski izkaziPovzetek raËun
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RaËunovodski izkaziPojasnila k ra
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BanËna tveganjaBanËna tveganjaCel
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BanËna tveganjaBanËna tveganjaDel
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BanËna tveganjaBanËna tveganjaKre
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BanËna tveganjaBanËna tveganjasku
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BanËna tveganjaBanËna tveganjaKot
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BanËna tveganjaBanËna tveganjaBil
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BanËna tveganjaBanËna tveganjaObs
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BanËna tveganjaBanËna tveganjaLik
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BanËna tveganjaBanËna tveganjaBil
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BanËna tveganjaBanËna tveganjaBaz
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BanËna tveganjaBanËna tveganjaUpr
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We UniCredit people are committed t
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IntroductionPreface by the Chairman
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IntroductionStatement by the Chairm
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IntroductionStatement by the Chairm
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IntroductionAbout UniCredit Banka S
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126 2009 Annual Report · UniCredit
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IntroductionAchievements and Events
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Business ReportEconomic Environment
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Business ReportMission, Vision and
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Business ReportFinancial Resultsmil
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Business ReportFinancial ResultsFIN
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Business ReportBank’s Segment Per
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Business ReportManaging Business Ri
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Business ReportManaging Business Ri
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Business ReportCorporate Sustainabi
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Report from the Supervisory BoardRe
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Page 166 and 167: Report of AuditorsReport of Auditor
Page 168 and 169: Financial StatementsFinancial State
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Page 208 and 209: Risk ReportRisk ReportOverall Risk
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Page 216 and 217: Risk ReportRisk Reportsecurities, c
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