Letno poročilo 2009.pdf - UniCredit Banka Slovenija dd

Risk ReportRisk Reportsecurities, credit spread positions are generated by the Bank’s bond future trading activities. As a measure of credit spread risk the Bank dailycalculates and monitors the spread basis point value of its portfolios.Spread basis point value in 2009EUR 31. 12. 2009 Annual max, min, averageMaturityUp to 6months6 months to 2years2 years to 7yearsOver 7 yearsTotalAnnualmaximumAnnualminimumAbsoluteaverageTotal (1,223) (25,660) (83,240) (10,707) 120,830 171,287 105,661 131,655Spread basis point value in 2008EUR 31. 12. 2008 Annual max, min, averageMaturityUp to 6months6 months to 2years2 years to 7yearsOver 7 yearsTotalAnnualmaximumAnnualminimumAbsoluteaverageTotal (1,133) (9,730) (77,964) (34,508) 123,335 147,722 119,181 134,819The sensitivity approaches presented above have been developed further to incorporate stress testing and scenario analysis for all the majormarket risk components. Each month the Bank runs and reviews Basel II prescribed stress tests as well as tests defined by the UniCreditGroup. The impacts of various potential interest rate, foreign currency and credit spread shocks get assessed for both the trading and bankingbook exposures.Besides VaR, FX positioning is also monitored by each currency on aggregated position level. Larger positions were only held in majorcurrencies.Open FX position in major currencies in 2009in 1,000 EURCurrency max. short max. longAUD (76) 120CAD (33) 102CHF (4,453) 600GBP (1,060) 500JPY (1,018) 744USD (1,694) 4,689Open FX position in major currencies in 2008in 1,000 EURCurrency max. short max. longAUD (15) 57CAD (2) 122CHF (3,385) 2,701GBP (611) 2,605JPY (3,960) 4,020USD (3,029) 4,565214 2009 Annual Report · UniCredit Bank