Prospectus - Notowania

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>> Condensed Consolidated Financial Statements
Part E) – Information on risks and related risk management policies
Monitoring of internal capital and on capital adequacy continued at Group level. Risk exposure limits were more precisely
defined within the risk appetite framework included in the 2010 budget process.
In line with the roll-out plan to extend the advanced Internal Rating Based (A-IRB) methods throughout the Group (submitted
to Banca d’Italia for authorization on September 30, 2008), as from September 2009 all former Capitalia Group customer
segments are treated using the A-IRB approach.
The Group also applied for authorization to introduce the LGD (Loss Given Default) module for subordinated debt exposure in
all rating systems Group-wide, to extend the bank and multinational rating systems to the Corporate Treasury / Funding
Vehicles segment and the sole bank rating system to the securities industry segment. The LGD model applied to Global
Project Finance and the LGD models applied to the Italian Group entities’ local segments have been reviewed. Additionally a
fine-tuning of the PD (probability of default) model for Italian retail mortgages and a new module to evaluate shipping loans in
UniCredit Bank (HVB) have been recently introduced.
UniCredit is continuing to invest significantly in the extension of Basel II to the entire Group: by end of the year UniCredit
Group will ask for IRB authorization for nine additional Group entities and five additional rating systems for the A-IRB Group
entities.
With reference to functional measures for compliance with Basel II requirements, the assessment of activities performed to
check the eligibility of credit risk mitigants continued and processes and policies were adapted. In respect of the Italian Group
entities, specific processes to meet legal certainty and regulatory requirements have been implemented for consortium
guarantees (garanzie consortili).
As required by regulators, credit risk stress testing activities were carried out on the basis of common stress scenarios at
international level, with a special focus on Central Eastern Europe countries. In particular stress tests were performed as
requested by Banca d’Italia and ECOFIN (coordinated by the Committee of European Banking Supervisors) and the
simulation impacts were assessed both on profit and loss, considering the effects on provisions and profits for the period, and
on balance sheet values, where Pillar 1 capital requirement targets and economic capital were impacted.
During the first quarter an update of concentration risk was performed in accordance with the Pillar 2 framework and
approved by the Board of Directors for bulk risk limits and for industry limits.
Closely linked to Pillar 2 developments, significant changes have been made to the methods used to measure economic
capital due to credit risk: the correlation framework of the Credit Portfolio Model was reviewed and enhanced to produce a
more robust estimate of the dependencies in the CEE area and between corporate and retail exposures.