Prospectus - Notowania

Sensitivity to the volatility of interest rates, exchange rates and share prices
In addition to the sensitivity of financial instruments to changes in the underlying risk factor, we also calculate sensitivity to the
volatility of interest rates, exchange rates and share prices, assuming a positive or negative change of 30% in volatility curves
or matrixes.
-30%
€ million
30%
Equities -24.6 -8.8
Interest Rates -18.0 14.9
of which: EUR -18.5 15.5
USD 0.4 -0.4
GBP -0.3 0.3
CHF 0.5 -0.6
JPY 0.1 -0.1
Exchange Rates -0.1 6.3
of which: EUR_JPY 3.4 -2.3
EUR_TRY -2.8 2.1
JPY_USD 1.2 1.8
EUR_GBP -0.7 2.0
EUR_USD 0.8 0.9
USD_XAU -0.5 0.4
EUR_SEK 0.4 -0.3
CHF_EUR -0.5 0.1
Stress tests
Stress tests complement the sensitivity analysis and VaR results in order to assess the potential risks in a different way.
Stress test performs the evaluation of a portfolio under both simple scenarios (assuming change to single risk factors) and
complex scenarios (assuming simultaneous changes in a number of risk factors).
Results for simple scenarios are reported to top management on a weekly basis, together with the most relevant sensitivities.
They include shocks on:
� Interest rates: Parallel shifts and Steepening/Flattening of IR curves; Increase/Decrease in IR volatilities
� Credit Markets: Parallel shifts of Credit Spreads curves (both absolute changes and relative changes); sensitivity to
Base Correlation, Issuer Correlation and Recovery Rates
� Fx Rates: Appreciation/Depreciation of each currency; Increase/Decrease in FX volatilities
� Equities: Increase/Decrease in Spot Prices; Increase/Decrease in Equity volatilities; sensitivity to Implied
Correlation
� Commodities: Increase/Decrease in Spot Prices
As far as complex scenarios are concerned, so far, two different scenarios (Full US Recession and Financial Crisis) are
applied to the whole investment banking portfolio on a monthly basis and reported to top management.
CONSOLIDATED INTERIM REPORT
AS AT SEPTEMBER 30, 2009
200