Sustainability - bicbanco

32 Annual and Sustainability Report 2011
The Trading Book is a tool used to take proprietary
and risk management positions for derivatives negotiated
with clients; its purpose is to manage market
risk which particularly results in interest rate,
exchange rate and asset price fluctuations. Abroad,
business with derivatives have a hedging function
for international funding, while in Brazil the majority
of these contracts negotiated by the Bank for its clients
regard swap and futures market operations, all
registered with BM&FBOVESPA or CETIP. In turn,
BM&FBOVESPA dollar and Depósito Interfinanceiro
– DI (Interbank Deposit) futures contracts serve as
an instrument for locking in rates of finance on operations
for clients, for mismatched terms or currencies,
using resources dedicated to this purpose.
The risk management model was
created to prevent variation in
currency prices from having a
negative impact on results.
In 2011, the average levels of global risk stayed on
par with the stabilization of volatility for various risk
factors, without significant changes. When compared
to shareholders’ equity, BICBANCO risk limits and
exposure remained at low levels. The Bank manages
its exposures in a consolidated manner, analyzing the
impacts of various scenarios and running stress tests.
The management staff presented the detailed composition
of assets and liabilities held in Brazil by index
on December 31, 2011: