2005 Annual Report Julius Baer Holding Ltd. - GAM Holding AG

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3 000 000 2 000 000 1 000 000 0 –1 000 000 –2 000 000 –3 000 000 –4 000 000 –5 000 000 –6 000 000 –7 000 000 Notes Back testing trading Julius Baer Group for 2005 (CHF) January February March VAR 99% VAR 95% P+L Whereas VAR forecasts identify potential losses during normal market conditions, daily stress tests are carried out in order to estimate the consequences of extreme market swings. VAR method and regulatory capital For its VAR calculation, the Julius Baer Group uses historical simulation with complete revaluation of all trading positions in each instance. The historical simulation is based on empirically observed changes in market parameters (prices, interest rates, volatilities) over the latest 300-trading-day period. As a result, correlation is taken into account implicitly, without having to draw on calculations and assumptions based on a correlation matrix. The risk management platform and the internal market risk models of the 86 JULIUS BAER GROUP 01.01. 13.01. 23.01. 04.02. 14.02. 26.02. 10.03. 20.03. 01.04. 11.04. 23.04. 05.05. 15.05. 27.05. 06.06. 18.06. 30.06. 10.07. 22.07. 01.08. 13.08. 25.08. 04.09. 16.09. 26.09. 08.10. 20.10. 30.10. 11.11. 21.11. 03.12. 15.12. 25.12. April May June July August September Julius Baer Group fulfill the relevant regulatory requirements and have been approved by the Swiss Federal Banking Commission for use in determining the capital requirement for market risks in the trading book. The regulatory approval for our models relates to so-called general market risk as well as to issuerspecific risk. October November December
5. Liquidity and financing risks The Group Treasurer has Group responsibility for the management of liquidity and balance sheet risks, which especially relate to interest rate risks in the banking book as well as to general financing risks in the balance sheet. The daily management of liquidity and balance sheet risks is conducted by the Group Treasury sub-division. The risk is independently measured and controlled by GRM. Risk reports are reviewed monthly at the RCEB meeting and quarterly at the Board of Directors’ Risk Committee Meetings. Trading book market risks are managed separately and are monitored by GRM. The following definitions are used to separate trading and banking book activities: The trading book consists of proprietary positions in financial instruments that are held for resale or repurchase and that are taken on with the intention of benefiting, in the short term, from actual or expected differences between their buying or selling prices. The banking book is defined as all other assets, liabili- Interest rate sensitivity positions Notes ties and off-balance-sheet items that are intended to be held in order to generate income over time. Interest rate risk is defined as the impact of potential changes in interest rates on the market value of the assets and liabilities of the Group. An objective measure of this risk can be provided by showing the impact of a positive change of one percent (+100 basis points) in the entire interest rate curve in the respective currency. This enables us to predict the consequences for the sensitivity of the net present value of assets and liabilities. This risk measure is also used to carry out scenario analyses on a regular basis. Within 1 month 1 to 3 months 3 to 12 months 1 to 5 years Over 5 years Total Interest sensitivity by time bands as of 31.12.2005 (and 31.12.2004), CHF 1000 per +100 basis points CHF 2005 -289 -858 10324 -19216 11820 1781 2004 212 337 9272 -11789 515 -1453 USD 2005 -342 -924 -2425 833 - -2858 2004 -240 -883 -3596 -3218 - -7937 EUR 2005 -5 -1249 -1457 -14934 -305 -17950 2004 -12 200 -1010 -16366 - -17188 Other 2005 54 -124 2179 795 - 2904 2004 -28 -105 926 160 - 953 JULIUS BAER GROUP 87
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2005 Annual Report Julius Baer Hold
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Key figures 2004 2005 Change CHF m
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Annual Report 2005
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Foreword 4 Dear Shareholders and Cl
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Foreword 6 Annual financial results
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Foreword 8 The significant economie
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Foreword 10 2005 will go down in th
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anks, the decision has been made to
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this corresponds to CHF 2.59 per re
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2004 2005 Change Change CHF m CHF m
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Private Banking 20 Private Banking
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Asset Management 22 Asset Managemen
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Trading & Sales 24 Trading & Sales
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Corporate Center 26 Corporate Cente
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Corporate Center 28 Our model of su
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Corporate Governance
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1.2 Cross-shareholdings There are n
Page 39 and 40: 2.3 Changes of capital The descript
Page 41 and 42: egistered shares not physically rep
Page 43 and 44: Corporate Governance tors of Julius
Page 45 and 46: 3.3 Cross-involvement Since 2004, M
Page 47 and 48: The Chairman’s Committee receives
Page 49 and 50: Group Executive Board The Group Exe
Page 51 and 52: Group Managing Board of UBS AG, 199
Page 53 and 54: 4.3 Other activities and functions
Page 55 and 56: Equity Bonus Plan 2004 2005 Number
Page 57 and 58: 5.3 Compensation for former members
Page 59 and 60: 5.7 Additional honorariums No addit
Page 61 and 62: 7. Changes of control and defense m
Page 63 and 64: 9. Information policy Julius Baer H
Page 65 and 66: Financial Report
Page 67 and 68: Consolidated income statement 2004
Page 69 and 70: 31.12.2004 31.12.2005 Change Change
Page 71 and 72: Translation differences 2003 2004 2
Page 73 and 74: Consolidation policies and valuatio
Page 75 and 76: when the contractually stipulated p
Page 77 and 78: A hedge is regarded as highly effec
Page 79 and 80: Intangible assets Intangible assets
Page 81 and 82: In the case of defined benefit pens
Page 83 and 84: Under revised IAS 32, certain deriv
Page 85 and 86: Notes JULIUS BAER GROUP 81
Page 87 and 88: 3. Credit risks Credit or counterpa
Page 89: Assets by countries/country groups
Page 93 and 94: The liquidity position of Bank Juli
Page 95 and 96: Hedges The Group hedges a portion o
Page 97 and 98: 7. Reputational risks The Group’s
Page 99 and 100: 3 Results from trading operations N
Page 101 and 102: 7 Taxes Notes 2004 2005 Change Chan
Page 103 and 104: The depreciation and write-offs of
Page 105 and 106: Information on the consolidated bal
Page 107 and 108: 12 Financial investments 31.12.2004
Page 109 and 110: Notes 31.12.2004 31.12.2005 Change
Page 111 and 112: 18 Financial liabilities designated
Page 113 and 114: 20a Deferred tax assets Notes 31.12
Page 115 and 116: 23 Corporate capital Notes Register
Page 117 and 118: 25 Pension plans and other employee
Page 119 and 120: 26 Assets and liabilities by domest
Page 121 and 122: 27 Consolidated off-balance-sheet t
Page 123 and 124: 28 Derivative financial instruments
Page 125 and 126: 29 Financial instruments (continued
Page 127 and 128: 30 Risk-weighted assets (BIS) Notes
Page 129 and 130: Notes Head Office Currency Capital
Page 131 and 132: Notes Head Office Currency Capital
Page 133 and 134: Pro-forma information The following
Page 135 and 136: Movements in shares granted under v
Page 137 and 138: Notes 31.12.2004 31.12.2004 31.12.2
Page 139 and 140: Breakdown of assets under managemen
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Report of the Group auditors to the
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Financial Report of Julius Baer Hol
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lion to CHF 28 million due to capit
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Balance sheet 31.12.2004 31.12.2005
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Proposal of the Board of Directors
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Report of the statutory auditors to
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Addresses and contacts
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2005 Annual Report Julius Baer Holding Ltd. - GAM Holding AG

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