GENERAL MEETING DRAFT - Bankier.pl

The current models in place within the Group are mainly based on pre-defined prudential haircuts.
Internally estimated haircuts, based on the Value at Risk methodology for the assessment of the riskiness
concerning financial collaterals, are under adoption throughout the Group. They are already in use in
some Legal Entities. The methodological approach provides that the hedging value has to be estimated
for each financial instrument on the basis of its market value (mark-to-market) adjusted with a haircut that
has to consider the intrinsic riskiness according to the different factors (price riskiness, time of ownership
and liquidity risk).
The main Legal Entities of the Group are also provided with tools for the automatic evaluation of the
mark-to-market of the pledged securities, granting the constant monitoring of the financial collateral
values.
For the valuation of real estate collateral, specific processes and procedures ensure that the property is
valuated by an independent expert at or less than the market value. For the Legal Entities operating in
Austria, Germany and Italy, systems for the periodic monitoring and revaluation of the real estate serving
as collateral, based on statistical methods and internal databases or provided by external info-providers,
are in place.
Funded credit protection instruments can be considered eligible as credit risk mitigants when they meet
the general requirements according to Supervisory Regulations and the specific requirements differing
among the approaches adopted for Supervisory capital purposes for single counterpart / exposure
(Standardized, A-IRB), in accordance with the Country’s domestic legal framework. The list of the eligible
providers depends on the specific approach adopted by each Legal Entity. Specifically, Legal Entities
adopting A-IRB may recognize guarantees provided that the relevant minimum requirements are satisfied
and, particularly, provided that the Legal Entity can evaluate the protection provider risk profile at the time
the guarantee is established and during its entire maturity.
2.5 Impaired Loans
The Group’s activities for the “non-performing” portfolio are based on the following basic steps:
� prompt action. Based on a solid and effective monitoring and reporting process the early
identification of possible credit quality deterioration allows the Group to perform the necessary
restrictive measures before default is declared;
� proper assessment of impaired loans in order to determine what action should be taken and how
the loan should be classified in terms of default categories;
� initiating recovery procedures on the basis of the type and amount of exposure and the specific
borrower involved;
� appropriate provisioning through profit and loss in proportion to counterparty risk and type of
exposure. Provisioning is carried out in line with the principles of IAS 39 and Basel II rules;
� accurate and regular reporting in order to monitor aggregate portfolio risk over time.
Each Legal Entity’s classification of positions into the various default categories must comply with local
legal and regulatory provisions issued by the Supervisory Authority.
Since UniCredit, in its role as Holding Company, is required to comply with instructions issued by the
Italian Supervisory Authority, suitable measures are taken vis-à-vis the Group’s foreign Legal Entities to
link and align classifications which would otherwise not be consistent with the appropriate default
categories.
2009 CONSOLIDATED REPORTS AND ACCOUNTS
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