GENERAL MEETING DRAFT - Bankier.pl

The following table gives the VaR for the aggregate risk of the trading portfolio.
Interest rate risk on trading book
December 31, 2009
Daily VaR on Trading Book (� million)
2008
12.31.2009 AVERAGE MAX MIN AVERAGE
UniCredit Spa (1)
3.7 3.9 5.4 2.1 5.6
UCI - Ireland 0.2 0.2 0.2 0.2 0.2
BA Group 14.7 21.7 41.1 11.9 22.2
UCB AG 21.4 57.8 113.4 19.7 56.1
UniCredit Group Total (2)
2009
39.9 83.6 160.2 33.9 84.1
(1) Regulatory Trading Book VaR as of 12.31.2009 is equal to 5 � millions.
(2) Total VaR is computed as simply the sum of the different components, without taking into account any differentiation effect among the various Entities.
Changes in Risk
In 2009, there has been a generalized reduction in the UniCredit Group’s market risk, principally due to
amarked reduction both in the credit spreads representing the principal risk factor characterizing overall
exposure and in their volatility, an element that also affected other risk factors (interest rate risk, share
prices and exchange rate risk), as well as a strategy of gradual reduction of exposure to non-core
businesses in the portfolios compared to “core markets.”
The following graphs analyze the backtesting results referred to the market risk on the trading book, in
which VaR results are compared to the theoretical profit and loss results for each main risk taker unit:
UCB AG
160,000,000
140,000,000
120,000,000
100,000,000
80,000,000
60,000,000
40,000,000
20,000,000
-
-20,000,000
-40,000,000
-60,000,000
-80,000,000
-100,000,000
-120,000,000
-140,000,000
-160,000,000
2009-01-02
2009-01-23
2009-02-13
2009-03-06
2009-03-27
2009-04-17
2009 CONSOLIDATED REPORTS AND ACCOUNTS
2009-05-08
2009-05-29
2009-06-19
2009-07-10
2009-07-31
2009-08-21
P&L UCB AG VaR
During 2009, only 1 overdraft was recorded in UCB AG, principally due to substantial updating of market
quotes on some specific bond types in a very illiquid market framework. In general, a marked reduction of
market volatility has been observed during the last year.
2009-09-11
2009-10-02
2009-10-23
2009-11-13
2009-12-04
2009-12-28
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