GENERAL MEETING DRAFT - Bankier.pl

For each 1bp shift, sensitivity is calculated for a series of time-buckets.
Sensitivity for changes in the steepness of the rate curve is analyzed by clockwise turning (Turn CW ),
i.e. an increase in short-term rates and a simultaneous fall in long-term rates, and by counter-clockwise
turning (Turn CCW ), whereby short-term rates fall and long-term rates rise.
Currently, clockwise and counter-clockwise turning use the following increases/decreases:
� +50bps/-50bps for the one-day bucket
� 0 bps for the one-year bucket
� -50bps/+50bps for the 30-year plus bucket
� for each of the above buckets, the change to be set is found by linear interpolation.
� millions
+1BPS +1BPS +1BPS +1BPS +1BPS +1BPS
Interest Rates
less than
3 months
3 months
to 1 year
1 year 2 years
to 2 years to 5 years
5 years
to 10
years
over
7 years
+1 BPS -100 BPS -10 BPS +10 BPS +100 BPS CW CCW
Total 0.0 0.8 -0.0 0.1 0.1 -0.3 0.7 -189.6 -7.4 6.7 36.7 1.2 -33.7
of which: EUR 0.1 0.9 -0.2 0.1 0.2 -0.3 0.7 -159.4 -7.4 6.7 38.9 7.5 -21.4
USD -0.1 -0.1 0.2 -0.1 -0.1 0.1 -0.0 -27.8 0.1 -0.1 -1.1 -4.4 -14.3
GBP -0.0 -0.0 -0.1 0.1 0.0 -0.0 0.0 -3.6 -0.2 0.1 1.3 -1.6 1.5
CHF -0.0 0.1 -0.0 -0.0 -0.1 0.1 -0.0 1.9 0.1 -0.1 -0.8 -1.5 1.2
JPY 0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.8 0.0 -0.0 -1.0 0.8 -0.7
2009 CONSOLIDATED REPORTS AND ACCOUNTS
436