GENERAL MEETING DRAFT - Bankier.pl

Exchange-Rate Sensitivity
This simulation assesses the economic impact of the appreciation or depreciation by 1%, 5% and 10% of
each currency against all the others. Exposure to the various currencies is indicated as the “Delta cash
equivalent” in euros: this is the euro equivalent of the currency amount which would expose the bank to
the same exchange-rate risk arising in its actual portfolio.
Exchange rates
Delta Cashequivalent
-10% -5% -1% +1% +5%
� million
+10%
EUR -40.8 -19.6 -4.0 2.9 -6.6 5.7
USD -194.8 29.8 9.7 1.9 -1.9 -9.6 -21.9
GBP -191.2 23.8 10.1 1.9 -1.9 -8.7 -15.6
CHF -24.7 -4.8 -2.9 -0.1 -0.2 -1.6 -4.2
JPY 40.4 9.3 0.9 -0.3 0.4 2.4 4.6
Share-Price and Commodity-Price Sensitivity
Share-price sensitivity is expressed in two ways:
� as a “Delta cash-equivalent”, i.e. the euro equivalent of the quantity of the underlying that would
expose the bank to the same risk arising from its actual portfolio;
� as the economic result of a rise or fall in spot prices of 1%, 5%, 10% and 20%.
The Delta cash-equivalent and the Delta 1% (i.e. the economic impact of a 1% rise in spot prices) are
calculated both for each geographical region (assuming that all stock markets in the region are perfectly
correlated) and on the total (assuming therefore that all stock markets are perfectly correlated). The
sensitivity arising from changes of 5%, 10% and 20% is calculated solely on the total.
In addition, sensitivity to commodity price changes is calculated according to the above criteria. Given its
secondary importance as compared to other risk exposures, this is calculated as a single class.
Delta Cashequivalent
-20% -10% -5% -1% +1% +5% +10%
� million
+20%
Equities
All markets 13.0 -38.6 -11.6 -3.4 -0.4 0.1 -0.8 -4.2 -19.4
Europe 9.4 0.1
US -11.2 -0.1
Japan -7.2 -0.1
United Kingdom -4.4 -0.0
Switzerland -16.3 -0.2
CEE 12.5 0.1
Others 26.4 0.3
Commodities 0.0 0.0
All markets -30.1 7.2 3.3 1.6 0.3 -0.3 -1.4 -2.7 -4.8
2009 CONSOLIDATED REPORTS AND ACCOUNTS
438