GENERAL MEETING DRAFT - Bankier.pl

� million
Scenario Total
US Recession - 321
Financial Crisis - 1,018
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441
>> Consolidated Financial Statements
Part E – Information on risks and related risk management policies
In this respect, further to the market turmoil following the sub-prime mortgages’ meltdown and the
subsequent uncertainties in the valuation of most of the Structured Credit Products, as mentioned above
the Holding Company (HC) Group Market & Balance Sheet Risks Portfolio Management function, in a
joint effort with Market Risk Control at the Legal Entity (LE) level, has decided to:
� centralize the Independent Price Verification (IPV) process for such products in the Risk Control
function of UCB AG London branch which has been elected as the group’s “competence center”
for the evaluation of complex structured credit products, i.e. ABS, CDO, CLO, CDO of ABS, etc.,
which represent the various sectors.
� harmonize the IPV methodology across the group defining a consistent approach based on the
ranking of each single position according to the availability and relative reliability of available
price sources. As a consequence, all such positions have been treated and valued uniformly at
the group level, including Bank of Austria’s (BA) and UCI Ireland’s
� define and develop a proper methodology to apply specific Fair Value Adjustments to such
valuations. The chosen approach is essentially based on the above ranking of price sources and
defines specific stress tests for market valuations, the wider the less reliable is the ranking
through their respective sensitivity to a one-notch downgrade
� the whole process has been shared and developed within the framework of the established
cooperation model between all CRO (Chief Risk Office) functions either at the HC as well as at
the LE level and the HC and LE CFO (Chief Financial Office) functions, responsible for the
accounting treatment of such valuations and adjustments.
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C.1 OTC Financial and credit derivatives: net fair value and future exposure by counterparty (� '000)
Governments
and Central
Banks
Other
public-sector
entities Banks
Amounts as at 12.31.2009
Financial
companies
Insurance
companies
Non-financial
companies
1) Netting agreements related to
Financial Derivatives
- positive fair value 36,247 11,976 1,372,152 20,385 369 499,597 2,019
- negative fair value 1,266 7 782,545 95,000 10,160 135,969 4,759
- future exposure 14,948 4,401 79,979 25,060 2,421 202,935 2,544
- net counterparty risk
2) Netting agreements related to
Credit Derivatives
51,195 16,377 682,963 21,055 2,791 705,668 4,563
- positive fair value - - - - - - -
- negative fair value - - - - - - -
- future exposure - - 519 1,661 - - -
- net counterparty risk
3) Cross Product netting agreements
- - - - - - -
- positive fair value - 3,593 6,369,197 2,001,115 13,219 1,820,773 169,824
- negative fair value - - 9,951,915 1,085,276 106,448 789,662 2,595
- future exposure - 656 17,891,614 3,927,928 6,974 755,376 39,968
- net counterparty risk - 4,249 19,827,404 5,403,221 6,392 2,555,815 209,792
Other
entities