GENERAL MEETING DRAFT - Bankier.pl

Additional liquidity risk measures
In addition, within the determination of the Risk Appetite measures at Group Level, two new
measures have been introduced for liquidity risk management purposes: the Loans to Deposits
ratio and the Leverage ratio. Both of them have to be calculated at Group level and at Single Legal
Entity level.
Monitoring and reporting
The Short Term Liquidity limits and the Cash Horizon are monitored and reported on a daily basis.
The structural liquidity ratios are monitored and reported on a monthly basis. The survival period and
liquidity stress test are reported and monitored on a weekly basis. Further risk appetite figures as
are the Loan to Deposit ratio and the Leverage Ratio, given their measurement nature according to
accounting definitions, their measurement and control will be performed on a quarterly basis. The
risk appetite statement development are set first in the 3 year plan, and then reviewed yearly. The
monitoring plays a key role as the results feed into the decision making process.
Mitigation factors
The main liquidity mitigation factors for UniCredit Group are:
� an accurate short term and medium to long term liquidity planning monitored monthly;
� an effective Contingency Liquidity Policy (CLP) with feasible and up-to-date Contingency Action
Plan (CAP) to be executed in case of market crisis;
� a liquidity buffer to face unexpected outflows;
� robust and regular up to date stress testing performed on a high frequency.
Funding Plan
The measurement and management of structural liquidity risk involve the following:
� A process for defining financing requirements which is integrated with the Group Planning
(integration between the Budget/Three-year Plan and the Financial Plan), in terms of preliminary
predictions/forecasts, final/actual figures and an analysis of discrepancies
� A process of continuous alignment between the reports on financing requirements and the
composition of strategic funding (integration between Financial Plan and Funding Plan), in terms
of predictions/forecasts, realisation and analyses of variations;
The functions involved in such processes are the following:
� At Group level: Group Finance Department, Group Planning Department, Capital Management,
Group Risk Management
� At Regional Liquidity Centres level and the Banks/Companies of the Group falling within their
perimeter: ALM functions, Planning functions, Treasury functions, Risk Management functions.
The structural liquidity profile and the annual funding plan are regularly monitored and updated by
the Group’s ALM, in coordination with the ALM function of the Regional Liquidity Centres. The two
main purposes are the following:
� maintaining a balanced maturity structure in line with the growth trend of the Group’s overall
assets and liabilities, with the international market conditions, and with the interest rate dynamics.
� Transferring to the Banks/Companies the cost of structural financing, in accordance with the
procedures set out under the internal rules/policies, with the single policies adopted by the
Regional Liquidity Centres and with principles of functional specialisation.
2009 CONSOLIDATED REPORTS AND ACCOUNTS
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