Introduction

Treasury, which is part of the Corporate Center, is responsible for the management of UBS’s financial resources.

Our treasury department assumes market risk as a result of its balance sheet and capital management responsibilities. Treasury manages the interest rate risk arising from the funding of non-business items and the transfer of long-term interest rate risk from other Business Groups. It is also responsible for the foreign exchange risk resulting from the multi-currency nature of our business.

Treasury manages UBS's consolidated equity in order to protect our capital ratios and to generate a stable interest income stream.

Special Content

Treasury: Value at Risk (10-day, 99% confidence, 5 years of historical data)1

Year ended 31.12.06

Year ended 31.12.05

CHF million

Min.

Max.

Average

31.12.06

Min.

Max.

Average

31.12.05

Interest rates

19

72

36

19

31

84

65

62

Foreign exchange

4

51

30

20

3

67

26

30

Diversification effect

2

2

(23)

(12)

2

2

(26)

(30)

Total

25

69

43

27

33

86

65

62

1 For 2005, Treasury VaR differs from Corporate Center VaR, which also included Private Banks up to their sale on 5 December 2005. For 2006, Treasury is the only contributor to Corporate Center VaR. 2 As the minimum and maximum occur on different days for different risk types, it is not meaningful to calculate a portfolio diversification effect.

 

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