21 DISCLOSURE 2010 227 3 3 4 4 4.5 6 7 8 8 9 10 11 14 15 15.16 1720 21 22.23 2426 27 28 30 3032 3335 36 37 38.39 4,161 1,1001 100 200 400 1131 500 50 600 55 700 2
22331 131 27310 222 11,083 73,743 24,635 6 99 226 8,935 10,203 864 880 9,799 11,083 3
21 12 4322 2117737 1246 123 0.6315.644 4
5 3148 737 246 16
6 4 2122323.0212.289.02 92.54 223 4%
ALM ALM BPVVaR ALM ALM SKC 7
..... 416 19 1 18 6 1.97 5.26 31.58 8 3 17
1 2 3 1 2 3 4 9001745 9
1 2 3 1 2 20 3 21 1 11,000 1 1 100 1 5 1 140 120 40 5 110 10 9001745
808,686 685,428 25,952,438 30,133,040 206,650 167,830 23,089,234 22,079,076 2,997,716 3,119,162 151,960 300,730 11,734,814 10,306,645 209,682 225,567 7,995,060 8,126,971 24,785,609 24,635,970 253,111 223,580 2,559,328 2,639,068 20,470,402 20,280,399 1,502,767 1,492,921 627,172 546,996 1,891 1,749 200,000 200,000 252,818 250,801 172,463 94,445 1,632,568 1,533,221 841,098 780,608 595,748 589,858 195,720 162,753 3,093 4,509 480 1,907 2,612 2,601 153,399 155,460 25,934 14,907 965,248 928,895 912,930 902,535 37,373 18,175 76,282,166 79,009,369 71,975,558 73,743,207 105,031 114,528 18,989,708 19,571,944 215,396 236,005 18,700 27,750 47,300,866 48,893,578 5,251,044 4,778,123 94,811 121,276 274,484 269,553 4,063 4,387 146,235 130,043 24,637 26,873 971 971 17,557 20,744 28,895 39,237 52,123 47,295 35,625 30,527 104,963 103,841 107,230 108,858 13,078 11,928 2,818 1,048 25,934 14,907 72,539,693 74,283,871 213,948 222,576 213,948 222,576 4,939,367 5,058,960 209,123 213,948 4,730,244 4,845,011 4,645,000 4,645,000 380,000 380,000 85,244 200,012 5,153,316 5,281,536 1,410,843 556,038 1,410,843 556,038 3,742,472 4,725,498 76,282,166 79,009,369 19101 11
12
13
1,477,864 1,649,267 1,339,622 1,318,025 724,465 718,940 211,392 194,128 389,334 392,020 14,430 12,936 45,625 48,795 21,360 20,215 24,265 28,579 70,019 264,314 4,486 222,727 11,958 38,957 53,574 2,629 22,596 18,132 19,841 14,407 2,755 3,724 2,316,170 1,556,696 238,992 179,471 12,815 47,832 8 17,628 9,673 29,992 398 196 2,735 14 4,460 17,312 4,460 17,312 829,950 123,090 1,005 1,335 92,812 2,060 93,817 725 923,768 123,815 59,012 76,196 950,000 85,244 200,012 220,631 156,552 17,976 22,526 384 391 72,825 72,546 6,669 6,885 66,156 65,660 902,072 234,012 97,304 149,921 70,892 31,395 696,450 34,470 37,425 18,225 1,072,955 1,056,829 689,300 677,095 366,080 364,125 17,574 15,609 29,324 13,836 573 15,040 129 129 13,581 13,706 838,306 92,570 14
85,244 200,012 9,048 165,142 4,825 8,628 4,223 6,514 150,000 150,000 76,196 34,869 1,339,622 1,318,025 238,992 179,471 1,100,630 1,138,554 45,625 48,795 72,825 72,546 27,199 23,751 70,019 264,314 902,072 234,012 832,053 30,301 241,377 1,145,104 0.31 1.48 689,300 677,095 564,509 551,401 43,862 46,465 80,928 79,227 366,080 364,125 122,313 105,992 36,755 37,903 44,344 41,459 15,334 14,672 90,700 105,396 446 511 56,185 58,189 17,574 15,609 1,072,955 1,056,829 45,625 48,795 21,360 20,215 24,265 28,579 72,825 72,546 6,669 6,885 2,485 2,616 63,670 63,044 1.07 0.11 1.18 0.15 440,464 21,597 38,649 59,521 1.76 1.70 1.84 1.67 0.08 0.03 831,578 94,271 15
1,536,572 1,802,696 1,904,548 1,477,864 1,649,267 427,274 582,961 160,639 838,306 92,570 643,646 377,965 63,571 923,768 123,815 65,414,740 66,718,006 69,757,484 71,975,558 73,743,207 20,923,022 23,273,419 24,180,193 24,785,609 24,635,970 21,488,843 20,724,656 19,371,242 23,089,234 22,079,076 71,362,542 73,176,465 75,514,428 76,282,166 79,009,369 5,596,391 6,110,045 5,175,279 3,742,472 4,725,498 18.03 18.27 15.88 15.01 15.64 206,318 207,573 209,123 213,948 222,576 4,126 4,151 4,182 4,278 4,451 8,216 8,267 6,240 4,223 6,514 83 83 85 91 93 89,751 1,384 55,307 1,192 4,537 272 3,360 201 94,288 1,657 58,667 1,394 75,795 1,339,622 1.76 77,333 1,318,025 1.70 24,075 724,465 3.00 24,590 718,940 2.92 28,642 211,392 0.73 27,757 194,128 0.69 22,628 389,334 1.72 24,599 392,020 1.59 71,187 238,992 0.33 73,524 179,471 0.24 71,148 238,608 0.33 73,483 179,079 0.24 16
299 303 4 300 300 0 600 604 3 398 408 9 2,985 2,273 712 3,485 2,896 588 3,384 2,681 702 698 712 14 3,286 2,573 712 3,485 2,896 588 3,984 3,285 698 24 24 0 156 188 32 186 295 108 181 213 31 6,751 6,697 53 6,375 6,400 24 14,884 15,120 236 13,126 13,097 28 1,019 1,000 19 2,099 2,099 0 2,997 3,001 3 3,119 3,099 19 300 300 0 151 149 2 300 300 0 5,731 5,697 34 3,974 3,999 24 11,734 11,970 235 9,706 9,696 9 1,306 1,293 12 3,436 4,002 565 4,510 5,576 1,066 4,742 5,295 552 8,082 8,015 67 9,967 10,590 623 19,581 20,991 1,410 18,050 18,606 556 23 44 23 44 17
4 222 11 38 53 2 70 264 11,995 12,290 4,130 4,105 34.43 33.40 33.83 33.46 32.07 29.94 31.80 33.47 790 792 272 264 20,138 28.3 20,395 27.8 51,009 71.7 53,087 72.2 71,148 100.0 73,483 100.0 67,272 93.5 68,183 92.5 4,703 6.5 5,559 7.5 3,938 5.5 3,905 5.3 69 0.1 59 0.1 695 1.0 1,593 2.2 71,975 100.0 73,743 100.0 45 44 46,256 47,920 1,044 973 47,300 48,893 18
295 1.2 201 0.8 2,654 11.0 2,569 10.5 19,658 81.7 20,347 82.7 1,466 6.1 1,472 6.0 24,075 100.0 24,590 100.0 1,370 5.5 1,497 6.1 133 0.5 137 0.6 2,120 8.6 2,127 8.6 1 0.0 2 0.0 11 0.0 706 2.9 790 3.2 2,801 11.3 3,001 12.2 301 1.2 322 1.3 1,639 6.6 1,792 7.3 3,892 15.7 3,865 15.7 700 2.8 340 1.4 13,668 55.1 13,889 56.4 348 1.4 330 1.3 10,768 43.4 10,416 42.3 24,785 100.0 24,635 100.0 1,312 5.3 1,312 5.3 10 0.0 14 0.1 11,103 44.8 1 10,640 43.2 0 12,426 50.1 1 11,967 48.6 0 7,562 30.5 8,180 33.2 2,384 9.6 24 2,507 10.2 14 2,412 9.8 1,980 8.0 24,785 100.0 25 24,635 100.0 14 9,688 10,052 15,097 14,583 24,785 24,635 12,102 48.8 12,124 49.2 12,682 51.2 12,511 50.8 24,785 100.0 24,635 100.0 1,209 15.1 1,126 14.3 6,789 84.9 6,774 85.7 7,998 100.0 7,901 100.0 19
1,390 6.1 1,685 6.9 149 0.7 75 0.3 11,006 48.7 13,403 54.5 257 1.1 298 1.2 6,207 27.4 6,302 25.6 3,617 16.0 2,834 11.5 22,628 100.0 24,599 100.0 2,001 602 394 2,099 614 404 50 101 300 4,067 4,179 3,487 2,602 4,505 3,099 99 198 1,936 501 3,285 898 1,697 505 2,685 6,317 6,217 4,591 3,679 5,901 6,202 4,219 3,189 56 52 56 52 52 26 52 26 924 912 6 918 912 912 902 6 906 902 981 965 6 974 965 965 928 6 958 928 20
1,036 338 698 1,036 100.0 100.0 1,217 486 730 1,217 100.0 100.0 1,234 841 214 1,055 85.5 54.5 1,053 709 172 881 83.6 49.9 6 6 0 7 101.6 0.0 32 32 0 32 101.2 0.0 2,278 1,186 913 2,099 92.1 83.6 2,302 1,228 902 2,131 92.5 84.0 22,565 22,382 24,843 24,684 18 6 12 100.0 16 2 14 100.0 2,252 1,173 900 92.0 2,249 1,193 884 92.3 6 6 0 101.6 32 32 0 101.2 2,277 1,186 912 92.1 2,298 1,227 898 92.5 21
213,948 222,576 213,948 222,576 4,645,000 4,795,000 76,196 34,869 5,149,092 5,275,021 1,150 694 1,150 694 5,200,260 5,300,687 32,011,839 31,489,600 38,334 23,994 2,593,007 2,362,923 34,643,182 33,876,519 52,318 26,359 52,318 26,359 14.86 15.57 5,201,411 5,301,381 15.01 15.64 22
32,050 1,282 31,513 1,260 31,763 1,270 31,438 1,257 4 0 6 0 503 20 493 19 0 0 0 0 0 0 20 0 0 0 0 0 0 0 10,055 402 9,838 393 8,471 338 8,271 330 4,318 172 4,153 166 1,487 59 1,523 60 2,320 92 2,524 100 203 8 290 11 0 0 0 0 240 9 238 9 1,431 57 1,536 61 2,704 108 2,561 102 287 11 75 3 287 11 75 3 2,593 103 2,362 94 34,643 1,385 33,876 1,355 23
72,818 74,984 25,756 25,587 15,855 14,272 31,207 35,124 587 920 5,123 5,633 4,721 5,176 401 457 77,942 80,618 25,756 25,587 20,577 19,448 31,608 35,582 587 920 2,405 2,575 1,734 1,877 670 697 156 262 314 303 314 303 30 30 30 30 2,524 2,595 2,524 2,496 99 40 61 1 2 1 2 353 507 11 353 495 858 938 760 838 98 99 1 3,699 3,850 3,218 3,356 481 494 82 80 40,884 43,769 303 326 14,628 13,066 25,952 30,376 1,807 2,756 1,807 1,962 793 127 4,618 4,604 4,618 4,604 66 52 4,833 4,430 420 394 4,344 3,700 69 335 9,318 9,041 9,318 9,041 239 335 6,291 5,210 704 340 5,587 4,870 77,942 80,618 25,756 25,587 20,577 19,448 31,608 35,582 587 920 21,048 23,492 3,156 2,900 6,114 5,898 10,476 14,693 13,027 9,096 2,491 2,818 4,186 3,678 8,350 2,600 7,127 12,969 2,714 2,636 2,013 2,499 1,700 7,834 3,601 2,869 1,281 1,274 2,319 1,594 4,939 5,318 2,519 2,725 2,264 2,592 156 21,238 19,923 12,059 11,738 3,679 3,184 5,500 5,000 6,960 6,947 1,534 1,492 5,426 5,455 77,942 80,618 25,756 25,587 20,577 19,448 31,608 35,582 24
232 265 265 266 232 265 265 266 57 80 80 96 57 80 80 96 1 1 1 1 155 134 134 117 3 3 151 130 134 117 179 165 165 167 179 165 165 167 83 57 57 44 2 0 80 56 57 44 216 207 207 208 0 1 216 206 207 208 924 912 912 902 6 6 918 906 912 902 5,942 1,625 5,800 1,453 199 2,731 3,267 6,421 26,382 7,079 30,425 4,265 4,357 2,721 707 2,289 1,161 5,350 5,303 5,291 16,174 4,279 15,065 130 133 20,577 57,365 19,448 61,169 4 25
1,413 1,396 2,233 1,899 22 20 808 300 1,425 1,500 287 302 99 822 828 4 5 13 12 0 263 226 26
405 168 198 0 0 206 167 50 30 0 0 156 137 3 2 198 7 0 0 1 0 0 0 0 0 ALM 1 2 CDO 4 27
28 295 295 384 384 1,135 1,135 1,151 1,151 1,431 1,431 1,536 1,536 19 20 0 15 33 168 89 BPVVaR ALM SKCALMBPVVaR BPV100BPV 1 VaR 100BPV VaR 60991 50 55 50 3 991 345 298 421 215 647 4 513 1,419 906 17.09 VaR ALM
20046 4 1 1 153 8 4 45 ALMAsset Liability Management 55 5052.5 Basis Point Value1 0.01 9999 200BPV2199 Tier1Tier220 911 29
94 176 21412233159 22625 583 30
4 3 21 13 2,879 2,387 3 2 2,909 2,406 26,450 26,331 25,251 26,681 42,769 26,308 44,708 22,614 194 156 124 67 505 479 387 399 31
315 315 1,050 1,050 525 3,150 525 315 2,100 3,150 1,260 3,150 1,575 525 525 840 1,050 10,500 1,050 3,150 3,150 10,500 5,250 5,250 15,750 10,500 5,250 52,500 31,500 21,000 10,500 5,250 32 845 1800 105 105 1800 1900 210 210 900 1400 105 105 1400 1700 210 210 900 1700 105 210 210 000 0845 105 105 845 1800 1800 2400 105 105 000 900 105 105 900 1400 1400 2400 105 105 000 2400 105 105 900 1800 105 105 105 105 1800 1900 210 210 210 210 900 1400 105 105 105 105 1400 1700 210 210 210 210 900 1700 210 210 210 210 630 630 525 105 210 525 315 315 735 105 420 105 210 315 105 420 210 105 420 105 210 630 315 630 525 105 420 210 630 840 630 210 210 840 840 840 840 105 12,600 7,350 15,750 9,450 18,900 21,000 14,700 25,200 12,600 1100 101500 5011,000 1,001 210 420 630 211214 1050
1 222 2 600 1100 3 457762 457762% 4 CS 71 2% 77% 20% 3% 27% 71% 22 78 0% 0% 22% 6% 33% 58% 78% 0% 0% 25 25% 75 75% 33
99 95 0% 0% 1% 33% 2% 1% 2% 24% 75% 62% 7 6 1% 24% 70 1%1% 72% 21% 5% 1% 72% 18% 9% 78% 17% 1% 4% 1% 61% 29% 8% 3% 47% 30% 20% 60% 50% 40% 30% 20% 10% 0% 57% 14% 14% 7% 6% 6% 5% 4% 1% 0% 1% 74% 2% 28% 2% 2% 66% 34
24 39% 9% 15% 37% 82% 18% 40% 35% 30% 25% 20% 15% 10% 5% 36% 36% 31% 31% 22% 17% 9% 12% 5% 1% 0% 3961 6050%5028 491913 20 30 40 50 60 1 11 20 32 96 160 5 17 32 84 112 250 6 28 52 116 208 410 25 95 1 0 26 147 45 78 47 27 19 216 70 173 48 27 45 363 47 94 20 1% 30 7% 40 13% 7% 12% 19% 60 51% 50 28% 13% 49% 35
36
11083223 1 100 2 3 3 100110 2233111083 5922625 1030 59 1 2 3 4 22 223342 : 52 : 52 226 : 30 : 30 : 18 : 18 37
18 22 31022930 1 38
: : 12 211214 -ATM 24 211221 5 2188 2193 2195 39
2 1. 3 2. 4 3. 3 4. 3 5. 3 6. 3 7. 3 8. 9. 31 10. 11. 4.5.6 12. 16 13. 15 14. 16 15. 16 16. 16 17. 16 18. 16 19. 16 20. 16 21. 16 22. 16 23. 16 24. 16 25. 15 26. 15 27. 15.16 28. 15 29. 15 30. 18 31. 15 32. 15 33. 15 34. 18 35. 18 36. 18 37. 1 18 38. 1 18 39. 18 40. 19 41. 19 42. 19 43. 19 44. 19 45. 18 46. 19 47. 31 48. 1 18 49. 1 18 50. 51. 20 52. 20 53. 18 54. 8 55. 2129 56. 1115 57. 21 1 2 33 4 58. 21 59. 22 60. 17.18 61. 62. 16 63. 64. 65. 20 66. 20 67. 30 68. 30 69. 31 70. 71. 30 72. 73. 32 74. 3 75. 2 76. 77. 37 78. 7 79. 3335 80. 38.39 81. 8