DHL 1999 Annual Report Download - page 125

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136
Other Notes
(39) Financial instruments
Financial instruments are contractual agreements
covering claims for payments. In accordance with IAS
32 (Financial Instruments: Disclosure and Presenta-
tion), they include both primary and derivative finan-
cial instruments.Primary financial instruments include
in particular credits with banks, all receivables, liabil-
ities, marketable securities, loans and borrowings and
accrued interest. Derivative financial instruments
include e.g.,options,swaps and futures.
The great majority of the Group’s financial instruments
is accounted for by the Deutsche Postbank Group. Risks
and fair values of Deutsche Postbank’s financial instru-
ments are therefore presented separately.
(39.a) Risks and market values of Deutsche
Postbank Group’s financial instruments
Risk control
The risk control unit of Deutsche Postbank AG performs
their independent functions in Deutsche Postbank’s
headquarters for the entire Postbank Group. Their
activities focus on the internal information updating
required for the control of risks inherent in market
prices and liquidity.This control function is performed
by the responsible corporate division of the Deutsche
Postbank Group.
Market risks
The market risks of Deutsche Postbank AG are meas-
ured using the value-at-risk method: A holding period
of ten trading days and a 99-percent confidence level are
assumed for the portfolios. The probability that losses
do not exceed the thus-determined risks within ten days
amounts to 99 percent.
In line with these policies,the following risk values were
determined for the trading portfolio of Deutsche Post-
bank AG as of December 31,1999:
The quality of the computed value-at-risk values is sub-
ject to regular backtesting.
Worst-case scenarios are computed at regular intervals,
in addition to the value-at-risk values, in order to esti-
mate the effects of extreme market movements on the
Postbank portfolio.
EUR mill.
Value-at-risk as of
12.31.1999
Minimum value-at-
risk as in 1999
Maximum value-at-
risk as in 1999
Average
value-at-risk
as in 1999
Total trading
portfolio
incl.
correlation
Financial
markets
equity
trading
Financial
markets
interest rate
trading
capital
market
Financial
markets
interest rate
trading
money
market
1.3 0 0.1 1.3
0 0 0 0
1.6 3.1 0.7 3.1
0.3 0.3 0.3 0.6