DHL 2000 Annual Report Download - page 128

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In accordance with these policies,the following risk
values were determined for Deutsche Postbank AG’s
trading portfolio as at December 31, 2000:
The quality of the computed value-at-risk figures is
subject to regular backtesting.
In addition to the value-at-risk figures,worst-case
scenarios are computed at regular intervals in order to
estimate the effects of extreme market movements on
the Postbank portfolio.
Interest rate risks
Interest rate risks are associated with changes in the
market values of fixed-interest-bearing financial in-
struments that result from changes in the market in-
terest rate.Interest rate risks occur when differences
arise between fixed-interest-bearing assets and liabili-
ties for certain maturity ranges.In order to identify
the interest rate risks,the interest-bearing financial
instruments are assigned a maturity date in accor-
dance with their residual term or an earlier repricing
date.Up to this date, the interest rates will be fixed.
The following table shows the open fixed-interest rate
positions of Deutsche Postbank AG.Positions with a
positive value represent the fixed-interest rate of as-
sets,which means there is a surplus of asset items.
Negative values represent a surplus of liability items.
The bank manages the open fixed-interest rate posi-
tions in accordance with the fixed-interest balance
sheet prepared and evaluated at regular intervals. It
also identifies the so-called “marginal” interest rate.
Balance sheet interest income is achieved when this
marginal interest rate is applied to the surplus.
Credit risks
The concentration of loan loss risks (credit risk con-
centration) results from business relationships with
borrower groups which are characterized by a num-
ber of joint features and whose ability to repay debts
depends on the change of certain economic condi-
tions.The Deutsche Postbank AG’s lending business
does not show any significant risk-prone industry de-
pendencies.
Country risks
A country risk is involved when cross-border capital
debt services cannot be carried out due to transfer
problems. The country risk is controlled on the basis
of risk categories defined by the Board of Management.
The limits are monitored on a daily basis.
The risk situation in the lending busines is continuously
monitored and controlled by analyzing the lending
portfolio on the basis of internal risk categories.
120
Fixed-interest gap
Financial M ar-
kets, Capital
M arket incl.
Equity Trading
Total Trading
Portfolio
including
Correlation
Value-at-risk as at Dec. 31, 2000 0.54 3.99 3.99
Minimum value-at-risk 2000 0.19 0.13 0.48
Maximum value-at-risk 2000 1.64 10.16 10.18
Average value-at-risk 2000 0.8 1.68 2.03
Value-at-risk as at Dec. 31, 1999 1.3 0.1 1.3
Minimum value-at-risk 1999 0 0 0
Maximum value-at-risk 1999 1.6 3.8 3.1
Average value-at-risk 1999 0.3 0.6 0.6
Financial
M arkets,
Interest Rate
Trading
M oney M arket
1 to
less than
4 years
4 to
less than
6 years
6 to
less than
8 years
8 to
less than
10 years
Fixed-interest-
bearing assets 34,068 13,446 11,188 7,545
Fixed-interest-
bearing liabilities 37,008 13,935 11,272 7,661
Fixed-interest gap – 2,940 –489 –84 –116
in € millions
in € millions