DHL 2001 Annual Report Download - page 147
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Consolidated Financial Statements
Notes
147
The quality of the computed values at risk is
assured by regular comparison with actual perform-
ance (clean backtesting).
In addition to the values at risk, worst case sce-
narios are computed at regular intervals to enable
an estimate of the effects of extreme market move-
ments on the Postbank portfolios.
•Interest rate risk
Interest rate risk is the term used to denote changes
in the fair values of fixed-income financial instru-
ments resulting from changes in market interest
rates.Interest rate risk arises if there are differences
between fixed-income assets and liabilities for cer-
tain maturity ranges. To classify interest rate risk,
interest-bearing financial instruments are allocated
for hedging purposes to the maturity range in which
they are locked in to fixed interest rates, based on
the time to maturity or an earlier interest rate
adjustment date.
The following table presents the open fixed-rate
positions of Deutsche Postbank AG. Positions with
a positive value denote the fixed-rate risk of assets,
i.e. there is a surplus of assets; negative values repre-
sent a surplus of liabilities.
The effects on Postbank’s hedges (e.g. interest
rate swaps) are contained in the interest rate risk
position shown below.
•Liquidity risk
Above and beyond the existing daily operating
liquidity management systems in the financial mar-
kets division,the financial projections produced by
risk management also forecast the development of
investable cash flow for the current and the following
year to obtain advance information on the develop-
ment of the Deutsche Postbank group’s cash posi-
tion.
•Operational risk
The Deutsche Postbank group approaches opera-
tional risk as a separate type of risk. The underlying
definition meets the standards issued by the Basle
Committee on Banking Supervision, which defines
operational risk as “the risk of direct or indirect loss
resulting from inadequate or failed internal proces-
ses, people and systems or from external events”.
Bank-specific criteria have been developed to distin-
guish operational risk from the other types of risk,
as well as for the individual subcategories of opera-
tional risk.
Fixed-rate assets 34,068 13,446 11,188 7,545
Fixed-rate liabilities -37,008 -13,935 -11,272 -7,661
Interest rate risk position 2000 -2,940 -489 -84 -116
Interest rate risk position
Fixed-rate assets 119,516 17,380 12,883 8,213
Fixed-rate liabilities -120,809 -15,344 -13,544 -7,607
Interest rate risk position 2001 -1,293 2,036 -661 606
6 to less
than
8 years
8 to less
than
10 years
1 to less
than
4 years
4 to less
than
6 years
in €m