DHL 2002 Annual Report Download - page 134

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49
Operational risk
Operational risk is defined by Basel II as “the risk of direct
or indirect loss resulting from inadequate or failed internal
processes, people and systems or from external events”. Legal
risks are also included here in accordance with the Basel II
definition.
In 2002, Postbank continued the operational risk
project it had launched in 2001. The methodologies employed,
the loss event database, the identification of risk indicators
and the implementation of qualitative self-assessment were
further optimized. Additional subsidiaries were integrated. The
objective of the Deutsche Postbank group is to implement
the requirements of the standardized approach to assessing
capital requirements for operational risks on a uniform basis
throughout the group by 2005, and at the same time to
establish the basis for compliance with one of the more risk-
sensitive statistical models of the BIS consultative paper,
thereby enabling the integration of operational risk manage-
ment with the comprehensive, risk-adjusted overall bank risk
management system.
Risk-weighted assets and capital ratio
Postbank assures the correct calculation of liable capital and
own resources at group level. Regulatory own resources were
as follows at December 31, 2002:
With a capital ratio of 10.6% and an overall capital ratio
of 9.6%, the Deutsche Postbank group more than satisfies
the minimum requirement of 8%.
45.1.2 Derivatives
The Deutsche Postbank group uses derivatives primarily
to hedge positions as part of its asset/liability management
policy. Derivatives are also used for trading.
Derivatives on foreign currencies are mostly entered
into in the form of currency forwards, currency swaps,
cross-currency swaps and currency options. Interest rate
derivatives are mainly interest rate swaps, Forward Rate
Agreements and interest rate futures and options; forward
transactions in fixed-income securities are entered into
occasionally. Equity derivatives are entered into in the form
of equity options and equity/index futures. Credit derivatives
(credit default swaps) were also entered into in the year
under review, although the volume involved was small.
The presentation of derivatives follows the recommen-
dation of the Verband öffentlicher Banken (Association
of German Public Sector Banks). The notional amounts
represent the gross volume of all sales and purchases.
The notional amount is a reference value for determining
reciprocally agreed settlement payments; it does not
represent recognizable receivables or liabilities.
The derivatives portfolio is classified by economic
purpose as follows:
Financial Statements
Notes
Own resources
2001 2002
Risk-weighted assets in €m 39,176 40,338
Market risk positions in €m 4,375 4,200
Positions for which
capital charges are required in €m 43,551 44,538
Core (tier 1) capital in €m 2,626 2,782
Supplementary (tier 2) capital in €m 1,590 1,482
Liable capital in €m 4,216 4,264
Eligible own funds in €m 4,349 4,264
Tier 1 ratio in % 6.7 6.9
Capital ratio in % 10.8 10.6
Overall capital ratio in % 10.0 9.6
Derivatives
in €m Notional amounts Positive fair values Negative fair values
2001 2002 2001 2002 2001 2002
Trading derivatives 71,781 171,031 905 843 560 1,001
Hedging derivatives 58,115 39,225 1,708 1,121 2,413 2,645
129,896 210,256 2,613 1,964 2,973 3,646