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DKD at a glance

Below is an overview of the key items on our balance sheet and income statement, as well as our key risk indicators.

Dexia Kommunalbank at a glance:

 

Market and interest rate risk are particularly relevant to Dexia Kommunalbank Deutschland's risk management system. Foreign currency risks are generally eliminated by hedging.

Management uses two risk indicators based on market values – basis point value (BPV or PV01) and value at risk (VaR) – to manage interest rate risks. BPV describes the potential loss of the net present value of the overall portfolio given a parallel shift in interest rates at all maturities by 100 bp. PV01 describes the potential loss given a 1 bp shift per defined maturity range. The value-at-risk method (VaR) provides the maximum anticipated loss which may occur in normal market conditions during a pre-defined holding period, based on a given probability. The Bank calculates VaR on a daily basis, in particular based on a 99 % confidence level and a ten-day holding period.

 

The steering of short-term interest rate risks for up to one year (CLM) was limited to EUR 25.0 million in +/-100 BPV, and to EUR 2.0 million in VaR, and the steering of long-term interest rate risks was limited to EUR 5.0 million. Specified maturity buckets for interest rate risk (PV01) are also limited for the BSM portfolios. The interest sensitivity of the credit spreads is also measured daily. No separate limiting takes place. The entire portfolio consisting of CLM and Local BSM is subject to a VaR limit totalling EUR 3.0 million.

 

Dexia Kommunalbank Deutschland's historical risk:

 

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