A4 für Copyshop GB.indd - Bayerische Landesbank

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114 Report on the Bank and the Group } Controlling } Reporting Management of the liquidity position and strategic liquidity management are the responsibility of the Global Markets Business Area. The former task ranges from management of intraday cash flows to measures aimed at compliance with the supervisory Principle II ratio. Strategic liquidity management, on the other hand, ensures medium- to long-term solvency, projected over a forecast period of up to 20 years. In terms of safeguarding the liquidity position, according to supervisory requirements, a bank’s liquidity is deemed sufficient if the weighted liquid funds available within 30 days cover the weighted payment obligations that are callable during this period. In the year under review, the ratio was always between 1.18 and 1.36. The minimum supervisory requirement of 1.0 was thus guaranteed at all times. The Global Markets Business Area comprises management tasks relating to Principle Il, all funding activities, as well as collateral management. The Bank ensures access to the main international money and capital markets by placing certificates of deposit, medium-term notes, bearer bonds, covered bonds (pfandbriefe) and local government bonds or other funding instruments. Of particular importance here is collateral management, which both covers the necessary lines for trading partners and ensures the superlative quality of BayernLB’s registers of cover. Each subsidiary of the BayernLB Group balances its liquidity independently. Although it is not stipulated under national law, each subsidiary reports its Principle II ratio to the parent company. To disclose their structural liquidity positions, the subsidiaries submit cash-flow redemption reports to the Bank’s Global Treasury and Funding Division. To safeguard solvency even in times of crisis (worst case scenarios), the Bank has an appropriate portfolio of highly liquid securities that can be disposed of. This means that, even when markets are tight, BayernLB can procure sufficient liquidity by way of repo and central bank tender deals. As a rule, intraday and overnight net liabilities must be covered by access to central bank funds. The Bank has developed a special scenario simulating a liquidity crisis, which reproduces the implications of such a crisis for future cash flows. During the regular Board meetings, the Global Treasury and Funding Division keeps BayernLB’s Board of Management continuously informed of the current liquidity position.
Market price risk Market risk comprises interest rate, currency, share price and commodity risks. The source of these market risks may be securities (or similar products), money market or foreign exchange products, commodities, derivatives, currency or performance hedg- ing, equity or quasi-equity or the Group Treasury. Market risks at BayernLB are monitored by Market Risk Controlling, which is independ- ent of Trading. The maximum loss permitted for the assumption of market risks is lim- ited by a fixed amount of risk capital covering this risk type. Market risks are actively managed and monitored using a limit system. For market risks, BayernLB employs a Value-at-Risk method, which calculates all market risks on the basis of historic market fluctuations (volatilities) and market correlations. They are determined anew on every day of trading. Moreover, the impact of extraordi- nary market price changes and extreme market situations or disturbances to normal market situations are also analysed. Therefore, stress tests in the form of crisis scenarios and worst-case analyses are also carried out in addition to the traditional risk scenarios. By means of backtesting, the soundness and quality of the individual risk methods are verified. This entails a comparison of the risk forecast with the actual results (profit or loss). The forecasting quality of the risk model has been pronounced good under the Basel I traffic light approach and Principle I: on no trading day was the prognosis for the over- all risk exceeded as the result of a negative daily performance. The responsible Board Member is informed daily on the Bank’s market risk and result- ing performance situation. The whole Board of Management receives a monthly report in which any peculiar developments are explained. In the 2004 financial year, BayernLB’s market risk capital was set at EUR 709 million at Bank level. EUR 554 million of this amount was allotted to the individual portfolios. The remaining reserves amounted to EUR 155 million. During 2004, the Bank’s market risk averaged EUR 42.2 million in the trading and investment books (VaR with a holding period of one day). Over the course of the year, it fluctuated between EUR 30.9 million and EUR 55.6 million. Report on the Bank and the Group } Definition } Controlling } Measuring market price risk } Backtesting 115
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Annual Report and Accounts 2004
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LBS Bayern Corporates Business Area
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Clear figures. Clear objectives. Th
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Foreword by the Board of Management
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1 Board of Management and executive
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Dr. Rudolf Hanisch born in 1946, De
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In transforming its business model,
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Sparkassen-Finanzgruppe Bayern Baye
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Financial Statements Audit Committe
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Norbert Kastner Lord Mayor of the C
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2 Economic situation
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(Hartz IV) contributed to an overal
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An open mind. Clarity. Inspiration.
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30 BayernLB - our company } BayernL
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32 BayernLB - our company } Restruc
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34 BayernLB - our company } Cross-b
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36 BayernLB - our company } Lead ar
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38 BayernLB - our company } Coopera
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40 BayernLB - our company Real Esta
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42 BayernLB - our company Activitie
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46 BayernLB - our company New issue
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48 BayernLB - our company and the U
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50 BayernLB - our company Savings B
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54 BayernLB - our company } LBS Bay
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56 BayernLB - our company } Moderni
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58 BayernLB - our company Group ret
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60 BayernLB - our company In 2004,
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62 BayernLB - our company Support o
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Page 82 and 83: 78 BayernLB - our company Our staff
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Page 90 and 91: A product is only as good as the to
Page 93 and 94: 4 Report on the Bank and the Group
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Page 97 and 98: Management report Assets, liabiliti
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Report by the Board of Administrati
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Complex enterprises demand reliabil
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184 Advisory Boards and addresses T
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186 Advisory Boards and addresses D
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188 Advisory Boards and addresses B
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190 Advisory Boards and addresses S
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Bayerische Landesbank Brienner Stra
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