Annual Report: - Gorenjska banka

The Bank has an established interest rate risk system in place to ensure the adequate net interest
rate income level, and the adequate bank capital level in the context of interest rate fluctuations. The
Bank’s policy is to regularly monitor and control the Bank’s interest rate risk exposure, to develop
interest rate growth scenarios and to prepare measures for the instances of interest rate movements
that would have severe negative consequences for the net interest rate incomes and bank capital.
To ensure the realization of the interest rate risk management directions and the annual business
plan, the Asset and Liability Committee was founded (hereinafter: ALCO). ALCO primary tasks are:
• review of reports and preparations of interest rate risk measures,
• review of balance and interest rate movements prognosis,
• review of the Bank’s interest rate risk,
• proposals on directions for interest rate fixing,
• creation of risk exposure reduction measure,
• creation of proposals on interest rate and market policy.
Risk management provides the Management Board and ALCO with a monthly interest rate risk
exposure analysis for reviewing. ALCO monitors and analyses interest rate risk at least on a monthly
basis. It also reports to the Management Board and suggests measures in instances when the
interest rate risk exposure exceeds or approaches the acceptable boundaries.
One of the key interest rate risk exposure indications, apart from the time period of exposure, is
the so-called stress test that denotes the impact of the yield curve parallel shift on the Bank’s net
interest rate incomes and on economical capital value.
Day-to-day management of the interest rate risk is the domain of the Bank’s treasury sector. Treasury
sector is responsible for prevention of interest rate risk exceeding the set limits.
Interest rate risk management is based on interest rate risk exposure limits. The Bank has a limit for
the stress effect test that determines the highest permitted amount of loss by parallel yield curve
shift, and limits with regard to time bands that are defined as the highest absolute value of the
difference between asset items and liability items (balance and off-balance sheet), the interest rate
of which changes in a particular time period or the items reach maturity in a particular time period.
The table below summarises the Bank’s exposure to interest rate risks. It includes the Bank’s financial
instruments at carrying amounts, categorised by the earlier of contractual repricing or maturity
dates.
Maturity dates do not differ significantly from the contract dates, except for the maturity of EUR
428,100 thousands (2010: EUR 409,116 thousands) of due to customers up to one month, of which
over two third represent current/settlement accounts considered by the Bank as a stable core
source of funding of its operations.
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Gorenjska banka, d. d., Kranj
Annual Report 2011
Financial Report