Service-oriented - Die Schweizerische Post

138 Annual Report | Financial Report | Financial statements of Swiss Post Group
31 Financial Risk Management
Risk types and risk measurement
Interest rate and balance sheet structure risks
The term ’interest rate risk’ refers to the potential impact of a change in market interest rates on the fair value
of assets and liabilities in the balance sheet and on the net interest income shown in the income statement.
PostFinance’s interest­earning operations are a key earnings driver for Swiss Post. As changes in interest
rates have a direct impact on net interest income, management of the risks associated with such changes is
considered a priority. The risks are monitored and managed on an ongoing basis by the Asset & Liability
Management Committee.
The majority of the customer deposits held by PostFinance do not earn a fixed rate of interest. In order to map
these for the purposes of asset and liability management, Swiss Post uses the replicating portfolio method
to compile tranches with various terms to maturity, thereby keeping margin variability as low as possible. The
interest rates in line with market conditions derived from the replicating portfolios also serve as guidelines
for the rates extended to customers.
Funds are invested both in the money market (repo and custody transactions) and in the capital market, where
consideration is given mainly to fixed­income instruments. Customer deposits, on the other hand, mostly earn
variable rates of interest. Market risks arising from interest­related operations are measured and managed
daily, both at the individual portfolio level and the overall balance sheet level, using the value­at­risk method.
Rounding off the risk analysis process, sensitivity data are also applied and gap analyses and stress scenarios
conducted.
Foreign currency risk
The term ’foreign currency risk’ refers to the risk that the value of a financial instrument may change as a
result of fluctuations in exchange rates.
Market risks arising from foreign exchange transactions are measured and managed daily, both at the
individual portfolio level and the overall balance sheet level, using the value­at­risk method. Rounding off the
risk analysis process, stress scenarios are also applied.
The risks associated with cash flows from foreign­currency financial assets (coupon payments and nominal
value repayments) as a result of exchange rate movements are hedged by means of forward exchange contracts
with matching maturities.
To hedge against the effect of changes in foreign currency market interest rates and exchange rate changes
on fair value and income from fixed­interest foreign currency bonds, cross currency interest rate swaps (CCIRS)
and interest rate swaps (IRS) are used.