GENERAL MEETING DRAFT - Bankier.pl

The main sources of interest rate risk can be classified as follows:
� repricing risk - the risk resulting from timing mismatches in maturities and the repricing of the
bank’s assets and liabilities; the main features of this risk are:
o yield curve risk - risk resulting from exposure of the bank’s positions to changes in the
slope and shape of the yield curve;
o basis risk - risk resulting from the imperfect correlation in lending and borrowing interest
rate changes for different instruments that may also show similar repricing
characteristics;
� optionality risk – risk resulting from implicit or explicit options in the Group’s banking book
positions.
Some limits have been set out, in the above described organization, to reflect a risk propensity consistent
with strategic guidelines issued by the Board of Directors. These limits are defined in terms of VaR
(calculated using the methodology described above in relation to the trading portfolio), Sensitivity or Gap
Repricing for each Group bank or company, depending on the level of sophistication of its operations.
Each of the Group’s banks or companies assumes responsibility for managing exposure to interest rate
risk within its specified limits. Both micro- and macro-hedging transactions are carried out for this
purpose.
At the consolidated level, Group HQ’s Asset Liability Management Unit takes the following measures:
� It performs operating sensitivity analysis in order to measure any changes in the value of
shareholders’ equity based on parallel shocks to rate levels for all time buckets along the curve;
� Using static gap analysis (i.e., assuming that positions remain constant during the period), it
performs an impact simulation on interest income for the current period by taking into account
different elasticity assumptions for demand items;
� It analyses interest income using dynamic simulation of shocks to market interest rates;
� It develops methods and models for better reporting of the interest rate risk of items with no
contractual maturity date (i.e., demand items).
In coordination with the Group’s ALM and Treasury Areas, the Market and Balance Sheet Risks Portfolio
Management Area sets interest rate risk limits using VaR methodologies and verifies compliance with
these limits on a daily basis.
B. Fair value hedging operations
Hedging strategies aimed at complying with interest rate risk limits for the banking portfolio are carried
out with listed or unlisted derivative contracts, and the latter, which are commonly interest rate swaps,
are the type of contracts used the most.
Macro-hedging is generally used, meaning hedges related to the amounts of cash contained in asset or
liability portfolios. Under certain circumstances, the impact of micro-hedges related to securities issued or
individual financial assets are recognized (especially when they are classified in the available-for-sale
portfolio).
C. Cash flow hedging operations
In certain instances, cash flow hedging strategies are also used as an alternative to fair value hedging
strategies in order to stabilize income statement profits in the current and future years. Macro-hedging
strategies are mainly used and they may also refer to the interest rate risk of the core portion of financial
assets “on demand.”
2009 CONSOLIDATED REPORTS AND ACCOUNTS
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