on demand 3 monthsup to More than 3 months to 1 year
More than 1 to 5 years
Over
5 years undetermined maturity On-balance-sheet sensitivity gap
The balance-sheet sensitivity gap is hedged through derivatives.
B. Liabilities
(In thousands of EUR)
31/12/12 At sight
and on demand
up to
3 months More than 3 months to 1 year
More than 1 to 5 years
Over
5 years undeter-mined maturity
Accrued
interest fair value adjust– ment total Due to banks Customer borrowings and deposits Financial liabilities held for trading Financial liabilities designated at fair value Derivatives
Fair value revaluation of portfolio hedge Debt securities Subordinated debts Technical provision of insurance companies Provisions and other obligations Tax liabilities Other liabilities Liabilities included in disposal groups held for sale
tOtAL 9,511,417 2,615,539 418,578 26,966,099 714,413 3,322 207,843 3,089 40,440,300 48,987,834 12,807,246 2,425,481 1,321,004 608,055 44,656 454,816 66,649,092 7,008 267 63,221 23,527 85 513 1,772 96,393 0 402,236 477,012 4,545,198 1,199,886 3,459,266 136,031 146,929 10,366,558 2,737,615 39,027,920 41,765,535 87,205 87,205 0 6,041,389 3,369,192 15,029,496 1,715,628 283,742 47 26,439,494 0 30,128 198,396 274,343 201,108 288,373 39,159 8,399 1,039,906 17,579,188 17,579,188 948,031 948,031 130,751 130,751 1,266,298 199,695 50,904 12,913 337 514,752 237 2,045,136 0 59,765,549 22,103,241 6,939,830 48,212,274 4,462,954 22,968,424 3,859,956 39,275,361 207,587,589 (31,961,787) 18,933,945 8,769,872 (19,770,920) 43,795,442 (12,131,496)
Consolidated financial statements Notes to the consolidated financial statements
(1) Cash and Liquidity Management excluded. (2) Sensitivities to 1% shift.
(3) Equity risks are more detailed below.
2. ALM-interest rate and equity risk
ALM is managed under the direct decision and control authority of the ALCo Committee.
The sensitivity measures the change in the balance-sheet net economic value if interest rates rise by 1 % across the entire interest- rate curve.
For the calculation of the sensitivity, the residual maturity of the port- folio until next interest-rate refixing date is defined using assumptions on the observed behaviour of the customers and not on legal repayment date (see note 12.4.).
82,500 129,000
300 300
110,000 95,000
85,000 51,000
A. Banking and insurance companies
Value at Risk (VaR) is a measure of the potential change in market value, with a probability of 99% and over a period of 10 days.
(In thousands of EUR)
2011 2012
Interest rate(2) equity(3) Interest rate(2) equity(3) Banking companies ALM(1)
Sensitivity VaR 10d 99% Insurance Sensitivity VaR 10d 99% vaR (99% 10 days)
(In thousands of EUR)
2011 2012
IR(1) & fx(2) (trading and Banking)(3)
eQt(4)
trading tradingSpread risksOther (5) IR (1) & fx(2) (trading and
Banking)(3)
eQt(4)
trading tradingSpread risksOther (5) By activity Average EOY Maximum Minimum Global Average EOY Maximum Minimum (1) IR: interest rate. (2) FX: forex. (3) without ALM. (4) Eqt : equity. (5) Inflation and CO2.
We refer to the chapter “Risk Management” of the Management Report for further information.
1. treasury and financial markets
→ Risk on trading activities: general interest rate, foreign exchange, equity, credit spread and other risks (inflation, CO2). These risks are
managed within Value-at-Risk limits and other appropriate risk
limits;
→ Cash and Liquidity Management (CLM) – only banking – is followed by means of Value-at-Risk (VaR) and interest-rate sensitivity limits;
→ the spread risk of the investment portfolio and trading activities are managed with spread limits.
The VaR limits were significantly reduced in order to bring them in line with the risk appetite of the bank.
12.5. Market risk and ALM
12,173 1,907 10,869 2,292 8,308 1,305 11,982 2,087 8,671 830 8,008 2,178 6,351 1,593 14,002 1,592 22,184 5,546 17,692 3,784 14,074 3,926 17,903 4,532 7,941 691 7,649 854 4,957 606 7,825 1,503 27,246 23,682 19,659 23,538 37,647 30,359 19,659 17,893
Consolidated financial statements Notes to the consolidated financial statements Bank Acquisition cost Market value Earnings at risk Insurance Acquisition cost Market value Earnings at risk Bank Insurance Bank Insurance
B. Interest-rate sensitivity
The interest-rate risk of the bond portfolio of the bank is systemati- cally hedged for the interest-rate risk, as its purpose is the management of credit spread; therefore it has a very limited sensitivity to changes of interest rates.
C. Credit-spread sensitivity
This calculation estimates the sensitivity of the AFS reserve of the bond portfolio after a basis-point spread increase, in millions of EUR. The table below shows the credit-spread sensitivity of this bond portfolio.
The sensitivity to 1% interest-rate increase of the bond portfolio of the insurance companies amounted to EUR -0.81 million at the end of 2012.
4,000 13,000 2,000 2,000 0 0 965,000 850,000 819,000 870,000 (66,000) (18,000) 25,044,000 22,834,000 16,199,000 13,343,000 (20,000) (20,452) (11,100) (11,286)
B. ALM equity - Listed shares sensitivity
Earnings at Risk (EaR) measures the impact in the accounting result if VaR materialises.
(In thousands of EUR) 31/12/11 31/12/12
3. Bond portfolio
A. Outstanding nominal amounts
(In thousands of EUR) 31/12/11 31/12/12
Consolidated financial statements Notes to the consolidated financial statements
A. 2011
Assets(In thousands of EUR)
31/12/11
Breakdown of gross amount and premium/discount Accrued
interest fair value adjust– ment Impair- ment total At sight and on demand(1) up to 3 months (1) More than 3 months to 1 year More than 1 to 5 years Over
5 years undeter-mined maturity Cash and balances
with central banks Loans and advances due from banks Loans and advances to customers Financial assets held for trading
Financial assets designated at fair value Financial assets available for sale Investments held to maturity Derivatives
Fair value revaluation of portfolio hedge Investments in associates Tangible fixed assets Intangible assets and goodwill Tax assets Other assets Non-current assets held for sale
tOtAL
Belfius Bank’s approach to liquidity risk management has been reviewed in the light of the financial and liquidity crisis.
Overall policy is that its future funding needs should never exceed its secured funding capacity.
Current accounts and saving deposits are included in the column “At sight and on demand” even if they have no fixed repayment date.
Since 2009, Belfius Bank is subject to reporting liquidity to the Belgian regulator (NBB).
All other assets and liabilities are split over the different periodes, even if the maturity date is less than 7 days.