Zinsänderungsrisiken im Jahresabschluß der Kreditinstitute

Abstract

Risks of Interest-Rate Changes in the Annual Financial Statements of the Banks

The author inquires into the determinants of risks of interest-rate changes which result mainly from maturity transformation and from varying agreements on interest-rate adjustment. He defines them as risks from unsettled transactions and draws parallels - with respect to the facts and the terminology - to the risks of forward exchange transactions. The point of departure for calculating the risks of interest-rate changes is not individual balancesheet items or categories, but the entirety of all interest-bearing credit and debit items contained in a statement of interest-rate changes. The concept of an “open fixed-interest position” is used as a condensed numerical term for the risk of interest-rate changes. This measuring quantity serves the purpose of continual supervision of the risks of interest-rate changes for business policy purposes and is simultaneously the basis for examination of the question of whether these initially latent risks have led to losses that must be shown in the balance sheet in consequence of changes in the market interest level. In Germany at present, losses deriving from risks of interest changes are shown in the balance sheet with an effect on the profit or loss only in the case of securities included in the current assets, write-offs being made on the stock exchange prices. The valuation of the securities at cost, i.e. as investment securities, is then, however, unobjectionable in so far as realization of a loss by selling need not be reckoned with and reserves are formed for risks o£f interest-changes which have become acute