Financial management at Danmarks Nationalbank

     2.1     Distribution of profit
     2.2     Development in Danmarks Nationalbank's net capital and GDP
     3.1     Decision on Danmarks Nationalbank's financial risk
     4.1     The foreign-exchange reserve and the central-government foreign debt,
               year-end
     4.2     The foreign-exchange reserve, end-2002
     4.3     Danmarks Nationalbank's gold holding
     4.4     Gold interest rate and short-term US interest rate
     4.5     The portfolio of domestic securities
     4.6     The portfolio of domestic securities by issuer
     5.1     Interest-rate exposure versus interest-rate risk on a bond portfolio
     6.1     Danmarks Nationalbank's Value-at-Risk at different levels of exposure in
               US dollars
     6.2     The impact of the gold holding on Danmarks Nationalbank's total
               Value-at-Risk
     6.3     Danmarks Nationalbank's exposure in non-euro currencies
     6.4     Cash flows in forward foreign-exchange contract
     7.1     Estimate of interest-rate-driven capital gains or losses
     7.2     Excess return on long rather than short investment
     7.3     10-year government-bond yields in Denmark, Germany and the USA
     7.4     Factors driving the yield curve
     7.5     Interest-rate exposure by currency and maturity, end-2002
     7.6     Distribution of krone duration
     7.7     Example of how the distribution of krone duration affects the distribution
               of market value by maturity
     7.8     Example of decision concerning interest-rate position in the foreign-exchange
               reserve
     7.9     Krone duration of the portfolio of domestic securities on changes in interest
               rates
   7.10     Relation Between 1-year and 5-year yields (monthly changes in percentage
               points)
     8.1     Distribution of return on a portfolio
     8.2     Weighting of historical observations in the calculation of Value-at-Risk
     8.3     Distribution of historical returns on Danmarks Nationalbank's portfolio
     8.4     Exchange rate of the krone vis-à-vis the euro
     9.1     Interventions during respectively one day and one week by volume since
               1986
     9.2     Degree of liquidity of the foreign-exchange reserve at month-end
     9.3     Example of the impact on the distribution of market value by maturity of a
               change in the distribution of krone duration
   10.1     Bank deposits since end-2000
   10.2     Bank deposits by counterparty
   10.3     Example of the development in the market value of a forward
               foreign-exchange contract
   10.4     Credit exposure on foreign-exchange counterparties
   11.1     Danmarks Nationalbank's framework for operational risk management
   12.1     Organisation of portfolios in frontoffice
   12.2     The investment decision
   12.3     Short-term and long-term positioning relative to the tactical benchmark
   12.4     Deviations in the krone duration from the tactical benchmark on the
               foreign-exchange reserve
   12.5     Number of trades and volume in the foreign-exchange reserve
   13.1     Structure of the euro benchmark, krone duration in per cent
   13.2     Distribution of maturity and positioning, krone duration in per cent
   13.3     Example of euro portfolio performance
   13.4     Example of day-to-day performance
   14.1     Structure of Danmarks Nationalbank's risk management system, PSS
   14.2     Example of exposure overview from PSS
   14.3     Krone duration as a function of yield-curve shifts

     A.1     Price formation on a callable bond
     A.2     The impact of the option element on price formation
     A.3     Impact of interest-rate volatility on the theoretical price
     A.4     Interest-rate exposure for a callable mortgage-credit bond
     A.5     Theoretical prices calculated on changes in interest rates
     A.6     Option-adjusted interest-rate exposure to changes in interest rates
     A.7     Extraordinary prepayments and interest-rate development
     A.8     Order of calculation in Danmarks Nationalbank's mortgage-credit model
     A.9     Example of interest-rate tree
     B.1     Outstanding debt for debentures (index-linked)
     B.2     Payment flows in the swap scheme
     C.1     Mathematical price adjustment

Boxes

Box

     7.1     Zero-coupon yields and forward interest rates
     7.2     Analysis of the gain on assuming interest-rate risk
     7.3     Duration
     8.1     Example of Value-at-Risk (VaR) estimation
     9.1     The Commercial Paper programmes
   10.1     Overview of the ratings of rating agencies
   10.2     Fitch bank ratings
   10.3     Bank for International Settlements, BIS
   10.4     Repo agreements
   12.1     Z score on the relative bond value
   13.1     Global investment performance Standards
   13.2     Decomposition of performance: A calculation example
     C.1     Mathematical price adjustment

Tables

Table

     2.1     Danmarks Nationalbank's financial result 2002
     2.2     Key items of the balance sheet, end-2002, DKK billion
     2.3     Examples of changes in balance-sheet items
     2.4     Central-government borrowing
     6.1     Volatility of the krone vis-à-vis other currencies and gold
     6.2     Danmarks Nationalbank's foreign-exchange assets
     6.3     SDR-denominated portfolio by currency, end-2002
     6.4     Currency-exposure limits, end-2002
     7.1     Danmarks Nationalbank's aggregate interest-rate exposure
     8.1     Danmarks Nationalbank's Value-at-Risk, end-December 2002
     8.2     Danmarks Nationalbank's losses in stress scenarios, end-2002
     8.3     Danmarks Nationalbank's market exposure, end-2002
   10.1     Total credit exposure on the foreign-exchange reserve and the portfolio of
               domestic securities, etc., end-2002
   10.2     One-year transition probabilities between rating categories, per cent
   10.3     Securities lines
   10.4     Country lines for uncollateralised bank exposure
   11.1     Examples of risk assessments and measures
   12.1     Typical number of counterparties
   12.3     Indicative bid-offer spreads on foreign-exchange swaps
   13.1     Breakdown of bond return, per cent
     A.1     The Mortgage-credit institutes' domestic lending by loan types, year-end
     A.2     Option-adjusted key figures for selected bonds
     B.1     Balance-sheet impact of issue of debentures