Geschäftsbericht 2011 englisch

45Management Report Münchener Hypothekenbank eG The limitation of liquidity risks takes place using the structured liquidity forecast and the stress scenarios based on the Bank’s uncovered refinancing needs. In order to keep refinancing risks at a minimum, Münchener Hypothekenbank strives to refinance loans with concordant amounts and maturity dates and continuously checks if its relevant refinancing sources (primarily those within the Coop- erative Financial Network) remain available. In order to limit market liquidity risks in its lending business with public-sector borrowers and banks, MünchenerHyp primarily acquires securi- ties that are acceptable as collateral by the European Central Bank, and which can be used for open market business at any time. Investments in less liquid bonds, like Mortgage Backed Securities (MBS), are no longer being made. The portfolio of 6 securities was valued at € 69 million as of December 31, 2011 (previous year € 125 million) and consisted solely of Commer- cial Mortgage Backed Securities (CMBS) and Residential Mort- gage Backed Securities (RMBS), backed by property in Germany, France and Spain. All of the MBS have ratings issued by the major rating agencies – whereby the average rating is AA and the lowest rating within the group is an A. As of December 31, 2011 the weighted anticipated time-to-maturity of the MBS in our portfolio was about 1.25 years. Operational risks Operational risks refer to possible losses caused by personal misconduct, weaknesses in procedural or project management, technical failure or negative outside influences. Personal mis- conduct also includes unlawful actions, improper sales practices, unauthorised actions and transaction errors. We minimise our operational risks by qualifying our employees, by using transparent procedures, automating standard proce- dures, and by having fixed working instructions, comprehensive functional testing of the IT-systems, as well as appropriate emergency plans and preventive measures. Insurable risks are covered by insurance to the normal extent required by banks. cases. The result is a day-certain presentation of the available liquidity for a one year horizon in three currencies: euro, US dollar, and Swiss francs. Mid-term structural liquidity planning The purpose of structural liquidity planning is to ensure mid- term liquidity and involves the following key liquidity figures as components for determining results across all due dates: >> accumulated total cash flow requirement, >> available potential covered funding included planned new business and prolongations in line with the surplus cover requirements set by Moody’s, a rating agency, >> uncovered refinancing needs, >> additional detailed data for planning and control activities. Callable balance sheet items are taken into account for scenario analysis for the purpose of liquidity preview as required: either by next redemption date, by legal termination date, or weighted with the probability of their being redeemed. Because a mort- gage bank’s liquidity management is closely connected to cover requirements for Pfandbriefe, forecasts for liquidity and cover are technically linked by IT systems Additional stress scenarios are conducted based on structural liquidity planning. An integrated stress test concept was devel- oped to achieve the best possible structured and flexible meas- ure of risk: >> Various liquidity risk factors were identified for the Münchener Hypothekenbank. These factors are focused on either market or reputational effects. >> A total of five stress tests were defined on the basis of these risk factors. 1) Reputation scenario (high stress) 2) Market scenario (high stress) 3) Market and reputations scenario (light stress) 4) Market and reputations scenario (high stress) 5) Worst Case scenario >> Complementary to the risk factors and their varying stress test combinations, corresponding measures were defined for simulation purposes to reduce the liquidity risks in the respective cases.

Geschäftsbericht 2011 englisch

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