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Geschäftsbericht 2013, englisch

Management report 37 consideration using a Delta-Gamma approach when calculating value at risk. In addition, different stress scenarios are used here to measure the effect of extreme shifts in risk factors and the effects of other risk categories. The current (daily) stress scenarios are:  Legal supervisory requirements: The current interest rate curve is completely parallel shifted up and down by 200 base points for every separate currency used. The worst result of the two shifts is used for calculation purposes.  Parallel shifts: The current interest rate curve is completely shifted up and down by 100 base points across all currencies. The worst result of the two shifts is used for calculation pur- poses.  Steepening/flattening: The current interest rate curve is ro- tated in both directions around the 5-year rate as the fixed point.  Historical simulations: • September 11, 2001 terror attack in New York: Changes seen in market prices between September 10, 2001 and September 24, 2001 – the immediate market reaction to the attack – are played out using the current levels. • The 2008 crisis in the financial markets: Changes in inter- est rates seen between September 12, 2008 (last banking day before the collapse of Lehman Brothers) and October 10, 2008 are played out using the current levels. The maximum Value at Risk (VaR) of the Bank’s books (interest and currencies) at a confidence level of 99.5 percent at a ten-day holding period in 2013 was just under € 18 million. The average figure was about € 10 million. Due to the fact that MünchenerHyp is a trading book institution (only for futures) we use a special application to control poten- tial risks in this area, also on an intraday basis. Furthermore, these trades are also integrated into our normal reporting. No futures deals were conducted in 2013. MünchenerHyp controls its credit spread risks by calculating the present value of its asset-related capital market transactions on a daily basis. Based on the cash flow data generated by opera- tions system, the Bank uses its own applications to calculate the Credit Spread VaR, the Credit Spread sensitivities and various credit spread stress scenarios. MünchenerHyp uses the value-at-risk (VaR) figure to identify and limit credit spread risks. The VaR figure is calculated based on historical simulation. The current (daily) credit spread stress scenarios are:  Parallel shifts: All credit spreads are shifted up and down by 100 base points. The worst result of the two shifts is used for calculation purposes.  Historical simulation of the collapse of the investment bank Lehman Brothers: the scenario assumes an immediate change in spreads based on the changes that occurred one working day before the collapse of the investment bank until four weeks after this date.  Worst Case Scenario: The maximum widening of spreads for all classes of securities in the Bank’s portfolio since January 2, 2007 is calculated. The average value of these calculations is used as the parallel shift to the respective class of security.  Flight into government bonds: The scenario simulates a signi- ficantly visible aversion to risk that was previously seen in the markets. Spreads for riskier classes of paper widen while spreads for safer government bonds narrow.  Euro-crisis: The scenario replicates the development of spreads during the Euro-crisis that took place from October 1, 2010 and November 8, 2011. During the period the spreads of less creditworthy government bonds, in particular, rose sharply.  Worst Case Scenario up to the collapse of Lehman Brothers: this scenario is derived from the Worst Case Scenario. The time period used here starts on January 2, 2007 and ends one banking work day before the collapse of Lehman Brothers. The credit spread VaR for the entire portfolio using a 99.5 per- cent level of confidence and holding period of one year was € 409 million in 2013, while the average figure was about € 364 million. The credit spread VaR for current assets (only third-party secu- rities) using a 95 percent level of confidence and holding peri- od of one year was € 4 million in 2013, the average figure was about € 1 million.

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