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Geschäftsbericht 2013, englisch

38 Management report – münchener Hypothekenbank eg l annual report 2013 Liquidity risks Liquidity risks consist of the following risks:  inability to fulfil payment obligations when they come due (liquidity risk in the narrow sense),  inability to procure sufficient liquidity when needed at an- ticipated conditions (refinancing risk),  inability to terminate, extend or close out a transaction, or only be able to do so at a loss, due to insufficient market depth or market turbulence (market liquidity risk). MünchenerHyp differentiates between short-term solvency pro- tection and mid-term structural liquidity planning. Short-term assurance of solvency The purpose of short-term assurance of solvency is to ensure that the Bank is fully able to meet its required payment obliga- tions (payment willingness) as agreed on a daily basis, even dur- ing stress situations. In meeting this obligation the Bank fully implements all of the currently applicable legal supervisory re- quirements regarding liquidity reserves that must be held by banks. In doing so, MünchenerHyp has categorised itself as a capital market oriented institution per the terms of MaRisk, and therefore also fulfils requirements pursuant to BTR 3.2. MaRisk distinguishes between four different scenarios, which were implemented accordingly: 1) Base Case: corresponds to the bank’s control case. 2) Bank stress: The reputation of the institution deteriorates, for example, due to high balance sheet losses. 3) Market stress: Short-lived event that affects a segment of the financial markets. Examples of this are the September 11, 2001 terror attack, or the financial market/sovereign debt crisis. 4) Combined stress: Simultaneous occurrence of bank and market stress. MaRisk demands that an institution must be able to meet the liquidity requirements arising from this scenario for at least 30 days. Varying model assumptions for all important cash flows were derived for each scenario; for example accessing our liquidity lines or guarantees (Aval), the temporary utilisation of previously made lending commitments, or the development of collateral. Beyond this, all securities were divided into different liquidity categories. Based on this, we determined the volume that would be sold, over which time period, or could be used for a repo transaction to generate additional liquidity to meet the require- ments for each individual scenario. Legal restrictions, like the Pfandbrief Act’s 180 day rule, were always observed in all 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. Positions in other currencies are negligible. 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 requirements,  available potential covered funding included planned new business and prolongations in line with the surplus cover re- quirements set by the rating agency Moody’s,  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. 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 measure of risk:  Various liquidity risk factors were identified for the Münche­ ner Hypothekenbank. These factors are focused on either mar- ket or reputational effects.  A total of five stress tests were defined on the basis of these risk factors.

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