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Geschäftsbericht 2014, englisch

40 münchener Hypothekenbank eg | annual report 2014management report 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 antici- pated 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 assurance of solvency 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 during stress situations. All of the currently applicable legal su- pervisory requirements as defined by the terms of MaRisk and CRD IV, regarding liquidity reserves that must be held by banks, are being fully implemented. In doing so, MünchenerHyp has categorised itself as a capital market oriented institution per the terms of MaRisk, and there- fore 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 Sep- tember 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 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 agreement to generate additional liquidity to meet the requirements 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 three year horizon in three currencies: euro, US dollar, and Swiss francs. Positions in other currencies are negligible. Limitation takes place over a 60-day horizon. In addition, pursuant to CRD IV, the Liquidity Coverage Ratio (LCR) is calculated for all currencies on a monthly basis, and presented separately for all relevant currencies; currently, these are the euro and the Swiss franc. As the LCR is not yet binding (it will take effect as of October 2015, and then with a 60 per- cent ratio) and the values are currently stable at over 100 per- cent, this ratio is not being actively managed at this time. Mid-Term Structural Liquidity Planning The purpose of structural liquidity planning is to ensure mid- term liquidity. The legal basis comprises of the MaRisk BTR 3 and CRD IV for the Net Stable Funding Ratio (NSFR). Mid-term liquidity management in accordance to the terms of MaRisk is based on short-term liquidity management in accor­ dance to the terms of MaRisk, which means that both procedures use the same scenario definitions and modelling assumptions. However, due to the longer observation period, additional mod- elling assumptions are also taken into account that are not cru- cial for managing short-term liquidity – for example, new busi- ness planning or current expenses such as salaries and taxes. Mid-term liquidity planning involves the following key liquidity figures as components for determining results over the passage of time:

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