Geschäftsbericht 2015, englisch

39 management report 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.  Flight into government bonds: The scenario simulates a signifi- cantly 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. The credit spread VaR for the entire portfolio using a 99.5 percent level of confidence and holding period of one year was stood at a maximum of € 381 million in 2015, while the average figure was about € 353 million. The credit spread VaR for current assets (only third-party securities) using a 95 percent level of confidence and holding period of one year stood at a maximum of € 13 million in 2015, the average fig- ure was about € 8 million. 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 obligations (pay- ment willingness) as agreed on a daily basis, even during stress situations. All of the currently applicable legal supervisory require- ments as defined by the terms of MaRisk and CRD IV, regarding liquidity reserves that must be held by banks, are being fully im- plemented. 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 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 liq­ uid­ ity requirements arising from these scenarios for at least 30 days. Varying model assumptions for all important cash flows were de- rived for each scenario; for example, accessing our liquidity lines or guarantees (Aval), utilisation of previously made lending com- mitments, or the development of collateral. Beyond this, all secu- rities 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 addi- tional liquidity to meet the requirements for each individual sce- nario. 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 curren- cies: euro, US dollar, and Swiss francs. Positions in other currencies are negligible. Limitation takes place over a 60-day horizon. In addition, the Liquidity Coverage Ratio (LCR) pursuant to CRD IV is calculated at least once a week for all currencies, and presented sep- arately for all relevant currencies. Currently, these currencies are the euro and the Swiss franc. The required ratio of 60 percent, which became mandatory October 2015, was complied with at all times.

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