Currency risk

Currency risk arises from the current and future performance of the Bank and the Capital Group as well as their equity being exposed to adverse changes in foreign exchange rates.

The Group’s currency risk is managed at the level of the Bank as the currency risk assumed by the subsidiaries is immaterial considering the nature of their business.

The objective of currency risk management is to protect the exchange gain and obtain financial benefits through transactions concluded in FX instruments on own account, with the accepted risk level.

In the process of currency risk management, the said risk in the Bank is measured through:

• calculation of the total position of the Bank;
• calculation of the position in each currency;
• calculation of Value at Risk (VaR);
• stress tests.

The following table presented VaR level for currency risk in 2013 and as at 31 December 2013 and 31 December 2012.

VaR measure statistics for currency risk (PLN '000)

	Minimum	Maximum	Average	31.12.2013	31.12.2012
VaR	7	322	34	28	13

 

In 2013 and 2012, the Bank’s currency risk was very low due to an insignificant share of foreign currency assets and liabilities in the balance sheet total (below 2%). The value of the total currency position did not exceed 2% of equity, which did not generate a capital requirement with respect to this risk type.