Currency risk
Currency risk
Currency risk arises from the current and future performance of the Group as well as its 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 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 (for 99.2% confidence level and ten-day period),
- stress tests.
The following tables present VaR for the currency risk.
| VaR measure statistics for currency risk (PLN ‘000) | ||||
|---|---|---|---|---|
| VAR | 2012 | 2013 | 2014 | 2016 |
| Minimum value | 7 | 7 | 10 | 11 |
| Maximum value | 420 | 322 | 210 | 409 |
| Average value | 143 | 34 | 49 | 33 |
| VaR measure statistics for currency risk (PLN ‘000) | ||||
|---|---|---|---|---|
| 31.12.2012 | 31.12.2013 | 31.12.2014 | 31.12.2016 | |
| VAR | 13 | 28 | 10 | 409 |
In 2016 and 2015, the Bank’s currency risk was low due to an insignificant share of foreign currency assets and liabilities in the balance sheet total (below 2%). In the period from 31 December 2015 to February 2016, the value of total currency position exceeded 2% of equity. In the period from February 2016 to 31 December 2016, the value of total currency position did not exceed 2% of equity.