Türkiye İş Bankası A.Ş.
Notes to the Unconsolidated Financial Statements
for the Year Ended 31 December 2015
123
Financial Information and Risk Management
Prior Period
EUR
USD
JPY
TL
%
%
%
%
Assets
Cash (Cash in Vault, Foreign Currency Cash, Money in Transit, Cheques
Purchased) and Balances with the Central Bank of Turkey
1.51
Banks
0.14
0.52
7.06
Financial Assets at Fair Value through Profit/Loss
1.93
4.05
4.82
Money Market Placements
Financial Assets Available for Sale
4.61
4.53
8.78
Loans
4.36
4.60
3.33
12.29
Held to Maturity Investments
2.13
0.70
10.34
Liabilities
Banks Deposits
0.65
1.15
10.14
Other Deposits
1.32
1.54
0.02
7.03
Money Market Funds
1.60
1.05
9.95
Miscellaneous Payables
Debt Securities Issued
(1)
1.94
4.57
9.39
Funds Provided from Other Financial Institutions
1.14
2.09
2.30
9.33
(1)
Includes Tier 2 subordinated bonds which are classified on the balance sheet as subordinated loans.
c. The interest rate risk of the banking book items:
Interest rate risk arising from the banking accounts is defined as negative effect risk on capital of the changes in market interest rates due to differences in interest settlement
and re-pricing on, differences in interest-earning assets taking part in the banking book; interest-bearing liabilities; interest-bearing derivative transactions inclusive of the policies
established by the Board of Directors, is managed within the framework of the strategies set by the Bank Asset-Liability Committee. Compliance with internal risk limits for banking
portfolio is closely and continuously monitored by the Risk Management Department and Asset-Liability Committee and the measurement results are reported to the Board of
Directors on a monthly basis.
Duration and sensitivity analysis are conducted on a monthly basis by the Bank in the scope of monitoring of interest rate risk arising from the banking books about Interest Rate Risk
in the Banking Accounts from the Regulation on Measurement and Assessment of Standard Shock Method which is published in the Official Gazette No. 28034 dated 23 August 2011.
In the duration analysis, the maturity gap between assets and liabilities of the balance sheet are determined by the calculation of the weighted average maturities based on the asset
that sensitive to interest rate and liabilities and off-balance sheet transactions re-pricing period. In the interest rate risk sensitivity analysis, the influence of the various interest rate
change scenarios to the economic value of the Bank’s capital is examined.
The interest rate risk of the banking book item in accordance with the legal regulations is measured and monitored on a monthly basis within the scope of the Regulation about
Measurement and Assessment of Interest Rate Risk in the Banking Accounts by Standard Shock Method. In the calculations committed due to the mentioned regulations, behavioral
maturity modeling method is used for the deposits with low sensitivity to interest rate changes and demand deposits which is original maturities is longer than contractual maturities.
In the core deposit analysis, the historical data of demand deposit is used and calculated the howmuch and which maturity would remain within the bank and these analysis is used as
an input to not constitute a conflict of the legal provisions for quantifying the interest rate arising from banking book.
Currency
Applied Shock
(+/- x basis point)
Revenue/ Loss
Revenue/Shareholders’
Equity – Loss/
Shareholders’ Equity
TL
(+) 500
(5,110,316)
(13.53)%
TL
(-) 400
4,942,089
13.09%
EUR
(+) 200
(244,678)
(0.65)%
EUR
(-) 200
275,058
0.73%
USD
(+) 200
(174,119)
(0.46)%
USD
(-) 200
337,128
0.89%
Total (for Negative Shocks)
5,554,275
14.71%
Total (for Positive Shocks)
(5,529,113)
(14.64) %
VII. Explanations on Equity Shares Risk Arising fromBanking Book
a.
Related to the equity investments account practices about the associates and subsidiaries can be seen in the Third Section and the footnote numbered III.
b. Balance Sheet Value of Equity Investment, fair value, and for publicly traded, if the market value is different from the fair value comparison to the market price:
Share Certificate Investments
Comparison
Book Value
Fair Value
Market Value
Quoted
Stock Investment Group A
Subsidiaries
Financial Subsidiaries
3,561,289
3,561,289
Non-Financial Subsidiaries
3,939,640
3,939,640
Non-Quoted
Associate and Subsidiaries
Financial Subsidiaries
124,575
Non-Financial Subsidiaries
3,671
Subsidiaries
Financial Subsidiaries
1,040,270
Non-Financial Subsidiaries
724,152
