198 İşbank
Annual Report 2015
Türkiye İş Bankası A.Ş.
Notes to the Consolidated Financial Statements
for the Year Ended 31 December 2015
1.a. Information on the market risk:
Amount
(I) Capital Requirement against General Market Risk – Standard Method
84,577
(II) Capital Requirement against Specific Risk – Standard Method
103,609
Capital Requirement for Specific Risk Related to Securitization Positions-Standard Method
(III) Capital Requirement against Currency Risk – Standard Method
398,842
(IV) Capital Requirement against Commodity Risk – Standard Method
40,216
(V) Capital Requirement against Exchange Risk – Standard Method
1,119
(VI) Capital Requirement against Market Risk of Options – Standard Method
14,073
(VII) Capital Requirement against Counterparty Credit Risk-Standard Method
90,895
(VIII) Capital Requirement against Market Risks of Banks Applying Risk Measurement Models
(IX) Total Capital Requirement against Market Risk (I+II+III+IV+V+VI+VII)
733,331
(X) Value at Market Risk (12.5 x VIII) or (12.5 x IX)
9,166,638
1.b. Table of the average market risk related to the market risk calculated quarterly during the period:
Current Period
Prior Period
Average
Highest
(1)
Lowest
(1)
Average
Highest
(1)
Lowest
(1)
Interest Rate Risk
95,534
89,228
87,986
77,490
83,508
76,256
Share Certificate Risk
81,044
75,299
96,256
81,263
99,104
70,765
Currency Risk
437,728
480,358
403,235
325,962
439,237
192,937
Commodity Risk
38,095
35,330
25,029
27,013
39,306
22,933
Settlement Risk
760
2,643
445
310
Options Risk
8,703
13,559
4,981
4,441
7,363
2,961
Counterparty Credit Risk
93,389
102,022
78,273
71,062
63,490
108,691
Total Value at Risk
9,440,662
9,980,488
8,697,000
7,345,950
9,150,100
5,935,663
(1)
Market risk elements are presented for the monthly periods where total value at risk is minimum and maximum.
2. Information on counterparty credit risk:
A counterparty credit risk, which is accounts for trading derivatives and repo transactions tracked on both sides, such as the credit risk the liability arising from transactions, is
determined by the methodology which is used according to the Appendix-2 of the “Regulation on Measurement and Evaluation of Capital Adequacy of Banks” which is published on
the Official Gazette no.28337 dated 28 June 2012 and became effective starting from 1 July 2007. Counterparty credit risk valuation method based on the calculation of the fair value
of the derivative transactions is implemented. The calculation of the amount of risk on derivative transactions, the potential amount of credit risk is positively correlated with the
sum of the costs of renewal. The calculation of the amount of the potential credit risk of the contract amount is multiplied by the rates given in the regulation. Derivative instruments
valuation based on replacement costs and the fair value of the related contracts are obtained.
The Bank is exposed to counterparty credit risk is managed within the framework of general principles and guarantees the credit limit allocation. Exposure to credit risk of derivative
transactions with banks due to the majority of reciprocal agreements signed with related parties are subject to the daily exchange of collateral, counterparty credit risk exposure
is reduced in this way. On the other hand, the calculation of capital adequacy under the legislation of counterparty credit risk, the risk-reducing effect of such agreements is not
considered.
Within the scope of trading accounts with credit derivatives acquired or disposed of by the Bank does not have any protection.
Quantitative information on counterparty risk (31 December 2015)
Amount
Interest-Rate Contracts
150,069
Foreign-Exchange-Rate Contracts
536,388
Commodity Contracts
96,410
Equity-Shares Related Contracts
1,236
Other
Gross Positive Fair Values
966,246
Netting Benefits
Net Current Exposure Amount
Collaterals Received
Net Derivative Position
1,750,349
IV. Explanations on Consolidated Operational Risk
The operational risk capital requirement is calculated according to Regulation on Measurement and Evaluation of Capital Adequacy of Banks’ article number 24, is measured using the
Basic Indicator Approach once a year in parallel with domestic regulations. As of 31 December 2015 the consolidated operational risk amount is TL 19,117,210 information about the
calculation is given below.
