199
Financial Information and Risk Management
Türkiye İş Bankası A.Ş.
Notes to the Consolidated Financial Statements
for the Year Ended 31 December 2015
The information contained in the following table when using the basic indicator method:
2PP Amount
1PP Amount
CP Amount
Total/Positive
Years of Gross
Income Amount
Rate (%)
Total
Gross Income
(1)
9,167,718
10,309,342
11,110,476
3
15
1,529,377
Value at operational risk (Total*12.5)
19,117,210
(1)
In the consolidated gross income calculation, income and expenses taken into account after offsetting which are arising from the main activities of the subsidiaries are classified in the income statement under the
Other Operating Income and Expenses.
V. Explanations on Consolidated Currency Risk
Foreign currency position risk for the Group is a result of the difference between the Group’s assets denominated in and indexed to foreign currencies and liabilities denominated in
foreign currencies. Furthermore, parity fluctuations of different foreign currencies are another element of the currency risk.
The currency risk for the Parent Bank is managed by the internal currency risk limits which are established as a part of the Parent Bank’s risk policies. The Assets and Liabilities
Committee and the Assets and Liabilities Management Unit meet regularly to take the necessary decisions for hedging exchange rate and parity risks, within framework of the
determined by the “Net Foreign Currency Overall Position/ Shareholders’ Equity” standard ratio, which is a part of the legal requirement and the internal currency risk limits specified
by the Board of Directors. Foreign exchange risk management decisions are strictly applied.
In measuring currency risk, which the Group is exposed to, both the Standard Method and the Value at Risk Model (VAR) are used as applied in the statutory reporting.
Measurements made for the Parent Bank within the scope of the Standard Method are carried out on a monthly basis and form the basis of determining the capital requirement for
hedging currency risk.
Risk measurements made within the context of the VAR are made on a daily basis using the historical and Monte Carlo simulation methods. Furthermore, scenario analyses are
conducted to support the calculations made within the VAR context.
The results of the measurements made on currency risk are reported to the Key Management and the risks are closely monitored by taking into account the market and the economic
conditions.
The Parent Bank’s foreign currency purchase rates at the date of balance sheet and for the last five working days of the period announced by the Parent Bank in TL are
as follows:
Date
USD
EUR
31 December 2015
2.8650
3.1100
30 December 2015
2.8713
3.1297
29 December 2015
2.8589
3.1242
28 December 2015
2.8582
3.1309
27 December 2015
2.8668
3.1369
26 December 2015
2.8691
3.1333
The Parent Bank’s last 30-days arithmetical average foreign currency purchase rates:
USD:
TL 2.8700
EURO:
TL 3.1285
Sensitivity to currency risk:
The Group’s sensitivity to any potential change in foreign currency rates has been analyzed. Within this framework, 10% change is anticipated in USD, EUR, GBP and CHF currencies
and the possible impact of the related change is presented below. 10% is the ratio that is used in the internal reporting of the Parent Bank.
%Change in Foreign Currency
Effects on Profit/Loss
(1)
Current Period
Prior Period
USD
10% increase
315,616
154,789
10% decrease
(315,616)
(154,789)
EUR
10% increase
(420,697)
(414,627)
10% decrease
420,697
414,627
GBP
10% increase
(21,670)
(64,893)
10% decrease
21,670
64,893
CHF
10% increase
(39,848)
(54,970)
10% decrease
39,848
54,970
(1)
Indicates the values before tax.
