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Financial Information and Risk Management
Türkiye İş Bankası A.Ş.
Notes to the Consolidated Financial Statements
for the Year Ended 31 December 2015
Interest rate sensitivity:
In this part, the sensitivity of the Bank’s assets and liabilities to the interest rates has been analyzed assuming that the yearend balance figures were the same throughout the year.
Mentioned analysis shows how the FC and TL changes in interest rates by one point during the one-year period affect the Group’s income accounts and shareholders’ equity under the
assumption maturity structure and balances are remain the same all year round at the end of the year.
During the measurement of the Group’s interest rate sensitivity, the profit/loss on the asset and liability items that are evaluated with market value are determined by adding to/
deducting from the difference between the expectancy value of the portfolio after one year in case there is no change in interest rates and the value of the portfolio one year later,
which is measured after the interest shock, the interest income to be additionally earned/to be deprived of during the one year period due to the renewal or repricing of the related
portfolio at the interest rates formed after the interest shock
On the other hand, in the profit/loss calculation of assets and liabilities that are not evaluated by the current market prices, it is assumed that assets and liabilities with fixed interest
rates will be renewed at maturity date and the assets and liabilities having variable interest rates will be renewed at the end of repricing period with the market interest rates
generated after the interest shock.
Within this context, ceteris paribus, the possible changes that may occur in the Bank’s profit and shareholders’ equity in case of 100 base point increase/decrease in TL and FC interest
rates on the reporting day are given below.
%Change in the Interest Rate
(1)
Effect On Profit/Loss
(2)
Effect on Equity
(3)
TL
FC
(4)
Current Period
Prior Period
Current Period
Prior Period
100 bp increase
100 bp increase
(79,893)
(202,336)
(881,043)
(909,325)
100 bp decrease
100 bp decrease
133,312
263,737
971,396
999,981
(1)
The effects on the profit/loss and shareholders’ equity are stated with their before tax values.
(2)
The effect on the profit/loss is mainly arising from the fact that the average maturity of the Bank’s fixed rate liabilities is shorter than the average maturity of its fixed rate assets.
(3)
The effect on the shareholders’ equity is arising from the change of the fair value of securities followed under Financial Assets Available for Sale.
(4)
Due to the reason that the LIBOR rates were at low levels in both of the periods, the negative shock imposed on FC interest rates in some maturity brackets remained below the aforementioned rates.
a. Interest rate sensitivity of assets, liabilities and off balance sheet items (Based on repricing dates):
Current Period
Up to
1 Month 1-3 Months 3-12 Months
1-5 Years
5 Years and
Over
Non-Interest
Bearing
Total
Varlıklar
Cash (Cash in Vault, Foreign Currency Cash, Money in
Transit, Cheques Purchased) and Balances with the
Central Bank of Turkey
19,847,265
12,642,711 32,489,976
Banks
3,213,459
1,780,087
233,134
14,833
1,134,581
6,376,094
Financial Assets at Fair Value through Profit/Loss
580,404
563,671
754,834
216,377
72,603
315,560 2,503,449
Money Market Placements
1,109,592
198,611
1,308,203
Financial Assets Available for Sale
4,726,047
7,248,318 9,611,044 13,167,082 11,753,789
503,062 47,009,342
Loans
(1)
45,893,591
26,148,831
43,577,782 62,519,687 17,548,629
200,585 195,889,105
Held to Maturity Investments
1,817,427
679,880
1,830,570
12,132
157,408
4,497,417
Other Assets
1,491,447
190,971
772,450
1,946,260
119,910 30,904,348 35,425,386
Total Assets
78,679,232 36,810,369 56,779,814 77,876,371 29,652,339 45,700,847 325,498,972
Liabilities
Bank Deposits
4,012,011
1,266,368
1,815,981
64,168
763,508 7,922,036
Other Deposits
73,322,388 26,617,230
8,785,633
3,077,821
6,386 34,469,796 146,279,254
Money Market Funds
22,730,348
934,183
959,902
24,624,433
Miscellaneous Payables
776,231
2,071
4,488
17,058,833 17,841,623
Marketable Securities Issued
(2)
2,546,925
5,099,680 4,498,481
9,807,157
6,174,448
28,126,691
Funds Provided from Other Financial Institutions
8,098,278 23,700,577
8,918,789
1,592,522
3,304,204
45,614,370
Other Liabilities
(3) (4)
565,262
309,106
383,789
97,308
8,483 53,726,617 55,090,565
Total Liabilities
112,051,443 57,927,144 25,364,646 14,643,464 9,493,521 106,018,754 325,498,972
Balance Sheet Long Position
31,415,168 63,232,907 20,158,818
114,806,893
Balance Sheet Short Position
(33,372,211)
(21,116,775)
(60,317,907) (114,806,893)
Off Balance Sheet Long Position
214,415
3,526,599
2,607,345
6,348,359
Off Balance Sheet Short Position
(2,106,259)
(1,956,582)
(1,991,965)
(6,054,806)
Total Position
(33,157,796) (17,590,176)
34,022,513 61,126,648 18,202,236 (62,309,872)
293,553
(1)
The balance includes factoring receivables.
(2)
The amount of TL 4,047,133 of Tier 2 subordinated issued bonds having credit quality, which are classified on the balance sheet under the subordinated loans, are also included.
(3)
Equity is included in “non-interest bearing” column.
(4)
The borrower funds are presented in “Up to 1 month” column in other liabilities.
