138
İş Bankası
Annual Report 2013
Financial Information and Risk Management
TÜRKİYE İŞ BANKASI A.Ş.
Notes to the Unconsolidated Financial Statements
for the Year Ended 31 December 2013
V. Explanations on Currency Risk
Foreign currency position risk for the Bank is a result of the difference between the Bank’s assets denominated in foreign currencies
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 is managed by the internal currency risk limits which are established as a part of the 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 the framework of the limits determined by the “Net Foreign Currency Overall Position/
Shareholders’ Equity” ratio which is a part of the legal requirement and limits specified by the Board of Directors. Foreign exchange
risk management decisions are strictly applied.
In measuring currency risk, both the Standard Method and the Value at Risk Model (VAR) are used as applied in the statutory
reporting.
Measurements made 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 Value at Risk Model (VAR) are practiced on a daily basis using the historical and
Monte Carlo simulation methods. 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 Top Management and the risks are closely monitored by
taking into account the market and the economic conditions.
The 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 Bank in TL are as follows:
Date
USD
EUR
31.12.2013
2.1125
2.9068
30.12.2013
2.0942
2.8931
27.12.2013
2.1090
2.9100
26.12.2013
2.0794
2.8463
25.12.2013
2.0449
2.7991
24.12.2013
2.0400
2.7883
The Bank’s last 30-days arithmetical average foreign currency purchase rates:
USD:
TL 2.0330
EUR:
TL 2.7864
Sensitivity to currency risk:
The Bank’s sensitivity to any potential change in foreign currency rates has been analyzed. In the analysis presented below 10%
change, which is also the amount used for the internal reporting purposes, is anticipated in USD, EUR, GBP and CHF.
%Change in Foreign Currency
Effects on Profit/Loss
(1)
Current Period
Prior Period
USD
10% increase
14,050
189,438
10% decrease
(14,050)
(189,438)
EUR
10% increase
(240,107)
(184,307)
10% decrease
240,107
184,307
GBP
10% increase
26,043
69,305
10% decrease
(26,043)
(69,305)
CHF
10% increase
(42,646)
(18,577)
10% decrease
42,646
18,577
(1)
Indicates the values before tax.
