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İş Bankası
Annual Report 2013
Financial Information and Risk Management
TÜRKİYE İŞ BANKASI A.Ş.
Notes to the Consolidated Financial Statements
for the Year Ended 31 December 2013
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” 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. 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 Parent Bank’s last 30-days arithmetical average foreign currency purchase rates:
USD:
TL 2.0330
EUR:
TL 2.7864
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 and GBP 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
65,831
228,999
10% decrease
(65,831)
(228,999)
EUR
10% increase
(252,233)
(202,894)
10% decrease
252,233
202,894
GBP
10% increase
26,756
76,740
10% decrease
(26,756)
(76,740)
CHF
10% increase
(42,602)
(18,664)
10% decrease
42,602
18,664
(1)
Indicates the values before tax.
