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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
c.
The interest rate risk of the banking book items:
Interest rate risk arising from the banking accounts is defined as negative effect risk on capital of the changes in market interest
rates due to differences in interest settlement and re-pricing on, differences in interest-earning assets taking part in the banking
book; interest-bearing liabilities; interest-bearing derivative transactions inclusive of the policies established by the Board of
Directors, is managed within the framework of the strategies set by the Parent Bank Asset-Liability Committee. Compliance with
internal risk limits for banking portfolio is closely and continuously monitored by the Risk Management Department and Asset-
Liability Committee and the measurement results are reported to the Board of Directors on a monthly basis.
Duration and sensitivity analysis are conducted on a monthly basis by the Bank in the scope of monitoring of interest rate risk arising
from the banking books about Interest Rate Risk in the Banking Accounts from the Regulation on Measurement and Assessment of
Standard Shock Method which is published in the Official Gazette No. 28034 dated 23.08.2011. In the duration analysis, the maturity
gap between assets and liabilities of the balance sheet are determined by the calculation of the weighted average maturities based
on the asset that sensitive to interest rate and liabilities and off-balance sheet transactions re-pricing period. In the interest rate
risk sensitivity analysis, the influence of the various interest rate change scenarios to the economic value of the Bank’s capital is
examined.
The interest rate risk of the banking book item in accordance with the legal regulations is measured and monitored on a monthly
basis within the scope of the Regulation about Measurement and Assessment of Interest Rate Risk in the Banking Accounts by
Standard Shock Method. In the calculations committed due to the mentioned regulations, behavioral maturity modeling method is
used for the deposits with low sensitivity to interest rate changes and demand deposits which is original maturities is longer than
contractual maturities. In the core deposit analysis, the historical data of demand deposit is used and calculated the howmuch
and which maturity would remain within the Bank and these analysis is used as an input to not constitute a conflict of the legal
provisions for quantifying the interest rate arising from banking book.
Currency
Applied Shock (+/- x
basis point)
Revenue/Loss
Revenue/Shareholders’ Equity -
Loss/Shareholders’ Equity
TL
(+) 500
(3,871,922)
(13.98)%
TL
(-) 400
3,746,604
13.53%
EUR
(+) 200
(70,607)
(0.25)%
EUR
(-) 200
87,635
0.32%
USD
(+) 200
(362,130)
(1.31)%
USD
(-) 200
424,716
1.53%
Total (for Negative Shocks)
4,258,955
15.38%
Total (for Positive Shocks)
(4,304,659)
(15.54)%
VII. Explanations on Equity Shares Risk Arising fromBanking Book
a.
Related to the equity investments account practices about the associates and subsidiaries can be seen in the Third Section Note III.
b.
Balance Sheet Value of Equity Investment, fair value, and for publicly traded, if the market value is different from the fair value
comparison to the market price:
Share Certificate Investments
Comparison
Book Value
Book Value
Book Value
Quoted
Stock Investment Group A
Subsidiaries
Financial Subsidiaries
Non-Financial Subsidiaries
2,758,589
2,758,589
Non-Quoted
Associate and Subsidiaries
Financial Subsidiaries
(1)
96,644
Non-Financial Subsidiaries
671,466
Subsidiaries
Financial Subsidiaries
Non-Financial Subsidiaries
647,852
(1)
Accounted under equity accounted method.
