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TÜRKİYE İŞ BANKASI A.Ş.
Notes to the Unconsolidated Financial Statements for the Year Ended
31 December 2014
116
İŞBANK
ANNUAL REPORT 2014
Quantitative Information on Counterparty Risk (31 December 2014)
Amount
Interest-Rate Contracts
58,965
Foreign-Exchange-Rate Contracts
386,624
Commodity Contracts
24,559
Equity-Shares Related Contracts
Other
Gross Positive Fair Values
630,707
Netting Benefits
Net Current Exposure Amount
Collaterals Received
Net Derivative Position
1,100,855
IV. Explanations on Operational Risk
The operational risk capital requirement is calculated according to Regulation on Measurement and Evaluation of Capital Adequacy of Banks' article number 24, is measured using the
Basic Indicator Approach once a year in parallel with domestic regulations. As of 31 December 2014 the operational risk amount is TL 14,140,956 and information about the calculation
is given below.
The information contained in the following table when using the basic indicator method:
2 PP Amount 1 PP Amount
CP Amount Total/No. of Years of Positive Gross
Rate (%)
Total
Gross Income
6,225,680 7,682,384
8,717,467
3
15
1,131,277
Value at operational risk (Total*12.5)
14,140,956
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
31.12.2014
2.3140
2.7999
30.12.2014
2.3053
2.8049
29.12.2014
2.2973
2.8004
26.12.2014
2.2963
2.7953
25.12.2014
2.2963
2.8132
24.12.2014
2.2983
2.8021
The Bank’s last 30-days arithmetical average foreign currency purchase rates:
USD:
TL 2.2723
EUR:
TL 2.7962
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
75,641
14,050
10% decrease
(75,641)
(14,050)
EUR
10% increase
(348,719)
(240,107)
10% decrease
348,719
240,107
GBP
10% increase
(69,378)
26,043
10% decrease
69,378
(26,043)
CHF
10% increase
(55,085)
(42,646)
10% decrease
55,085
42,646
(1)
Indicates the values before tax.