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TÜRKİYE İŞ BANKASI A.Ş.
Notes to the Consolidated Financial Statements for the Year Ended
31 December 2014
188
İŞBANK
ANNUAL REPORT 2014
Quantitative information on counterparty risk (31 December 2014)
Amount
Interest-Rate Contracts
89,579
Foreign-Exchange-Rate Contracts
450,797
Commodity Contracts
24,559
Equity-Shares Related Contracts
2,312
Other
Gross Positive Fair Values
738,403
Netting Benefits
Net Current Exposure Amount
Collaterals Received
Net Derivative Position
1,305,650
IV. Explanations on Consolidated 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 consolidated operational risk amount is TL 15,656,293 information about the
calculation is given below.
The information contained in the following table when using the basic indicator method:
2PP Amount
1PP Amount
CP Amount
Total/Positive Years of
Gross Income Amount
Rate (%)
Total
Gross Income
6,967,199
8,523,704
9,559,165
3
15
1,252,503
Value at operational risk (Total*12.5)
15,656,293
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.
TheresultsofthemeasurementsmadeoncurrencyriskarereportedtotheKeyManagementandtherisksarecloselymonitoredbytaking intoaccountthemarketandtheeconomicconditions.
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
31.12.2014
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 Parent Bank’s last 30-days arithmetical average foreign currency purchase rates:
USD:
TL 2.2723
EUR:
TL 2.7962
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, GBP and CHF 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.
Effects on Profit/Loss
(1)
%Change in Foreign Currency
Current Period
Prior Period
USD
10% increase
154,789
65,831
10% decrease
(154,789)
(65,831)
EUR
10% increase
(414,627)
(252,233)
10% decrease
414,627
252,233
GBP
10% increase
(64,893)
26,756
10% decrease
64,893
(26,756)
CHF
10% increase
(54,970)
(42,602)
10% decrease
54,970
42,602
(1)
Indicates the values before tax.