VAKIFBANK
2015 ANNUAL REPORT
152
CONVENIENCE TRANSLATION OF PUBLICLY ANNOUNCED UNCONSOLIDATED FINANCIAL STATEMENTS ORIGINALLY ISSUED IN TURKISH, SEE NOTE I. OF SECTION THREE
TÜRKİYE VAKIFLAR BANKASI TÜRK ANONİM ORTAKLIĞI
UNCONSOLIDATED FINANCIAL REPORT
FOR THE YEAR ENDED 31 DECEMBER 2015
(Amounts expressed in thousands of Turkish Lira (“TL”) unless otherwise stated.)
Value at market risk
Current Period
Prior Period
(I) Capital Obligation against General Market Risk - Standard Method
16,414
13,128
(II) Capital Obligation against Specific Risks - Standard Method
-
99
Capital to be employed for specific risk in securitization positions- Standard Method
-
-
(III) Capital Obligation against Currency Risk - Standard Method
66,896
34,268
(IV) Capital Obligation against Stocks Risks - Standard Method
-
-
(V) Capital Obligation against Exchange Risks - Standard Method
-
-
(VI) Capital Obligation against Market Risks of Options - Standard Method
47
234
(VII) Capital Obligation Calculated for Counterparty Credit Risk - Standard Method
16,158
8,211
(VIII) Capital Obligation against Market Risks of Banks applying Risk Measurement Models
-
-
(IX) Total Capital Obligations against Market Risk (I+II+III+IV+V+VI+VII)
99,515
55,940
(X) Value-At-Market Risk (12.5xVIII) or (12.5xIX)
1,243,935
699,250
Average values at market risk
Current Year
Prior Year
Average
Highest
Lowest
Average
Highest
Lowest
Interest Rate Risk
15,441
17,529
12,922
8,972
13,029
6,069
Common Share Risk
29
350
-
227
2,523
-
Currency Risk
60,765
88,564
25,989
22,858
35,156
8,046
Stock Risk
-
-
-
-
-
-
Exchange Risk
-
-
-
-
-
-
Option Risk
173
611
23
1,677
3,804
42
Counterparty Credit Risk
17,462
24,145
12,567
9,451
11,383
8,020
Total Value at Risk
1,173,376 1,518,498
671,116
539,814
703,345
359,499
Information on Counterparty Credit Risk
Counterparty credit risk is the probability of an economic loss that Bank could face because the counterparty to a transaction bringing liabilities to both
parties could default before the final settlement of the transaction.
In calculation of the counterparty credit risk “Valuation Method on the Basis of Fair Value” is implemented in the scope of “Regulation on Calculation
and Assessment of Capital Adequacy of the Banks”. The counterparty credit risk of the derivatives includes current replacement cost and potential future
credit exposure. Replacement cost is calculated on fair value of the contracts, whilst potential future credit risk exposure is calculated by multiplication
of contract amounts with the credit conversion rates stated in the appendices of the regulation.
