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Türkiye Vakıflar Bankası Türk Anonim Ortaklığı
Unconsolidated Financial Report as at and
For the Year Ended 31 December 2013
(Currency: Thousands of TurkIsh Lıra (“TL”))
(Convenience Translation of Financial Statements and Related Disclosures and Footnotes Originally Issued in Turkish, See Section 3 Note I)
III. Market risk
The Bank calculates market risk using standard method and allocates legal capital in compliance with “Regulation on Measurement and Assessment of
Capital Adequacy Ratios of Banks” published in 28 June dated 2012 Official Gazette no. 28337.
The market risk is defined as the potential risk of loss due to changes in interest rates, foreign exchange rates and equity prices on balance sheet and
off-balance sheet positions of the banks.
The capital needed for general market risk and specific risks is calculated using the standard method defined by the “Regulation on Measurement and
Assessment of Capital Adequacy Ratios of Banks” and reported monthly.
In addition to the standard method, the Bank also uses internal models like Historical and Monte Carlo Simulations in measuring market risk. The Bank
also performs daily back-testing in order to measure the reliability of the models. Besides, scenario analyses are implemented in order to support the
Standard Method and internal models. In order to monitor the maturity structure of the asset and liability accounts, liquidity analysis are performed and
the duration of the Bank’s assets and liabilities is calculated.
The market risk analysis of the Bank is reported monthly and sent to the related regulatory institutions.
Value at market risk
Current Period
Prior Period
(I) Capital Obligation against General Market Risk - Standard Method
9,862
10,696
(II) Capital Obligation against Specific Risks - Standard Method
22
1,593
Capital to be employed for specific risk in securitisation positions- Standard Method
-
-
(III) Capital Obligation against Currency Risk - Standard Method
9,399
33,711
(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
-
-
(VII) Capital Obligation Calculated for Counterparty Credit Risk - Standard Method
6,814
2,413
(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)
26,097
48,413
(X) Value-At-Market Risk (12.5xVIII) or (12.5xIX)
326,213
605,163
Average values at market risk
Current Year
Prior Year
Average
Highest
Lowest
Average
Highest
Lowest
Interest Rate Risk
7,612
13,147
3,506
94,937
144,228
12,289
Common Share Risk
65
783
-
935
1,720
-
Currency Risk
62,345
159,223
9,399
45,041
120,350
13,664
Stock Risk
-
-
-
-
-
-
Exchange Risk
-
-
-
-
-
-
Option Risk
102
929
-
227
669
-
Counterparty Credit Risk
4,330
10,889
2,048
2,278
2,689
1,594
Total Value at Risk
930,669
2,188,882
326,218
1,778,488
2,272,350
605,163
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.
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