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Türkiye Vakıflar Bankası Türk Anonim Ortaklığı
and Its Financial Subsidiaries Consolidated Financial Report as at and
For the Year Ended 31 December 2013
(Currency: Thousands of Turkish Lira (“TL”))
Convenience Translation of the Consolidated Financial Statements and Related Disclosures and Footnotes Originally Issued in Turkish, See Section 3 Note I
Value at market risk
Current Period
Prior Period
(I) Capital Obligation against General Market Risk - Standard Method
15,935
14,179
(II) Capital Obligation against Specific Risks - Standard Method
2,434
7,959
Capital to be employed for specific risk in securitisation positions- Standard Method
-
-
(III) Capital Obligation against Currency Risk - Standard Method
33,174
40,208
(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
7,439
2,465
(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)
58,981
64,811
(X) Value-At-Market Risk (12.5xVIII) or (12.5xIX)
737,263
810,138
Average values at market risk
Current Year
Prior Year
Average
Highest
Lowest
Average
Highest
Lowest
Interest Rate Risk
14,166
18,276
9,186
89,337
134,503
20,406
Common Share Risk
2,832
4,374
2,147
1,989
2,512
1,284
Currency Risk
45,869
70,042
32,732
43,272
56,347
36,504
Stock Risk
-
-
-
-
-
-
Exchange Risk
-
-
-
-
-
-
Option Risk
-
-
-
266
669
-
Counterparty Credit Risk
5,059
7,439
2,651
2,637
2,808
2,465
Total Value at Risk
849,071
1,251,643
583,950
1,702,270
2,171,075
810,137
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.
Information about counterparty risk
Current Period
(*)
Prior Period
(*)
Contracts based on Interest rate
22,552
11,853
Contracts based on currency
110,432
35,772
Contracts based on commodity
-
-
Contracts based on stocks
10
-
Other
-
-
Gross Positive Fair Value
132,994
47,625
Benefits of clarification
-
-
Clarified current risk amount
-
-
The securities which are held
-
-
The net position of derivatives
132,994
47,625
(*)
Counterparty risk related on held for trading accounts is presented.
VAKIFBANK ANNUAL REPORT 2013
243