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VAKIFBANK
2014 ANNUAL REPORT
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 AT 31 DECEMBER 2014
(Amounts expressed in thousands of Turkish Lira (“TL”) unless otherwise stated.)
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
13,128
9,862
(II) Capital Obligation against Specific Risks - Standard Method
99
22
Capital to be employed for specific risk in securitisation positions- Standard Method
-
-
(III) Capital Obligation against Currency Risk - Standard Method
34,268
9,399
(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
234
-
(VII) Capital Obligation Calculated for Counterparty Credit Risk - Standard Method
8,211
6,814
(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)
55,940
26,097
(X) Value-At-Market Risk (12.5xVIII) or (12.5xIX)
699,250
326,213
Average values at market risk
Current Year
Prior Year
Average
Highest
Lowest
Average
Highest
Lowest
Interest Rate Risk
8,972
13,029
6,069
7,612
13,147
3,506
Common Share Risk
227
2,523
-
65
783
-
Currency Risk
22,858
35,156
8,046
62,345
159,223
9,399
Stock Risk
-
-
-
-
-
-
Exchange Risk
-
-
-
-
-
-
Option Risk
1,677
3,804
42
102
929
-
Counterparty Credit Risk
9,451
11,383
8,020
4,330
10,889
2,048
Total Value at Risk
539,814
703,345
359,499
930,669
2,188,882
326,218
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.