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VAKIFBANK
2014 ANNUAL REPORT
257
TÜRKİYE VAKIFLAR BANKASI TÜRK ANONİM ORTAKLIĞI AND ITS FINANCIAL SUBSIDIARIES
CONSOLIDATED FINANCIAL REPORT AS AT AND
FOR THE YEAR 31 DECEMBER 2014
(Amounts expressed in thousands of Turkish Lira (“TL”) unless otherwise stated.)
CONVENIENCE TRANSLATION OF PUBLICLY ANNOUNCED CONSOLIDATED FINANCIAL STATEMENTS ORIGINALLY ISSUED IN TURKISH, SEE IN NOTE I. OF SECTION THREE
III. CONSOLIDATED MARKET RISK
The Parent 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 to be employed for general market risk
16,249
15,935
(II) Capital to be employed for specific risk
1,893
2,434
Capital to be employed for specific risk in securitisation positions-Standard Method
-
-
(III) Capital to be employed for currency risk
36,815
33,174
(IV) Capital to be employed for stocks
-
-
(V) Capital to be employed for clearing risk
-
-
(VI) Total capital to be employed for market risk because of options
234
-
(VII) Capital to be employed for counterparty credit risk-Standard Method
8,733
7,438
(VIII) Capital to be employed for general market risk
-
-
(IX) Total capital to be employed for market risk (I+II+III+IV+V+VI)
63,924
58,981
(X) Amount subject to market risk (12.5 x VIII) or (12.5 x IX)
799,050
737,263
Average values at market risk
Current Year
Prior Year
Average
Highest
Lowest
Average
Highest
Lowest
Interest Rate Risk
13,531
16,953
11,352
14,166
18,276
9,186
Common Share Risk
1,895
6,896
759
2,832
4,374
2,147
Currency Risk
30,771
44,194
15,679
45,869
70,042
32,732
Stock Risk
-
-
-
-
-
-
Exchange Risk
-
-
-
-
-
-
Option Risk
1,677
3,804
42
-
-
-
Counterparty Credit Risk
9,912
11,892
8,464
5,059
7,439
2,651
Total Value at Risk
722,326
917,761
514,258
849,071
1,251,643
583,950
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.