TÜRKİYE İŞ BANKASI A.Ş.
Notes to the Consolidated Financial Statements for the Year Ended
31 December 2012
ANNUAL REPORT 2012
Parent Bank’s portfolio are determined and the results are reported to the Top Executive Management. Financial participations also make
VAR calculations within the frame determined by the Parent Bank, and the results are reported to the Parent Bank’s top management.
The limits set for the market risk management within the framework of the Parent Bank’s asset liability management risk policy, are
monitored by the Risk Committee and reviewed in accordance with the market conditions.
The following table shows details of the market risk calculations carried out within the context of “Standard Method for Market Risk
Measurement” and in compliance with “Regulation on Measurement and Assessment of Capital Adequacy Ratios of Banks” as of
31 December 2012.
Information on the market risk:
(I) Capital Obligation against for General Market Risk – Standard Method
(II) Capital Obligation against for Specific Risk – Standard Method
Capital Obligation for Specific Risk Related to Securitization Positions-Standard Method
(III) Capital Obligation against for Currency Risk – Standard Method
(IV) Capital Obligation against for Stocks Risk – Standard Method
(V) Capital Obligation against for Exchange Risk – Standard Method
(VI) Capital Obligation against for Market Risk of Options – Standard Method
(VII) Capital Obligation against for Counterparty Credit Risk-Standard Method
(VIII) Capital Obligation against for Market Risks of Banks Applying Risk Measurement Models
(IX) Total Capital Obligation against for Market Risk (I+II+III+IV+V+VI+VII)
(X) Value at Market Risk (12.5 x VIII) or (12.5 x IX)
Table of the average market risk related to the market risk calculated quarterly during the period:
Interest Rate Risk
Share Certificate Risk
Counterparty Credit Risk
Total Value at Risk
As per the legislation on capital adequacy effective from 1 July 2012, due to the calculation of Value At Market Risk methodology, the table is regulated for considering the period after the date of
2. Information on counterparty credit risk:
A counterparty credit risk, which is accounts for trading derivatives and repo transactions tracked on both sides, such as the credit risk
the liability arising from transactions, is determined by the methodology which is used according to the Appendix-2 of the “Regulation on
Measurement and Assessment of Capital Adequacy Ratios of Banks” which is published on the Official Gazette no.28337 dated 28 June
2012 and became effective starting from 1 June 2007. Counterparty credit risk valuation method based on the calculation of the fair value of
the derivative transactions is implemented. The calculation of the amount of risk on derivative transactions, the potential amount of credit
risk is positively correlated with the sum of the costs of renewal. The calculation of the amount of the potential credit risk of the contract
amount is multiplied by the rates given in the regulation. Derivative instruments valuation based on replacement costs and the fair value of
the related contracts are obtained.
The Bank is exposed to counterparty credit risk is managed within the framework of general principles and guarantees the credit limit
allocation. Exposure to credit risk of derivative transactions with banks due to the majority of reciprocal agreements signed with related
parties are subject to the daily exchange of collateral, counterparty credit risk exposure is reduced in this way. On the other hand, the
calculation of capital adequacy under the legislation of counterparty credit risk, the risk-reducing effect of such agreements is not
Within the scope of trading accounts with credit derivatives acquired or disposed of by the Bank does not have any protection.