TÜRKİYE İŞ BANKASI A.Ş.
Notes to the Consolidated Financial Statements for the Year Ended
31 December 2012
ANNUAL REPORT 2012
c. The interest rate risk of the banking book items:
Interest rate risk arising from the banking accounts is defined as negative effect risk on capital of the changes in market interest rates due to
differences in interest settlement and re-pricing on, differences in interest-earning assets taking part in the banking book; interest-bearing
liabilities; interest-bearing derivative transactions inclusive of the policies established by the Board of Directors, is managed within the
framework of the strategies set by the Parent Bank Asset-Liability Committee. Compliance with internal risk limits for banking portfolio is
closely and continuously monitored by the Risk Management Department and Asset-Liability Committee and the measurement results are
reported to the Board of Directors on a monthly basis.
Duration and sensitivity analysis are conducted on a monthly basis by the Parent Bank in the scope of monitoring of interest rate risk arising
from the banking books. In the duration analysis, the maturity gap between assets and liabilities of the balance sheet are determined by
the calculation of the weighted average maturities based on the asset that sensitive to interest rate and liabilities and off-balance sheet
transactions re-pricing period. In the interest rate risk sensitivity analysis, the influence of the various interest rate change scenarios to the
economic value of the Parent Bank’s capital is examined.
The interest rate risk of the banking book item in accordance with the legal regulations is measured and monitored on a monthly basis within
the scope of the Regulation about Measurement and Assessment of Interest Rate Risk in the Banking Accounts by Standard Shock Method
which is published official gazette numbered 28034 dated 23 August 2011. In the calculations committed due to the mentioned regulations,
behavioral maturity modeling method is used for the deposits with low sensitivity to interest rate changes and demand deposits which
is original maturities is longer than contractual maturities. In the core deposit analysis, the historical data of demand deposit is used and
calculated the howmuch and which maturity would remain within the bank and these analysis is used as an input to not constitute a
conflict of the legal provisions for quantifying the interest rate arising from banking book.
(+/- x basis point)
Equity – Loss/
Total (for Negative Shocks)
Total (for Positive Shocks)
VII. Explanations on Equity Shares Risk Arising from Banking Book
Related to the equity investments account practices about the associates and subsidiaries can be seen in the Third Section and footnote
Balance Sheet Value of Equity Investment, fair value, and for publicly traded, if the market value is different from the fair value
comparison to the market price:
Share Certificate Investments
Stock Investment Group A
Associate and Subsidiaries
Securities Available For Sale
Accounted under equity accounted method.
Since they are not traded in an active market, securities available for sale are shown in the financial statements at acquisition cost includes values.