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213
ARAP TÜRK BANKASI A.Ş.
NOTES TO CONSOLIDATED FINANCIAL
STATEMENTS AT 31 DECEMBER 2013
( Amounts expressed in thousands of Turkish Lira (“TL”) unless otherwise stated. )
CONVENIENCE TRANSLATION OF PUBLICLY ANNOUNCED CONSOLIDATED FINANCIAL
STATEMENTS ORIGINALLY ISSUED IN TURKISH, SEE NOTE I OF SECTION THREE
4
GENERAL INFORMATION
50
CORPORATE MANAGEMENT
67
FINANCIAL INFORMATION
A&T BANK 2013 ANNUAL REPORT
With stress testing methods, the effect of extraordinary fluctuations of risk factors on the Bank is measured on a monthly basis and in
case the necessity arises. Different scenarios based on changes in risk factors are measured with scenario analysis. All the analysis
mentioned above are tested in a retrospective manner to ensure the reliability of the tests.
The Board of Directors has determined limits at the level of risk factors in order to restrain the market risk. The ratio of the Market Risk /
Equity rate can be maximum 50% and for limiting daily VAR results, the amount under daily risk / equity rate can be maximum 1%.
1. Information related to consolidated market risk
Current Period
Prior Period
(I) Capital requirement to be employed for general market risk - Standard method
1,624
2,210
(II) Capital requirement to be employed for specific risk - Standard method
1,503
1,403
(III) Standard method for specific risk of necessary capital requirement on
securitization positions
-
-
(IV)Capital requirement to be employed for currency risk - Standard method
10,866
3,384
(V)Capital requirement to be employed for commodity risk - Standard method
-
-
(VI)Capital requirement to be employed for settlement risk - Standard method
-
-
(VII)Total capital requirement to be employed for market risk resulting from
options–Standard method
-
-
(VIII)Counterparty credit risk capital requirement - Standard method
-
35
(IX) Total capital requirement to be employed for market risk in banks using risk
measurement model
-
-
(X) Total capital requirement to be employed for market risk
(I+II+III+IV+V+VI+VII+VIII)
13,993
7,032
(XI) Market Value at Risk (12.5 x IX) or (12.5 x X)
174,913
87,900
2. Information related to market risk calculated by the month ends of the current period
Current Period
Average
Highest
Lowest
Interest Rate Risk
39,159
39,563
38,625
Share Certificates Risk
-
-
-
Currency Risk
80,844
-
53,413
Commodity Risk
-
-
-
Exchange Risk
-
-
-
Option Risk
-
-
-
Counterparty Risk
76
167
-
Total Value at Risk
120,079
175,555
92,038
Prior Period
Average
Highest
Lowest
Interest Rate Risk
37,300
45,163
29,438
Share Certificates Risk
-
-
-
Currency Risk
39,469
42,300
36,638
Commodity Risk
-
-
-
Exchange Risk
-
-
-
Option Risk
-
-
-
Counterparty Risk
400
438
363
Total Value at Risk
77,169
87,901
66,439