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BANQUE SAUDI FRANSI CONSOLIDATED BALANCE SHEET As at December 31, 2008 and 2007 - page 42 / 51

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VAR as at December 31, 2007

49

2,487

-

2,536

Average VAR for 2007

47

1,369

-

1,416

Maximum VAR for 2007

346

2,550

-

2,896

Minimum VAR for 2007

8

457

-

465

2007

b) Market risk- non- trading or banking book Market risk on non-trading or banking positions mainly arises from the interest rate, foreign currency exposures and equity price changes.

BANQUE SAUDI FRANSI

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS For the years ended December 31, 2008 and 2007 _______________________________________________________________________________________________

The following table depicts the sensitivity to a reasonable possible change in special commission income, with other variables held constant, on the Bank’s consolidated statement of income or equity. The sensitivity of the special commission income is the effect of the assumed changes in interest rates on the net special commission income for one year, based on the floating rate non-trading financial assets and financial liabilities held as at December 31, 2008, including the effect of hedging instruments. The sensitivity of equity is calculated by revaluing the fixed rate available for sale financial assets, including the effect of any associated hedges as at December 31, 2008 for the effect of assumed changes in special commission rate. The sensitivity of equity is analyzed by maturity of the asset or swap. All the banking book exposures are monitored and analyzed in currency concentrations and relevant sensitivities are disclosed in SAR thousands.

VAR as at December 31, 2008

3

2,000

-

2,003

Average VAR for 2008

41

1,712

-

1,753

Maximum VAR for 2008

737

3,122

-

3,859

Minimum VAR for 2008

3

685

-

688

The sensitivity of interest rate changes on the net commission income is monitored as part of the overall market risk review of positions by the management on a weekly basis.

established gap limits.

Total

Interest rate risk arises from the possibility that the changes in interest rates will affect either the fair values or the future cash flows of the financial instruments. The Board has established interest rate gap limits for stipulated periods. The Bank monitors positions daily and uses hedging strategies to ensure maintenance of positions within the

The Bank’s VAR related information for the year ended December 31, 2008 and 2007 are follows:

i)

Interest rate risk

SAR (000)

2008

Foreign exchange rate

Special commission risk

Equity price risk

USD

+100

(52,000)

(230)

(2,890)

(7,260)

(3,210)

(13,590)

-100

52,000

230

2,890

7,260

3,210

13,590

SAR

+100

187,000

9,624

(28,688)

(127,056)

(177,500)

(323,620)

-100

(187,000)

(9,624)

28,688

127,056

177,500

323,620

42

6 months

1 year

1-5 years

Over

or less

or less

or less

5 years

Total

2008 Sensitivity of Equity

Sensitivity of special commission income

SAR’ 000 Currency

BPS change

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