|
(*) Of the “other FC” total assets amounting TL154,844, TL137,971 is in English Pounds. Of the total liabilities amounting TL505,075, TL357,971 is in English Pounds and TL68,172 in Swiss Francs.
(**) Receivables from money markets are included in “Due from other banks and financial institutions” and payables to money markets in “Bank deposits”.
VI. ınterest rate rısk
“Interest Rate Risk” can be defined as the impact of interest rate changes on interest-sensitive assets and liabilities of the Bank. The Executive Risk Committee sets limits for the interest rate sensitivity of assets and liabilities and the sensitivity is closely monitored and reported weekly. In case of high market fluctuations, daily reporting and analyses on transaction bases are made.
The Bank manages the interest rate risk on a portfolio basis and tries to minimize the risk effect on the profitability, financial exposure and cash flows by applying different strategies. Basic methods such as: using fixed or floating interest rates for different portfolios and maturities, setting the fixed margin in floating rates, varying the rates for the short or long-term positions are applied actively.
a. Interest rate sensitivity of assets, liabilities and off-balance sheet items based on reprising dates:
-
1- Current Period-
31 March 2004
|
Up to 1 Month
|
1 – 3 Months
|
3 – 6 Months
|
6 – 12 Months
|
1 Year and Over
|
Demand
|
Total
|
Assets
|
|
|
|
|
|
|
|
Cash (cash in vault, effectives, money in transit, cheques purchased) and balances with the Central Bank of Turkey
|
-
|
-
|
-
|
-
|
-
|
186,248
|
186,248
|
Due from banks and other financial institutions (*)
|
873,676
|
45,987
|
-
|
-
|
-
|
163,164
|
1,082,827
|
Trading securities
|
3,170
|
316,134
|
929,854
|
786,761
|
2,826,161
|
2
|
4,862,082
|
Available-for-sale securities
|
868,122
|
2,113,060
|
1,252,656
|
1,726,120
|
1,964,483
|
13,779
|
7,938,220
|
Loans
|
3,314,504
|
1,795,243
|
1,681,989
|
1,450,518
|
859,909
|
-
|
9,102,163
|
Held-to-maturity securities
|
-
|
644,765
|
-
|
-
|
-
|
-
|
644,765
|
Other assets
|
1,523,725
|
627,902
|
504,443
|
267,476
|
171,168
|
1,059,431
|
4,154,145
|
Total assets
|
6,583,197
|
5,543,091
|
4,368,942
|
4,230,875
|
5,821,721
|
1,422,624
|
27,970,450
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
Bank deposits(*)
|
1,170,970
|
217,691
|
144,630
|
15,105
|
-
|
30,247
|
1,578,643
|
Other deposits
|
8,899,476
|
2,633,117
|
1,552,120
|
640,083
|
54,937
|
2,956,858
|
16,736,591
|
Miscellaneous payables
|
-
|
-
|
-
|
-
|
-
|
165,446
|
165,446
|
Marketable securities issued
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
Funds borrowed
|
816,073
|
1,775,435
|
502,740
|
190,144
|
3,253
|
-
|
3,287,645
|
Other liabilities
|
125,266
|
64,996
|
59,992
|
28,702
|
122,260
|
5,800,909
|
6,202,125
|
Total liabilities
|
11,011,785
|
4,691,239
|
2,259,482
|
874,034
|
180,450
|
8,953,460
|
27,970,450
|
|
|
|
|
|
|
|
|
Balance Sheet Interest Sensitivity Gap
|
(4,428,588)
|
851,852
|
2,109,460
|
3,356,841
|
5,641,271
|
(7,530,836)
|
-
|
Off-Balance Sheet Interest Sensitivity Gap(**)
|
234
|
(3,522)
|
55,911
|
1,339
|
442
|
-
|
54,404
|
Total Interest Sensitivity Gap
|
(4,428,354)
|
848,330
|
2,165,371
|
3,358,180
|
5,641,713
|
(7,530,836)
|
54,404
|
(*) Receivable and payable amounts related to “money market” transactions are included in “Due From Banks and Other Financial Institutions” item under assets and “Bank Deposits” item under liabilities respectively.
(**) This balance represents the interest rate sensitivity of net amount of receivables and payables from derivative financial instruments which are presented under off-balance sheet commitments.
-
2- Prior Period
31 December 2003
|
Up to 1 Month
|
1 – 3 Months
|
3 – 6 Months
|
6 – 12 Months
|
1 Year and Over
|
Demand
|
Total
|
Assets
|
|
|
|
|
|
|
|
Cash (cash in vault, effectives, money in transit, cheques purchased) and balances with the Central Bank of Turkey
|
-
|
-
|
-
|
-
|
-
|
227,578
|
227,578
|
Due from banks and other financial institutions(*)
|
1,157,889
|
53,118
|
-
|
-
|
-
|
201,680
|
1,412,687
|
Trading securities
|
582,044
|
1,117,949
|
692,042
|
1,104,747
|
3,674,571
|
23
|
7,171,376
|
Available-for-sale securities
|
822,576
|
973,756
|
676,357
|
2,595,009
|
2,063,529
|
13,137
|
7,144,364
|
Loans
|
2,751,957
|
1,305,012
|
2,506,225
|
1,485,755
|
1,235,452
|
-
|
9,284,401
|
Held-to-maturity securities
|
-
|
-
|
686,698
|
-
|
-
|
-
|
686,698
|
Other assets
|
2,221,612
|
412,175
|
994,247
|
613,136
|
154,145
|
1,079,369
|
5,474,684
|
Total assets
|
7,536,078
|
3,862,010
|
5,555,569
|
5,798,647
|
7,127,697
|
1,521,787
|
31,401,788
|
|
|
|
|
|
|
|
|
Liabilities
|
|
|
|
|
|
|
|
Bank deposits(*)
|
1,611,809
|
335,782
|
15,624
|
1,501
|
-
|
102,502
|
2,067,218
|
Other deposits
|
9,713,134
|
3,235,068
|
1,120,678
|
1,372,119
|
101,327
|
3,378,152
|
18,920,478
|
Miscellaneous payables
|
-
|
-
|
-
|
-
|
-
|
111,916
|
111,916
|
Marketable securities issued
|
-
|
-
|
-
|
-
|
-
|
-
|
-
|
Funds borrowed
|
1,172,300
|
2,089,799
|
325,161
|
294,052
|
3,801
|
-
|
3,885,113
|
Other liabilities
|
170,931
|
34,322
|
35,239
|
34,723
|
155,059
|
5,986,789
|
6,417,063
|
Total liabilities
|
12,668,174
|
5,694,971
|
1,496,702
|
1,702,395
|
260,187
|
9,579,359
|
31,401,788
|
|
|
|
|
|
|
|
|
Balance Sheet Interest Sensitivity Gap
|
(5,132,096)
|
(1,832,961)
|
4,058,867
|
4,096,252
|
6,867,510
|
(8,057,572)
|
-
|
Off-Balance Sheet Interest Sensitivity Gap (**)
|
47,916
|
19,200
|
2,969
|
76,275
|
(2)
|
-
|
146,358
|
Total Interest Sensitivity Gap
|
(5,084,180)
|
(1,813,761)
|
4,061,836
|
4,172,527
|
6,867,508
|
(8,057,572)
|
146,358
|
(*) Receivable and payable amounts related to “money market” transactions are included in “Due From Banks and Other Financial Institutions” item under assets and “Bank Deposits” item under liabilities respectively.
(**) This balance represents the interest rate sensitivity of net amount of receivables and payables from derivative financial instruments which are presented under off-balance sheet commitments.
-
Effective average interest rates for monetary financial instruments:
-
1- Current Period- 31 March 2004
|
EURO
|
USD
|
Yen
|
TL
|
Assets
|
%
|
%
|
%
|
%
|
Cash (cash in vault, effectives, money in transit, cheques purchased) and balances with the Central Bank of Turkey
|
0.97
|
0.41
|
-
|
14.00
|
Due from banks and other financial institutions
|
2.00
|
0.59
|
-
|
22.01
|
Trading securities
|
9.54
|
5.50
|
-
|
28.30
|
Available-for-sale securities
|
9.22
|
7.44
|
-
|
32.53
|
Loans
|
4.07
|
5.50
|
-
|
29.14
|
Held-to-maturity securities
|
-
|
10.35
|
-
|
-
|
Liabilities
|
|
|
|
|
Bank deposits
|
2.86
|
2.50
|
-
|
20.33
|
Other deposits
|
2.33
|
2.19
|
-
|
19.65
|
Miscellaneous payables
|
-
|
-
|
-
|
-
|
Marketable securities issued
|
-
|
-
|
-
|
-
|
Funds borrowed
|
2.88
|
2.75
|
-
|
21.40
|
|
|
|
|
|
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