Annual Report 2012 - Bank Sarasin

5.3 Market risks: interest rate risk - interest sensitivity
Currency
31.12.2012
31.12.2011
CHF 000 Increase in Sensitivity Sensitivity Increase in Sensitivity Sensitivity
basis points income of basis points income of
statement equity statement equity
CHF +100 20,765 -15,355 +100 6,062 -14,424
EUR +100 -1,610 -4,661 +100 -3,165 -1,147
USD +100 5,457 -3,492 +100 3,185 -1,714
GBP +100 -1,664 -38 +100 -394 -70
JPY +100 -75 0 +100 19 0
Others +100 -4,296 -4,882 +100 -1,299 -1,474
Total 18,577 -28,428 4,408 -18,829
Currency
31.12.2012
31.12.2011
CHF 000 Decrease in Sensitivity Sensitivity Decrease in Sensitivity Sensitivity
basis points income of basis points income of
statement equity statement equity
CHF -100 -148 7,063 -100 -458 6,070
EUR -100 1,902 3,620 -100 3,075 1,172
USD -100 -3,028 3,678 -100 -2,308 1,793
GBP -100 1,307 29 -100 191 57
JPY -100 23 0 -100 -21 0
Others -100 -664 2,938 -100 49 579
Total -608 17,328 528 9,671
Interest sensitivity illustrates the impact of a parallel shift in the yield curve of +/-100 basis points (bp). Other factors are not changed.
The column “Interest sensitivity of the income statement” shows, for each currency, how net result would change if interest rates
were to rise by 100 bp. In FY 2012, net result would have increased by CHF 18.6 million (2011: CHF 4.4 million).
The column “Interest rate sensitivity of equity” shows the theoretical change in shareholders’ equity in response to the change
in the cash value of the shareholders’ equity.
If interest rates increase by 100 bp, the change in shareholders’ equity comes to CHF -28.4 million as at 31 December 2012
(as at 31 December 2011: CHF -18.8 million).
Bank Sarasin & Co. Ltd, Annual Report 2012 | 71