Annual Report - Ahli United Bank

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Annual Report - Ahli United Bank

Pillar III Disclosures - Basel II (Contd.)4. MARKET RISK (continued)The responsibility for the implementation of the Bank’s interest rate risk policies resides with the Group Treasurer. An independentreview of all interest exposure present in the Banking Book is undertaken by the Group Market Risk team and communicated to GALCOon a monthly basis.Interest rate re-pricing reports are based on each product’s contractual re-pricing characteristics overlaid where appropriate bybehavioural adjustments. Behavioural adjustments are derived by an analysis of customer behaviour over time augmented by inputfrom the business units.Reports detailing the interest rate risk exposure of the Bank are reviewed by GALCO and the Board on a regular basis.The following table summarises the repricing profiles of the Group’s assets and liabilities as at 31 December 2009.TABLE - 17 INTEREST RATE RISKLess thanThreethree months to Over oneASSETS months one year year TotalUS$’000 US$’000 US$’000 US$’000Treasury bills and bonds 264,224 508,021 137,721 909,966Deposits with banks and other financial institutions 3,008,575 46,254 - 3,054,829Loans and advances 10,383,877 1,365,153 1,446,676 13,195,706Non-trading investments 1,499,200 318,075 1,776,798 3,594,07315,155,876 2,237,503 3,361,195 20,754,574LIABILITIESDeposits from banks and other financial institutions 4,904,347 587,157 28,389 5,519,893Customers’ deposits 9,362,049 3,006,009 355,044 12,723,102Term debt 800,054 150,000 - 950,054Subordinated liabilities 320,367 281,849 - 602,21615,386,817 4,025,015 383,433 19,795,265On - balance sheet gap (230,941) (1,787,512) 2,977,762Off - balance sheet gap 2,595,691 988,767 (3,693,614)Total interest sensitivity gap 2,364,750 (798,745) (715,852)Cumulative interest sensitivity gap 2,364,750 1,566,005 850,153Interest rate risk sensitivity analysisThe Group’s interest rate risk sensitivity is analysed in note 33(b) to the consolidated financial statements of the Group for the yearended 31 December 2009.Equity RiskEquity risk is the risk of changes in the fair value of an equity instrument. AUB Group is exposed to equity risk on non-trading equitypositions that are primarily focused on the GCC stock markets. The Board has set limits on the amount and type of investmentsthat may be made by the Bank. This is monitored on an ongoing basis by the Group Investment Committee with pre approved lossthresholds.The Bank’s Equity Risk appetite is minimal.120 AUB Annual Report 2009

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