confidence - Investing In Africa

Management Discussions & AnalysisOperation Review (cont’d)Chart 4 - MUR Interest Rate Gap as at June 30, 200512,000,000,0004,000,000,0006%(4,000,000,000)-4%(12,000,000,000)1 monthWithin 3 months3 months to6 months6 months to1 year1 year to3 years3 years to5 yearsOver 5 years-14%Cumulative InterestRate GapCumulative InterestRate Gap as a % of Total MUR AssetsChart 5 - USD Interest Rate Gap as at June 30, 200535,000,00012%20,000,0004%5,000,000-10,000,000-4%1 monthWithin 3 months3 months to6 months6 months to1 year1 year to3 years3 years to5 yearsOver 5 years83Cumulative InterestRate GapCumulative InterestRate Gap as a % of Total USD AssetsForeign-Exchange RiskForeign-exchange risk arises from both open and imperfectly offset or hedgedpositions. Imperfect correlations across currencies and international interest-ratemarkets pose particular challenges to the effectiveness of foreign-currencyhedging strategies. Treasury monitors open positions by currency to gaugeforeign currency risk as well as the liquidity gaps.The Treasury limits for Mauritius and Indian Operations are reviewed annually.As at 30 June 2005, the Treasury limits were adhered to. The limits approvedby the Risk Committee are allocated to the dealers and are monitored by theMiddle Office, independent of the Front Office. Ceilings are also set for intraday,overnight, stop loss, aggregate and currency gaps and are reported to the ALMForum and to the Risk Committee. The Bank reports on foreign currency