This is a Market Risk Balanced Scorecard Report, it is one of reports that Balanced Scorecard Designer can generate for Market Risk scorecard. With this software you can also design your own KPIs, Balanced Scorecards and metrics.


Market Risk

Report includes: 1 month(s) 49 day(s), from 05.04.2008 to 24.05.2008

  Name Start value End value Dynamic Contains
Root Market Risk 53,65 % 51,9 % -1,75 %
Interest Rate Risk Metrics(52,4%, 24,94%Up)
Foreign Exchange Risk Metrics(89,6%, 1,5%Up)
Trading Portfolio Risk Metrics(27,5%, -34,18%Down)
Off-balance Sheet Metrics(58,7%, 11,34%Up)
Liquidity Metrics(31,4%, -12,33%Down)

Graph for Market Risk

Graph for Market Risk

Data for Market Risk

DatesValue
05.04.200853,65
12.04.200833,86
19.04.200853,96
26.04.200845,1
03.05.200833,78
10.05.200834,28
17.05.200855,12
24.05.200851,9

Interest Rate Risk Metrics

  Name Start value End value Dynamic Parent Contains
Root Interest Rate Risk Metrics 27,48 % 52,42 % + 24,94% Market Risk
Indicators
Net Interest Income (using Repricing Gap)
Duration Gap Model

Graph for Interest Rate Risk Metrics

Graph for Interest Rate Risk Metrics

Data for Interest Rate Risk Metrics

DatesValueWeight
05.04.200827,482
12.04.200856,22
19.04.200866,862
26.04.200886,822
03.05.200852,362
10.05.200831,922
17.05.200855,542
24.05.200852,422

Net Interest Income (using Repricing Gap)

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Net Interest Income (using Repricing Gap) 0,15 9,91 + 9,76 Mln $ Maximize Interest Rate Risk Metrics
Description The Repricing Gap is the difference between assets whose interest rates will be repriced or changed over some future period (rate-sensitive assets) and liabilities whose interest rate will be repriced or changed over some future period (rate-sensitive liabilities).
Change in the net interest income is calculated as: Repricing Gap (mln $) * Interest Rate Change (%)
Both Repricing Gap and Interest Rate Change could be positive or negative
Change in net interest income can be calculated for each of the maturity buckets separately.
Target description According to Bank's policy

Graph for Net Interest Income (using Repricing Gap)

Graph for Net Interest Income (using Repricing Gap)

Data for Net Interest Income (using Repricing Gap)

DatesWeightMinMaxValue
05.04.200840100,15
12.04.200840104,6
19.04.200840108
26.04.200840109,66
03.05.200840109,16
10.05.200840104,53
17.05.200840102,5
24.05.200840109,91

Duration Gap Model

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Duration Gap Model 2,76 3,935 + 1,175 Years Minimize Interest Rate Risk Metrics
Description Duration is the weighted average time to maturity calculated using the relative present values of the asset or liability cash flows as weights.
Duration Gap = Duration of Assets - Duration of Liabilities
Target description Target value for Duration Gap is 0

Graph for Duration Gap Model

Graph for Duration Gap Model

Data for Duration Gap Model

DatesWeightMinMaxValue
05.04.20086052,76
12.04.20086051,85
19.04.20086052,095
26.04.20086050,985
03.05.20086053,69
10.05.20086053,85
17.05.20086051,205
24.05.20086053,935

Foreign Exchange Risk Metrics

  Name Start value End value Dynamic Parent Contains
Root Foreign Exchange Risk Metrics 88,1 % 89,6 % + 1,5% Market Risk
Indicators
Currency Risk Exposure
FOREX Hedging Efficiency

Graph for Foreign Exchange Risk Metrics

Graph for Foreign Exchange Risk Metrics

Data for Foreign Exchange Risk Metrics

DatesValueWeight
05.04.200888,12
12.04.200835,62
19.04.200863,352
26.04.200851,22
03.05.200810,62
10.05.200851,72
17.05.200818,252
24.05.200889,62

Currency Risk Exposure

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Currency Risk Exposure 95,48 99,2 + 3,72 % Maximize Foreign Exchange Risk Metrics
Description Assets denominated in foreign currencies divided by liabilities in the same currencies * 100%

Graph for Currency Risk Exposure

Graph for Currency Risk Exposure

Data for Currency Risk Exposure

DatesWeightMinMaxValue
05.04.200856010095,48
12.04.200856010078,68
19.04.200856010072,08
26.04.200856010098,56
03.05.200856010064,2
10.05.200856010068,32
17.05.200856010064,64
24.05.200856010099,2

FOREX Hedging Efficiency

  Name Start value End value Dynamic Measure units Optimization method Parent
Root FOREX Hedging Efficiency 97,5 96,24 -1,26 % Maximize Foreign Exchange Risk Metrics
Description (Total gains from FOREX hedging activities/Total losses from foreign currency translation)*100%

Graph for FOREX Hedging Efficiency

Graph for FOREX Hedging Efficiency

Data for FOREX Hedging Efficiency

DatesWeightMinMaxValue
05.04.200858010097,5
12.04.200858010084,9
19.04.200858010099,3
26.04.200858010081,2
03.05.200858010082,14
10.05.200858010096,52
17.05.200858010084,98
24.05.200858010096,24

Trading Portfolio Risk Metrics

  Name Start value End value Dynamic Parent Contains
Root Trading Portfolio Risk Metrics 61,64 % 27,46 % -34,18% Market Risk
Indicators
Value-at-Risk (VaR)
Portfolio Value Adjustments Associated with Credit Ratings

Graph for Trading Portfolio Risk Metrics

Graph for Trading Portfolio Risk Metrics

Data for Trading Portfolio Risk Metrics

DatesValueWeight
05.04.200861,642
12.04.200817,12
19.04.200831,942
26.04.2008132
03.05.200839,72
10.05.200810,822
17.05.200860,522
24.05.200827,462

Value-at-Risk (VaR)

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Value-at-Risk (VaR) 16,32 16,55 + 0,23 Mln $ Minimize Trading Portfolio Risk Metrics
Description VAR measures the worst-case loss expected over the 10 days period within a 99% confidence level. VAR is calculated based on end-of-day positions.
Target description Determined by the risk appetite

Graph for Value-at-Risk (VaR)

Graph for Value-at-Risk (VaR)

Data for Value-at-Risk (VaR)

DatesWeightMinMaxValue
05.04.20086102016,32
12.04.20086102018,01
19.04.20086102014,97
26.04.20086102019,8
03.05.20086102014,05
10.05.20086102018,63
17.05.20086102014,74
24.05.20086102016,55

Portfolio Value Adjustments Associated with Credit Ratings

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Portfolio Value Adjustments Associated with Credit Ratings -0,219999999999999 -16,62 -16,4 % Maximize Trading Portfolio Risk Metrics
Description Percentage change in the trading value of the portfolio associated with downgrading in credit ratings.

Graph for Portfolio Value Adjustments Associated with Credit Ratings

Graph for Portfolio Value Adjustments Associated with Credit Ratings

Data for Portfolio Value Adjustments Associated with Credit Ratings

DatesWeightMinMaxValue
05.04.20084-200-0,219999999999999
12.04.20084-200-17,42
19.04.20084-200-19,12
26.04.20084-200-14,1
03.05.20084-200-18
10.05.20084-200-18,7
17.05.20084-200-5,52
24.05.20084-200-16,62

Off-balance Sheet Metrics

  Name Start value End value Dynamic Parent Contains
Root Off-balance Sheet Metrics 47,34 % 58,68 % + 11,34% Market Risk
Indicators
Contractual Obligations
Securitization

Graph for Off-balance Sheet Metrics

Graph for Off-balance Sheet Metrics

Data for Off-balance Sheet Metrics

DatesValueWeight
05.04.200847,342
12.04.200820,132
19.04.200866,292
26.04.200858,542
03.05.200849,012
10.05.200839,032
17.05.200883,362
24.05.200858,682

Contractual Obligations

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Contractual Obligations 12,69 15,14 + 2,45 % Minimize Off-balance Sheet Metrics
Description Legally binding contractual obligations (less pension contributions) divided by Current Assets

Graph for Contractual Obligations

Graph for Contractual Obligations

Data for Contractual Obligations

DatesWeightMinMaxValue
05.04.20083102012,69
12.04.20083102019,8
19.04.20083102010,9
26.04.20083102010,87
03.05.20083102019,11
10.05.20083102015,74
17.05.20083102014,66
24.05.20083102015,14

Securitization

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Securitization 16,815 18,15 + 1,335 % Maximize Off-balance Sheet Metrics
Description % of securitized loans in the total loans

Graph for Securitization

Graph for Securitization

Data for Securitization

DatesWeightMinMaxValue
05.04.20087152016,815
12.04.20087152016,395
19.04.20087152017,785
26.04.20087152017,225
03.05.20087152018,31
10.05.20087152016,875
17.05.20087152019,81
24.05.20087152018,15

Liquidity Metrics

  Name Start value End value Dynamic Parent Contains
Root Liquidity Metrics 43,69 % 31,36 % -12,33% Market Risk
Indicators
Liquid Assets Ratio
Surplus Liquid Position
Net Deposit Drains
Loans to Deposits *
* - Information for this metric is limited in sample report

Graph for Liquidity Metrics

Graph for Liquidity Metrics

Data for Liquidity Metrics

DatesValueWeight
05.04.200843,692
12.04.200840,252
19.04.200841,362
26.04.200815,942
03.05.200817,232
10.05.200837,912
17.05.200857,932
24.05.200831,362

Liquid Assets Ratio

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Liquid Assets Ratio 22,7 31,68 + 8,98 % Maximize Liquidity Metrics
Description A minimum ratio of liquid assets to total assets, usually set by the Central Bank.

Graph for Liquid Assets Ratio

Graph for Liquid Assets Ratio

Data for Liquid Assets Ratio

DatesWeightMinMaxValue
05.04.20083204022,7
12.04.20083204022,2
19.04.20083204034,4
26.04.20083204020,58
03.05.20083204021,72
10.05.20083204026,36
17.05.20083204026,72
24.05.20083204031,68

Surplus Liquid Position

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Surplus Liquid Position 7,25 29,116 + 21,87 % Minimize Liquidity Metrics
Description Surplus Liquid Position equals to Total Liquid Assets less the Bank’s unsecured wholesale funding requirements, potential non-wholesale deposit run-off and contingent liabilities coming due in 90 days
Surplus Liquid Position in % = (Surplus Liquid Position/Total Liquid Assets)*100%

Graph for Surplus Liquid Position

Graph for Surplus Liquid Position

Data for Surplus Liquid Position

DatesWeightMinMaxValue
05.04.200824307,25
12.04.2008243010,76
19.04.2008243028,18
26.04.2008243021,992
03.05.2008243028,492
10.05.2008243021,784
17.05.2008243015,882
24.05.2008243029,116

Net Deposit Drains

  Name Start value End value Dynamic Measure units Optimization method Parent
Root Net Deposit Drains -8,56 -12,72 -4,16 % Maximize Liquidity Metrics
Description Min of 0 or (Deposit additions - Deposit withdrawals) /by Total Deposits

Graph for Net Deposit Drains

Graph for Net Deposit Drains

Data for Net Deposit Drains

DatesWeightMinMaxValue
05.04.20083-200-8,56
12.04.20083-200-13,54
19.04.20083-200-17
26.04.20083-200-16,74
03.05.20083-200-11,18
10.05.20083-200-13,38
17.05.20083-200-7,46
24.05.20083-200-12,72
Created by: AKS-Labs
Report created with Balanced Scorecard Designer at 28.04.2008 23:53:58

Copyright © 2000-2008 AKS-Labs. All rights reserved.