This indicator calculates foreign currency caliber data.
Calculation formula:
Cumulative foreign exchange exposure position ratio = cumulative foreign exchange exposure position/net capital × 100%
Interpretation of indicators:
The accumulated foreign exchange exposure position is the balance of the Bank's exchange-sensitive foreign exchange assets minus exchange-sensitive foreign exchange liabilities.
The definition of net capital is consistent with that in the capital adequacy index.
Interest rate risk sensitivity
This indicator calculates the caliber data of local and foreign currencies.
Calculation formula:
Interest rate risk sensitivity = the impact of interest rate increase by basis points on the bank's net value/net capital × 100%.
Interpretation of indicators:
This indicator measures the impact of interest rate changes on the economic value of banks under the assumption that interest rates rise in parallel 10 basis points. Indicator measurement is based on duration analysis, which divides all interest-bearing assets and interest-bearing liabilities of banks into different time periods according to the repricing cycle. In each time period, interest-sensitive liabilities are deducted from interest-sensitive assets and off-balance-sheet business positions are added to obtain the repricing "gap" in this time period. Give the corresponding sensitivity weight to the gap in each period, and after getting the weighted gap, summarize the weighted gap in each period, so as to estimate the possible impact of a given interest rate change on the bank's economic value.
The impact of an interest rate increase of 200 basis points on the bank's net worth refers to the calculated impact on the economic value when the interest rate changes to 200 basis points. Among them, the division of time periods and the sensitivity weight of each time period are determined with reference to the standard framework of the Basel Committee's Principles for Interest Rate Risk Management and Supervision.
The definition of net capital is consistent with that in the capital adequacy index.