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AfrAsia Bank Limited and its Group Entities
Annual Report 2015
page 99
t
he following table presents the sensitivity of net profit to the fluctuation of the major currencies traded by the Bank.
A 5% movement has been used against each currency.
EFFECT ON PROFIT OF CHANGE
IN CURRENCY ON
SENSITIVITY OF
NET INCOME
AND EQUITY
CURRENCY
% change in
currency rate
Assets
Liabilities
Assets
Liabilities
MUR’000
MUR’000
MUR’000
MUR’000
MUR’000
AUD
+5%
633,079
631,064
31,654
(31,553)
101
-5%
(31,654)
31,553
(101)
EUR
+5%
13,287,577
13,156,548
664,379
(657,827)
6,551
-5%
(664,379)
657,827
(6,551)
GBP
+5%
3,897,727
3,892,020
194,886
(194,601)
285
-5%
(194,886)
194,601
(285)
USD
+5%
41,410,619
41,168,418
2,070,531
(2,058,421)
12,110
-5%
(2,070,531)
2,058,421
(12,110)
OTHERS - FCY
+5%
1,989,017
1,957,935
99,451
(97,897)
1,554
-5%
(99,451)
97,897
(1,554)
LIMITS
Market risk is controlled primarily through a series of limits, whether set internally by management in the context of the market
environment and business strategy and/or set by regulators.
In setting limits, the Bank takes into consideration factors such as market volatility, product liquidity and accommodation of client
business and management experience.
The Bank maintains different levels of limits:
Dealers’ limits
Dealers operate within limits approved and are tightly monitored by Back Office
Dealers request for sign-off from approved signatories ahead of a deal that triggers their dealing limits.
Counterparty limits
Exposure is determined according to the nature of the contract and its maturity.