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AfrAsia Bank Limited and its Group Entities
Annual Report 2015
page 100
Products limits
Dealers can only transact in products that have been approved by Board Risk Committee;
Product limits are tightly monitored by the Treasury Back Office.
Forex Exposure limits
Foreign exposure is monitored daily and a report is sent to the Bank of Mauritius every day;
Overall currency exposure may not exceed 15% of Tier 1 Capital and single currency limit is set at 10% of Tier 1 Capital.
LIQUIDITY RISK
Liquidity risk is the risk of not being able to meet cash flow requirements when they fall due and at a reasonable price.
The Bank’s Net Funding Ratio (“NFR”) analysis requires the building of a maturity ladder to determine any fund excess or shortage at
selected maturity dates on a day-to-day basis and on a much longer period. The Bank has, in this respect, prudently set its NFR Gap in line
with the guideline on Liquidity Risk Management issued by the Bank of Mauritius. No excess is recorded as at 30 June 2015.
15,000,000
20,000,000
25,000,000
30,000,000
30 %
40 %
20 %
10 %
0 %
-10 %
-20 %
10,000,000
-10,000,000
5,000,000
-5,000,000
0
GAP Rs (000)
NFR Ratio
1 Day
26,842,069
34.01%
2%
2-7 Days
26,702,879
33.83%
2%
8-14 Days
22,239,506
28.17%
1%
15 Days to
1 Month
7,343,358
9.30%
1%
1-3
Months
2,367,223
3.00%
-10%
3-6
Months
-2,924,207
-3.07%
-15%
6-12
Months
-7,166,044
-9.08%
1-3 years
-1,861,587
-2.36%
>3 years
3,058,656
3.87%
Non Maturity
Items
-228,125
0.29%
Cum Gap
NFR Ratio
BoM Limits
LIQUIDITY GAP ANALYSIS: MUR + FCY
JUNE 2015
RISK MANAGEMENT REPORT (CONTINUED)