112 / 316
AfrAsia Bank Limited and its Group Entities
Annual Report 2015
page 110
RISK WEIGHTED ASSETS
Total Risk Weighted Assets as at 30 June 2015 was at MUR 35,881,489,346 versus capital base of MUR 4,913,306,315.
Analysis by risk type:
Credit Risk
MUR 33,646,596,314
Market Risk
MUR 491,319,869
Operational Risk
MUR 1,743,573,163
Market Risk
1.3%
Operational Risk
4.9%
Credit Risk
93.8%
SUPERVISORY REVIEW PROCESS AND STRESS TESTING
In line with the Bank of Mauritius Guideline on Supervisory Review Process, stress tests are performed on AfrAsia Bank’s risk portfolio at
least annually in order to assess the impact of possible adverse events on key profit and loss and statement of financial position ratios
as well as on the Bank’s ability to meet capital requirements at distinct stages of the economic cycle. The Supervisory Review Process
recognises the responsibility of the Bank’s management in developing a sound Internal Capital Adequacy Assessment Process (ICAAP) and
setting up capital targets that are commensurate with the Bank’s risk profile.
Stress testing is oneof themainelements of the ICAAPand is performedonamonthly basis viaALCOtomeasure the impact of changes on interest rate
(negative and positive interest rate shocks of 100bps across all maturity buckets), foreign currency (5% variance in exchange rates)
and liquidity position. On at least an annual basis, stress tests are done on the Bank’s portfolio to assess any impact on key performance
indicators such as asset downgrade, decline in specific sectors, deposit withdrawal and defaulting counterparties as well as on the Bank’s
ability to meet capital requirements on the targeted plans. The ICAAP process is to ensure that the capital base reflects the risk and return
profile of its business operations while adhering to all regulatory and statutory requirements and good corporate governance.
RISK WEIGHTED ASSETS
RISK MANAGEMENT REPORT (CONTINUED)