5. MARKET RISK (CONTINUED) 5.3 Management of Market Risk (continued) a) Profit rate risk in the banking book portfolio (continued) The table below shows the Bank’s profit rate sensitivity to a 150 basis points parallel shift as at reporting date. Bank Impact on EaR Currency 31 December 2024 Increase/(Decline) 31 December 2023 Increase/(Decline) +150bps RM million –150bps RM million +150bps RM million –150bps RM million MYR 199.6 (199.6) 224.7 (224.7) USD (0.8) 0.8 (0.8) 0.8 OTHERS* (0.5) 0.5 (0.5) 0.5 TOTAL 198.3 (198.3) 223.4 (223.4) Bank Impact on EVE Currency 31 December 2024 Increase/(Decline) 31 December 2023 Increase/(Decline) +150bps RM million –150bps RM million +150bps RM million –150bps RM million MYR (868.4) 868.4 (422.8) 422.8 USD 3.3 (3.3) 2.2 (2.2) OTHERS* 1.5 (1.5) 1.6 (1.6) TOTAL (863.6) 863.6 (418.9) 418.9 Note: 1. *Inclusive of all other currencies except MYR and USD Other controls to manage the profit rate risk in the banking book portfolio includes present value of 1 basis point change (PV01) which measures the banking book fair value to comprehensive income securities (FVOCI) portfolio’s sensitivity to market rates movement. b) Market Risk in the trading book portfolio Market risk in the trading book portfolio is monitored and controlled using Value-at-Risk (VaR). It is a technique that estimates the potential losses that could occur on risk positions as a result of movements in market rates over a specified time horizon and to a given level of confidence. The VaR model used by the Bank is based on historical simulation which derives plausible future scenarios from the past series of recorded market rates and prices. The historical simulation model used by the Bank incorporates the following features: • Potential market movements are calculated with reference to data from the past two years; • Historical market rates are calculated with reference to foreign exchange rates and profit rates; and • VaR is calculated using a 99 per cent confidence level and for a one-day holding period. Bank Islam Malaysia Berhad ◆ Integrated Annual Report 2024 480 Pillar 3 Disclosure as at 31 December 2024
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