5. MARKET RISK (CONTINUED) 5.3 Management of Market Risk (continued) b) Market Risk in the trading book portfolio (continued) A summary of the VaR position of the Bank’s trading book portfolios as at the reporting date is as follows: Bank As at 31.12.2024 1.1.2024 to 31.12.2024 RM million Average RM million Maximum RM million Minimum RM million Profit Rate Risk 2.09 3.38 4.94 1.47 Foreign Exchange Risk 0.66 0.51 1.07 0.20 Overall 2.75 3.89 5.72 1.83 Bank As at 31.12.2023 1.1.2023 to 31.12.2023 RM million Average RM million Maximum RM million Minimum RM million Profit Rate Risk 2.21 2.49 3.88 0.01 Foreign Exchange Risk 0.16 0.36 0.66 0.16 Overall 2.37 2.85 4.30 0.21 In addition to VaR, the Bank has put in place the maximum loss limits, position limits, tenor limits and PV01 limits in monitoring the trading book portfolio. c) Foreign Exchange Risk The Bank manages and controls the trading book portfolio’s foreign exchange risk by limiting the net open exposure to individual currencies and on an aggregate basis. The Bank also has in place the sensitivity limit. For the Bank-wide (trading and banking portfolios) foreign exchange risk, the Bank manages and controls by limiting the net open exposure on an aggregate basis. Sensitivity Analysis The Bank has a sensitivity limit for managing the foreign exchange risk in place. Assuming that other risk variables remain constant, the foreign currency revaluation sensitivity for the Bank as at reporting date is summarised as follows (only net open position for major currencies are shown in its specific currency in the table below. For other currencies, these exposures are grouped as “Others”): Bank 31 December 2024 31 December 2023 –1% Depreciation RM’000 +1% Appreciation RM’000 –1% Depreciation RM’000 +1% Appreciation RM’000 US Dollar (4,696) 4,696 (4,195) 4,195 Euro 4,269 (4,269) 5,122 (5,122) Others (235) 235 (318) 318 481 w w w . b a n k i s l a m. c o m 01 02 03 04 05 06 07 08 FINANCIAL STATEMENTS 09
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