BIMB Integrated Annual Report 2017

45. FINANCIAL RISK MANAGEMENT POLICIES (CONTINUED) 45.4 Market risk (continued) (a) Banking (continued) (iii) Market risk in the trading portfolio (continued) A summary of the VaR position of the Bank’s trading portfolios at the reporting date is as follows: AS AT 1.1.2017 TO 31.12.2017 31.12.2017 AVERAGE MAXIMUM MINIMUM BANK ISLAM RM’MILLION RM’MILLION RM’MILLION RM’MILLION Profit rate risk 1.74 1.88 3.29 0.59 Foreign exchange risk 0.43 0.29 0.86 0.01 Overall 2.17 2.17 3.67 0.62 AS AT 1.1.2016 TO 31.12.2016 31.12.2016 AVERAGE MAXIMUM MINIMUM BANK ISLAM RM’MILLION RM’MILLION RM’MILLION RM’MILLION Profit rate risk 1.39 2.09 4.34 0.94 Foreign exchange risk 0.04 0.13 0.52 0.01 Overall 1.43 2.22 4.81 0.95 To ensure holistic monitoring of the trading portfolio, the Bank has also put in place the maximum loss limits, position limits, tenor limits and PV01 limits. (iv) Foreign exchange risk The Bank manages and controls the trading 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 non-trading portfolios) foreign exchange risk, the Bank manages and controls by limiting the net open exposure on an aggregate basis. Sensitivity Analysis 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’): 2017 2016 -1% +1% -1% +1% DEPRECIATION APPRECIATION DEPRECIATION APPRECIATION BANK ISLAM RM’000 RM’000 RM’000 RM’000 US Dollar 9,331 (9,331) 11,503 (11,503) Euro 5,197 (5,197) 8,098 (8,098) Others 826 (826) (96) 96 NOTES TO THE FINANCIAL STATEMENTS FOR THE FINANCIAL YEAR ENDED 31 DECEMBER 2017 268 BIMB HOLDINGS BERHAD Integrated Annual Report 2017