Affin Bank Berhad | Annual Report 2020

479 AFFIN BANK BERHAD 197501003274 (25046-T) | ANNUAL REPORT 2020 c) Disclosures on Market Risk - Interest/Profit Rate Risk in the Banking Book Interest/Profit rate risk is the risk to earnings and capital arising from exposure to adverse movements in interest/profit rates mainly due to mismatches in timing repricing of assets and liabilities. These mismatches are actively managed from an earnings and economic value perspective. The objective of interest/profit rate risk management is to achieve a stable and sustainable net interest/profit income from the following perspectives: (1) Next 12 months’ Earnings - Interest/Profit rate risk from the earnings perspective is the impact based on changes to the net interest/profit income (‘NII’) over the next 12 months. This risk is measured through sensitivity analysis including the application of an instantaneous 100 basis point parallel shock in interest/profit rates across the yield curve. (2) Economic Value - Measuring the change in the Economic Value of Equity (‘EVE’) is an assessment of the long term impact to the Group and the Bank’s capital. This is assessed through the application of relevant duration factors to capture the net economic value impact over the long term or total life of all balance sheet assets and liabilities to adverse changes in interest/profit rates. Interest/Profit rate risk thresholds are established in line with the Group and the Bank’s strategy and risk appetite. These thresholds are reviewed regularly to ensure relevance in the context of prevailing market conditions. The Group The Bank Impact on Positions Impact on Positions (100 basis points) (100 basis points) Parallel Shift Parallel Shift Increase/ Increase/ Increase/ Increase/ (Decline) (Decline) (Decline) (Decline) in in Economic in in Economic Type of Currency (RM million) Earnings Value Earnings Value 2020 Ringgit Malaysia 28.4 694.6 14.9 336.4 US Dollar 1.0 3.1 5.3 1.1 Euro (0.4) (0.4) (0.4) (0.4) Singapore Dollar (0.3) 0.3 (0.2) - Others (#) (0.4) - (0.4) - Total 28.3 697.6 19.2 337.1 2019 Ringgit Malaysia 33.2 631.1 14.2 295.5 US Dollar (1.6) 11.0 2.6 7.2 Euro (0.5) - (0.5) - Great Britain Pound (0.1) - (0.1) - Australian Dollar (0.3) - (0.3) - Singapore Dollar (0.1) 1.7 (0.2) - Others (#) (0.2) - (0.1) - Total 30.4 643.8 15.6 302.7 # Others comprise of CNH, NZD and HKD currencies where the amount of each currency is relatively small. BASEL I I PILLAR 3 DISCLOSURES AS AT 31ST DECEMBER 2020 APPENDIX IV