As of December 31, 2012, TBANK and its subsidiaries’ trading investments and available-for-sale securities classified by type of investment were as follow: Fair Value (THB Million) 2012
Trading investments Government and state enterprise securities Private debt securities Foreign debt securities Domestic marketable equity securities
2011
5,643 5,736 628 16
10,479 4,758 637 38
12,023
15,912
55,433 30,063 11,746 7,691
41,003 18,533 25,425 7,983
Total available-for-sale investments
104,933
92,944
Total trading and available-for-sale investments
116,956
108,856
Total trading investments Available-for-sale investments Government and state enterprise securities Private debt securities Foreign debt securities Domestic marketable equity securities
The trading and available-for-sale investments value of TBANK and subsidiaries has increased from additional investments in government and state-owned enterprise fixed income and private sector fixed income and some foreign fixed income that TBANK and subsidiaries invested in reached maturity. Therefore, the overall Price Risk value of TBANK and subsidiaries has gradually increased. 2.2 Interest Rate Risk
The interest rate risk is the risk that earnings or capital are adversely affected by changes in interest rates that pose impact on its rate-sensitive items including assets and off-balance sheet items whose repricing periods are mismatched. These changes may have a negative impact on net interest income of TBANK and its subsidiaries. It is the goal of TBANK to run their business operations under a long-term effective interest rate risk management system. In other words, to maintain an appropriate structure of assets and liabilities which are rate-sensitive at different time intervals. To ensure maximum benefits of TBANK’s shareholders, TBANK has developed the Repricing Gap Analysis Model as a tool for measuring interest rate risk by assessing the impact that may arise from the mismatch of the repricing periods of assets, liabilities and obligations at different time intervals, which is used for risk measurement every month. In order to ensure that the risk of TBANK business operations is within an acceptable limit, they have also established an acceptable risk ceiling and an early warning risk level, taking into account the structure of assets, liabilities and obligations as well as interest rate repricing which are expected to take pace in each period of TBANK business plan. The Asset and Liability Management Committee (ALCO) is responsible for monitoring and controlling such risk very closely. To effectively design appropriate measures to accommodate the risks,
the committee has to monitor economic conditions, development in the money market and capital market and the interest rate trend which could become important risk factors to the Bank’s rate-sensitive items.
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Annual Report 2012 Thanachart Bank Public Company Limited