TMBThanachart Bank Public Company Limited and its Subsidiaries (Formerly TMB Bank Public Company Limited and its Subsidiaries) Notes to the financial statements For the year ended 31 December 2021 49 6.2.2 Foreign exchange risk Foreign exchange risk is the risk that the value of the financial instruments will be affected by changes in foreign exchange rates. In addition to the financial assets and liabilities denominated in foreign currencies already disclosed in the relevant notes to the financial statements, as at 31 December 2021 and 2020, the Bank and its subsidiaries’ net foreign currency positions categorised by major foreign currencies were as follows: Consolidated 2021 2020 USD Euro (*) Other currencies (*) USD Euro (*) Other currencies (*) (in USD million) Spot 253 (238) 345 59 (964) 139 Forward (255) 238 (347) (47) 963 (134) Net position (2) - (2) 12 (1) 5 Bank only 2021 2020 USD Euro (*) Other currencies (*) USD Euro (*) Other currencies (*) (in USD million) Spot 253 (238) 345 (295) (965) 111 Forward (255) 238 (347) 292 962 (108) Net position (2) - (2) (3) (3) 3 (*) Balance denominated in Euro and other currencies are stated in USD equivalents. 6.2.3 Equity price risk Equity price risk is the risk that the Bank and its subsidiaries’ earnings or value of financial assets may fluctuate due to changes in the price of equities. The equity portfolio of the Bank and its subsidiaries are managed by specific units depending on the strategy, the types of business of the issuers of underlying securities, and the objectives for holding such equities. The equity investment management is under the supervision of the Asset and Liability Management Committee (ALCO) and/or the Chief Executive Committee (CEC) and/or Board of Executive Directors (BoED). All equity investments must comply with the bank-wide investment policy and framework, and related risk policies. The Bank and its subsidiaries have a policy to manage market risk by setting manageable limits on transactions, such as position limit and loss limits. The Risk Control Unit, which is separated from front office and back office functions, is responsible for control of risk and reporting on compliance with the various limits to the related business unit and related management, in order to facilitate responsive risk management. As at 31 December 2021, the Bank had equity investments are listed on Stock Exchange of Thailand at Baht 227 million (2020 : Baht 1,304 million) with the mark to market value at Baht 198 million (2020 : Baht 910 million). 6.2.4 Sensitivity analysis Market risk in the trading book The Bank and its subsidiaries use a number of sensitivity measurements to monitor the market risk in a trading book. The key measurements are PV01 and FX Delta. PV01 is used to monitor interest rate risk in which it measures the impact on 293 Form 56-1 One Report 2021
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