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 50 portfolio value due to the increase in interest rate of 1 basis point. FX Delta is the rate of change of the portfolio value with respect to changes of foreign currency. FX Delta is used to monitor the foreign exchange risk of each currency. As at 31 December 2021 and 2020, the key sensitivities are as follows: At 31 December 2021 Bank only Interest rate sensitivities (PV01) (in thousand Baht) THB 193 USD 441 Other currencies (65) Total 569 Bank only Exchange rate sensitivities (FX Delta) (in thousand USD) USD (2,463) SGD (381) Other currencies 555 Total (2,289) At 31 December 2020 Bank only TBCO (Formerly TBANK) Interest rate sensitivities (PV01) Interest rate sensitivities (PV01) (in thousand Baht) (in thousand Baht) THB 410 THB (890) USD (156) USD 116 Other currencies 14 Other currencies (4) Total 268 Total (778) Bank only TBCO (Formerly TBANK) Exchange rate sensitivities (FX Delta) Exchange rate sensitivities (FX Delta) (in thousand USD) (in thousand USD) USD (2,753) USD (65) EUR 845 GBP 67 Other currencies 208 Other currencies (93) Total (1,700) Total (91) Market risk in the banking book The Bank and its subsidiaries use the repricing gap approach to determine the impact of interest rate changes on net interest income and economic value of equity on a monthly basis. The repricing gap uses the remaining term or next repricing date as stipulated in the contract. There are established interest rate risk limits to monitor and control the impact of interest rate changes on the net interest income and economic value. Impacts on the net interest income and economic value are computed assuming different size shocks in interest rate yield curves. As at 31 December 2021 and 2020, the effect of changes in interest rates to earnings (net) by 100 bps parallel shift in the next 1 year were as follows: 294 TMBThanachart Bank Public Company Limited
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