Page 112 - 2021 ANNUAL REPORT draft

is to manage and control market risk exposures within acceptable parameter, while optimizing the return
on risk.

Management of Market Risk

The Bank separates its exposure to market risk between trading and non-trading portfolios. Trading
portfolios are mainly held by the Treasury Division, and include positions arising from market making and
proprietary position taking, together with financial assets and liabilities that are managed on a fair value
basis. All foreign exchange risks within the Bank are monitored by the Treasury Division. Accordingly, the
foreign exchange position is treated as part of the Bank's trading portfolios for risk management purposes.
Overall authority for market risk is vested in Market Risk Management Unit. However, the Market Risk
Management Unit within the Enterprise-wide Risk Management Division is responsible for the development
of detailed risk management policies (subject to review and approval by the Committee) and for the dayto-
day review of their implementation.

Exposure to Market Risk-Trading Portfolios

The principal tool used to measure and control market risk exposure within the Bank's trading portfolios is
the open position limits using the Earning-at Risk approach. Specific limits (regulatory and in- house)
have been set across the various trading portfolios to prevent undue exposure and the market risk
management Bank ensures that these limits and triggers are adhered to by the bank.

Page | 71
Guaranty Trust Bank (Gambia) Limited Financial Statements December 2021

The bank traded in the following financial instruments in the course of the year:

1. Debt instruments at fair value through other comprehensive income

2. Debt instrument at amortised cost

3. Foreign currencies (Spot and Swaps)

4. Money market products

The Bank has adopted the use of the Standardized Approach for calculating its required market risk capital.
Dec-21
More
Carrying Less than 3 to 6 6 to 12 1 to 5
than
In thousands of Gambian amount 3 months months months years 5 years
Dalasi
Financial assets
Cash and cash equivalents 2,779,488 2,779,488 -
- - -
Financial assets held for -
trading - - - -
-
Derivative financial assets -
- - - -
-