Page 73 - GTBank Annual Report 2020 eBook

Other
liabilities 224,174 224,174 - - 224,174 - -
Debt
securities
issued - - - - - - -
Other
borrowed
funds - - - - - - -

6,101,449 6,101,449 5,604,840 240,830 255,779 - -
Gap (asset
- liabilities) (3,242,729) 563,625 2,607,963 420,530 11,052
Cumulative
liquidity gap (3,242,729) (2,679,104) (71,141) 349,389 360,441

Exposure to Liquidity Risk Market risk is the risk that changes in market
prices, such as interest rate, equity prices,
The key measure used by the Bank for managing foreign exchange rates and credit spreads (not
liquidity risk is the ratio of net liquid assets to relating to changes in the obligor's/issuer's credit
deposits from customer. For this purpose, net standing) will affect the Bank's income or the
liquid assets are considered as including cash value of its holdings of financial instruments. The
and cash equivalents and investment grade debt objective of market risk management is to
securities for which there is an active and liquid manage and control market risk exposures
market less any deposits from banks, debt within acceptable parameter, while optimizing
securities issued, other borrowings and the return on risk.
commitments maturing within the next month. A
similar calculation is used to measure the Bank's Management of Market Risk
compliance with liquidity limit established by the
Bank's lead regulator (The Central Bank of The Bank separates its exposure to market risk
Gambia). between trading and non-trading portfolios.
Trading portfolios are mainly held by the
Settlement Risk Treasury Division, and include positions arising
from market making and proprietary position
The Bank's activities may give rise to risk at the taking, together with financial assets and
time of settlement of transactions and trade. liabilities that are managed on a fair value basis.
Settlement risk is the risk of loss due to the failure All foreign exchange risks within the Bank are
of a company to honour its obligations to deliver monitored by the Treasury Division. Accordingly,
cash, securities or other assets as contractually the foreign exchange position is treated as part
agree. of the Bank's trading portfolios for risk
For certain types of transactions the Bank management purposes.
mitigates this risk by conducting settlements Overall authority for market risk is vested in
through a settlement clearing agent to ensure that Market Risk Management Unit. However, the
a trade is settled only when both parties have Market Risk Management Unit within the
fulfilled their contractual settlement obligations.
Settlement limits form part of the credit Enterprise-wide Risk Management Division is
approval/limit monitoring process described responsible for the development of detailed risk
earlier. Acceptance of settlement risk on free management policies (subject to review and
settlement trade requires transaction specific or approval by the Committee) and for the day-to-
counterparty specific approvals from Bank Risk day review of their implementation.
Management Unit.
Exposure to Market Risk-Trading
Market Risk Portfolios
Annual Report 2020

Guaranty Trust Bank Gambia Limited www.gtbankgambia.com 71