Page 74 - GTBANK GAMBIA ANNUAL REPORT 2021

Exposure to Liquidity Risk The Bank separates its exposure to market risk between
trading and non-trading portfolios. Trading portfolios are
The key measure used by the Bank for managing liquidity mainly held by the Treasury Division, and include
risk is the ratio of net liquid assets to deposits from positions arising from market making and proprietary
customer. For this purpose, net liquid assets are position taking, together with financial assets and
considered as including cash and cash equivalents and liabilities that are managed on a fair value basis. All
investment grade debt securities for which there is an foreign exchange risks within the Bank are monitored by
active and liquid market less any deposits from banks, the Treasury Division. Accordingly, the foreign exchange
debt securities issued, other borrowings and position is treated as part of the Bank's trading portfolios
commitments maturing within the next month. A similar for risk management purposes.
calculation is used to measure the Bank's compliance with Overall authority for market risk is vested in Market Risk
liquidity limit established by the Bank's lead regulator (The Management Unit. However, the Market Risk
Central Bank of Gambia). Management Unit within the Enterprise-wide Risk
Management Division is responsible for the development
Settlement Risk of detailed risk management policies (subject to review
and approval by the Committee) and for the dayto-day
The Bank's activities may give rise to risk at the time of review of their implementation.
settlement of transactions and trade. Settlement risk is the
risk of loss due to the failure of a company to honour its Exposure to Market Risk-Trading Portfolios
obligations to deliver cash, securities or other assets as
contractually agree.
For certain types of transactions the Bank mitigates this The principal tool used to measure and control market
risk by conducting settlements through a settlement risk exposure within the Bank's trading portfolios is the
clearing agent to ensure that a trade is settled only when open position limits using the Earning-at Risk approach.
both parties have fulfilled their contractual settlement Specific limits (regulatory and in- house) have been set
across the various trading portfolios to prevent undue
obligations. Settlement limits form part of the credit exposure and the market risk management Bank
approval/limit monitoring process described earlier. ensures that these limits and triggers are adhered to by
Acceptance of settlement risk on free settlement trade the bank.
requires transaction specific or counterparty specific
approvals from Bank Risk Management Unit.
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Guaranty Trust Bank (Gambia) Limited Financial Statements
Market Risk December 2021

Market risk is the risk that changes in market prices, such The bank traded in the following financial instruments in
as interest rate, equity prices, foreign exchange rates and the course of the year:
credit spreads (not relating to changes in the
obligor's/issuer's credit standing) will affect the Bank's 1. Debt instruments at fair value through other
income or the value of its holdings of financial comprehensive income
instruments. The objective of market risk management is
to manage and control market risk exposures within 2. Debt instrument at amortised cost
acceptable parameter, while optimizing the return on risk.
3. Foreign currencies (Spot and Swaps)
Management of Market Risk
4. Money market products

Annual Report 2021

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