Page 264 - ACCESS BANK ANNUAL REPORTS_eBook

Impact on net interest income of +/-1oo basis points changes in rates over a
one year year (N'000)

Cashflow interest rate risk
100 basis 100 basis
points decline points increase
Time Band in rates in rates

Less than 3 months (67,938) 67,938
6 months (1,612,292) 1,612,292
12 months (1,805,538) 1,805,538

(3,485,768) 3,485,768

The table above sets out the impact on net interest income of a 100 basis points parallel fall or rise in all yields. A parallel
increase in yields by 100 basis points would lead to an increase in net interest income while a parallel fall in yields by 100
basis points would lead to a decline in net interest income. The interest rate sensitivities are based on simplified scenar-
ios and assumptions, including that all positions will be retained and rolled over upon maturity. The figures represent the
effect of movements in net interest income based on the 100 basis point shift in interest rate and subject to the current
interest rate exposures. However, the effect has not taken into account the possible risk management measures under-
taken by the Bank to mitigate interest rate risk. In practice, the Assets and Liability Committee, ALCO seeks proactively
to change the interest rate risk profile to minimize losses and optimise net revenues. The projections also assume that
interest rates on various maturities will move within similar ranges, and therefore do not reflect any potential effect on net
interest income in the event that some interest rates may change and others remain unchanged.

Price sensitivity analysis on bonds and treasury bills
The table below shows the impact of likely movement in yields on the value of bonds and treasury bills. This relates to the
positions held for trade and available for sale. Since an increase in yields would lead to decline in market values of bonds
and treasury bills, the analysis was carried out to show the likely impact of 50 and 100 basis points increase in market
yields. The impact of held for trading investments is on the income statement while the impact of available for sale instru-
ments is on the statement of other comprehensive income.

Group
31 December 2017 Carrying Value Impact of 50 Impact of 100
basis points basis points
increase in increase in
yields yields
Impact on Statement of Comprehensive
Held for trading Bonds 9,050,894 (2,123) (3,313)
Held for trading T-bills 37,743,819 (8,374) (16,748)
Pledged assets: Bonds 188,441,589 (118,783) (185,378)
Pledged assets: T-bills 258,672,815 (124,203) (248,405)
493,909,117 (253,483) (453,844)

Impact on Other Comprehensive Income
Available for sale investments 84,056,819 (1,359,839) (2,260,317)

TOTAL 557,965,936 (1,613,322) (2,714,161)

264 Access BAnk Plc
Annual Report & Accounts 2017