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IMPLEMENTATION REPORT OF RISK MANAGEMENT FOR INTEREST RATE RISK IN BANKING BOOK (INTEREST RATE RISK IN THE BANKING BOOK) BANK NAME : PT BANK WOORI SAUDARA INDONESIA 1906, Tbk (Individual/Consolidated) MONTH : March 2020 Qualitative Analysis 1 Interest rate risk in the Banking Book or Interest Rate Risk in the Banking Book, hereinafter abbreviated as IRRBB, is a risk that affects the Bank's capital and earnings due to the movement of interest rates in the market. Included in the IRRBB are the gap risks arising from the term structure of the banking book instruments; the basis of risk, which describes the impact of the relative changes in interest rates of financial instruments that are valued at the interest rate according to the interest rate curve; option risk arising from financial derivative positions or from the element of option risk inherent in financial instruments. 2 The Bank prepares risk management strategies and risk mitigation including by setting measurement guidelines for measuring interest rate risk in the banking book, adjusting IRRBB exposure and improving the quality of the Risk Management process for IRRBB. 3 The Bank quarterly calculates EVE ratios and NII ratios for monitoring, internal control and reporting needs. Specific measurements are carried out in accordance with OJK Circular Letter No.12 / SEOJK.03 / 2018 with output EVE ratio and NII ratio 4 Based on OJK Circular Letter No.12 / SEOJK.03 / 2018, for ,EVE, the Bank applies 6 shock scenarios: - parallel interest rate shock upwards (parallel shock up); - Parallel shock down interest rates (parallel shock down); - Sloping interest shock (steepener shock); - flat interest shock (flattener shock); - Short-term shock to rising interest rates (short rates shock up); and - Shock short-term interest rates decrease (short rates shock down). For the perspective calculation ΔNII uses 2 scenarios, namely: - parallel interest rate shock upwards (parallel shock up); - Shock interest rates are parallel to the bottom (parallel shock down). 5 In the internal analysis of IRRBB risk, the Bank uses assumptions that are more or less the same as those used for the purpose of reporting IRRBB risk to OJK. Where it can be assumed there are no significant differences in modeling assumptions between Bank assessments and standardized IRRBB. 6 The Bank has not applied hedging to IRRBB. 7 a. In carrying out calculations using the EVE method, the Bank uses the Jakarta Interbank Offered Rate (JIBOR) base rate in Rupiah (IDR) and London Interbank Offered Rate (LIBOR) in US Dollars (USD), and uses the interest rate applicable interest in calculating cash flow (cash flow). b. The Bank pays attention to the risk of earnings volatility (earnings) arising from NMD by identifying, among others, core deposits. The Bank separates NMD based on the category of deposits originating from individual customers, micro and small business customers, as well as deposits from corporate customers, referring to the Financial
