# ブックタイトル**2015年 Annual Report**

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Notes to the Consolidated Financial StatementsTHE SAN-IN GODO BANK, LTD. AND CONSOLIDATED SUBSIDIARIES(b) Quantitative information on market risk management(i) Risk related to securitiesThe Bank, in principle, utilizes the historical simulation method in calculating VaR of securities held. The volume of riskassociated with products for which market value is not readily available is calculated by applying a certain factor toacquisition costs, etc.VaR is calculated on a daily basis using the following assumptions: holding period of 60 days (120 days for strategicshares), confidence level of 99%, and time horizon of one year.As of March 31, 2015, the volume of VaR was \60,173 million ($500,732 thousand) but the volume of real risk was zerobecause unrealized gains or losses on securities exceeded VaR.The Bank verifies the effectiveness of the VaR model by comparing VaR and daily gains and losses. However, VaRcalculates the volume of market risk with certain probability level which is statistically calculated based on the historicalmarket changes, and it may not capture risks under extremely unusual situation where market environment changesdrastically.(ii) Interest rate risk related to financial instruments other than securitiesThe Bank utilizes the delta method in calculating VaR of financial instruments exposed to interest rate risk such asdeposits and loans, except securities, and the core deposit internal model for liquid deposit. The volume of risk related toloans with embedded option is calculated by applying a certain factor to outstanding balance.VaR is calculated on a monthly basis using the following assumptions: holding period of 60 days, confidence level of99%, and time horizon of one year. The volume of interest rates risk related to deposits and loans as of March 31, 2015was \(32,823) million ($(273,138) thousand). For risk calculation of financial instruments other than securities, anincrease in subject interest rates as of the fiscal year end would result in an in overall value; therefore, the volume of risk iscalculated as negative value for internal management purpose.However, VaR calculates the volume of market risk with certain probability level which is statistically calculated based onthe historical interest rates changes, and it may not capture risks under extremely unusual situation where interest rateenvironment changes drastically.Liquidity risk management related to fund raisingWith respect to liquidity risk management, the Bank controls the risk using limits on fund gap on a daily basis and alsoprepares forecast and actual results of cash management on a monthly basis and verifies the variance against the plan.Furthermore, the Bank prepares a contingency plan which contains organization plans and measures for emergency. TheBank holds sufficient high liquid debt securities such as government bonds and other high liquid assets and has establishedeffective system against liquidity risk.(4) Supplementary explanation about fair values of financial instrumentsThe fair value of financial instruments includes, in addition to the value determined based on the market price, the valuecalculated on a reasonable basis if no market price is available. Since certain assumptions are used in calculating the value,the result of such calculation may vary if different assumptions are used.Disclosure of Fair Values of Financial InstrumentsThe carrying amount, the fair value and the difference between these values as of March 31, 2014 and 2015 are as follows:Note that securities of which fair value is extremely difficult to determine, such as unlisted equity securities, are not included inthe following table (See Note 2 below):Millions of YenAs of March 31, 2014CarryingamountFair valueDifferenceCash and due from banks\293,170\293,170\?Call loans and bills purchased150,934150,934?Securities:Held-to-maturity debt securities26,45026,355(94)Other securities1,597,9891,597,989?Loans and bills discounted2,306,006Reserve for possible loan losses (*1)(35,089)2,270,9172,313,98843,071Total assets4,339,4614,382,43942,977Deposits3,687,3573,689,9702,613Cash collateral received under securities lending140,321140,321?Borrowed money185,738185,76324Total liabilities4,013,4174,016,0552,638Derivative transactions (*2):To which hedge accounting is not applied(348)(348)?To which hedge accounting is applied2,0182,018?Total derivative transactions\1,670\1,670\?24