SHINHAN FINANCIAL GROUP CO LTD | CIK:0001263043 |

Filed: 4/30/2018

Entity registrant name: SHINHAN FINANCIAL GROUP CO LTD (CIK: 0001263043)

Generator: Fujitsu

SEC filing page: http://www.sec.gov/Archives/edgar/data/1263043/000119312518141173/0001193125-18-141173-index.htm

XBRL Instance: http://www.sec.gov/Archives/edgar/data/1263043/000119312518141173/shg-20171231.xml

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ifrs-full:DisclosureOfMarketRiskExplanatory

An analysis of the Group’s requisite capital in light of the market risk for trading positions as of and for the years ended December 31, 2016 and 2017 based on the standard guidelines for risk management promulgated by the Financial Supervisory Service, was as follows:


	2016
	Average		Maximum		Minimum		December 31
Interest rate	W	376,486		422,592		348,686		422,592
Stock price		159,555		191,957		134,595		134,595
Foreign exchange		132,802		139,694		124,046		132,225
Option volatility		6,078		9,214		2,707		9,215

	W	674,921		763,457		610,034		698,627


	2017
	Average		Maximum		Minimum		December 31
Interest rate	W	431,065		463,340		414,689		415,139
Stock price		186,652		225,553		157,730		199,041
Foreign exchange		113,208		121,041		105,823		121,041
Option volatility		10,405		12,599		7,809		12,599

	W	741,330		822,533		686,051		747,820

Shinhan Life Insurance was excluded when the Group estimated the market risk, because insurance company was not included in the Group’s subsidiaries for the consolidated BIS capital ratio.

An analysis of market risk for trading positions of the major subsidiaries as of and for the years ended December 31, 2016 and 2017 are as follows:

i-1) Shinhan Bank

The analyses of the ten-day 99.9% confidence level-based VaR for managing market risk for trading positions of Shinhan Bank as of and for the years ended December 31, 2016 and 2017 are as follows:


	2016
	Average		Maximum		Minimum		December 31
Interest rate	W	33,246		48,851		18,764		44,447
Stock price		5,161		5,787		4,815		5,484
Foreign exchange(*)		56,089		61,389		53,678		60,088
Option volatility		149		256		101		221
Commodity		13		35		—		21
Portfolio diversification								(49,278	)

	W	55,981		61,648		53,086		60,983


	2017
	Average		Maximum		Minimum		December 31
Interest rate	W	38,370		50,206		22,226		25,071
Stock price		4,051		5,622		3,040		4,675
Foreign exchange(*)		43,827		46,108		41,562		41,947
Option volatility		70		124		43		66
Commodity		22		46		—		14
Portfolio diversification								(26,367	)

	W	49,943		56,103		42,031		45,406

(*)

Both trading and non-trading accounts are included since Shinhan Bank manages foreign exchange risk on a total position basis.

i-2)

Shinhan Card

The analyses of Shinhan Card’s requisite capital in light of the market risk for trading positions as of and for the years ended December 31, 2016 and 2017, based on the standard guidelines for risk management promulgated by the Financial Supervisory Service, are as follows:

2016

Average

Maximum

Minimum

December 31

Interest rate

875

1,700

550

1,700

2017

Average

Maximum

Minimum

December 31

Interest rate

1,809

2,550

1,050

1,800

Shinhan Card fully hedges all the cash flows from foreign currency liabilities by swap transactions and is narrowly exposed to foreign exchange risk relating to foreign currency equity securities held for non-trading purposes.

i-3)

Shinhan Investment

The analyses of the ten-day 99.9% confidence level-based VaR for managing market risk for trading positions of Shinhan Investment as of and for the years ended December 31, 2016 and 2017 are as follows:


	2016
	Average		Maximum		Minimum		December 31
Interest rate	W	9,040		18,149		5,380		15,491
Stock price		13,339		24,276		6,413		7,403
Foreign exchange		6,849		19,976		1,017		7,001
Option volatility		6,564		18,680		1,477		7,799
Portfolio diversification								(14,569	)

	W	24,393		34,546		16,679		23,125


	2017
	Average		Maximum		Minimum		December 31
Interest rate	W	9,939		18,090		7,329		11,232
Stock price		12,015		22,496		7,068		10,830
Foreign exchange		7,140		12,604		2,760		5,506
Option volatility		3,404		4,536		2,710		3,216
Portfolio diversification								(9,583	)

	W	22,221		34,564		12,980		21,201

i-4)

Shinhan Life Insurance

The analyses of the ten-day 99.9% confidence level-based VaR for managing market risk for trading positions of Shinhan Life Insurance as of and for the years ended December 31, 2016 and 2017 are as follows:


	2016
	Average		Maximum		Minimum		December 31
Interest rate	W	483		1,114		213		800
Stock price		231		1,585		—		130
Foreign exchange		1,278		2,238		54		1,221
Option volatility		1,115		3,044		71		3,044

	W	3,107		7,981		338		5,195


	2017
	Average		Maximum		Minimum		December 31
Interest rate	W	3,838		16,598		85		3,848
Stock price		1,195		3,368		—		3,178
Foreign exchange		1,213		3,569		3		1,924
Option volatility		5,083		7,423		2,777		3,809

	W	11,329		30,958		2,865		12,759