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Financial risk management: liquidity risk

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Liquidity risk


Report 2005: [ Company Overview | Balance Sheet | Income Statement | Cash Flows | Cash and Cash Equivalents | Trading Securities | Other Securities | Due from Other Banks | Loans and Advances to Customers | Other Assets | Due to Other Banks | Deposits from Individuals and Customer Accounts | Debt Securities in Issue | Other Borrowed Funds | Other Liabilities | Share Capital and Share Premium | Interest Income and Expense | Fee and Commission Income and Expense | Administrative and Other Operating Expenses | Income Taxes | Earnings per Share | Dividends | Business Segments | Geographical Segments | Geographical Risk | Currency Risk | Liquidity Risk | Capital Adequacy Ratio | Glossary ] [ Ratio Analysis | Statistics | Financial Data Schedule ]



Liquidity Risk. Liquidity risk is defined as the risk when the maturity of assets and liabilities does not match. The Bank is exposed to daily calls on its available cash resources from overnight deposits, current accounts, maturing deposits, loan draw downs, guarantees and from margin and other calls on cash settled derivative instruments. The Bank does not maintain cash resources to meet all of these needs as experience shows that a minimum level of reinvestment of maturing funds can be predicted with a high level of certainty. Liquidity risk is managed by The Committee on Interest Rates and Limits of the Bank.

The table below shows assets and liabilities at 31 December 2005 by their remaining contractual maturity, unless there is evidence that any of the assets are impaired and will be settled after their contractual maturity dates, in which case the expected date of settlement of the assets is used.

In thousands of Russian Roubles
  Demand and less than 1 month From 1 to 6 months From 6 to 12 months From 1 to 3 years More than 3 years No stated maturity Total
Assets
Cash and cash equivalents123 368 671-----123 368 671
Mandatory cash balances with the CBRF18 425 33011 520 5818 882 01614 229 9383 750 914-56 808 779
Trading securities131 815 427-----131 815 427
Other securities at fair value through profit or loss227 280 891-----227 280 891
Due from other banks24 443 512538 894-949 823--25 932 229
Loans and advances to customers111 181 990459 910 604404 487 996467 358 496344 349 138-1 787 288 224
Repurchase receivable-1 658 705----1 658 705
Investment securities held to maturity----28 398 916-28 398 916
Premises and equipment-----106 849 836106 849 836
Other assets20 765 581735 978230 085507 721205 5501 280 92423 725 839
Total assets657 281 402474 364 762413 600 097483 045 978376 704 518108 130 7602 513 127 517
Liabilities
Due to other banks23 440 5721 471 688----24 912 260
Deposits from individuals257 084 939343 493 666286 604 122495 224 994131 894 083-1 514 301 804
Customer accounts411 413 70274 490 29035 648 76121 058 5144 194 696-546 805 963
Debt securities in issue57 479 39012 210 12215 695 6331 494 8339 550-86 889 528
Other borrowed funds-887 912-30 133 64531 942 308-62 963 865
Deferred income tax liability-----2 330 4192 330 419
Other liabilities6 026 2957 132 35682 970870 485321 42628 58014 462 112
Subordinated debt----29 393 050-29 393 050
Total liabilities755 444 898439 686 034338 031 486548 782 471197 755 1132 358 9992 282 059 001
Net liquidity gap(98 163 496)34 678 72875 568 611(65 736 493)178 949 405105 771 761231 068 516
Cumulative liquidity gap at 31 December 2005(98 163 496)(63 484 768)12 083 843(53 652 650)125 296 755231 068 516-

Assets
Total assets Mandatory cash balances with the CBRF Due from other banks Loans and advances to customers

Liabilities
Total liabilities Due to other banks Deposits from individuals Customer accounts Debt securities in issue


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