Annual Report 2012 - Raiffeisen Bank Kosovo JSC

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Demand and less From 1 to 3 From 3 to 12 More than Non-interest
than 1 month months months 12 months bearing Total
Assets
Cash and cash equivalents and
mandatory liquidity reserve 13,464 - - - 76,901 90,365
Due from other banks 85,556 0 - - 354 85,910
Loans and advances to customers 46,351 43,788 132,586 179,385 - 402,110
Other Loans 508 - 3,821 26,591 - 30,920
Investment securities - 947 22,330 39,154 442 62,873
Other assets - - - - 340 340
Total financial assets 145,879 44,735 158,737 245,130 78,037 672,518
Liabilities
Deposits from customers 205,371 20,572 77,749 9,823 243,762 557,277
Deposits from banks 82 90 4,155 8,336 21 12,684
Other liabilities - - - - 11,246 11,246
Total financial liabilities 205,453 20,662 81,904 18,159 255,029 581,207
Net gap position at 31 December 2011 (59,574) 24,073 76,833 226,971 (176,992) 91,311
The table below summarises the effective interest rates by major currencies for major monetary financial instruments. The
analysis has been prepared using annual effective rates.
In percentage 2012 2011
Assets
Placements on call with other banks 0.1 0.2 0.0 0.4 0.7 0.1 0.0 0.4
Term deposits with other banks 0.1 0.2 N/A 0.4 0.9 0.2 N/A N/A
Government Bonds HTM yield 1.8 1.1 N/A N/A 1.6 1.4 N/A N/A
Government Bonds AFV yield 2.5 0.1 N/A N/A 1.2 N/A N/A N/A
Loans and advances to customers 10.7 N/A N/A N/A 11.1 N/A N/A N/A
Other Loans 2.3 N/A N/A N/A 1.6 N/A N/A N/A
Liabilities
Customer accounts 0.4 0.0 0.0 0.0 0.7 0.0 0.0 0.0
Term deposits 3.8 1.2 1.0 1.0 4.5 1.3 1.0 1.0
Savings accounts 2.2 0.3 0.3 0.3 2.3 0.3 0.3 0.3
From Risk Management and control perspective there are two aspects of risk:
Interest Risk Evaluation
The Interest Rate risk is measured using VaR (Value at risk) approach. This approach implies a measurement of scenario
using 10 days duration and 99 per cent confidence interval. The VaR is measured at stress of 1bps shift in the Yield
curve. This Scenario assumes the implication on Profit and loss account of the Bank, in case the yield curve moves in
one or the other direction by one basis point or 0.01 per cent. The results of the sensitivity analysis are presented to the
Interest Rate Risk Control
The mechanism of control interest rate risk is utilized through the daily Basis Point Value reports. The Bank currently owns
BPV limit of € 55 thousand. For the purpose of measuring BPV, administered rate products are modelled using replicating
portfolio. The Basis Point Value is measured per currency and per time band. The limits are also set for each currency
and for different time bands.