Annual Report 2010 - ProCredit Bank

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Annual Report 2010
continued EUR USD Other Total foreign Local Total
currencies currencies Currency
31 December 2009
Total assets 49,991,260 556,127 135,165 50,682,552 15,703,122 66,385,674
Total liabilities and equity 49,799,817 659,930 69,840 50,529,587 15,856,087 66,385,674
Net on-balance sheet position 191,443 (103,803) 65,325 152,965 (152,965) –
Credit commitments (Note 34) – – – – 1,884,115 1,884,115
Following table provides overview of sensitivity analysis of the exposure
to currency risk under the assumption of the change in local
currency exchange rate by 15%:
Open currency Effect of 15 % Effect of 15%
position based on position balance depreciation of RSD to appreciation of RSD to
sheet data on 31 December Open open Currency currency Position position Open open Currency currency Position position
2009 2010 2008 2009 2009 2010 2008 2009 2009 2010 2008 2009
USD (476,985) (103,803) (103,308) 384,652 (71,548) (15,570) (15,570) 57,698 71,548 15,570 (57,698) 15,570
EUR 1,635,219 191,443 191,443 3,064 245,283 28,716 28,716 460 (245,283) (28,716) (28,716) (460)
Other Currencies (15,787) 65,325 65,325 5,186 (2,368) 9,799 9,799 778 (9,799) 2,368 (9,799) (778)
Having in mind the currency structure of the balance sheet the
appreciation of the local currency by 15% would result in negative
effect profit of RSD 171,367 thousand (2009: negative effect
of 22,954 thousand). In case of depreciation of the local currency
by 15% positive effect on profit would be RSD 171,367 thousand
(2009: positive effect of 22,954 thousand).
C.2. Interest rate risk
The Group takes on exposure to the effects of fluctuations in the
prevailing levels of market interest rates on its financial position
and cash flows. Interest rates may increase or decrease as a result
of such changes and may create negative effects to the Groups capital
and/or income. Interest rates are based on market rates which
the Group reprises and reassesses regularly.
Risk management activities are aimed at optimizing net interest income,
given market interest rate levels consistent with the Group’s
business strategies. In managing maturity structure, senior management
considers among others:
• Macro- and microeconomic forecasts,
• Forecasts in liquidity conditions and
• The anticipated trends in interest rates.
Interest rate risk presented in gaps between remaining maturities
of assets and liabilities with fixed interest rate is managed by balancing
the structure of loans and advances to customers with due
to customers and other types of short- and long-term borrowings.
Interest rate risk presented in gaps between maturities of reprising
of taken long term loans linked to floating rates, and reprising of
loans disbursed at floating interest rates, is prudently hedged with
Fixed-for-Floating Interest Rate Swap. As of 31 December 2010 the
Group had Interest Rate Swap in the outstanding notional amount
of EUR 1.938 million (31 December 2009: EUR 2.625 million).
The table below summarizes the Group’s exposure to interest rate
risks. Included in the table are the Group’s assets and liabilities at
carrying amounts, categorized by the earlier of contractual reprising
or maturity dates.