Annual report 2011 - VTB

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VTB BankNotes to the Consolidated Financial Statements – 31 December 2011 and 2010(in billions of Russian Roubles)38. Financial Risk Management (continued)Market riskMarket risk is the risk that the fair value or future cash flows of financial instruments will fluctuate due to changes inmarket variables such as interest rates, foreign exchange rates, securities prices and other basic variables. TheGroup is exposed to market risks, which include securities portfolio price risk, currency risk and interest rate risk.Interest rate risk exposure and sensitivity analysisThe Group is exposed to interest rate risk. Interest rate risk is defined as the risk of the decrease of interestincome/increase of interest expense resulting from adverse changes of market interest rates.The RD presents to the ALCO on a monthly basis a sensitivity analysis of the Group and of individual banks of theGroup, including assets and liabilities, net present value sensitivity, VaR, CaR, Earnings-at-Risk and Net InterestIncome analysis. To mitigate the interest rate risk the ALCO set up CaR limitations to cover interest rate risk of theGroup as well as individual banks of the Group.To mitigate interest rate risk the Treasury manages and hedges VTB’s exposures by entering into interest ratederivative transactions within the limits and parameters set by the ALCO.As at 31 December 2011 the Group has the following interest rate exposures based on information provided internallyto key management personnel. Included in the table are Group’s monetary assets and liabilities, categorized by thecontractual repricing date.On demandand up to1 monthFrom1 month to3 monthsFrom3 months to6 monthsFrom6 monthsto 1 yearFrom1 year to3 yearsFrom3 years to5 yearsMore than5 years TotalAssetsCorrespondent accounts withother banks 94.9 – – – – – – 94.9Corporate loans and advances tocustomers 396.7 497.6 430.2 411.2 871.6 462.7 119.4 3,189.4Retail loans and advances tocustomers 14.1 21.2 29.6 60.2 251.3 157.0 232.7 766.1Due from other banks 305.2 18.9 10.3 9.6 38.8 5.7 5.1 393.6Reverse sale and repurchaseagreements 64.8 50.7 1.3 31.1 – – – 147.9Fixed income (quick assets) 0.6 5.4 86.4 14.5 45.4 51.6 49.1 253.0Fixed income (low liquid or heldto-maturityfinancial assets) 15.2 12.0 8.1 37.0 25.5 69.2 340.0 507.0Foreign exchange swaps 552.5 161.2 58.8 54.6 58.4 34.0 19.7 939.2Interest rate derivative financialinstruments 54.7 463.2 17.5 74.7 197.1 81.1 55.1 943.4Other interest earning assets 0.2 – 1.0 – – – – 1.2Total assets 1,498.9 1,230.2 643.2 692.9 1,488.1 861.3 821.1 7,235.7LiabilitiesCorrespondent accounts andovernight deposits 262.2 8.0 2.7 6.3 6.3 9.8 – 295.3Current/settlement deposits 723.3 0.3 0.3 0.2 – – – 724.1Term deposits of legal entities andgovernment bodies 818.7 433.6 149.1 222.0 150.3 8.6 312.9 2,095.2Term deposits of individuals 67.2 105.2 123.2 166.3 383.5 31.2 12.9 889.5Due to other banks 323.9 108.9 235.6 95.3 86.0 19.4 242.6 1,111.7Reverse sale and repurchaseagreements 21.5 161.4 0.5 – – – – 183.4Promissory notes issued 6.0 28.0 72.3 55.9 2.9 33.4 0.8 199.3Bonds issued 2.6 7.2 9.0 104.5 175.2 120.4 61.0 479.9Foreign exchange swaps 550.6 162.0 62.1 55.1 52.2 29.2 16.1 927.3Interest rate derivative financialinstruments 8.0 481.8 19.7 64.1 299.6 28.7 54.4 956.3Other interest bearing liabilities 1.7 0.9 0.4 0.1 0.9 1.0 2.7 7.7Total liabilities 2,785.7 1,497.3 674.9 769.8 1,156.9 281.7 703.4 7,869.7Net repricing gap (1,286.8) (267.1) (31.7) (76.9) 331.2 579.6 117.7 (634.0)75
VTB BankNotes to the Consolidated Financial Statements – 31 December 2011 and 2010(in billions of Russian Roubles)38. Financial Risk Management (continued)Interest rate risk exposure and sensitivity analysis (continued)As at 31 December 2010 the Group has the following interest rate exposures based on information provided internallyto key management personnel. Included in the table are Group’s monetary assets and liabilities, categorized by thecontractual repricing date.On demandand up to1 monthFrom1 month to3 monthsFrom3 months to6 monthsFrom6 monthsto 1 yearFrom1 year to3 yearsFrom3 years to5 yearsMore than5 years TotalAssetsCorrespondent accounts withother banks 87.3 – – – – – – 87.3Corporate loans and advances tocustomers 153.7 335.2 242.7 248.7 634.8 305.3 329.5 2,249.9Retail loans and advances tocustomers 8.4 15.6 24.0 60.8 142.6 81.1 161.8 494.3Due from other banks 222.2 25.9 5.5 14.6 2.6 3.7 1.6 276.1Reverse sale and repurchaseagreements 81.8 8.7 15.3 13.9 0.8 – – 120.5Fixed income (quick assets) 1.9 20.2 39.6 30.1 87.9 44.6 13.8 238.1Fixed income (low liquid or heldto-maturityfinancial assets) 4.5 12.7 7.5 7.3 15.4 35.9 24.5 107.8Foreign exchange swaps 317.4 87.4 21.1 32.1 53.0 2.6 18.7 532.3Interest rate derivative financialinstruments 54.1 301.2 17.1 10.1 91.9 73.4 27.5 575.3Other interest earning assets 1.7 – – – – – – 1.7Total assets 933.0 806.9 372.8 417.6 1,029.0 546.6 577.4 4,683.3LiabilitiesCorrespondent accounts andovernight deposits 207.6 – – – – – – 207.6Current/settlement deposits 457.7 – – – – – – 457.7Term deposits of legal entities andgovernment bodies 253.9 255.6 178.7 171.8 161.8 7.1 20.1 1,049.0Term deposits of individuals 45.9 68.0 63.1 120.9 281.9 18.1 6.6 604.5Due to other banks 82.0 104.0 59.6 45.5 58.6 22.0 228.6 600.3Reverse sale and repurchaseagreements 13.5 2.5 3.5 1.1 – – – 20.6Promissory notes issued 15.5 39.1 15.9 41.7 8.9 – 0.1 121.2Bonds issued 1.1 26.2 29.5 119.1 201.1 73.1 30.5 480.6Foreign exchange swaps 316.6 86.7 21.5 32.0 54.3 2.8 15.2 529.1Interest rate derivative financialinstruments 5.2 292.8 17.2 10.0 127.4 97.3 27.5 577.4Other interest bearing liabilities 1.3 0.9 0.4 0.1 0.3 0.3 1.5 4.8Total liabilities 1,400.3 875.8 389.4 542.2 894.3 220.7 330.1 4,652.8Net repricing gap (467.3) (68.9) (16.6) (124.6) 134.7 325.9 247.3 30.576
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VTB Annual Report 2011Statement of
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VTB Annual Report 20111. Financial
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VTB Annual Report 20113. The econom
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VTB Annual Report 20113. The econom
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VTB Annual Report 20114. Management
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Today, about 16 million individuals
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VTB Annual Report 20115. Corporate
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VTB Annual Report 20118. 8. Выд
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VTB Annual Report 20118. Summary co
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VTB Annual Report 20118. Summary co
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VTB Annual Report 20119. Summary fi
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VTB Annual Report 201111. Other Gro
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VTB Annual Report 201111. Other Gro
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VTB Annual Report 201112. Sharehold
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VTB Annual Report 2011144VTB places
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VTB BankConsolidated Financial Stat
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VTB BankConsolidated Statements of
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VTB BankConsolidated Statements of
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VTB BankNotes to the Consolidated F
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Annual report 2011 - VTB

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