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)Liquidity risk and contractual maturity analysis (continued)As at 31 December 2011, VTB Group had the following cash flow by remaining contractual maturities.Time Band Inflow Outflow GapGapCumulativeFX SwapCumulativeDynamic Gap(total)CumulativeRUR positionsOpening balance – – 285.9 285.9 – 285.9Up to 1 month 358.8 (879.9) (521.1) (235.2) 105.5 (129.7)From 1 to 3 months 228.3 (717.5) (489.2) (724.4) 98.5 (625.9)From 3 months to 1 year 1,009.4 (678.0) 331.4 (393.0) 101.4 (291.6)From 1 to 3 years 1,396.8 (486.9) 909.9 516.9 40.5 557.4More than 3 years 1,852.6 (891.0) 961.6 1,478.5 10.1 1,488.6Other currency positionsOpening balance – – 150.8 150.8 – 150.8Up to 1 month 609.8 (745.4) (135.6) 15.2 (108.1) (92.9)From 1 to 3 months 213.8 (227.7) (13.9) 1.3 (101.3) (100.0)From 3 months to 1 year 888.7 (951.2) (62.5) (61.2) (106.7) (167.9)From 1 to 3 years 1,278.0 (1,178.1) 99.9 38.7 (46.6) (7.9)More than 3 years 811.5 (639.1) 172.4 211.1 (8.8) 202.3TotalOpening balance – – 436.7 436.7 – 436.7Up to 1 month 968.6 (1,625.3) (656.7) (220.0) (2.6) (222.6)From 1 to 3 months 442.1 (945.2) (503.1) (723.1) (2.8) (725.9)From 3 months to 1 year 1,898.1 (1,629.2) 268.9 (454.2) (5.3) (459.5)From 1 to 3 years 2,674.8 (1,665.0) 1,009.8 555.6 (6.1) 549.5More than 3 years 2,664.1 (1,530.1) 1,134.0 1,689.6 1.3 1,690.9Management believes that in spite of a substantial portion of customer accounts being on demand or short-term,diversification of these deposits by number and type of depositors, and the past experience of the Group wouldindicate that these customer accounts provide a long-term and stable source of funding for the Group. Also portfoliosof Treasury and Trading securities could be used for short-term liquidity management through reverse sale andrepurchase operations.VTB Group medium-term liquidity needs are managed through interbank and customer deposits (new borrowings andrenewal of existing deposits), repurchase agreements and in the form of CBR collateralized loans (against corporateloans or securities) which allow the Bank to reduce the negative medium-term liquidity gaps.VTB Group has a number of additional funding facilities available to bridge negative medium term liquidity gaps suchas Eurobonds (EMTN) and domestic stock exchange traded bonds.Currency mismatches in the structure of liquidity gaps are managed with the use of foreign exchange swaps(FX Swaps).83
VTB BankNotes to the Consolidated Financial Statements – 31 December 2011 and 2010(in billions of Russian Roubles)38. Financial Risk Management (continued)Liquidity risk and contractual maturity analysis (continued)As at 31 December 2010, VTB Group had the following cash flow by remaining contractual maturities.Time Band Inflow Outflow GapGapCumulativeFX SwapCumulativeDynamic Gap(total)CumulativeRUR positionsOpening balance – – 158.1 158.1 – 158.1Up to 1 month 425.2 (499.7) (74.5) 83.6 (13.2) 70.4From 1 to 3 months 160.7 (293.7) (133.0) (49.4) (14.6) (64.0)From 3 months to 1 year 587.9 (437.5) 150.4 101.0 (25.1) 75.9From 1 to 3 years 814.8 (465.8) 349.0 450.0 (70.8) 379.2More than 3 years 1,049.5 (409.3) 640.2 1,090.2 (64.5) 1,025.7Other currency positionsOpening balance – – 117.3 117.3 – 117.3Up to 1 month 573.9 (613.9) (40.0) 77.3 14.1 91.4From 1 to 3 months 209.5 (215.5) (6.0) 71.3 16.5 87.8From 3 months to 1 year 439.3 (614.6) (175.3) (104.0) 25.9 (78.1)From 1 to 3 years 964.3 (899.7) 64.6 (39.4) 69.5 30.1More than 3 years 515.6 (390.4) 125.2 85.8 62.5 148.3TotalOpening balance – – 275.4 275.4 – 275.4Up to 1 month 999.1 (1,113.6) (114.5) 160.9 0.9 161.8From 1 to 3 months 370.2 (509.2) (139.0) 21.9 1.9 23.8From 3 months to 1 year 1,027.2 (1,052.1) (24.9) (3.0) 0.8 (2.2)From 1 to 3 years 1,779.1 (1,365.5) 413.6 410.6 (1.3) 409.3More than 3 years 1,565.1 (799.7) 765.4 1176.0 (2.0) 1,174.0The table below shows undiscounted cash flows payable under financial liabilities and credit-related commitments at31 December 2011 by their remaining contractual maturity.On demandand up to1 monthFrom1 month to3 monthsFrom3 month to6 monthsFrom6 monthsto 1 yearMore than1 year TotalNon-derivative liabilitiesDue to other banks 474.8 68.8 29.4 96.1 66.9 736.0Customer deposits 1,921.5 461.0 221.8 520.9 571.2 3,696.4Other borrowed funds 76.8 192.0 170.8 18.0 467.4 925.0Debt securities issued 8.3 44.7 87.8 155.5 534.6 830.9Subordinated debt 0.1 3.7 3.6 8.9 375.3 391.6Other liabilities 22.7 8.3 1.1 36.0 – 68.1Total cash flows payable under nonderivativeliabilities 2,504.2 778.5 514.5 835.4 2,015.4 6,648.0Derivative liabilitiesNegative fair value 9.3 8.2 8.1 6.7 49.2 81.5Derivative financial instruments –gross settledPositive fair value of derivatives(Inflow) (165.5) (161.8) (61.6) (72.2) (358.9) (820.0)Outflow 165.0 156.7 58.0 65.9 317.0 762.6Negative fair value of derivatives(Inflow) (303.8) (150.8) (105.5) (104.6) (481.5) (1,146.2)Outflow 309.7 155.9 111.7 109.7 518.4 1,205.4Derivative financial instruments – netsettled(Inflow) (2.2) (3.2) (1.4) (4.6) (10.1) (21.5)Outflow 3.0 3.2 1.9 1.6 12.6 22.3Credit related commitments 626.1 – – – – 626.184
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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 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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