Sberbank information (materials)
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Liquidity RiskThe liquidity risk management is based on the classification of the Bank's assets and liabilities given actual repayment terms which may be significantly different from contractual repayment terms for some instruments and on the assumption that all possible outflows of funds should be covered by expected proceeds in all time intervals. Analysis of liquidity gaps for different periods is the main liquidity risk management tool. For liquidity risk management purposes, the Bank singles out the risk of liquidity requirements and the risk of physical liquidity. The liquidity requirements risk involves possible problems related to the meeting of liquidity requirements set by the Bank of banking (N2, N3 and N4). The Bank prepares a weekly forecast of liquidity requirements and monitors how they are met taking into account not only regulatory limitations but also even more stringent internal limits. Throughout 2011, liquidity requirements established by the Bank of Russia were met by the Bank with a significant reserve: Compliance with liquidity requirements
The physical liquidity risk involves problems related to a lack of any currency for the Bank to cover its liabilities. Tools for the physical liquidity risk management in the short term include a payment flow forecasting model and control of available liquidity reserves of the Bank. Direct REPO transactions with foreign banks and the Bank of Russia serve as main reserves for managing operating liquidity. Medium and long-term liquidity is managed by Sberbank on the basis of funding plans developed every quarter. Main tools for medium- and long-term funding include trade finance transactions, issue of bonds and syndicated loans. Liquidity Management in 2011 In 2011 the loan portfolio growth was faster than the influx of client funds. In order to maintain its rubble liquidity, the Bank reduced investments in low-yield liquid instruments (reduction in investments in the Bank of Russia's bonds worth over 430 bn. rubles) and raised funds from the Bank of Russia through direct REPO transactions and secured deposits. To fund operations in a foreign currency, the Bank furthered trade finance transactions and reached out to international capital markets by placing bonded debt of 1 bn. US dollars for 10 years and obtaining a syndicated loan totaling 1.2 bn. US dollars for 3 years in US dollars and Euros. Market RiskThe Bank singles out the following market risk categories:
To evaluate its market risk, the Bank utilizes the following methods: The interest risk for non-trade positions is assessed through gap analysis by redistributing assets and liabilities with fixed interest rates based on contractual repayment dates, assets and liabilities with floating interest rates – based on interest rate revision dates. The gap is calculated separately for Russian rubles and foreign currencies. This involves appraisal of the impact that a 100 basis point rise or fall of the interest rate has on net earnings. The market risk for trade positions (the interest risk of the debt securities portfolio, stock exchange and foreign currency risks) is assessed by the Bank following the VaR method. It helps to estimate the maximum volume of expected financial losses for a specific period of time at a preset level of confidence probability. The Bank evaluates VaR by using the historical modeling method with a 99% confidence probability in the horizon of 10 days. As part of daily monitoring of the level of market risks assumed by the Bank on trade positions, it also analyzes positions exposed to the risk and assesses their vulnerability to changes in market indicators. Details of the size of the market risk in 2011:
The significant decrease in the size of risk on trade positions in debt securities in 2011 results mainly from the VaR calculation method applied by the Bank. The calculation involves data for only the past 500 trading days so the substantial negative changes in market indicators for Q1 2009 no longer affected the VaR calculation result. In addition, the risk level was influenced by the debt securities portfolio reduced through redemption of the Bank of Russia's bonds. The interest risk on non-trade positions grew in 2011 because of a significant increase in the gap in rubles and dollars at certain time intervals. In order to limit the size of the market risk, the following limits and restrictions are established for operations in assets and liabilities:
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