Liquidity Risk Management

LIQUIDITY RISK MANAGEMENT

Liquidity management includes two components: assets management and liquid borrowed funds management. Liquidity risk management is based on GAP analysis that is calculation of absolute and relative gap between assets and liabilities flows by relevant maturity periods. This indicator is calculated and controlled twice a week to assess adequate and critical condition of gaps in multicurrency and by key currencies. The control is consolidated by the Head Bank and branch banks. To assess and analyze an actual liquidity and solvency level the Bank uses mandatory requirements prescribed by the NBU's economic standards for regulation of commercial bank activities and the Bank corporate liquidity risk limits. Corporate liquidity risk limits are established by CALM upon proposal of the Risk Management Department and revised at least once a year.

Compliance with the NBU's
liquidity standards

	standart
	compliance with the liquidity standards as at 01.01.2006

While monitoring liquidity and solvency risk, the Bank focuses on:

• dynamics of marketable assets share of the net assets (cash, funds on correspondent accounts)
• condition of assets and liabilities maturity gaps
• condition of stable portion of resource base and its volatility
• corporate and personal deposits maturity in view of maturity periods accounting for turnover thereof
• ratio of issued loans to attracted deposits
• balance between funds invested and borrowed in the interbank market and its share of the bank liabilities
• solvency
• actual values of instant and current liquidity figures
• loan portfolio quality: assessment of overdraft loan turnover; dynamics of overdue and doubtful credits
• (corporate, public) securities portfolio quality
• share of foreign exchange exposure of the bank net assets.

instant liquidity

current liquidity

short-term liquidity