KB prezent. angl - Komerční banka

(D) Interest rate risk
Interest rate risk is the risk that the value of a financial instrument will fluctuate due to changes in market interest rates. The length of
time for which the rate of interest is fixed on a financial instrument, therefore, indicates to what extent it is exposed to interest rate risk.
The Bank uses internal models for managing interest rate risk. The objective of these models is to describe the estimated economic
behaviour of the Bank’s clients when market interest rates fluctuate. It is the policy of management to manage the exposure to
fluctuations in net interest income arising from changes in interest rates through gap analysis of assets and liabilities in individual
groups. Further information about interest rate risk management is provided in Section B of this note.
The table below provides information on the extent of the Bank’s interest rate exposure based either on the contractual maturity date of
its financial instruments or, in the case of instruments that reprice to a market rate of interest before maturity, the next repricing date.
Those assets and liabilities that do not have contractual maturity or a repricing date were grouped in the “maturity undefined” category.
CZK million Up to 3 months 3 months to 1 year to Over Maturity Total
1 year 5 years 5 years undefined
Assets
Cash in hand, balances with central banks 2,783 0 0 0 8,967 11,750
State zero-coupon bonds and other securities
eligible for refinancing with the CNB 13,446 11,293 4,042 3,920 0 32,701
Amounts due from banks 177,961 4,584 2,849 16,200 174 201,768
Amounts due from customers 85,420 36,390 35,037 1,975 1,327 160,149
Debt securities 7,965 1,172 2,806 3,567 0 15,510
Shares, participation certificates and other holdings 0 0 0 0 233 233
Equity holdings in associates 0 0 0 0 220 220
Equity holdings in subsidiaries 0 0 0 0 1,204 1,204
Intangible fixed assets 0 0 0 0 1,967 1,967
Tangible fixed assets 0 0 0 0 9,692 9,692
Other assets 215 4,148 0 0 10,941 15,304
Prepayments and deferred income 0 0 0 0 899 899
Total assets 287,79057,587 44,734 25,662 35,624 451,397
Liabilities
Amounts owed to banks 15,932 842 244 0 1,634 18,652
Amounts owed to customers 95,421 2,559 971 135 216,722 315,808
Payables from debt securities 35,305 17,190 0 2,911 0 55,406
Other liabilities 3,599 0 0 0 3,461 7,060
Deferred income and accrued expenses 0 5,862 0 0 22 5,884
Reserves 0 0 0 0 8,168 8,168
Total liabilities 150,257 26,453 1,215 3,046 230,007 410,978
On balance sheet interest rate sensitivity gap
at 31 December 2003 137,533 31,134 43,519 22,616 (194,383) 40,419
Off balance sheet assets * 69,158 134,153 89,827 50,934 0 344,072
Off balance sheet liabilities * 144,857 129,056 60,216 9,943 0 344,072
Net off balance sheet interest rate sensitivity gap
at 31 December 2003 (75,699) 5,097 29,611 40,991 0 0
Cumulative interest rate sensitivity gap at 31 December 2003 61,834 98,065 171,195 234,802 40,419 x
Total assets at 31 December 2002 288,929 49,188 39,831 25,650 42,384 445,982
Total liabilities at 31 December 2002 162,993 13,494 18,734 245 216,712 412,178
Net on balance sheet interest rate sensitivity gap
at 31 December 2002 125,936 35,694 21,097 25,405 (174,328) 33,804
Net off balance sheet interest rate sensitivity gap
at 31 December 2002 (40,350) (6,090) 26,679 19,761 0 0
Cumulative interest rate sensitivity gap at 31 December 2002 85,586 115,190 162,966 208,132 33,804 x
Note: * Off balance sheet assets and liabilities reflect amounts receivable and payable arising from interest rate derivatives which include
interest rate swaps, interest rate forwards, interest rate options and cross currency swaps.