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 Group uses internal models for managing interest rate risk. The objective of these models is to describe the estimated economic
behaviour of the Group’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 Group’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 1 year Over Maturity Total
3 months to 1 year to 5 years 5 years undefined
Assets
Cash and current balances with banks 2,866 0 0 0 9,583 12,449
Amounts due from banks 178,440 4,584 2,849 16,200 50 202,123
Securities held for trading 14,601 9,311 861 1,192 140 26,105
Positive fair values of financial derivative transactions 0 0 0 0 9,023 9,023
Due from Česká konsolidační agentura 16,943 5,520 1,840 0 0 24,303
Loans to customers, net 69,860 30,817 33,123 1,947 (2,759) 132,988
Securities available for sale 6,826 4,280 7,554 8,719 177 27,556
Investments held to maturity 97 135 0 16 0 248
Prepayments, accrued income and other assets 589 4,148 0 0 3,009 7,746
Deferred tax asset 0 0 0 0 510 510
Investments in associates and unconsolidated subsidiaries 0 0 0 0 876 876
Tangible and intangible fixed assets, net 0 0 0 0 12,736 12,736
Total assets 290,222 58,795 46,227 28,074 33,345 456,663
Liabilities
Amounts due to banks 16,336 1,563 246 0 1,940 20,085
Amounts due to customers 130,940 2,637 3,673 134 216,185 353,569
Negative fair values of financial derivative transactions 0 0 0 0 3,474 3,474
Certificated debt 1,247 16,866 0 2,911 0 21,024
Accruals, provisions and other liabilities 3,613 5,862 0 0 5,267 14,742
Income taxes payable 0 0 0 0 1,443 1,443
Deferred tax liability 0 0 0 0 679 679
Minority interest 0 0 0 0 246 246
Total liabilities 152,136 26,928 3,919 3,045 229,234 415,262
On balance sheet interest rate
sensitivity gap at 31 December 2003 138,086 31,867 42,308 25,029 (195,889) 41,401
Off balance sheet interest rate assets * 69,024 134,292 89,882 50,934 0 344,133
Off balance sheet interest rate liabilities * 144,788 129,185 60,216 9,943 0 344,133
Net off balance sheet interest rate
sensitivity gap at 31 December 2003 (75,764) 5,107 29,666 40,991 0 0
Cumulative interest rate sensitivity
gap at 31 December 2003 62,322 99,296 171,270 237,290 41,401 x
Total assets at 31 December 2002 293,340 47,375 40,674 26,596 38,107 446,092
Total liabilities at 31 December 2002 169,809 11,727 18,101 242 210,847 410,726
Net on balance sheet interest rate
sensitivity gap at 31 December 2002 123,531 35,648 22,573 26,354 (172,740) 35,366
Net off balance sheet interest rate
sensitivity gap at 31 December 2002 (40,349) (5,965) 26,554 19,760 0 0
Cumulative interest rate sensitivity
gap at 31 December 2002 83,182 112,865 161,992 208,106 35,366 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.