Liquidity risk is the risk of losses due to inability of the bank to fulfill its obligations in full extent. Liquidity risk arises as a result of misbalance in bank’s assets and liabilities (including the case of untimely fulfillment of financial liabilities by one or several counterparties of the credit organization) and/or unforeseen necessity of immediate and one-off fulfillment by the bank of its financial liabilities.
The bank has developed a “Policy on management and estimation of liquidity” determining the basic concepts, purposes and methods of management, methods of estimation and distribution of duties in the area of liquidity management in the bank.
The Management Board of the Bank is responsible for the liquidity situation and overall governance of the Bank. The current questions of liquidity management are reviewed by the Assets and Liability Management Committee (ALMC), a working unit of the Management Board of the Bank controlled directly by the latter. Operational liquidity management is carried out by the Treasury.
The management of liquidity risk is managed by matching the maturities of assets and liabilities, as well as maintaining the required level of highly liquid assets (cash, balances on correspondent accounts with the Bank of Russia, interbank loans and deposits, government securities, REPO). In the process of managing liquidity, the latter is considered not only with view to current requirements, but primarily, with view to certain time intervals in the future.
The Bank maintains sufficient liquidity to meet all the requirements of the Bank of Russia, first of all norms of instant, current and long-term liquidity established via the Instruction of the Bank of Russia dated #
The bank seeks to maintain a stable funding base comprising primarily amounts due to other banks, corporate and retail customer deposits and debt securities and invest the funds in diversified portfolios of liquid assets, in order to be able to respond quickly and smoothly to unforeseen liquidity requirements.
The Treasury receives information about the liquidity profile of the financial assets and liabilities. The Treasury then provides for an adequate portfolio of short-term liquid assets, largely made up of short-term liquid trading securities, deposits with banks and other inter-bank facilities, to ensure that sufficient liquidity is maintained within the bank as a whole.
For the purpose of analysing the risk of reduced liquidity, the assessment of the Bank’s dependence on interbank market, operations of large clients, and concentration of credit risks is conducted. We strive to maintain a stable resource base, consisting mainly of deposits of legal entities, retail deposits, and balances of other banks. Special attention is paid to the quality and diversification of assets. Our portfolio of securities, formulated with consideration for the Lombard list of the Bank of Russia, provides the Bank with access to refinancing instruments.