PT BANK MANDIRI PERSERO Tbk. AND SUBSIDIARIES NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
AS AT 31 DECEMBER 2010, 2009 AND 2008
Expressed in millions of Rupiah, unless otherwise stated
Appendix 5161 56. RISK MANAGEMENT continued
Market Risk and Liquidity Risk continued
a. Liquidity Risk Management continued
The maturity profile of the Bank’s assets and liabilities is as follows continued:
31 December 2008
No maturity Less than
More than Description
Total Contract
1 month 1 - 3 months
3 - 6 months 6 - 12 months
12 months Assets
Cash 8,388,974
- 8,388,974
- -
- -
Current accounts with Bank Indonesia
13,354,289 -
13,354,289 -
- -
- Current accounts with
other banks - net 7,406,529
- 7,406,529
- -
- -
Placements with Bank Indonesia and
other banks - net 29,404,818
1,096 29,274,622
80,102 -
48,998 -
Marketable securities - net 24,624,847
392,653 18,937,775
1,765,430 1,573,028
180,738 1,775,223
Government Bonds 88,259,039
- -
- 69
10,215 88,248,755
Other receivables-trade transactions – net
3,513,133 -
1,132,603 1,588,089
783,996 -
8,445 Securities purchased under
resale agreements - net 619,092
162,116 246,749
- 210,227
- Derivative receivables - net
354,024 -
136,957 22,065
70,635 68,981
55,386 Loans - net
162,637,788 -
11,013,429 16,262,909
16,279,113 25,218,939
93,863,398 Acceptance receivables - net
3,596,359 -
3,564,631 17,113
10,015 4,600
- Investments in shares - net
158,173 158,173
- -
- -
- Fixed assets - net
4,603,560 4,603,560
- -
- -
- Deferred tax assets - net
6,123,919 6,123,919
- -
- -
- Other assets - net
5,394,134 2,234,085
719,930 2,052,859
- 387,260
-
Total Assets 358,438,678
13,513,486 94,091,855
22,035,316 18,716,856
26,129,958 183,951,207
Liabilities and Syirkah temporer fund
Obligation due immediately 619,798
- 619,798
- -
- -
Deposit from customers Conventional banking and sharia
- non Syirkah temporer fund Demand deposits
69,086,688 -
69,086,688 -
- -
- Saving deposits
89,708,371 -
89,708,371 -
- -
- Time deposits
117,268,990 -
93,472,599 16,030,607
3,653,404 4,042,186
70,194 Sharia banking - Syirkah
temporer fund Restricted investment saving
deposit and unrestricted investment mudharabah
saving deposit 5,245,641
- 5,245,641
- -
- -
Unrestricted investment mudharabah time deposit
7,802,362 -
5,877,175 953,447
439,642 532,098
- Deposits from other banks
Conventional banking and sharia - non Syirkah temporer fund
Demand and saving deposits
3,096,390 -
3,096,390 -
- -
- Interbank call money
7,588 -
7,588 -
- -
- Time deposits
4,347,403 -
2,658,688 22,531
1,644,892 20,992
300 Sharia banking - Syirkah
temporer fund Unrestricted investment
mudharabah saving deposit 48,353
- 48,353
- -
- -
Unrestricted investment mudharabah time deposit
218,380 -
193,162 21,890
3,128 200
- Securities sold under
repurchase agreements 981,893
- 34,406
62,009 -
569,122 316,356
Derivative payables 160,678
- 48,075
32,086 56,403
24,114 -
Acceptance payables 3,842,367
- 3,797,570
23,787 11,568
9,442 -
Marketable securities issued 1,016,603
- 778,639
37,400 -
- 200,564
Fund borrowings 9,371,508
- 2,021,771
1,604,124 1,098,942
874,364 3,772,307
Estimated losses on commitments and
contingencies 316,401
316,401 -
- -
- -
Accrued expenses 746,808
- 746,808
- -
- -
Taxes payable 3,174,500
- 283,603
- 2,890,897
- -
Other liabilities 7,999,368
7,375,071 622,139
182 272
545 1,159
Subordinated loans 2,836,650
- 3,420
17,153 3,983
42,153 2,769,941
Total liabilities and Syirkah
temporer fund 327,896,740
7,691,472 278,350,884
18,805,216 9,803,131
6,115,216 7,130,821
Net AssetsLiabilities 30,541,938
5,822,014 184,259,029
3,230,100 8,913,725
20,014,742 176,820,386
PT BANK MANDIRI PERSERO Tbk. AND SUBSIDIARIES NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS
AS AT 31 DECEMBER 2010, 2009 AND 2008
Expressed in millions of Rupiah, unless otherwise stated
Appendix 5162 56. RISK MANAGEMENT continued
Market Risk and Liquidity Risk continued
b. Interest Rate Risk Management
Interest Rate Risk represents a risk that influences the increasedecrease of financial value of the Bank’s assets and liabilities Banking Book due to changes in interest rate that will affect on Bank’s
income and capital. Interest rate risk is mostly due to the difference in time repricing between Rate Sensitive Assets RSA and Rate Sensitive Liabilities RSL on changes in interest rate.
The Bank manages its interest rate risk through the use of repricing gap analysis, duration gap analysis and simulation. To describe the amount of the interest rate risk exposure, the Bank uses
repricing gap approach, whilst to measure the Net Interest Income NII Sensitivity and Economic Value of Equity EVE Sensitivity due to interest rate change, the Bank performs simulation with
interest rate shock increasedecrease scenario by parallel shift amounting to 100 basis points bps.
RSA are dominated by government bond and loans, and RSL are dominated by Third Party Fund demand deposits, saving deposits and time deposits. The sensitivity analysis result shows that a
gradual parallel shift in the term structure of interest rate by 100 bps Rupiah and Foreign Currency will potentially decreased the next 12 months targeted NII by 1.44 unaudited and decreased
the EVE by 1.58 unaudited from Equity target. In addition to sensitivity analysis, the Bank also uses a statistical approach to assess the impact of interest rate volatility on earning Earning at
Risk, EaR and equity Capital at Risk, CaR. As at 31 December 2010, the Banks record 0.42 and 1.05 EaR and CaR of its equity.
The Bank also regularly conducts sensitivity analysis on extreme scenarios stress test to see the impact of significant changes in interest rate on the Bank’s NII and equity value.
The Bank monitors and manages its interest rate risk by establishing limits on interest rate risk indicators, to give an early warning indicator of interest rate risk, which consists of Repricing Gap,
NII Sensitivity and Economic Value of Equity Sensitivity, Earning at Risk and Capital at Risk. The risk will be mitigated through assets-liabilities restructuring or hedging strategies. Hedging is done
by using derivative instruments, mostly in the form of interest rate swaps and forward rate agreements.
Fair value exposures relating to interest rate risk repricing gap
31 December 2010 Less than
1 month Over 1
month
to 3 months Over 3
months to 1 year
1 year to 2
years 2 year
to 3 years
3 year to 4
years 4 year
to 5 years
Over 5 years
Non interest
bearing
Total
Current accounts with Bank Indonesia
- -
- -
- -
- -
24,856,699 24,856,699
Current accounts with other banks 8,202,762
- -
- -
- -
- 367,016
8,569,778 Placements with Bank Indonesia
and Other Banks 22,599,428
3,615,533 415,073
- -
- -
- 2,421,886
29,051,920 Marketable Securities
801,251 279,085
16,689,326 381,453
125,446 181,091
78,452 29,685
8,930,635 27,496,424
Government Bonds 28,789,791
45, 892,672 58,042
65,269 148,595
341,038 1,201,551 541,885
1,053,891 78, 092,734
Other Receivables - Trade Transactions
- -
- -
- -
- -
3,721,913 3,721,913
Securities Purchased under Resale Agreements
300,323 7,661,333
1,019,101 -
- -
- -
- 8,980,757
Derivative Receivables -
- -
- -
- -
- 37,096
37,096 Loans
27,889,674 172,665,213
2,775,134 1,999,964 1,958,166 1,895,689 1,708,326 9,287,770 23,847,048
244,026,984 Consumer Financing Receivables
78,729 155,482
648,424 731,246
416,596 126,404
16,630 81
- 2,173,592
Acceptance Receivables- -
- -
- -
- -
- 3,950,506
3,950,506 Other Assets - accrued income
- -
- -
- -
- -
1,687,176 1,687,176
88,661,958 230,269,318 21,605,100 3,177,932 2,648,803 2,544,222 3,004,959 9,859,421
70,873,866 432,645,579