«Тинькофф Банк». Консолидированная финансовая информация (2018 год)

TCS Group Holding PLC
Notes to the Consolidated Financial Statements – 31 December 2018

Financial Risk Management (Continued)

The table below summarizes the Group’s exposure to interest rate risks. The table presents the aggregated
amounts of the Group’s financial assets and liabilities at carrying amounts, categorized by the earlier of
contractual interest repricing or maturity dates:

In millions of RR

Demand and

less than

1 month

From 1 to

6 months

From 6 to

12 months

From 1 to

3 years

More than

3 years

Total

31 December 2018

Total financial assets

103,449

124,541

35,930

31,883

62,976

358,779

Total financial liabilities

(200,101)

(56,301)

(40,080)

(3,743)

(25,951)

(326,176)

Net interest sensitivity gap

at 31 December 2018

(96,652)

68,240

(4,150)

28,140

37,025

32,603

31 December 2017

Total financial assets

72,944

89,477

24,809

20,370

48,474

256,074

Total financial liabilities

(115,982)

(44,828)

(28,355)

(7,040)

(25,261)

(221,466)

Net interest sensitivity gap

at 31 December 2017

(43,038)

44,649

(3,546)

13,330

23,213

34,608

The Group has no significant risk associated with variable interest rates on loans and advances provided
to customers or loans received.

At 31 December 2018, if interest rates at that date had been 200 basis points lower/higher (2017: 200 points
lower), with all other variables held constant, profit for the year would have been RR 652 million (2017:
RR 692 million) lower/higher, equity would have been RR 652 million (2017: RR 692 million) lower/higher.

The Group monitors interest rates for its financial instruments. The table below summarizes interest rates
for the years 2018 and 2017 based on reports reviewed by key management personnel. For securities, the
interest rates represent yields to maturity based on market quotations at the reporting date:

In % p.a.

2018

2017

USD

EURO

GPB

USD

EURO

GPB

Assets

Cash and cash equivalents

0.0

Loans and advances to customers

42.7

45.5

Due from banks

5.9

6.1

1.3

Investment in debt securities

8.5

4.5

3.2

Investment Securities available for

sale

8.3

4.7

3.4

Repurchase receivables

7.4

4.3

10.9

Liabilities

Due to banks

7.0

2.4

0.0

2.5

Customer accounts

5.2

0.9

0.4

0.3

6.6

1.8

4.5

Debt securities in issue

9.9

4.4

1.4

10.8

4.2

Subordinated debt

10.0

11.1

The sign “-” in the table below means that the Group does not have the respective assets or liabilities in the
corresponding currency.

TCS Group Holding PLC
Notes to the Consolidated Financial Statements – 31 December 2018

Financial Risk Management (Continued)

Other price risk

. The Group is exposed to prepayment risk through providing fixed rate loans, which give

the borrower the right to repay the loans early. The Group’s current year profit and equity at the end of the
current reporting period would not have been significantly impacted by changes in prepayment rates
because such loans are carried at amortised cost and the prepayment right is at or close to the amortised
cost of the loans and advances to customers (2017: no material impact).

Geographical risk concentrations.

The geographical concentration of the Group’s financial assets and

liabilities at 31 December 2018 is set out below:

In millions of RR

Russia

OECD

Other

Non-OECD

Listed

Total

Financial assets

Cash and cash equivalents

31,911

1,891

33,802

Mandatory cash balances with the CBRF

2,435

Due from other banks

776

Loans and advances to customers

198,489

Financial derivatives

1,710

Investment in debt securities

100,126

100,140

Repurchase receivables

1,182

Guarantee deposits with payment systems

168

4,435

4,603

Other financial assets

8,212

7,430

15,642

Total financial assets

345,009

13,756

358,779

Financial liabilities

Due to banks

2,708

Customer accounts

280,118

798

280,916

Debt securities in issue

3,754

5,851

9,605

Financial derivatives

Subordinated debt

20,644

Insurance provisions

1,099

Other financial liabilities

11,018

183

11,201

Total financial liabilities

298,700

183

798

26,495

326,176

Unused limits on credit card loans

(Note 36)

110,478

TCS Group Holding PLC
Notes to the Consolidated Financial Statements – 31 December 2018

Financial Risk Management (Continued)

The geographical concentration of the Group’s financial assets and liabilities at 31 December 2017 is set
out below:

In millions of RR

Russia

OECD

Other

Non-OECD

Listed

Total

Financial assets

Cash and cash equivalents

22,617

1,233

23,850

Mandatory cash balances with the CBRF

1,675

Due from other banks

777

Loans and advances to customers

140,245

Financial derivatives

1,207

1,217

2,424

Investment securities available for sale

71,664

71,676

Repurchase receivables

798

Guarantee deposits with payment systems

3,623

3,660

Other financial assets

5,695

5,274

10,969

Total financial assets

243,917

11,347

810

256,074

Financial liabilities

Due to banks

591

595

Customer accounts

177,933

1,112

179,045

Debt securities in issue

2,769

8,050

10,819

Financial derivatives

240

Subordinated debt

22,001

Insurance provisions

723

Other financial liabilities

7,827

216

8,043

Total financial liabilities

189,496

216

1,703

30,051

221,466

Unused limits on credit card loans

(Note 36)

78,602

Assets, liabilities and credit related commitments have been based on the country in which the counterparty
is located. Cash on hand has been allocated based on the country in which they are physically held.
Balances with Russian counterparties actually outstanding to/from offshore companies of these Russian
counterparties, are allocated to the caption “Russia”.

Other risk concentrations.

Management monitors and discloses concentrations of credit risk by obtaining

reports listing exposures to borrowers with aggregated loan balances in excess of 10% of net assets. The
Group did not have any such significant risk concentrations at 31 December 2018 and 2017.

Liquidity risk.

Liquidity risk is the risk that an entity will encounter difficulty in meeting obligations

associated with financial liabilities. The Group is exposed to daily calls on its available cash resources from
unused limits on issued credit cards, retail deposits from customers, current accounts and due to banks.
The Group does not maintain cash resources to meet all of these needs as experience shows that only a
certain level of calls will take place and it can be predicted with a high level of certainty. Liquidity risk is
managed by the Financial Committee of the Bank. The Group seeks to maintain a stable funding base
primarily consisting of amounts due to institutional investors, corporate and retail customer deposits and
debt securities. The Group keeps all available cash in diversified portfolios of liquid instruments such as a
correspondent account with CBRF and overnight placements in high-rated commercial banks, in order to
be able to respond quickly and smoothly to unforeseen liquidity requirements. The available cash at all
times exceeds all accrued financing costs falling due within half a year plus two months of regular operating
costs.

The liquidity management of the Group requires consideration of the level of liquid assets necessary to
settle obligations as they fall due; maintaining access to a range of funding sources; maintaining funding
contingency plans; and monitoring balance sheet liquidity ratios against regulatory requirements.

TCS Group Holding PLC
Notes to the Consolidated Financial Statements – 31 December 2018

Financial Risk Management (Continued)

The liquidity analysis takes into account the covenant requirements and ability of the Group to waive any
potential  breaches  within  the  grace  period.  The Bank  calculates  liquidity  ratios  on  a  daily  basis  in
accordance with the requirements of the CBRF. The Bank has complied with these ratios throughout 2018
and 2017. The CFO receives information about the liquidity profile of the financial assets and liabilities. This
includes  daily,  weekly,  monthly  and  quarterly  updates  on  the  level  of  credit  card  transactions  and
repayments, statistics on credit card issuance and credit card limit utilisation, inflow and outflow of retail
deposits, changes in the investment securities portfolio, level of expected outflows such as operating costs
and financing activities. The CFO then ensures the availability of an adequate portfolio of short-term liquid
assets, made up of an amount on the correspondent account with the CBRF and overnight deposits with
banks, to ensure that sufficient liquidity is maintained within the Group as a whole. Regular liquidity stress
testing under a variety of scenarios covering both normal and more severe market conditions and credit
card portfolio behavior is reviewed by the CFO.

The table below shows liabilities at 31 December 2018 by their remaining contractual maturity. The amounts
of liabilities disclosed in the maturity table are the contractual undiscounted cash flows and gross loan
commitments. Such undiscounted cash flows differ from the amount included in the consolidated statement
of financial position because the consolidated statement of financial position amount is based on discounted
cash flows. When the amount payable is not fixed, the amount disclosed is determined by reference to the
conditions existing at the reporting date. Foreign currency payments are translated using the spot exchange
rate at the end of the reporting period.

In millions of RR

Demand

and less

than

1 month

From 1 to

3 months

From 3 to

6 months

From 6 to

12 months

More than

1 year

Total

Liabilities

Due to banks

2,708

Customer accounts

191,308

24,257

32,600

34,571

1,719 284,455

Debt securities in issue

106

162

4,175

5,906

10,404

Subordinated debt

167

320

493

998

20,865

22,843

Insurance provisions

213

422

217

156

1,099

Other financial liabilities

11,201

Financial derivatives

185

9,706

10,075

Unused limits on credit card loans (Note 36)

110,478

- 110,478

Total potential future payments for

financial obligations

316,130

25,197

33,564

40,085

38,287 453,263

The maturity analysis of financial liabilities at 31 December 2017 is as follows:

In millions of RR

Demand

and less

than

1 month

From 1 to

3 months

From 3 to

6 months

From 6 to

12 months

More than

1 year

Total

Liabilities

Due to banks

595

Customer accounts

110,655

19,400

21,635

27,445

3,250 182,385

Debt securities in issue

139

214

3,211

8,060

11,696

Subordinated debt

197

377

5,594

827

17,156

24,151

Insurance provisions

124

197

228

111

723

Other financial liabilities

8,043

Financial derivatives

104

3,433

185

10,075

13,816

Unused limits on credit

card loans (Note 36)

78,602

Total potential future payments for

financial obligations

198,246

20,144

31,073

31,896

38,652

320,011

TCS Group Holding PLC
Notes to the Consolidated Financial Statements – 31 December 2018

Financial Risk Management (Continued)

Financial derivatives receivable and payable are disclosed in the Note 38. The tables above present only
the gross payables.

Customer accounts are classified in the above analysis based on contractual maturities. However, in
accordance with the Russian Civil Code, individuals have a right to withdraw their deposits prior to maturity
if they forfeit their right to accrued interest.

The Group takes on exposure to liquidity risk, which is the risk of cash surplus in case of assets-liabilities
cash-flow profile mismatch. Exposure to liquidity risk arises as a result of the Group’s borrowing and
operational activities that assume cash payment obligations. The Group uses daily, short-term and long-
term reporting, stress-testing and forecasting practices to monitor and prevent potential liquidity problems.
The Group is actively increasing the number of counterparties for interbank lending, looks for new wholesale
markets, improves and creates additional debit and credit products to have more instruments over cash-
flow management. The recent economic situation has resulted in increased liquidity risk. In response the
management of the Group preserves cash safety cushions for possible cash outflows and has planned
Group’s liquidity position for the next year to ensure it can cover all upcoming payment obligations.

The expected maturity analysis of financial instruments at carrying amounts as monitored by management
at 31 December 2018 is presented in the table below.

In millions of RR

Demand

and less

than

1 month

From 1 to

3 months

From 3 to

6 months

From 6 to

12 months

From 1 to

5 years

Total

Assets

Cash and cash equivalents

33,802

Mandatory cash balances with the CBRF

1,602

106

298

363

2,435

Due from other banks

206

431

126

776

Loans and advances to customers

46,765

63,071

49,057

31,697

7,899 198,489

Financial derivatives

1,710

Investment in debt securities

100,140

- 100,140

Repurchase receivables

1,182

Guarantee deposits with payment systems

1,084

1,463

1,138

735

183

4,603

Other financial assets

15,542

15,642

Total financial assets

200,130

64,869

50,322

33,172

10,286 358,779

Liabilities

Due to banks

2,708

Customer accounts

184,795

7,659

12,245

34,392

41,825 280,916

Debt securities in issue

274

4,027

5,304

9,605

Financial derivatives

Subordinated debt

114

20,530

20,644

Insurance provisions

213

422

217

156

1,099

Other financial liabilities

11,201

Total financial liabilities

198,917

8,195

12,736

38,575

67,753 326,176

Net liquidity gap at

31 December 2018

1,213

56,674

37,586

(5,403)

(57,467)

32,603

Cumulative liquidity gap at 31 December

2018

1,213

57,887

95,473

90,070

32,603

Provision for unearned premiums in the amount of RR 1,760 million is not included in the insurance
provisions stated above. Refer to Note 20.

TCS Group Holding PLC
Notes to the Consolidated Financial Statements – 31 December 2018

Financial Risk Management (Continued)

The expected maturity analysis of financial instruments at carrying amounts as monitored by management
based on the revised approach at 31 December 2017 is as follows:

In millions of RR

Demand

and less

than

1 month

From 1 to

3 months

From 3 to

6 months

From 6 to

12 months

From 1 to

5 years

Total

Assets

Cash and cash equivalents

23,041

809

23,850

Mandatory cash balances with the CBRF

978

204

350

1,675

Due from other banks

401

376

777

Loans and advances to customers

33,420

44,846

34,588

22,041

5,350 140,245

Financial derivatives

2,424

Investment securities available for sale

71,676

Repurchase receivables

798

Guarantee deposits with payment systems

872

1,170

903

575

140

3,660

Other financial assets

10,938

10,969

Total financial assets

141,723

46,893

38,004

23,233

6,221 256,074

Liabilities

Due to banks

595

Customer accounts

104,562

6,705

8,597

21,780

37,401

179,045

Debt securities in issue

2,769

7,962

10,819

Financial derivatives

240

Subordinated debt

4,942

17,059

22,001

Insurance provisions

124

197

228

111

723

Other financial liabilities

8,043

Total financial liabilities

113,263

6,829

13,824

24,777

62,773

221,466

Net liquidity gap at

31 December 2017

28,460

40,064

24,180

(1,544)

(56,552)

34,608

Cumulative liquidity gap at 31 December

2017

28,460

68,524

92,704

91,160

34,608

Provision for unearned premiums in the amount of RR 1,117 million is not included in the insurance
provisions stated above. Refer to Note 20.

As at the 31 December 2018 all the investment in debt securities (2017: investment securities available for
sale) are classified within demand and less than one month as they are easy repoable in CBR or on the
open market securities and can provide immediate liquidity to the Group. All current accounts of individuals
are classified within demand and less than one month (2017: the same).

The allocation of deposits of individuals considers the statistics of autoprolongations and top-ups of longer
deposits with the funds from shorter deposits after their expiration in case when the customers have more than
one active deposit. The matching and/or controlled mismatching of the maturities and interest rates of assets
and liabilities is fundamental to the management of the Group. It is unusual for banks ever to be completely
matched since business transacted is often of an uncertain term and of different types. An unmatched position
potentially enhances profitability, but can also increase the risk of losses. The maturities of assets and liabilities
and the ability to replace, at an acceptable cost, interest-bearing liabilities as they mature, are important factors
in assessing the liquidity of the Group and its exposure to changes in interest and exchange rates.

Management believes that in spite of a substantial portion of customer accounts being on demand,
diversification of these deposits by number and type of depositors, and the past experience of the Group
would indicate that these customer accounts provide a long-term and stable source of funding for the Group.

TCS Group Holding PLC
Notes to the Consolidated Financial Statements – 31 December 2018

Management of Capital

The Group’s objectives when managing capital are (i) for the Bank to comply with the capital requirements
set by the Central Bank of Russian Federation (CBRF), (ii) for the Insurance Company to comply with the
capital requirements set by the legislation of the Russian Federation, (iii) for the Group to comply with the
financial covenants set by the terms of securities issued; (iv) to safeguard the Group’s ability to continue
as a going concern.

The Group considers total capital under management to be equity attributable to shareholders of the
Company as shown in the consolidated statement of financial position. The amount of capital that the Group
managed as of 31 December 2018 was RR 42,014 million (2017: RR 41,743 million).

Compliance with capital adequacy ratios set by the CBRF is monitored daily and submitted to the CBRF
monthly with reports outlining their calculation reviewed and signed by the Bank’s Chief Executive Officer
and  Chief  Accountant.  Other  objectives  of  capital  management  are  evaluated  annually.  The  amount  of
regulatory  capital  of  Tinkoff  Bank  calculated  in  accordance  with  the  methodology  set  by  CBRF  as  at
31 December  2018  was  RR 74,375  million,  and  the  equity  capital  adequacy  ratio  (N1.0)  was  13.92%
(31 December 2017: RR 59,640 million and 16.27%). Minimum required statutory equity capital adequacy
ratio (N1.0) was 8% as at 31 December 2018 (2017: 8%).

The  Group  also  monitors  capital  requirements  including  capital  adequacy  ratio  under  the  Basel  III
methodology  of  the  Basel  Committee  on  Banking  Supervision:  global  regulatory  framework  for  more
resilient banks and banking systems (hereinafter “Basel III”). The amounts of total capital and Tier 1 capital
calculated in accordance with the methodology set by Basel Committee with capital adjustments as set out
in  Basel  III  as  at  31  December  2018  were  RR  58,435  million  (2017:  RR 56,046  million  and  RR 55,802
million respectively). Total capital adequacy ratio and Tier 1 capital adequacy ratio  were 14.86% (2017:
21.10%  and  21.00%  respectively).  The  Group  and  the  Bank  have  complied  with  all  externally  imposed
capital requirements throughout the year ended 31 December 2018 and 2017.

The Insurance Company has complied with all capital requirements set by the Central Bank of Russian
Federation throughout the year ended 31 December 2018 and 2017.

Contingencies and Commitments

Legal proceedings

. From time to time and in the normal course of business, claims against the Group

may be received. On the basis of its own estimates and internal professional advice, management is of the
opinion that no material unprovided losses will be incurred in respect of claims.

Tax contingencies.

Russian tax legislation which was enacted or substantively enacted at the end of the

reporting period, is subject to varying interpretations when being applied to the transactions and activities
of the Group. Consequently, tax positions taken by management and the formal documentation supporting
the tax positions may be challenged tax authorities. Russian tax administration is gradually strengthening,
including the fact that there is a higher risk of review of tax transactions without a clear business purpose
or with tax incompliant counterparties. Fiscal periods remain open to review by the authorities in respect of
taxes for three calendar years preceding the year when decision about review was made. Under certain
circumstances  reviews  may  cover  longer  periods.  The  Russian  transfer  pricing  legislation  is  generally
aligned  with  the  international  transfer  pricing  principles  developed  by  the  Organisation  for  Economic
Cooperation and Development (OECD), although it has specific features. This legislation provides for the
possibility  of additional tax assessment for  controlled transactions (transactions  between related parties
and certain transactions between unrelated parties), if such transactions are not on an arm's length.

Tax liabilities arising from controlled transactions are determined based on their actual transaction prices.
It is possible, with the evolution of the interpretation of transfer pricing rules, that such transfer prices could
be challenged. The impact of any such challenge cannot be reliably estimated; however, it may be
significant to the financial position and/or the overall operations of the Group.

TCS Group Holding PLC
Notes to the Consolidated Financial Statements – 31 December 2018

Contingencies and Commitments (Continued)

The  Group  includes  companies  incorporated  outside  of  Russia.  The  tax  liabilities  of  the  Group  are
determined on the assumption that these companies are not subject to Russian profits tax, because they
do not have a permanent establishment in Russia. The Company is a tax resident of Cyprus only and full
beneficial owner of the Bank and Insurance Company. This interpretation of relevant legislation may be
challenged but the impact of any such challenge cannot be reliably estimated currently; however, it may be
significant  to  the  financial  position  and/or  the  overall  operations  of  the  Group.  The  Controlled  Foreign
Company (CFC) legislation introduced Russian taxation of profits of foreign companies and non-corporate
structures (including trusts) controlled by Russian tax residents (controlling parties). The CFC income is
subject to a 20% tax rate if the CFC is controlled by a legal entity and a rate of 13% if it is controlled by an
individual.  As  a  result,  management  reassessed  the  Group’s  tax  positions  and  recognised  current  tax
expense as well as deferred taxes that arose from the expected taxable manner of recovery of the relevant
Group’s operations to which the CFC legislation applies to and to the extent that the Group (rather than its
owners) is obliged to settle such taxes.

As Russian tax legislation does not provide definitive guidance in certain areas, the Group adopts, from
time to time, interpretations of such uncertain areas that reduce the overall tax rate of the Group. While
management currently estimates that the tax positions and interpretations that it has taken can probably be
sustained, there is a possible risk that outflow of resources will be required should such tax positions and
interpretations be challenged by the tax authorities. The impact of any such challenge cannot be reliably
estimated; however, it may be significant to the financial position and/or the overall operations of the Group.
As at 31 December 2018 and 2017 no material tax risks were identified.

Operating lease commitments.

Where the Group is the lessee, the future minimum lease payments under

non-cancellable operating leases are as follows:

In millions of RR

31 December

2018

31 December

2017

Not later than 1 year

829

305

Total operating lease commitments

829

305

Compliance with covenants.

The Group is subject to certain covenants related primarily to its

subordinated debt. Non-compliance with such covenants may result in negative consequences for the
Group. Management believes that the Group was in compliance with all such covenants as at 31 December
2018 and 2017.

Credit related commitments.

The primary purpose of these instruments is to ensure that funds are

available  to  a  customer  as  required.  Commitments  to  extend  credit  represent  unused  portions  of
authorizations to extend credit in the form of credit card loans. With respect to credit risk on commitments
to  extend  credit,  the  Group  is  potentially  exposed  to  loss  in  an  amount  equal  to  the  total  unused
commitments,  if  the  unused  amounts  were  to  be  drawn  down.  Most  commitments  to  extend  credit  are
contingent upon customers maintaining specific credit standards.

The Group monitors the term to maturity of credit related commitments because longer-term commitments
generally have a greater degree of credit risk than shorter-term commitments.

Outstanding credit limits and related commitments are as follows:

In millions of RR

31 December

2018

31 December

2017

Unused limits on credit card loans

110,478

78,602

Credit loss allowance

(2,041)

Total credit related commitments, net of сredit loss allowance

108,437

78,602

TCS Group Holding PLC
Notes to the Consolidated Financial Statements – 31 December 2018

Contingencies and Commitments (Continued)

The total outstanding contractual amount of unused limits on contingencies and commitments liability does
not necessarily represent future cash requirements, as these financial instruments may expire or terminate
without being funded. In accordance with credit card service conditions the Group has a right to refuse the
issuance, activation, reissuing or unblocking of a credit card, and is providing a credit card limit at its own
discretion and without explaining its reasons.

The following table contains an analysis of credit related commitments by credit quality at 31 December
2018 based on credit risk grades. Refer to Note 21 for the movements in the credit loss allowance for credit
related commitments. Refer to Note 34 for the description of credit risk grading system used by the Group
and the approach to ECL measurement, including the definition of default and SICR as applicable to credit
related commitments.

In millions of RR

Stage 1

(12-months ECL)

Stage 2

(lifetime ECL for

SICR)

Stage 3

(lifetime ECL for

credit impair-

red)

Total

Credit related commitments

- Current

101,418

101,489

- Monitor

8,827

162

8,989

Unrecognised gross amount

110,245

233

110,478

Credit loss allowance

(2,024)

(17)

(2,041)

Unrecognised net amount

108,221

216

108,437

Also the Group may decide to increase or decrease a credit card limit using a scoring model, which is based
on the client's behavior model. Credit related commitments are denominated in RR. Therefore, the fair
value of the contractual amount of revocable unused limits on contingencies and commitments is close to
zero.

Mandatory cash balances with the CBRF of RR 2,435 million (31 December 2017: RR 1,675 million)
represent mandatory reserve deposits which are not available to finance the Bank's day to day operations.

Transfers of Financial Assets

Transfers that did not qualify for derecognition of the financial asset in its entirety.

The Group transferred financial assets in transactions that did not qualify for derecognition in the current
periods.

Sale and repurchase transactions.

At 31 December 2018, the Group has investments in debt securities

represented by debt securities at FVOCI of RR 1,182 million (2017: RR 798 million) that are subject to
obligation to repurchase the securities for a fixed pre-determined price. Refer to Note 12 for the carrying
value of obligations from these sale and repurchase transactions.

TCS Group Holding PLC
Notes to the Consolidated Financial Statements – 31 December 2018

Transfers of Financial Assets (Continued)

The following schedule summarises transfers where the entity continues to recognise all of the transferred
financial assets. The analysis is provided by class of financial assets.

Notes

31 December 2018

31 December 2017

In millions of RR

Carrying

amount of the

assets

Carrying

amount of the

associated

liabilities

Carrying

amount of the

assets

Carrying

amount of the

associated

liabilities

Repurchase receivables

12, 16

1,182

1,111

798

591

Total

1,182

1,111

798

591

Financial Derivatives

The table below sets out fair values, at the end of the reporting period, of currencies receivable or payable
under foreign exchange forwards and swap contracts entered into by the Group. The table reflects gross
positions before the netting of any counterparty positions (and payments) and covers the contracts with
settlement dates after the end of the respective reporting period.

31 December 2018

31 December 2017

In millions of RR

Contracts with

positive fair

value

Contracts with

negative fair

value

Contracts with

positive fair

value

Contracts with

negative fair

value

Foreign exchange forwards and swaps: fair

values, at the end of the reporting period, of

- USD receivable on settlement (+)

9,373

5,871

7,720

- USD payable on settlement (-)

(1,146)

(982)

(25)

(1)

- RR payable on settlement (-)

(7,666)

(596)

(3,285)

(7,979)

- RR receivable on settlement (+)

1,619

1,360

1,063

- EUR receivable on settlement (+)

596

- EUR payable on settlement (-)

(459)

(370)

(1,203)

- GBP receivable on settlement (+)

- GBP payable on settlement (-)

(11)

Net fair value of foreign exchange forwards

and swaps

1,710

(3)

2,424

(240)

Included in financial derivatives held by the Group as at 31 December 2018 are three outstanding swap
contracts with total positive fair value of RR 1,706 million which include reference to the default of the Bank
(2017: one outstanding swap contract with positive fair value RR 1,207 million and two outstanding swaps
contracts with total negative fair value of RR 240 million). Where there is a reference in the swap contract
to default of the entity or the country the swap contract would be cancelled and all of the rights and
obligations are terminated in the event of an actual default of this entity or the country.

Fair Value of Financial Instruments

Fair value measurements are analysed by level in the fair value hierarchy as follows: (i) level one are
measurements at quoted prices (unadjusted) in active markets for identical assets or liabilities, (ii) level two
measurements are valuation techniques with all material inputs observable for the asset or liability, either
directly (that is, as prices) or indirectly (that is, derived from prices), and (iii) level three measurements are
valuations not based on observable market data (that is, unobservable inputs).

TCS Group Holding PLC
Notes to the Consolidated Financial Statements – 31 December 2018

Fair Value of Financial Instruments (Continued)

(a)

Recurring fair value measurements

Recurring fair value measurements are those that the accounting standards require or permit in the
consolidated statement of financial position at the end of each reporting period. The levels in the fair value
hierarchy into which the recurring fair value measurements are categorised are as follows:

31 December 2018

31 December 2017

In millions of RR

Level 1

Level 2

Level 3

Total

Level 1

Level 2

Level 3

Total

Assets AT FAIR VALUE

Financial derivatives

1,710

2,424

Investments in debt securities

100,140

- 100,140

Investment securities available

for sale

71,676

Repurchase receivables

1,182

798

Total assets recurring fair

value measurements

101,322

1,710

- 103,032

72,474

2,424

74,898

LiabilitIes AT FAIR VALUE

Financial derivatives

240

Total liabilities recurring

fair value measurements

240

The description of valuation techniques and the description of the inputs used in the fair value measurement
for level 2 measurements at 31 December 2018 are as follows:

In millions of RR

Fair value Valuation technique

Inputs used

Assets AT FAIR VALUE

Foreign exchange swaps and

forwards

1,710

Discounted cash flows
adjusted for counterparty
credit risk

Russian rouble curve.
USD Dollar Swaps Curve.
CDS quotes assessment of counterparty
credit risk or reference entities.

Total recurring fair value

measurements at level 2

1,710

Liabilities AT FAIR VALUE

Foreign exchange swaps and

forwards

Discounted cash flows
adjusted for counterparty
credit risk

Russian rouble curve.
USD Dollar Swaps Curve.
CDS quotes assessment of counterparty
credit risk or reference entities.

Total recurring fair value

measurements at level 2

TCS Group Holding PLC
Notes to the Consolidated Financial Statements – 31 December 2018

Fair Value of Financial Instruments (Continued)

The description of valuation techniques and the description of the inputs used in the fair value measurement
for level 2 measurements at 31 December 2017 are as follows:

In millions of RR

Fair value Valuation technique

Inputs used

Assets AT FAIR VALUE

Foreign exchange swaps and

forwards

2,424

Discounted cash flows
adjusted for counterparty
credit risk

Russian rouble curve.
USD Dollar Swaps Curve.
CDS quotes assessment of counterparty
credit risk or reference entities.

Total recurring fair value

measurements at level 2

2,424

Liabilities AT FAIR VALUE

Foreign exchange swaps and

forwards

240

Discounted cash flows
adjusted for counterparty
credit risk

Russian rouble curve.
USD Dollar Swaps Curve.
CDS quotes assessment of counterparty
credit risk or reference entities.

Total recurring fair value

measurements at level 2

240

There were no changes in the valuation techniques for level 2 recurring fair value measurements during
the years ended 31 December 2018 and 2017. Level 2 derivatives comprise foreign exchange forwards
and swaps.

The foreign exchange forwards have been fair valued using forward exchange rates that are quoted in an
active market. Foreign exchange swaps are fair valued using forward interest rates extracted from
observable yield curves. The effects of discounting are generally immaterial for level 2 derivatives.

(b)

Assets and liabilities not measured at fair value but for which fair value is disclosed

Fair values analysed by level in the fair value hierarchy and carrying value of assets not measured at fair
value are as follows:

31 December 2018

31 December 2017

In millions of RR

Level 1 Level 2 Level 3 Carrying

value

Level 1 Level 2 Level 3 Carrying

value

FINANCIAL ASSETS CARRIED AT

AMORTISED COST

Cash and cash equivalents

- Cash on hand

5,839

2,941

- Cash balances with the CBRF (other

than mandatory reserve deposits)

- 11,158

11,158

- 11,201

11,201

- Placements with other banks and non-

bank credit organizations with original
maturities of less than three months

- 16,805

16,805

9,708

Mandatory cash balances with

the CBRF

2,435

1,675

Due from other banks

776

777

Loans and advances to customers

- 198,489 198,489

- 140,245 140,245

Guarantee deposits with payment

systems

4,603

3,660

Other financial assets

Settlement of operations with plastic

cards receivable

- 12,694

12,694

- 10,280

10,280

Other receivables

2,948

689

Total financial assets carried at

amortised cost

5,839 46,816 203,092 255,747

2,941 34,330 143,905 181,176

TCS Group Holding PLC
Notes to the Consolidated Financial Statements – 31 December 2018

Fair Value of Financial Instruments (Continued)

Fair values analysed by level in the fair value hierarchy and carrying value of liabilities not measured at fair
value are as follows:

31 December 2018

31 December 2017

In millions of RR

Level 1 Level 2 Level 3 Carrying

value

Level 1 Level 2 Level 3 Carrying

value

FINANCIAL LIABILITIES CARRIED AT

AMORTISED COST

Due to banks

2,708

595

Customer accounts

Individuals

-Current/demand accounts

- 137,637

- 76,318

76,318

-Term deposits

- 102,829

- 100,227

- 79,694

77,377

SME

-Current/demand accounts

- 41,702

41,702

- 23,705

23,705

Other legal entities

-Current/demand accounts

552

533

-Term deposits

847

798

1,223

1,112

Debt securities in issue

RR Bonds issued on domestic market

5,919

5,851

8,213

8,050

Euro-Commercial Paper

3,754

2,769

Subordinated debt

Perpetual subordinated bonds

20,505

20,644 18,389

17,115

Subordinated bonds

5,115

4,886

Other financial liabilities

Settlement of operations with plastic

cards

4,904

5,271

Trade payables

3,189

2,538

Credit related commitments

2,041

Other financial liabilities

1,067

234

Total financial liabilities carried at

amortised cost

26,424 299,189

- 325,074 31,717 192,880

- 220,503

Fair value is the amount at which a financial instrument could be exchanged in a current transaction
between willing parties, other than in a forced sale or liquidation, and is best evidenced by an active quoted
market price. Where quoted market prices are not available, the Group used valuation techniques. The fair
value of floating rate instruments that are not quoted in an active market was estimated to be equal to their
carrying amount. The fair value of unquoted fixed interest rate instruments was estimated based on
estimated future cash flows expected to be received discounted at current interest rates for new instruments
with similar credit risk and remaining maturity. Fair value of credit related commitments is estimated to be
approximately equal to zero since they are at market rates.

As at 31 December 2018 and 31 December 2017 the fair value of the debt securities in issue and
subordinated debt has been calculated based on quoted prices from OJSC Moscow Exchange MICEX-
RTS and Global Exchange Market, where the Group’s debt securities are listed and traded.

TCS Group Holding PLC
Notes to the Consolidated Financial Statements – 31 December 2018

Fair Value of Financial Instruments (Continued)

Weighted average discount rates used in determining fair value as of 31 December 2018 and 31 December
2017 depend on currency:

In % p.a.

31 December

2018

31 December

2017

Assets

Cash and cash equivalents

0.0

Due from other banks

5.9

5.6

Loans and advances to customers

42.7

45.5

Investment securities available for sale

5.8

Investments in debt securities

5.5

Repurchase receivables

4.3

10.9

Liabilities

Due to banks

6.0

2.5

Customer accounts

4.4

5.3

Debt securities in issue

7.6

8.0

Subordinated debt

9.8

6.7

Presentation of Financial Instruments by Measurement Category

For the purposes of measurement, IFRS 9 “Financial Instruments” classifies financial assets into the
following categories: (a) financial assets at FVTPL; (b) financial assets at FVOCI and (c) financial assets at
AC. Financial assets at FVTPL have two sub-categories: (i) assets measured at FVTPL mandatorily, and
(ii) assets designated as such upon initial recognition. In addition, finance lease receivables form a separate
category.

The following table provides a reconciliation of classes of financial assets with these measurement
categories as of 31 December 2018:

In millions of RR

FVTPL

(mandatory)

FVOCI

Total

Cash and cash equivalents

- Cash on hand

5,839

- Cash balances with the CBRF (other than mandatory

reserve deposits)

11,158

- Placements with other banks and non-bank credit

organizations with original maturities of less than three
months

16,805

Mandatory cash balances with the CBRF

2,435

Due from other banks

776

Loans and advances to customers

198,489

Financial derivatives

1,710

Guarantee deposits with payment systems

4,603

Investment in debt securities

5,666

94,474

100,140

Repurchase receivables

1,182

Other financial assets

- Settlement of operations with plastic cards receivable

12,694

- Other receivables

2,948

TOTAL FINANCIAL ASSETS

255,747

7,376

95,656

358,779

For the purposes of measurement at 31 December 2017, IAS 39 “Financial Instruments” classifies financial
assets into the following categories: (a) loans and receivables; (b) available-for-sale financial assets; (c)
financial assets held to maturity and (d) financial assets at fair value through profit or loss (“FVTPL”).
Financial assets at fair value through profit or loss have two subcategories: (i) assets designated as such
upon initial recognition, and (ii) those classified as held for trading.

TCS Group Holding PLC
Notes to the Consolidated Financial Statements – 31 December 2018

Presentation of Financial Instruments by Measurement Category (Continued)

The following table provides a reconciliation of classes of financial assets with these measurement
categories as of 31 December 2017:

In millions of RR

Loans and

receivables

Held for

trading

Assets

designated

at FVTPL

Available-

for-sale

assets

Total

Cash and cash equivalents

- Cash on hand

2,941

- Cash balances with the CBRF (other than

mandatory reserve deposits)

11,201

- Placements with other banks and non-bank credit

organizations with original maturities of less than
three months

9,708

Mandatory cash balances with the CBRF

1,675

Due from other banks

777

Loans and advances to customers

140,245

Financial derivatives

2,424

Guarantee deposits with payment systems

3,660

Investment securities available for sale

71,676

Repurchase receivables

798

Other financial assets

- Settlement of operations with plastic cards

receivable

10,280

- Other receivables

523

166

689

TOTAL FINANCIAL ASSETS

181,010

2,424

166

72,474

256,074

As of 31 December 2018 and 2017 all of the Group’s financial liabilities except derivatives were carried at
amortised cost.

Related Party Transactions

Parties are generally considered to be related if the parties are under common control or one party has the
ability to control the other party or can exercise significant influence over the other party in making financial
or operational decisions. In considering each possible related party relationship, attention is directed to the
substance of the relationship, not merely the legal form. The outstanding balances with related parties were
as follows:

31 December 2018

31 December 2017

In millions of RR

Key

management

personnel

Other related

parties

Key

management

personnel

Other related

parties

ASSETS

Gross amounts of loans and advances to

customers (contractual interest rate: 27.8%
(31 December 2017: 32.1%))

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«Тинькофф Банк». Консолидированная финансовая информация (2018 год) - часть 7