Liquidity Management

As of Dec 31, 2010, AfDB managed assets worth about UA 7.83 billion, equivalent to US$ 12.06 billion, have been sub-divided into the following major portfolios:

• AfDB Assets total around UA 4.58 billion (US$ 7.05 billion) and are divided between three portfolios namely; Operational portfolio, Prudential portfolio and Equity-Backed portfolio (EQB). The main currencies of investment are US$, EUR, JPY,GBP, CHF and ZAR:
  
  • The Operational portfolio and Prudential portfolio are actively managed and constitute the liquid assets. These portfolios have two benchmarks, reflecting the cash flows and risk profiles of the funding sources. The Operational Portfolio is benchmarked against the 1-month LIBID rates while the Prudential is indexed against 1st February and 1st August fixings of 6-month LIBOR rates.
  • The Equity-backed portfolio (EQB) is benchmarked against the 10-year interest rate gap profile of the Bank’s balance sheet. Hence, funds are invested in longer-dated fixed income assets to reflect the Bank’s objective of reducing the interest rate re-pricing gaps on the balance sheet. The size of the EQB portfolio is UA 3.32 billion (USD 5.11 billion).

• ADF Assets total around UA 3.21 billion (US$ 4.94 billion) and are divided between two portfolios namely; the Operational and the Held-to-Maturity portfolios (HTM). The main currencies of investments are USD, GBP, EUR and JPY:
  
  • The Operational portfolio is actively managed and constitutes the liquid assets. It has a benchmark measured by the monthly average of the daily 3-month Libor rates. The size of this portfolio is UA 1.89 billion (US$ 2.91 billion).
  • The Held-to-Maturity (HTM) investment portfolio has a 10-year fixed-rate ladder profile. The size of the HTM portfolio is UA 1.41 billion (US$ 2.17 billion).

• NTF Assets total around UA 107.95 million (US$ 166.25 million) and is made of the Operational portfolio. The currency of investment is the US$. The Operational portfolio is actively managed and constitutes the liquid assets. It has a benchmark measured by the monthly average of the daily 3-month Libor rates.

• HIPC Assets total around UA 87.81 million ( US$ 135.25 million) and are divided in two levels; (A) between countries at “Decision Point” and countries at “Completion Point” and (B) by individual country. The currency of investment is the US$:
  
  • "Decision point" countries comprising of the member countries eligible for debt relief. They receive Interim Relief which may, however, be discontinued in case of slippage or abandonment of reforms. For these countries, the resources are invested in money market instruments to meet the current debt obligations.
  • "Completion Point" countries comprise of member countries which have successfully passed the interim period. For these countries, the resources are invested in order to match the liability schedules for each country.