I think that this is the Gosudarev bastion of the Peter and Paul Fortress. In the background you can see the Dvortsovaya Embankment.
The banks along the fortress are often used for baths and sunbathing, even in the winter.
When you have time these banks are a great place to shoot photos. On the water side the people bath and go for a stroll. On the other side near the Kronverkskiy bridge they play a game. They trow poles but I don't understand it at all. :)