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Basis point values of the Bank Austria Creditanstalt Group
As at 30 December 2005 Annual average, minimum/maximum
in € Up to 1month to 3 months 1 year Over Total Maximum Minimum Absolute
1 month 3 months to 1 year to 5 years 5 years average
Western EUR – 48,447 – 63,146 – 576,384 –189,661 54,602 – 823,037 348,060 –1,661,259 680,127
Europe CHF 6,788 45,133 – 45,388 – 41,754 –18,697 – 53,917 – 39,155 – 519,589 238,809
DKK – 610 72 11,328 – 2,754 – 8,036 8,120 – 23,852 10,011
GBP –1,941 –11,691 – 2,716 15,945 –1,816 – 2,220 16,890 – 89,591 35,228
NOK – 300 2,041 125 32 – 1,898 3,791 – 25,934 9,981
SEK 641 1,541 3,420 –1,742 – 3,833 3,833 –19,178 8,369
New EU CZK 3,087 – 4,586 – 49,449 – 423 30,627 – 20,743 112,232 – 74,879 24,449
countries HUF 92 – 6,165 2,055 –10,655 – 28,210 – 42,884 28,666 –108,792 35,648
PLN – 2,232 – 52,324 20,069 – 2,031 46,974 10,455 25,354 –186,003 100,888
SIT – 750 –1,354 5,610 – 20,480 – 23,853 – 40,826 – 27,001 – 80,281 41,814
SKK – 385 – 3,525 – 7,191 6,789 73,352 69,040 108,564 1,242 48,100
Central and BAM – 68 –161 –1,146 – 581 – –1,957 616 – 4,605 1,867
Eastern BGN 130 – 966 – 452 – 7,592 –18,121 – 27,001 16,032 – 35,308 12,298
Europe CSD –147 –125 – 503 – – 2 – 778 – 28 – 820 277
incl. Turkey HRK – 91 1,173 –1,374 – 2,941 – 8,182 –11,416 6,161 –19,683 3,376
LTL 1 –3 – – – –2 975 –964 428
RON –168 – 4,422 –1,375 –1,033 – 668 – 7,637 17,849 – 48,410 6,968
TRY 379 – – 565 –16,820 – –17,006 –123 –17,393 5,825
UAH – – 7 – 718 – 2,921 – – 3,646 – – 7,284 4,034
Overseas – AUD –178 – 325 1,936 –140 922 2,215 2,555 –1,662 727
highly CAD 272 – 8,406 18,211 329 – 49 10,357 14,425 –1,284 7,015
developed JPY – 3,440 12,962 42,558 11,647 – 2,809 60,919 123,473 – 3,327 71,198
countries NZD 59 – 79 451 –1 – 429 531 – 2,550 354
USD 38,506 40,151 –171,354 – 54,143 27,188 –119,652 141,808 – 290,189 84,284
Other SAR – – – – – – – –1,010 371
countries XAU 78 272 – 399 – – – 49 665 – 569 299
In 2005, the Bank Austria Creditanstalt Group’s positions again focused on EUR and CHF.
Positions in Central, South and East European currencies reflect the Group’s steadily
increasing activities in this region, with basis-point utilisation levels highest in the new
EU countries (especially Poland), and significantly lower, yet also growing, positions in
currencies of non-EU countries. Overall, while new markets are gaining in significance,
basis point exposures are in line with the importance of our activities in the respective
countries and remain significantly lower than for EUR.
By analogy to the detailed presentation of basis point positions in the interest rate sector,
daily reporting presents details of credit spread by curve and maturity band (the bank
currently uses about 180 credit spread curves for its risk calculations).
156 Risk report
BPV