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Total volume of outstanding financial derivative transactions of the Bank Austria Creditanstalt Group
Transactions with external counterparties as at 31 December 2005
€ m Notional amounts Market value Notional amounts Positive Negative
by remaining maturity market value market value
Banking Trading Banking Trading Banking Trading
< 1 year 1– 5 years > 5 years Total (positive) (negative) book book book book book book
TOTAL 380,449 184,976 97,437 662,862 9,298 8,460 127,867 534,995 2,075 7,223 1,990 6,470
of which: OTC products 336,505 184,235 97,437 618,177 9,280 8,339 127,819 490,358 2,075 7,205 1,989 6,350
of which: exchange-traded products 43,944 741 – 44,685 18 121 48 44,637 – 18 1 120
A. Interest rate contracts 306,228 164,991 85,339 556,558 7,438 6,611 108,159 448,399 1,752 5,686 1,494 5,117
OTC products: 262,463 164,252 85,339 512,054 7,434 6,569 108,151 403,903 1,752 5,682 1,494 5,075
FRAs 36,211 4,417 – 40,628 25 29 2,983 37,645 1 24 1 28
Forward interest rate transactions 393 623 495 1,511 25 37 362 1,149 1 24 13 24
Single-currency swaps 218,299 143,884 80,118 442,301 7,245 6,360 104,048 338,253 1,749 5,496 1,445 4,915
Interest rate options bought 3,035 8,056 1,259 12,350 130 – 87 12,263 1 129 – –
Interest rate options sold 3,874 6,916 3,035 13,825 – 141 671 13,154 – – 35 106
Other interest rate contracts 651 356 432 1,439 9 2 – 1,439 – 9 – 2
Exchange-traded products: 43,765 739 – 44,504 4 42 8 44,496 – 4 – 42
Interest rate futures 4,332 103 – 4,435 2 34 8 4,427 – 2 – 34
Options on interest rate futures 39,433 636 – 40,069 2 8 – 40,069 – 2 – 8
B. Foreign exchange contracts 72,028 15,737 11,196 98,961 1,645 1,638 18,501 80,460 286 1,359 490 1,148
OTC products:
Forward foreign exchange
72,028 15,737 11,196 98,961 1,645 1,638 18,501 80,460 286 1,359 490 1,148
transactions 44,762 657 – 45,419 766 696 1,997 43,422 16 750 12 684
Cross-currency swaps 6,178 12,780 11,196 30,154 551 780 16,504 13,650 270 281 478 302
Currency options bought 10,942 1,141 – 12,083 328 – – 12,083 – 328 – –
Currency options sold 10,135 1,159 – 11,294 – 162 – 11,294 – – – 162
Other foreign exchange contracts 11 – – 11 – – – 11 – – – –
Exchange-traded products: – – – – – – – – – – – –
Currency futures – – – – – – – – – – – –
Options on currency futures – – – – – – – – – – – –
C. Securities-related transactions 738 1,146 526 2,410 192 194 181 2,229 33 159 3 191
OTC products: 559 1,144 526 2,229 178 115 141 2,088 33 145 2 113
Securities swaps – 3 – 3 – – – 3 – – – –
Equity options bought 385 446 180 1,011 178 – 131 880 33 145 – –
Equity options sold 174 695 345 1,214 – 115 9 1,205 – – 2 113
Other securities-related contracts – – 1 1 – – 1 – – – – –
Exchange-traded products: 179 2 – 181 14 79 40 141 – 14 1 78
Equity and equity index futures 114 – – 114 12 78 40 74 – 12 1 77
Equity and equity index options 65 2 – 67 2 1 – 67 – 2 – 1
D. Credit and other derivatives 1,455 3,102 376 4,933 23 17 1,026 3,907 4 19 3 14
OTC products: 1,455 3,102 376 4,933 23 17 1,026 3,907 4 19 3 14
Credit default swaps 1,419 2,953 269 4,641 16 16 889 3,752 4 12 2 14
Total return swaps 31 58 48 137 – 1 137 – – – 1 –
Other credit derivatives – 58 59 117 2 – – 117 – 2 – –
Other derivatives (commodities) 5 33 – 38 5 – – 38 – 5 – –
Bayerische Hypo- und Vereinsbank AG, Munich, undertakes to ensure, within the scope
of its ownership interest and except for political risk, that Bank Austria Creditanstalt AG
can meet its contractual obligations.
Bank Austria Creditanstalt AG undertakes to ensure, within the scope of its ownership
interest and except for political risk, that the following controlled companies can meet
their contractual obligations:
1. Banks
– BANKPRIVAT AG, Vienna
– Bank Austria Creditanstalt Ljubljana d.d., Ljubljana
– Bank Austria Creditanstalt Real Invest GmbH, Vienna
– Bank Austria Creditanstalt Wohnbaubank AG, Vienna
168 Risk report
(45) Comfort letters for
banks and other financial
institutions