Landeskreditbank Baden-Württemberg - L-Bank

Notes to the annual financial statements for
the financial year ended December 31, 2004
Transactions involving derivatives - by volume
Interest rate risks
Dec. 31, 2004 Dec. 31, 2003 Dec. 31, 2004 Dec. 31, 2004
Nominal value
EUR million
Nominal value
EUR million
Market worth
(positive)
EUR million
Market worth
(negative)
EUR million
– Interest rate swaps ........................... 86,572 86,625 2,755 -3,079
– Caps, floors ................................ 383 383 0 -5
– Other forward transactions .................... 249 269 32 0
Interest rate risks – total – ....................... 87,204 87,277 2,787 -3,084
Currency risks
– Forward exchange deals and swaps ............. 123 498 1 -1
– Cross-currency interest rate swaps .............. 5,228 4,729 57 -1,110
– Currency risks – total – ....................... 5,351 5,227 58 -1,111
Credit derivatives
– Bought (long) .............................. 1,484 1,029 450 0
– Sold (short) ................................ 20 20 0 0
Credit derivatives – total – ...................... 1,504 1,049 450 0
In net terms, there is no foreign exchange result or interest rate valuation result arising on cross-currency interest
rate swaps and the underlying hedged items, in particular foreign currency notes issued. Totaling EUR 1,105
million, the negative market worth of cross-currency interest rate swaps is attributable to differences in spot
exchange rates. An adjustment item for this amount was set up on the liabilities side for foreign currency
translation and is shown under Other liabilities.
As at year-end 2004, interest rate swaps in the investment books used primarily to manage the overall interest
rate risk position show a negative net market worth of EUR 324 million. These interest rate swaps have not been
valued on the balance sheet. Balance sheet items under assets and liabilities include interest-driven hidden
reserves that are significantly larger than the negative market worth of the interest rate swaps.
Credit derivatives are allocated to the investment book and consist of credit default swaps and credit-linked
notes. Credit default swaps for which the Bank is acting as guarantor appear under contingent liabilities at their
nominal value. Credit-linked notes are shown under securities.
The transactions reported above include the following commercial transactions:
Transactions involving derivatives - commercial transactions
Dec. 31, 2004 Dec. 31, 2003 Dec. 31, 2004 Dec. 31, 2004
Nominal value
EUR million
Nominal value
EUR million
Market worth
(positive)
EUR million
Market worth
(negative)
EUR million
– Interest rate contracts ........................ 20 1,370 0 0
Total ....................................... 20 1,370 0 0
F-15