Landeskreditbank Baden-Württemberg - L-Bank

Notes to the annual financial statements of
Landeskreditbank Baden-Württemberg – Förderbank –
for the financial year ended December 31, 2002
Transactions involving derivatives
Transactions involving derivatives – by volume
(incl. commercial transactions)
Interest rate risks
Dec. 31, 2002 Dec. 31, 2001 Dec. 31, 2002 Dec. 31, 2002
Nominal values Nominal values
Credit risk
equivalents Replacement costs
EUR million EUR million EUR million EUR million
• Interest rate swaps ...................... 72,138 67,845 625 2,028
• FRAs ................................ 0 250 0 0
• Interest rate options – sold ................ 0 0 0 0
• Caps ................................. 895 895 0 0
• Stock exchange contracts ................. 110 120 0 0
Total interest rate risks .................. 73,143 69,110 625 2,028
Currency risks
• Forward exchange deals ................. 176 103 1 2
• Cross-currency interest rate swaps ......... 3,600 1,642 55 41
Total currency risks .................... 3,776 1,745 56 43
Credit derivatives
• Credit default swaps – protection seller ..... 525 0 322 1
Transactions involving derivatives
Dec. 31, 2002 Dec. 31, 2001 Dec. 31, 2002 Dec. 31, 2002
Nominal values Nominal values
Credit risk
equivalents Replacement costs
EUR million EUR million EUR million EUR million
• Credit-linked notes – protection seller ....... 255 0 255 255
Total credit derivatives ................ 780 0 577 256
All credit default swaps have been assigned to investments and appear under contingent liabilities at their
nominal value. Credit-linked notes are shown under securities.
Transactions involving derivatives
Dec. 31, 2002 Dec. 31, 2001 Dec. 31, 2002 Dec. 31, 2002
Nominal values Nominal values
Credit risk
equivalents Replacement costs
EUR million EUR million EUR million EUR million
Transactions involving derivatives – commercial
transactions
– Interest rate contracts ..................... 3,879 4,139 32 100
Total .................................... 3,879 4,139 32 100
F-62