Annual Report 2006 - Rheinland Pfalz Bank

60 LRP 2006
Derivatives transactions Nominal Nominal Positive Negative
– product breakdown – values values market values market values
1 millions 31 Dec. 2006 31 Dec. 2005 31 Dec. 2006 31 Dec. 2006
Interest rate risks
Interest rate swaps 130,753.3 148,922.8 1,502.6 1,516.6
Forward rate agreements 341.5 0.0 0.3 0.1
Interest rate options
– purchases 293.5 304.5 3.1 0.0
– sales 572.2 896.1 0.0 5.3
Caps, floors 2,477.8 3,029.8 6.8 3.3
Exchange traded contracts 3,995.7 4,107.7 9.6 9.7
Other interest rate forward transactions 0.0 0.0 0.0 0.0
Total 138,434.0 157,260.9 1,522.4 1,535.0
Currency risks
Forward foreign exchange transactions 6,037.5 4,616.4 99.0 100.5
Currency swaps 680.8 0.0 16.7 2.5
Interest rate and currency swaps 6,919.7 8,340.3 145.1 226.6
Currency options
– purchases 1,616.6 2,829.8 23.9 1.5
– sales 2,662.3 4,564.8 1.5 15.8
Exchange traded contracts 0.0 0.0 0.0 0.0
Other currency forward transactions 0.0 0.0 0.0 0.0
Total 17,916.9 20,351.3 286.2 346.9
Share and other price risks
Exchange traded contracts 0.0 0.0 0.0 0.0
Share options
– purchases 86.2 37.1 1.6 0.2
– sales 86.6 34.9 0.2 1.6
Other forward transactions 591.2 208.6 8.4 8.4
Total 764.0 280.6 10.2 10.2
Credit derivatives
Credit Default Swaps
– collateral taker 0.0 15.0 0.0 0.0
– collateral provider 4,537.3 5,668.5 18.8 0.4
Credit Linked Notes
– collateral taker 0.0 0.0 0.0 0.0
– collateral provider 0.0 0.0 0.0 0.0
Credit Linked Swaps
– collateral taker 0.0 0.0 0.0 0.0
– collateral provider 0.0 0.0 0.0 0.0
Credit Spread Options
– collateral taker 0.0 0.0 0.0 0.0
– collateral provider 0.0 0.0 0.0 0.0
Total 4,537.3 5,683.5 18.8 0.4