Annual Financial Statements 2010 of Bank Austria

Consolidated Financial Statements in accordance with IFRSs
E – Risk report (CoNTINuED)
Credit derivatives – breakdown by product (€ m)
pOrtfOliOs/deriVatiVe iNstrumeNt types pOsitiVe fair Value NegatiVe fair Value
regulatory trading portfolio 4 97
Credit default products 2 97
Credit spread products 2 –
Total rate of return swap – –
Others – –
banking book – –
Credit default products – –
Credit spread products – –
Total rate of return swap – –
Others – –
tOtal 4 97
Credit derivatives: end of period notional amounts (€ m)
traNsactiON categOries
regulatOry tradiNg bOOK baNKiNg bOOK
With a siNgle
cOuNterparty
With mOre thaN ONe
cOuNterparty (basKet)
With a siNgle
cOuNterparty
With mOre thaN ONe
cOuNterparty (basKet)
protection buyer’s contracts
Credit default products 52 5 – –
Credit spread products – – – –
Total rate of return swap – – – –
Other – – – –
tOtal 52 5 – –
protection seller’s contracts
Credit default products 1,853 109 – –
Credit spread products 178 – – –
Total rate of return swap – – – –
Other – – – –
tOtal 2,031 109 – –
Credit derivatives – residual life: notional amount (€ m)
uNderlyiNg/residual maturity up tO 1 year
OVer 1 year
up tO 5 years OVer 5 years tOtal
regulatory trading book: 874 945 378 2,197
Credit derivatives with qualified reference obligation 178 – – 178
Credit derivatives with not qualified reference obligation 696 945 378 2,019
banking book: – – – –
Credit derivatives with qualified reference obligation – – – –
Credit derivatives with not qualified reference obligation – – – –
tOtal 874 945 378 2,197
Bank Austria · Annual Financial Statements 2010
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