Annual Financial Statements 2010 of Bank Austria

Notes to the Financial Statements
4.28. Assets pledged as security
Assets pledged as security pursuant to Section 64 (1) 8 of the Austrian Banking Act (BWG)
31 Dec. 2010 31 Dec. 2009
(in EUR) (in EUR thsd)
Cover fund for deposits held in trust for wards and included in
liabilities item 2a) 125,010,154.24 121,163
Cover fund for mortgage bonds and public sector mortgage
bonds included in liabilities item 3a) 7,874,462,814.31 6,452,906
for own bonds and medium-term notes
included in liabilities item 3a) 104,143,720.06 62,169
Total 8,103,616,688.61 6,636,238
Security provided in favour of Oesterreichische Kontrollbank AG
(OeKB) for the settlement of securities transactions 50,356,387.72 45,205
Margin requirement in favour of various business partners 1,275,982,175.43 142,223
Claims etc. assigned in favour of OeKB, security deposit with
Oesterreichische Nationalbank 3,192,923,207.01 4,921,684
Claims assigned in favour of European Investment Bank, KfW ,
Oesterreichische Nationalbank; securities pledged 6,844,441,062.60 3,398,979
Security provided in favour of clearing systems (Cedel,
Euroclear, Xetra) 128,372,698.18 327,576
Off-balance sheet transactions 4,706,897,610.07 4,891,361
Security provided for securities lending 253,952,500.00 0
Assets pledged in favour of foreign credit institutions and
financial institutions which are group companies 197,349,602.70 488,918
Total 16,650,275,243.71 14,215,946
Aggregate total 24,753,891,932.32 20,852,184
The balance sheet item “Savings deposits“ includes
deposits held in trust for wards in the amount of
EUR 111,990,194.35 (31 December 2009: EUR
114,762 thsd).
4.29. Derivatives business
Derivatives shown in the following tables are
classified as financial derivatives and credit
derivatives, according to the underlying financial
instrument. In these categories, a distinction is made
between trading book and banking book and between
different counterparties. UniCredit Bank Austria AG’s
business volume in derivatives focuses on interest
rate contracts.
Over-the-counter transactions are individual
agreements concerning volume, maturities and
underlying instrument. In large-volume interbank
trading, these agreements reflect international
practice, while in customer business they are usually
adjusted to specific needs. Exchange-traded
contracts are always standardised in respect of
volume and maturity date.
Derivatives are mainly used by the bank itself for
hedging market risk and credit spread risk arising
from new issue activities. In customer business,
market participants include banks, securities houses,
mutual funds, pension funds and corporate
customers.
Trading in derivatives at Bank Austria is primarily
related to the hedging of positions entered into vis-àvis
customers.
For the purposes of portfolio and risk management,
contracts are valued at current prices using
recognised and tested models. Market values show
the contract values as at the balance sheet date,
positive market values indicate the potential default
risk arising from the relevant activity.
For the purposes of portfolio management and risk
limitation in the derivatives business with banks and
customers, UniCredit Bank Austria AG uses a Monte
Carlo path simulation to estimate the potential future
exposure at portfolio level for each counterparty. The
calculations are based on market volatility,
correlations between specific risk factors, future cash
flows and stress considerations. Netting agreements
and collateral agreements are also taken into account
for simulation purposes.
The simulation calculations are performed for all
major types of transactions, e.g. forward foreign
exchange transactions, commodity futures
transactions, interest rate instruments, securities
lending transactions and repurchase agreements,
equity-related, commodity-related or inflation-related
instruments and credit derivatives. Other (exotic)
products are taken into account with an add-on factor
(depending on volatility and maturity). The bank
applies a confidence interval of 97.5%.
Bank Austria – Annual Financial Statements 2010 199