Annual Financial Statements 2011 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 2 223
Credit default products – 218
Credit spread products 1 5
Total rate of return swap – –
Others – –
banking book – –
Credit default products – –
Credit spread products – –
Total rate of return swap – –
Others – –
tOtal 2 223
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 10 – – –
Credit spread products – – – –
Total rate of return swap – – – –
Other – – – –
tOtal 10 – – –
protection seller’s contracts
Credit default products 1,239 68 – –
Credit spread products 234 – – –
Total rate of return swap – – – –
Other – – – –
tOtal 1,473 68 – –
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: 239 945 367 1,551
Credit derivatives with qualified reference obligation 234 – – 234
Credit derivatives with not qualified reference obligation 5 945 367 1,317
banking book: – – – –
Credit derivatives with qualified reference obligation – – – –
Credit derivatives with not qualified reference obligation – – – –
tOtal 239 945 367 1,551
Bank Austria · Annual Financial Statements 2011
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