GB00_erste lage_E - Erste Group

Open fixed-income positions not attributed to the trading book
in EUR million 1–2 years 2–4 years 4–6 years 6–9 Jahre > 9 years
Interest rate lock-up gap
as of 31 Dec 1999 2,612 1,286 102 942 (41)
as of 31 Dec 2000 4,312 (23) (220) 933 (268)
The following table shows the derivatives not yet settled at the balance sheet date broken down
by product:
43) Total volume of unsettled derivatives as of 31 December 2000
Nominal amount by remaining maturity Fair value
in EUR million < 1 year 1–5 years > 5 years Total Positive Negative
Interest rate contracts
OTC products
– Interest rate options
Purchase 1,351 907 846 3,105 – –
Sell 1,436 1,321 1,002 3,760 – –
(85) (414) (156) (655) – 6
– Interest rate swaps
Purchase 72,450 18,527 8,466 99,444 – –
Sell 75,830 17,170 7,309 100,309 – –
(3,380) 1,358 1,157 (865) – 21
– FRAs
Purchase 31,240 2,295 – 33,536 – –
Sell 31,417 2,300 – 33,717 – –
Listed products
(176) (5) – (181) – 2
– Futures
Purchase 1,403 317 11 1,731 – –
Sell 1,056 1,260 49 2,364 – –
347 (942) (38) (634) – –
– Interest rate options
Purchase 1,787 – 11 1,798 – –
Sell 1,048 – 32 1,080 – –
739 – (21) 718 – –
Erste Bank 2000 113