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THE BANK FOR CORPORATES Notes 62 (56) Assets and liabilities in foreign currencies. Foreign currencies are those outside the euro area. 31.12.2001 31.12.2000 in EUR m Assets Liabilities Assets Liabilities USD 1,952 1,883 1,272 1,382 GBP 90 135 75 118 CHF 746 388 553 123 JPY 108 122 111 2 Other 169 145 427 169 Total foreign currency 3,065 2,673 2,437 1,795 EUR 8,129 8,521 6,266 6,909 Aggregate 11,194 11,194 8,703 8,703 (57) DERIVATIVE FINANCIAL TRANSACTIONS. The structure of open derivative financial transactions is as follows: Nominal amount at 31.12.2001 Remaining maturity Market Market Trading Up to 1 1 to 5 Over 5 Total value value Total portfolio in EUR m year years years 2001 positive negative 2000 2001 Interest-rate related business OTC products 3,987 7,054 5,260 16,301 216 -244 13,802 3,759 FRAs 260 43 - 303 0 -0 138 303 Interest swaps 3,283 6,620 4,904 14,808 214 -239 12,592 3,441 Interest-rate options – purchase 4 71 170 245 2 - 131 - Interest-rate options – sale 425 321 185 930 - -4 908 - Other interest contracts Products traded on the stock exchange - - - - - - - - Interest-rate futures 15 - - 15 - - 33 15 Currency related business OTC products 1,157 1,034 402 2,593 67 -65 3,256 863 Currency futures 114 - - 114 3 -0 35 86 Currency swaps 930 1,034 402 2,366 64 -64 3,123 665 Currency options – purchase 55 - - 55 1 - 53 55 Currency options – sale 57 - - 57 - -1 45 57 Other currency contracts - - - - - - - - Securities related business OTC products 4 4 6 14 - - 5 - Shares-/Index futures – purchase - - - - - - - - Shares-/Index futures – sale - - - - - - - - Shares-/Index options – purchase 4 4 6 14 - - 4 - Shares-/Index options – sale Products traded on the stock exchange - - - - - - 1 - Shares-/Index futures - - - - - - - - Shares-/Index options - - - - - - - - Other business OTC products 95 2,222 1,509 3,825 54 -56 2,395 - Options 95 2,222 1,509 3,825 54 -56 2,395 - Total 5,242 10,314 7,176 22,732 338 -365 19,457 4,623
(58) FAIR VALUE BALANCE SHEET. Fair value Value of Banking Available Trading Micro in EUR m item book for sale book hedge Total Cash and balances with central banks 15 15 0 0 0 15 Loans and advances to banks 887 859 34 0 0 893 Loans and advances to customers 6,086 5,686 320 0 124 6,129 Risk provision -69 -69 0 0 0 -69 Trading assets 94 0 0 94 0 94 Financial investments 3,831 1,735 1,980 0 122 3,837 Tangible fixed assets 289 289 0 0 0 289 Other assets 61 61 0 0 0 61 Aggregate 11,194 8,576 2,334 94 245 11,249 Amounts owed to banks 2,810 1,946 0 0 870 2,817 Amounts owed to customers 687 630 0 0 53 683 Debts evidenced by certificates 6,453 5,147 0 0 1,361 6,508 Provisions 45 45 0 0 0 45 Other liabilities 517 351 0 78 56 485 Subordinated capital 291 202 0 0 95 297 Minority interests 133 133 0 0 0 133 Equity 258 281 0 0 0 281 Aggregate 11,194 8,735 0 78 2,435 11,249 (59) RISK MAN<strong>AG</strong>EMENT. A good management of risks that might occur in all fields of business reinforces a bank’s competitive position. Investkredit’s basic principles of risk management are documented in various handbooks and internal guidelines. As part of the banking risks, the credit risk constitutes the most essential risk the Investkredit Group is exposed to. Other risks that may be encountered are market risks, liquidity risks and operational risks. Basically, a value at risk is fixed for all fields by an organisational unit that does not depend on the closing of deals. Furthermore, stress tests simulating extreme market fluctuations are carried out. In addition, the determination of a bank’s economic equity is essential in assessing the risks it is able to bear. New agreements reached by the Basel Committee are likely to entail changes concerning the capital adequacy requirements. Investkredit aims at quickly applying new methods and has already carried out parallel calculations to this end. (60) MARKET RISKS ARISING OUT OF TRADING ACTIVITIES. Market risks arising out of trading activities are calculated continuously – broken down by interest rate risk, share price risk and currency risk – and are assessed daily after close of business. With a confidence level of 99 % and a holding period of 1 day, a variance/covariance approach is applied for the interest rate risk and the currency risk; in the case of the share price risk, volatility shown by market data or figures calculated by the Bank is taken as the basis. The strict rules of an internal risk management handbook are applied to the conduct of trading activities. These rules also contain limits for value at risk. The breakdown of risk is as follows: Average Average in EUR m 2001 31.12.2001 2000 31.12.2000 Debt issues 1.2 1.1 0.6 0.4 Share price risks 0.2 0.3 0.4 0.2 Currency 0.1 0.0 0.1 0.1 Aggregate 1.5 1.4 1.1 0.7 (61) INTEREST RATE AND LIQUIDITY RISKS IN THE BANKING BOOK. With changing market interest rates, the bank may encounter interest rate risks, if it holds a surplus of fixed-rate positions. The interest rate risk is, however, assessed continuously in the light of the interest risk item. For this purpose, fixed-rate assets and liabilities, as well as derivative instruments are entered into maturity tables according to their respective interest-lockup period. As a consequence, a gap analysis using different scenarios is carried out and the value at risk is calculated by means of the RiskMetrics method (confidence level of 99%, holding period of 1 month). Notes THE BANK FOR CORPORATES 63
Page 1 and 2:
THE BANK FOR CORPORATES. Annual Rep
Page 3 and 4:
CONTENTS. Investkredit at a glance.
Page 5 and 6:
INCOME DEVELOPMENT OF THE INVESTKRE
Page 7 and 8:
LETTER FROM THE BOARD OF MANAGEMENT
Page 9 and 10:
Letter from the Board of Management
Page 11 and 12:
Board of Management. ALFRED REITER
Page 13 and 14: INVESTKREDIT SHARES. Investkredit s
Page 15 and 16: MANAGEMENT DISCUSSION. The members
Page 17 and 18: Management style allows for quick d
Page 19 and 20: Increase in business volume and ear
Page 21 and 22: Significantly improved capital rati
Page 23 and 24: Ensuring liquidity for corporate cu
Page 25 and 26: A euro financial market is emerging
Page 27 and 28: Deal structuring in the context of
Page 29 and 30: Competent consulting on aid-related
Page 31 and 32: Assistance in the acquisition and d
Page 33 and 34: Issuing focus on strengthening equi
Page 35 and 36: 60% of Austrian local authorities a
Page 37 and 38: Benefiting from advantages of Centr
Page 39 and 40: FINANCIAL STATEMENTS OF THE INVESTK
Page 41 and 42: STATEMENT OF CHANGES IN EQUITY. For
Page 43 and 44: Notes to the financial statements o
Page 45 and 46: (5) LOANS AND ADVANCES. Loans and a
Page 47 and 48: a fluctuation rate of 0% and assume
Page 49 and 50: (23) GENERAL ADMINISTRATIVE EXPENSE
Page 51 and 52: (32) RISK PROVISIONS. Risk provisio
Page 53 and 54: BWG- Investment Extent of investmen
Page 55 and 56: (36) PROPERTY AND EQUIPMENT. in EUR
Page 57 and 58: (42) PROVISIONS. in EUR m 31.12.200
Page 59 and 60: Expenses related to all subordinate
Page 61 and 62: Local go- Real Disclosure in EUR m
Page 63: (51) SUBORDINATED ASSETS. The asset
Page 67 and 68: (65) INFORMATION ON EMOLUMENTS OF A
Page 69 and 70: Equity capital. Equity held by outs
Page 71 and 72: REPORT OF THE SUPERVISORY BOARD. In
Page 73 and 74: Cost-income ratio. Index of the cos
Page 75 and 76: Own funds to be taken into account.
Page 77 and 78: INVESTOR RELATIONS. Margot Binder P
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