Basic HTML-Version
43
Category and type
Banking
book
Remaining terms of nominal values Market
value
positive
Market
value
negative
Up to one
year
One to five
years
Over five
years
Interest rate derivatives
Interest rate swaps
5,089,351 1,067,894 1,938,268
2,083,189
139,836
211,011
Previous year (in thousands of euros)
(5,166,136)
(664,311)
(2,742,579)
(1,759,246)
(209,827)
(302,151)
Interest rate futures – sale
0
0
0
0
0
0
Previous year (in thousands of euros)
(124,896)
(124,896)
(0)
(0)
(0)
(38)
Interest rate options – purchase
288,845
32,000
14,935
241,910
8,741
237
Previous year (in thousands of euros)
(322,008)
(14,061)
(49,535)
(258,412)
(8,554)
(403)
Interest rate options – sale
315,168
32,000
44,836
238,332
376
9,260
Previous year (in thousands of euros)
(341,082)
(14,061)
(74,035)
(252,986)
(677)
(9,873)
Exchange rate derivatives
Currency futures
302
302
0
0
0
0
Previous year (in thousands of euros)
(25,465)
(25,465)
(0)
(0)
(1,483)
(8)
Currency and interest rate swaps
1,230,569
304,220
407,257
519,092
10,298
39,950
Previous year (in thousands of euros)
(1,342,041)
(549,877)
(449,615)
(342,549)
(4,222)
(59,272)
RLB Tirol AG does not have any derivative financial instruments in its trading book.
Derivative financial instruments are recognised at their fair values, where ‘fair value’ means the value of an item on a specified date. For
derivatives, the value is determined on the basis of the fair market value, which is the amount for which an asset could be exchanged, or
a liability settled, between knowledgeable, willing parties in an arm’s-length transaction. If quoted prices on active markets are available,
these are used for valuation purposes. In the case of financial instruments with no stock market price, we use internal measurement
models applying current market parameters, in particular the cash value method and the option price model.
In response to the current requirements of supervisory law and accounting-specific considerations, as well as to changing market and
measurement standards, in 2013 the system whereby credit risks are measured in the mark-to-model valuation of derivatives was
modified. In this regard, a credit value adjustment (CVA) was made for the first time in relation to unsecured derivatives on the basis of
factors such as remaining term and counterparty risk.
RLB Tirol uses derivatives to hedge both market risks (in particular interest risks and fair-value hedge interest rate risk) and the interest
result for certain financial assets, liabilities and executory contracts. The underlying transactions are holdings of RLB’s own securities,
issues and promissory notes, registered bonds, term deposits at banks, customer deposits, customer borrowings and derivatives. The
hedging transactions are interest rate swaps, forward rate agreements and interest rate options.
The aim of these activities is to reduce income volatility. Derivative transactions not offset by proven hedging mechanisms should be
valued by application of the imparity principle. A proven micro-hedging relationship allows the simultaneous recognition of counteracting
effects in the underlying.
The effectiveness of the various hedging interrelationships is measured chiefly by demonstrating the counteraction of key parameters of
the underlying and hedging transactions. This critical term match constitutes evidence of effectiveness both prospectively and retro-
spectively. For the remaining exposures, this is done by matching the basis point values. By effectiveness in this context we mean the
relationship between the change, as a result of hedging the underlying, in the cash value (of that underlying) and the change in the cash
value of the derivative used for hedging purposes. RLB Tirol only recognises hedging relationships as such if they are likely to become
effective during their entire term.
In 2013, a provision of 1,290,000 euros (previous year: 250,000 euros) was formed to cover open interest rate swaps.
As of the balance sheet date, we held the following derivative financial instruments (in thousands of euros):
12,497,606 euros (previous year: 10,500,000 euros) was lodged for the GSA/cash provision. Loans of 97,951,374 euros (previous year:
103,902,000 euros) were granted to the European Investment Bank and 322,065,252 euros (previous year: 288,311,000 euros) to OeNB.
Pursuant to Section 208 paragraph 2 of the UGB, during 2013 a sum of 9,588 euros (previous year: 634,000 euros) was not imputed on
tax grounds. The anticipated future tax burden will be 2,397 euros (previous year: 159,000 euros).
Annual financial statements