KB prezent. angl - Komerční banka

(C) Financial derivatives
The Bank operates a system of market risk and counterparty limits which are designed to restrict inadequate exposure to movements
in market prices and counterparty concentrations. The Bank also monitors adherence to all limits on a daily basis and follows up on
any breaches of these limits and takes corrective action to reduce the risk exposure.
The following tables set out notional and fair values of financial derivative instruments categorised as held for trading and hedging.
Financial derivative instruments designated as held for trading derivatives:
CZK million Notional value Notional value Notional value
2003 2003 2002 2002 2001 2001
Assets Liabilities Assets Liabilities Assets Liabilities
Interest rate instruments
Interest rate swaps 83,477 83,477 66,307 66,307 60,509 60,509
Forward rate agreements 159,693 159,693 150,841 150,841 135,051 135,051
Options 1,400 1,400 5,600 5,600 4,400 4,400
Total 244,570244,570222,748 222,748 199,960199,960
Foreign currency instruments
Currency swaps 42,690 42,578 80,158 80,021 82,884 82,266
Cross currency swaps 10,005 7,672 18,212 14,997 22,279 21,372
Currency forwards 3,843 3,805 4,003 3,944 4,513 4,435
Call options 3,545 3,567 2,213 2,238 1,231 1,344
Put options 3,567 3,545 2,237 2,213 986 872
Total 63,650 61,167 106,823 103,413 111,893 110,289
Other instruments
Credit options 11 11 14,758 14,758 20,506 20,506
Forwards on debt securities 1,025 1,025 1,139 1,139 1,813 1,813
Forwards on equities 2 2 0 0 0 0
Equity options 9 9 0 0 0 0
Total 1,047 1,047 15,897 15,897 22,319 22,319
TOTAL 309,267 306,784 345,468 342,058 334,172 332,568
CZK million Fair value Fair value Fair value
2003 2003 2002 2002 2001 2001
Positive Negative Positive Negative Positive Negative
Interest rate instruments
Interest rate swaps 1,635 1,731 2,662 2,709 1,873 1,847
Forward rate agreements 62 64 267 333 512 488
Options 11 7 216 227 94 89
Total 1,708 1,802 3,145 3,269 2,479 2,424
Foreign currency instruments
Currency swaps 876 827 2,431 2,308 2,203 1,634
Cross currency swaps 2,400 56 3,374 166 993 110
Currency forwards 73 33 87 30 89 24
Call options 43 0 37 0 26 0
Put options 0 43 0 36 0 26
Total 3,392 959 5,929 2,5403,311 1,794
Other instruments
Credit options 0 0 0 0 0 0
Forwards on debt securities 1 0 1 3 0 0
Forwards on equities 0 0 0 0 0 0
Equity options 0 0 0 0 0 0
Total 1 0 1 3 0 0
TOTAL 5,101 2,761 9,075 5,812 5,790 4,218