KB prezent. angl - Komerční banka

Debt securities available for sale at fair value comprise:
CZK million 2003 2002
Variable yield debt securities
– Czech crowns 1,636 1,849
– Other currencies 6,058 7,633
Total variable yield debt securities 7,694 9,482
Fixed income debt securities
– Czech crowns 17,352 12,496
– Other currencies 2,334 2,868
Total fixed income debt securities 19,686 15,364
Total debt securities available for sale 27,38024,846
Debt securities available for sale at fair value, allocated by issuer, comprise:
CZK million 2003 2002
Debt securities available for sale issued by
– State institutions in the Czech Republic 13,757 7,531
– Foreign state institutions 440 0
– Financial institutions in the Czech Republic 368 594
– Foreign financial institutions 101 598
– Other entities in the Czech Republic 1,314 1,398
– Other foreign entities 11,400 14,725
Total debt securities available for sale 27,38024,846
Equity securities
During the first half of 2003, the Group gradually disposed of all participation certificates issued by the open-ended mutual fund
IKS Globální held in 2002 (with the aggregate fair value of CZK 2,012 million). In the first quarter of 2003, the Group also sold its
77.18 percent shareholding in Vodní stavby, a. s. v likvidaci. The aggregate impact of these transactions on the Group’s profit and loss
statement was immaterial.
Asset Backed Securities
The Group maintains a portfolio of asset backed securities denominated in USD which are carried as available for sale. The securities
bear a fixed or floating interest rate based on USD LIBOR.
The Group establishes the value of these securities by reference to the credit profile of underlying assets using a model which
facilitates the simulation of future cash flows from these securities by modelling the development of the credit quality of underlying
assets.
The Group established a provision for impairment of CZK 1,816 million as of 31 December 2003 (2002: CZK 2,096 million) against the
asset backed securities, the carrying value of which, net of impairment, is CZK 8,392 million (2002: CZK 10,471 million). Management
of the Group considers that this impairment charge represents its best estimate of the net recoverable value of these assets and
reflects changes in market credit conditions in the markets of the underlying assets since the purchase of the portfolio.
Other debt securities
During the year ended 31 December 2003, pursuant to its investment strategy the Group acquired Czech Government bonds with an
aggregate nominal value of CZK 4,690 million, of which bonds of CZK 1,000 million will mature in 2004 and the remaining bonds in 2006.
Securities issued by banks include a credit linked note (the “note”) with a nominal value of EUR 1.6 million (2002: EUR 9.5 million),
issued by an internationally recognised bank, which bears interest based on three month EURIBOR and amortises to zero over the
ten years to its maturity pursuant to the payment schedule. During the year ended 31 December 2003, a partial repayment of the
nominal value of EUR 0.3 million was made and the nominal value (without redemption) decreased by EUR 7.62 million due to credit
events in respect of the underlying assets of the note.