KB prezent. angl - Komerční banka

088 ➔089
Unconsolidated Financial Statements
under CAS
Debt securities available for sale at fair value (at carrying value in 2001), allocated by issuer, comprise:
CZK million 2003 2002 2001
Debt securities available for sale issued by
– State institutions in the Czech Republic 131 0 0
– Financial institutions in the Czech Republic 214 354 3,989
– Foreign financial institutions 101 131 303
– Other entities in the Czech Republic 710 1,044 3,651
– Other foreign entities 11,054 14,725 16,491
Total debt securities available for sale 12,21016,254 24,434
Equity securities
During the first half of 2003, the Bank 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 Bank also sold its
77.18 percent shareholding in Vodní stavby, a. s. v likvidaci. The aggregate impact of these transactions on the Bank’s profit and loss
statement was immaterial.
Asset Backed Securities
The Bank 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 Bank 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 Bank 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
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 Bank 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.
The Bank created provisions for this financial instrument in the amount of CZK 51 million as of 31 December 2003 (2002: CZK 271 million).
As such, the carrying value, net of impairment provisions, is CZK nil as of 31 December 2003 (2002: CZK 30 million).
As of 31 December 2003, the Bank sold the series of credit default swaps associated with this transaction (refer also to Note 28).
The aggregate impact of this transaction on the Bank’s profit and loss statement was immaterial.