Annual report 2004 (PDF, 4141 kB) - Unicredit Bank

(f)
Interest rate risk
Interest sensitivity of assets, liabilities and off balance sheet items
The Bank takes on exposure to the effects of fluctuations in the prevailing levels of market
interest rates on its financial position and cash flows. Interest margins may increase as a result
of such changes but may reduce or create losses in the event that unexpected movements
arise. The Board of Directors sets limits on the level of mismatch of interest rate repricing that
may be undertaken, which is monitored daily.
Expected repricing and maturity dates do not differ significantly from the contract dates,
except for the maturity of Due to customers up to 1 month, of CZK 30 471 million
(31 December 2003: CZK 31 235 million) of which 45% (31 December 2003: 49%) represent
balances on current accounts considered by the Group as a relatively stable core source
of funding of its operations.
The VaR amount for interest rate risk of the trading book was CZK 2 million
as of 31 December 2004 (31 December 2003: CZK 3 million). The average VaR amount for
interest rate risk of the trading book for the period from 1 January 2004 to 31 December 2004
was CZK 2 million. Comparative figures are not available.
The table below summarises the Bank’s exposure to interest rate risks. Included in the table
are the Bank’s assets and liabilities at carrying amounts, categorised by the earlier of
contractual repricing or maturity dates. The off-balance sheet gap represents the net notional
amounts of all interest-rate sensitive derivative financial instruments.
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