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

Certain derivative transactions, while providing effective economic hedges under the Bank’s
risk management positions, do not qualify for hedge accounting under the specific Czech
accounting rules and are therefore presented above as trading derivatives. Gains and losses
from fair value changes of these derivatives are recognised in the income statement.
II. Fair value hedging derivatives
31 December 2004 31 December 2003
Nominal
value
Fair value
positive
Fair value
negative
Nominal
value
Fair value
positive
Fair value
negative
CZK m CZK m CZK m CZK m CZK m CZK m
Interest rate derivatives
Swaps 821 0 43 749 0 51
Changes in fair value of the above qualifying fair value hedging instruments are recognised in
the income statement and the corresponding changes in the fair value of the hedged items
as a result of the hedged risk are also recognised in the income statement within interest
on loans to customers and state (Note 18).
(e)
Currency risk
The Bank takes on exposure resulting from fluctuations in the prevailing foreign currency
exchange rates on its financial position and cash flows. The Board of Directors sets limits on
the level of exposure by currency and in total for both overnight and intra-day positions,
which are monitored daily.
The table below summarises the Bank’s exposure to the currency risk. Included in the table
are the Bank’s foreign currency denominated assets and liabilities at carrying amounts,
categorised by currency.
Other assets includes also prepayments and accrued income. The item Other liabilities
includes Other liabilities, Accruals and deferred income and Provisions.
The VaR amount for foreign currency risk for all open foreign currency positions was
CZK 0,3 million as of 31 December 2004 (31 December 2004: CZK 1 million). The average
VaR amount for foreign currency risk for the period from 1 January 2004 to 31 December
2004 was CZK 1 million. Comparative amounts are not available.
55