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

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 amounts 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.
At 31 December 2004
Assets
Within
3 months
3 – 12
months
1 – 5
years
Over
5 years Unspecified Total
CZK m CZK m CZK m CZK m CZK m CZK m
Deposits with central bank 0 0 0 0 1 979 1 979
Due from banks 12 083 345 0 0 0 12 428
Due from customers 17 067 4 619 2 970 191 - 327* 24 520
Trading securities 4 214 279 431 95 0 5 019
Securities available-for-sale 0 233 198 326 22 779
Investments 0 0 0 0 0 0
Other assets 133 60 32 0 1 837 2 062
Liabilities
33 497 5 536 3 631 612 3 511 46 787
Due to banks 4 674 715 0 0 0 5 389
Due to customers 32 047 550 423 0 208 33 228
Liabilities from debt securities 1 722 0 932 0 0 2 654
Subordinated liabilities 1 000 0 0 0 0 1 000
Provisions 0 0 0 0 293 293
Other liabilities 13 0 205 79 3 926 4 223
39 456 1 265 1 560 79 4 427 46 787
Net assets/(liabilities) -5 959 4 271 2 071 533 - 916 0
Net off-balance sheet assets from
spot transactions and term
instruments 1 094 606 -1 318 -305 0 77
Net open position -4 865 4 877 753 228 -916 77
* CZK -327 million is stated net of an amount of CZK -621 million representing allowance for impaired loans.
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