Letno poročilo 2009.pdf - UniCredit Banka Slovenija dd

Risk ReportRisk ReportTotal volume of derivative transactions 31. 12. 2009Notional amountsRemaining maturity Market value Notional amounts< 1 year 1-5 years > 5 years Total (positive) (negative)BankingbookTradingbookMarket value(positive)BankingbookTradingbookin Million EURMarket value(negative)BankingbookTradingbookTOTAL 2,137 2,588 599 5,324 83 96 903 4,421 6 77 14 82Of which OTC-products 2,135 2,588 599 5,322 83 96 903 4,418 6 77 14 82Of which: exchange-traded products 2 - - 2 - - - 2 - - - -A. Interest rate contracts 1,251 2,204 568 4,023 42 51 843 3,180 6 36 13 38OTC products: 1,249 2,204 568 4,021 42 51 843 3,178 6 36 13 38FRAs - - - - - - - - - - - -Forward interest rate transactions - - - - - - - - - - - -Single-currency swaps 1,182 1,223 318 2,723 36 46 843 1,880 6 31 13 33Interest rate options bought 34 491 125 649 5 - - 649 - 5 - -Interest rate options sold 34 491 125 649 - 5 - 649 - - - 5Other interest rate contracts - - - - - - - - - - - -Exchange-traded products 2 - - 2 - - - 2 - - - -Interest rate futures 2 - - 2 - - - 2 - - - -Options on interest rate futures - - - - - - - - - - - -B. Foreign exchange contracts 861 383 31 1,276 39 42 60 1,216 - 39 1 42OTC products: 861 383 31 1,276 39 42 60 1,216 - 39 1 42Forward foreign exchangetransactions277 1 - 278 2 5 - 278 - 2 - 5Cross-currency swaps 20 166 31 217 8 9 60 157 - 8 1 8Currency options bought 293 108 - 401 29 - - 401 - 29 - -Currency options sold 271 109 - 380 - 29 - 380 - - - 29Other foreign exchange contracts - - - - - - - - - - - -Exchange-traded products - - - - - - - - - - - -Currency futures - - - - - - - - - - - -Options on currency futures - - - - - - - - - - - -C. Securities-relatedtransactions- - - - - - - - - - - -OTC products: - - - - - - - - - - - -Securities swaps - - - - - - - - - - - -Equity options bought - - - - - - - - - - - -Equity options sold - - - - - - - - - - - -Other securities-related contracts - - - - - - - - - - - -Exchange-traded products - - - - - - - - - - - -Equity and equity index futures - - - - - - - - - - - -Equity and equity index options - - - - - - - - - - - -D. Credit and other derivatives 25 - - 25 2 2 - 25 - 2 - 2OTC products: 25 - - 25 2 2 - 25 - 2 - 2Credit default swaps - - - - - - - - - - - -Total return swaps - - - - - - - - - - - -Other credit derivatives - - - - - - - - - - - -Other derivatives (commodities) 25 - - 25 2 2 - 25 - 2 - 2218 2009 Annual Report · UniCredit Bank