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Annual financial statements
Raiffeisen-Landesbank Tirol AG has no derivative financial instru-
ments in its trading book. Derivative financial instruments are rec-
ognised at their fair values, with ‘fair value’ meaning the value of an
item on a specified date.
For derivatives, the value is determined on the basis of the fair mar-
ket value, which is the amount for which an asset could be ex-
changed, or a liability settled, between knowledgeable, willing
parties in an arm’s-length transaction. If quoted prices on active
markets are available, these are used for valuation purposes. In the
case of financial instruments with no stock market price, we use in-
ternal measurement models applying current market parameters,
in particular the cash value method and the option price model.
Raiffeisen-Landesbank Tirol AG uses derivatives to hedge both mar-
ket risks (in particular interest risks and fair-value hedge interest
rate risk) and the interest result for certain financial assets, liabilities
and executory contracts. The underlying transactions are holdings
of RLB’s own securities, issues and promissory notes, registered
bonds, term deposits at banks, customer deposits, customer bor-
rowings and derivatives. The hedging transactions are interest rate
swaps, forward rate agreements and interest rate options.
In the financial year 2015, obligations for close-out netting agree-
ments were posted in the amount of 688,000 euros (previous year:
0 euros) under other operating income in the amount of 301,000
euros (previous year: 602,000 euros), under other operating ex-
penses and 115,000 euros (previous year: 0 euros) under impair-
ments of securities and investments.
The aim of these activities is to reduce income volatility. Deriva-
tive transactions not offset by proven hedging mechanisms should
be valued by application of the imparity principle. A proven mi-
cro-hedging relationship allows the simultaneous recognition of
counteracting effects in the underlying transaction.
The effectiveness of the various hedging interrelationships is mea-
sured chiefly by demonstrating the counteraction of key parame-
ters of the underlying and hedging transactions. This critical term
match constitutes evidence of effectiveness both prospectively
and retrospectively. For the remaining exposures, this is done by
matching the basis point values. By effectiveness in this context
we mean the relationship between the change as a result of hedg-
ing the underlying transaction in the cash value (of that underly-
ing transaction) and the change in the cash value of the derivative
used for hedging purposes. Raiffeisen-Landesbank Tirol AG rec-
ognises hedging relationships as such only if they are likely to be-
come effective during their entire term.
As of the balance sheet date, we held the following derivative financial instruments (in thousands of euros):
Category and type
Banking
book
Remaining terms of nominal values
Market
value,
positive
Market
value,
negative
Up to 1
year
1 to 5 years 5 or more
years
Interest rate derivatives
Interest rate swaps
4,478,982
614,591
1,479,044
2,385,347
121,109
298,037
Previous year
(4,558,872)
(648,817)
(1,705,096)
(2,204,959)
(177,464)
(343,726)
Interest rate futures – sale
0
0
0
0
0
0
Previous year
0
0
0
0
0
0
Interest rate options – pur-
chase
229,279
8,147
141,263
79,869
6,730
485
Previous year
(240,209)
(1,189)
(136,680)
(102,340)
(7,363)
(305)
Interest rate options – sale
257,900
8,147
178,615
71,138
705
7,829
Previous year
(274,332)
(1,189)
(173,767)
(99,376)
(528)
(8,958)
Exchange rate derivatives
Currency futures
0
0
0
0
0
0
Previous year
(464)
(464)
(0)
(0)
(8)
(11)
Currency and interest rate
swaps
826,971
211,221
329,622
286,128
6,000
17,811
Previous year
(1,238,546)
(348,747)
(414,697)
(475,102)
(8,992)
(19,345)
A provision totalling 2,320,000 euros for open interest rate swaps was formed in the financial year under review (previous year: 3,060,000
euros).
Hedge derivatives
Fair value Negative market value
In euros
In euros
Cap floor
Previous year (in thousands of euros)
–878,489
(–1,371)
–8,314,113
(–9,262)
Swaps
Previous year (in thousands of euros)
–175,434,785
(–166,893)
–270,051,486
(–311,133)
Total
Previous year (in thousands of euros)
–176,313,274
(–168,264)
–278,365,599
(–320,395)