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ePaper created 2012-04-20, 15:08:32 | version 1.23.0
74 notes – münchener Hypothekenbank eg l annual Report 2011 Interest attributable to derivative deals is carried under the balance sheet items “Claims on banks” with € 374.0 million (previous year € 418.3 million) and “Liabilities to banks” with € 430.5 million (previous year € 425.1 million). The accrual of compensatory payments made is entered under “Other assets“ with € 6.6 million (previous year € 9.6 million); the accrual of compensatory payments received is entered under “Other liabilities” with € 46.5 million (previous year € 47.2 million). Compensatory items in the amount of € 169.1 million (previous year € 2.3 million) related to the valuation of foreign currency swaps are carried under the balance sheet item “Other assets”. All of the counterparties are exclusively banks and insurance companies located in OECD countries. Hedging arrangements were made to reduce credit risks associated with these contracts. Within the framework of these arrange- ments collateral was provided for the net claims/liabilities arising after the positions were netted. In the context of the Bank’s hedging positions, € 3,114 million (previous year € 3,247 million) in balance sheet hedging positions were designated in accounting to hedge interest rate risks associated with securities carried on the balance sheet under “Bonds and other fixed-income securities”. It may be assumed that the effectiveness of the hedging positions will remain unchanged over the entire term of the transaction as conditions of the securities correspond to those of the hedging derivatives. Offsetting changes in value are not shown in the balance sheet; uncovered risks are treated in accordance with standard valuation principles. All of the remaining derivative positions serve as hedging instruments within the framework of controlling general risks related to changing interest rates in the Banking book are accounted for based on the principle of loss free valuation. As on the date of record the portfolio contained no derivatives used in the trading book.