Geschäftsbericht 2015, englisch

65 OTHER OBLIGATIONS The irrevocable loan commitments contained in this item consist almost solely of mortgage loan commitments made to customers. It is anticipated that the irrevocable loan commitments will be drawn down. Against the background of the ongoing monitoring of loans, the probable need to create provisions for risks related to contingent obligations and other obligations is viewed as minor. OTHER OPERATING EXPENSES This item contains expenses arising from adding interest effects of € 4,239 (thousand) (previous year € 2,835 (thousand)) for established provisions. Forward trades AND DERIVATIVES The following derivative transactions were made to hedge swings in interest rates or hedge against exchange rate risks. These figures do not include derivatives embedded in underlying basic transactions stated on the balance sheet. Nominal amounts (in millions of €) Residual term ≤≤ one year Residual term > one year ≤≤ five years Residual term > five years Total Fair value at balance sheet date*) neg. (-) Interest-Rate-Related Transaction Interest rate swaps 5,971 17,487 41,570 65,028 -1,130 Interest rate options - Calls 27 58 58 143 16 - Puts 15 278 75 368 -5 Other interest rate contracts 455 0 1,576 2,031 -142 Currency-Related Transactions Cross-currency swaps 199 1,822 1,492 3,513 -369 Currency swaps 391 0 0 391 -1 *) Valuation methods: Interest rate swaps are valued using the present value method based on the current interest rate curve at the balance sheet date. In doing so the cash flows are discounted using market interest rates appropriate for the related risks and remaining terms to maturity, interest that has been accrued but not yet paid is not taken into consideration. This approach is known as “clean price” valuation. The value of options is calculated using option price models and generally accepted basic assumptions. In general, the particular value of an option is calculated using the price of the underlying value, its volatility, the agreed strike price, a risk-free interest rate, and the remaining term to the expiration date of the option. Notes Interest rate swaps 5,97117,48741,57065,028 -1,130 - Calls 27585814316 - Puts 1527875368 -5 Other interest rate contracts 45501,5762,031 -142 Cross-currency swaps 1991,8221,4923,513 -369 Currency swaps 39100391 -1

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