Geschäftsbericht 2015, englisch

Notes münchener Hypothekenbank eg | annual report 2015 66 The derivative financial instruments noted involve premiums stemming from option trades in the amount of € 2.9 million (previous year € 3.2 million) which are carried under the balance sheet item “Other assets”. Interest attributable to derivative deals is carried under the balance sheet items “Claims on banks” with € 363.0 million (previous year € 364.8 million) and “Liabilities to banks” with € 409.0 million (previous year € 411.9 million). The accrual of compensatory payments made is entered under “Other assets” with € 9.3 million (previous year € 12.8 million); the accrual of compensatory payments received is entered under “Other liabilities” with € 86.1 million (previous year € 75.5 million). Compensatory items in the amount of € 372.8 million (previous year € 94.5 million) related to the valuation of foreign currency swaps are carried under the balance sheet item “Other liabilities”. All of the counterparties are exclusively banks and insurance companies located in OECD countries, as well as separate funds under public law in Germany. Hedging arrangements were made to reduce credit risks associated with these contracts. Within the framework of these arrangements collateral was provided for the net claims/liabilities arising after the positions were netted. In the context of the Bank’s hedging positions, € 3,258 million (previous year € 3,152 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. The total amount of offset- ting value changes for all valuation units amounted to € 287 million. Interest-based finance instruments carried in the banking book are valued without losses within the framework of an overall valuation, whereby the interest rate driven present values are compared to the book values and then deducted from the positive surplus of the risk and portfolio management expenses. In the event of a negative result a provision for contingent risks has to be made. A related provision did not have to be made based on the results of the calculation made on 31.12.2015. As on the date of record the portfolio contained no derivatives used in the trading book.

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