Structured capital market products — including ever-new ones — have

become increasingly complex in recent years. For market participants

to be able to evaluate and control the risks involved, they must be

well-grounded in the intricacies of these innovative instruments as well

as in adequate valuation techniques.

This publication is meant to provide all interested market participants with a reference work about the valuation and replication of the structured bond products most widely traded in Austria. A partner institution of the Austrian credit institutions, the OeNB offers this service to all market players to ensure transparency.

The first part of the handbook deals with structured bonds whose payoff properties depend on interest rate movements, and the following two parts focus on products whose payoff characteristics are shaped by equity prices and foreign exchange rates.

The replication techniques presented in this handbook are meant to serve as exemplary approaches, e.g. to reporting the Austrian interest rate risk statistics or computing the regulatory capital requirement.

This ensures increased transparency and objectivity during audits. Ultimately, the Oesterreichische Nationalbank aims to strengthen the confidence in the Austrian financial marketplace and to contribute in particular in the light of Basel II to its stability and competitiveness.

Univ.-Doz. Mag. Dr. Josef Christl

Member of the Governing Board