15 Derivative financial instruments

Within the scope of balance sheet management, interest rate swaps are concluded to hedge interest rate fluctuation risks. These instruments are fair value hedges. Furthermore, derivative financial instruments are employed primarily within the context of transactions for clients. Both standardized and OTC derivatives are traded for the account of clients. Swiss banks having a high credit worthiness act as counterparties. The bank does not assume a market-maker function.

Derivative financial instruments are used to a limited extent in the management of the bank’s own securities portfolio.

 

Term to maturity within 3 months

Term to maturity 3 to 12 months

Term to maturity 1 to 5 years

Term to maturity after 5 years

Total

 

in CHF thousands

PW

NW

PW

NW

PW

NW

PW

NW

PW

NW

Total
contract
volume

 

PRV: Positive replacement value; NRV: Negative replacement value

31. 12. 2013

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

 

 

 

 

 

 

 

 

 

Fair value hedge

385

0

0

1'601

3'434

24'131

9'642

12'671

13'461

38'403

1'263'871

Forward contracts

417

571

0

0

0

0

0

0

417

571

106'072

 

 

 

 

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

 

 

 

 

 

 

 

 

 

 

Forward contracts

32'194

30'663

25'753

24'150

299

316

0

0

58'246

55'129

7'640'690

Over the counter (OTC) contracts

12'562

12'563

820

820

0

0

0

0

13'382

13'383

145'385

 

 

 

 

 

 

 

 

 

 

 

 

Precious metals contracts

 

 

 

 

 

 

 

 

 

 

 

Forward contracts

41

40

0

0

0

0

0

0

41

40

973

Over the counter (OTC) contracts

0

0

0

0

0

0

0

0

0

0

0

 

 

 

 

 

 

 

 

 

 

 

 

Equity / index contracts

 

 

 

 

 

 

 

 

 

 

 

Over the counter (OTC) contracts

226

226

0

0

0

0

0

0

226

226

1'130'972

 

 

 

 

 

 

 

 

 

 

 

 

Commodities

 

 

 

 

 

 

 

 

 

 

 

Forward contract

0

0

1'177

1'177

0

0

0

0

1'177

1'177

192'066

Total derivative financial instruments

45'825

44'063

27'750

27'748

3'733

24'447

9'642

12'671

86'950

108'929

10'480'029

 

Term to maturity within 3 months

Term to maturity 3 to 12 months

Term to maturity 1 to 5 years

Term to maturity after 5 years

Total

 

in CHF thousands

PW

NW

PW

NW

PW

NW

PW

NW

PW

NW

Total
contract
volume

 

PRV: Positive replacement value; NRV: Negative replacement value

31. 12. 2012

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

 

 

 

 

 

 

 

 

 

Fair value hedge

211

219

1'689

791

5'450

25'006

126

36'042

7'476

62'058

1'158'074

Forward contracts

0

0

0

0

10

3

148

48

158

51

28'251

 

 

 

 

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

 

 

 

 

 

 

 

 

 

 

Forward contracts

27'249

24'879

20'023

18'948

410

406

0

0

47'682

44'233

6'848'583

Over the counter (OTC) contracts

15'979

15'980

0

0

0

0

0

0

15'979

15'980

129'785

 

 

 

 

 

 

 

 

 

 

 

 

Precious metals contracts

 

 

 

 

 

 

 

 

 

 

 

Forward contracts

308

299

32

31

0

0

0

0

340

330

11'664

Over the counter (OTC) contracts

47

47

29

29

0

0

0

0

76

76

5'023

 

 

 

 

 

 

 

 

 

 

 

 

Equity / index contracts

 

 

 

 

 

 

 

 

 

 

 

Over the counter (OTC) contracts

529

529

0

0

0

0

0

0

529

529

77'795

 

 

 

 

 

 

 

 

 

 

 

 

Commodities

 

 

 

 

 

 

 

 

 

 

 

Forward contract

0

0

0

0

769

769

0

0

769

769

13'988

Total derivative financial instruments

44'323

41'953

21'773

19'799

6'639

26'184

274

36'090

73'009

124'026

8'273'163

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