17 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.

(XLS:)

 

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

Total
contract
volume

in CHF thousands

PRV

NRV

PRV

NRV

PRV

NRV

PRV

NRV

PRV

NRV

PRV:

Positive replacement value

NRV:

Negative replacement value

31.12.2011

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

 

 

 

 

 

 

 

 

 

Trading swaps

404

218

3'678

205

9'127

12'200

0

24'174

13'209

36'797

1'158'840

Fair value hedge

0

0

0

0

0

3'228

0

13'231

0

16'459

114'790

Forward contracts

0

1'678

0

101

0

0

0

0

0

1'779

8'629

 

 

 

 

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

 

 

 

 

 

 

 

 

 

 

Forward contracts

54'066

53'285

24'157

23'520

802

806

0

0

79'025

77'611

5'972'284

Over the counter (OTC) contracts

13'982

13'982

15'998

15'998

0

0

0

0

29'980

29'980

335'763

 

 

 

 

 

 

 

 

 

 

 

 

Precious metals contracts

 

 

 

 

 

 

 

 

 

 

 

Forward contracts

1'076

1'087

1'390

1'366

0

0

0

0

2'466

2'453

39'187

Over the counter (OTC) contracts

74

74

85

85

0

0

0

0

159

159

4'287

 

 

 

 

 

 

 

 

 

 

 

 

Equity/index contracts

 

 

 

 

 

 

 

 

 

 

 

Over the counter (OTC) contracts

1'149

1'149

0

0

0

0

0

0

1'149

1'149

71'060

Total derivative financial instruments

70'751

71'473

45'308

41'275

9'929

16'234

0

37'405

125'988

166'387

7'704'840

(XLS:)

 

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

Total
contract
volume

in CHF thousands

PRV

NRV

PRV

NRV

PRV

NRV

PRV

NRV

PRV

NRV

PRV:

Positive replacement value

NRV:

Negative replacement value

31.12.2010

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

 

 

 

 

 

 

 

 

 

Trading swaps

0

0

12'103

178

6'682

7'779

4'701

11'369

23'486

19'326

1'429'740

Fair value hedge

0

769

0

0

4'978

715

0

3'382

4'978

4'866

305'000

Forward contracts

5

433

0

121

0

0

0

0

5

554

34'464

 

 

 

 

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

 

 

 

 

 

 

 

 

 

 

Forward contracts

75'165

73'282

22'229

21'416

312

297

0

0

97'706

94'995

5'454'465

Over the counter (OTC) contracts

19'339

19'339

19'895

19'895

0

0

0

0

39'234

39'234

433'411

 

 

 

 

 

 

 

 

 

 

 

 

Precious metals contracts

 

 

 

 

 

 

 

 

 

 

 

Forward contracts

14

13

0

0

0

0

0

0

14

13

540

Over the counter (OTC) contracts

29

29

209

209

0

0

0

0

238

238

8'833

 

 

 

 

 

 

 

 

 

 

 

 

Equity/index contracts

 

 

 

 

 

 

 

 

 

 

 

Over the counter (OTC) contracts

3'135

3'135

0

0

0

0

0

0

3'135

3'135

137'234

Total derivative financial instruments

97'687

97'000

54'436

41'819

11'972

8'791

4'701

14'751

168'796

162'361

7'803'687

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