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.

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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

PRV

NRV

PRV

NRV

PRV

NRV

PRV

NRV

PRV

NRV

Total contract volume

PRV: Positive replacement value; NRV: Negative replacement value

31.12.2014

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

 

 

 

 

 

 

 

 

 

Fair value hedge

0

0

0

288

2'245

29'927

0

53'549

2'245

83'764

1'352'885

Forward contracts

1'936

0

0

0

0

0

0

0

1'936

0

83'272

 

 

 

 

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

 

 

 

 

 

 

 

 

 

 

Forward contracts

57'706

55'946

17'439

17'685

284

247

3

0

75'432

73'878

7'136'574

Over the counter (OTC) contracts

0

0

6'711

6'711

0

0

0

0

6'711

6'711

80'567

 

 

 

 

 

 

 

 

 

 

 

 

Precious metals contracts

 

 

 

 

 

 

 

 

 

 

 

Forward contracts

60

59

0

0

0

0

0

0

60

59

377

Over the counter (OTC) contracts

5

5

3

3

0

0

0

0

8

8

549

 

 

 

 

 

 

 

 

 

 

 

 

Equity / index contracts

 

 

 

 

 

 

 

 

 

 

 

Over the counter (OTC) contracts

206

206

0

0

0

0

0

0

206

206

136'240

 

 

 

 

 

 

 

 

 

 

 

 

Commodities

 

 

 

 

 

 

 

 

 

 

 

Forward contract

1'183

1'183

0

0

0

0

0

0

1'183

1'183

29'840

Total derivative financial instruments

61'096

57'399

24'153

24'687

2'529

30'174

3

53'549

87'781

165'809

8'820'304

 

 

 

 

 

 

 

 

 

 

 

 

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

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