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.

The LLB Group employs fair value hedge accounting for interest rate risks on fixed rate instruments. For this purpose it uses interest rate swaps. In the 2015 business year, these had a nominal value of CHF 145 million, as well as a positive replacement value of CHF 0.4 million and a negative replacement value of CHF 0.5 million. At the same time, the profit on hedging instruments totalled CHF 0.7 million and the losses on the hedged underlying transactions amounted to CHF 0.6 million.

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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

31.12.2015

 

 

 

 

 

 

 

 

 

 

 

Derivative financial instruments in the trading portfolio

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

 

 

 

 

 

 

 

 

 

Swaps

174

0

1'046

2'715

0

43'572

121

47'814

1'341

94'100

1'299'482

Forward contracts

124

315

26

50

0

0

0

0

150

365

80'941

 

 

 

 

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

 

 

 

 

 

 

 

 

 

 

Forward contracts

46'678

43'915

8'297

7'534

339

334

0

0

55'314

51'783

7'918'742

Over the counter (OTC) contracts

1'357

1'357

2'425

2'425

0

0

0

0

3'782

3'782

68'830

 

 

 

 

 

 

 

 

 

 

 

 

Precious metals contracts

 

 

 

 

 

 

 

 

 

 

 

Forward contracts

0

0

17

15

0

0

0

0

17

15

972

Over the counter (OTC) contracts

0

0

0

0

0

0

0

0

0

0

0

 

 

 

 

 

 

 

 

 

 

 

 

Equity / index contracts

 

 

 

 

 

 

 

 

 

 

 

Over the counter (OTC) contracts

1'017

1'017

0

0

0

0

0

0

1'017

1'017

136'240

 

 

 

 

 

 

 

 

 

 

 

 

Commodities

 

 

 

 

 

 

 

 

 

 

 

Forward contract

0

0

0

0

0

0

0

0

0

0

0

Total derivative financial instruments in the trading portfolio

49'350

46'604

11'811

12'739

339

43'906

121

47'814

61'621

151'062

9'505'207

 

 

 

 

 

 

 

 

 

 

 

 

Derivative financial instruments for hedging purposes

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

 

 

 

 

 

 

 

 

 

Swaps (Fair Value Hedge)

0

0

0

0

0

115

392

415

392

531

145'000

Total derivative financial instruments for hedging purposes

0

0

0

0

0

115

392

415

392

531

145'000

 

 

 

 

 

 

 

 

 

 

 

 

Derivative financial instruments

49'350

46'604

11'811

12'739

339

44'021

513

48'229

62'013

151'593

9'650'207

 

 

 

 

 

 

 

 

 

 

 

 

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