14 Derivative financial instruments
Within the scope of balance sheet management, interest rate swaps are concluded to hedge interest rate fluctuation risks. Financial instruments are employed primarily within the scope of client business. Here both standardised and OTC derivatives are traded. International banks having a high creditworthiness act as counterparties. LLB does not assume a market-maker function on the interbank market.
|
|
|
|
|
|
|
Total |
|
|
|
in CHF thousands |
Positive Replacement Values |
Negative Replacement Values |
Total contract volume |
|
31.12.2019 |
|
|
|
|
Derivative financial instruments in the trading portfolio |
|
|
|
|
Interest rate contracts |
|
|
|
|
Interest rate swaps |
33 |
33'120 |
870'000 |
|
Forward contracts |
140 |
947 |
78'345 |
|
|
|
|
|
|
Foreign exchange contracts |
|
|
|
|
Forward contracts |
103'250 |
122'303 |
14'910'353 |
|
Options (OTC) |
4'978 |
4'983 |
228'581 |
|
|
|
|
|
|
Precious metals contracts |
|
|
|
|
Options (OTC) |
17 |
17 |
1'898 |
|
|
|
|
|
|
Equity / index contracts |
|
|
|
|
Options (OTC) |
345 |
345 |
15'385 |
|
|
|
|
|
|
Total derivative financial instruments in the trading portfolio |
108'764 |
161'714 |
16'104'562 |
|
|
|
|
|
|
|
|
|
|
|
Derivative financial instruments for hedging purposes |
|
|
|
|
Interest rate contracts |
|
|
|
|
Interest rate swaps (fair value hedge) |
4'034 |
18'350 |
1'011'708 |
|
|
|
|
|
|
Total derivative financial instruments for hedging purposes |
4'034 |
18'350 |
1'011'708 |
|
|
|
|
|
|
|
|
|
|
|
Total derivative financial instruments |
112'798 |
180'065 |
17'116'270 |
|
|
|
|
|
|
|
Total |
|
|
|
in CHF thousands |
Positive Replacement Values |
Negative Replacement Values |
Total contract volume |
|
31.12.2020 |
|
|
|
|
Derivative financial instruments in the trading portfolio |
|
|
|
|
Interest rate contracts |
|
|
|
|
Interest rate swaps |
0 |
20'299 |
565'000 |
|
Forward contracts |
263 |
255 |
108'162 |
|
|
|
|
|
|
Foreign exchange contracts |
|
|
|
|
Forward contracts |
188'688 |
199'761 |
20'209'099 |
|
Options (OTC) |
5'975 |
5'975 |
617'520 |
|
|
|
|
|
|
Precious metals contracts |
|
|
|
|
Options (OTC) |
46 |
46 |
2'704 |
|
|
|
|
|
|
Equity / index contracts |
|
|
|
|
Options (OTC) |
469 |
469 |
25'287 |
|
|
|
|
|
|
Total derivative financial instruments in the trading portfolio |
195'441 |
226'805 |
21'527'771 |
|
|
|
|
|
|
|
|
|
|
|
Derivative financial instruments for hedging purposes |
|
|
|
|
Interest rate contracts |
|
|
|
|
Interest rate swaps (fair value hedge) |
4'193 |
22'371 |
1'481'604 |
|
|
|
|
|
|
Total derivative financial instruments for hedging purposes |
4'193 |
22'371 |
1'481'604 |
|
|
|
|
|
|
|
|
|
|
|
Total derivative financial instruments |
199'634 |
249'176 |
23'009'375 |
The LLB Group employs fair value hedge accounting for interest rate risks on fixed-rate instruments. For this purpose, it uses interest rate swaps. The following tables show information on the nominal value (contract volumes), the replacement values and the ineffectiveness of the positions in hedge accounting.
|
|
|
|
|
|
|
|
|
|
Carrying value of hedging instrument |
|
|
|
|
in CHF thousands |
Nominal value of hedging instrument |
Assets |
Liabilities |
Balance sheet position of hedging instrument |
Fair value change to measurement of ineffective hedge |
|
31.12.2019 |
|
|
|
|
|
|
Fair value hedge |
|
|
|
|
|
|
Interest rate swaps |
495'854 |
4'034 |
|
Derivative financial instruments |
1'963 |
|
Interest rate swaps |
515'854 |
|
18'350 |
Derivative financial instruments |
10'663 |
|
|
|
|
|
|
|
|
|
|
Carrying value of hedging instrument |
|
|
|
|
in CHF thousands |
Nominal value of hedging instrument |
Assets |
Liabilities |
Balance sheet position of hedging instrument |
Fair value change to measurement of ineffective hedge |
|
31.12.2020 |
|
|
|
|
|
|
Fair value hedge |
|
|
|
|
|
|
Interest rate swaps |
705'802 |
4'193 |
|
Derivative financial instruments |
159 |
|
Interest rate swaps |
775'802 |
|
22'371 |
Derivative financial instruments |
6'029 |
|
|
|
|
|
|
|
|
|
|
Carrying value of underlying transaction |
Cumulative total from fair value adjustments of the underlying transaction |
Balance sheet position of underlying transaction |
Fair value change to measurement of ineffective hedge |
||
|
in CHF thousands |
Assets |
Liabilities |
Assets |
Liabilities |
|
|
|
31.12.2019 |
|
|
|
|
|
|
|
Fair value hedge |
|
|
|
|
|
|
|
Mortgage loans |
11'325'159 |
|
10'934 |
|
Loans |
6'825 |
|
Medium-term notes |
|
1'331'391 |
|
264 |
Debt issued |
50 |
|
|
|
|
|
|
|
|
|
|
Carrying value of underlying transaction |
Cumulative total from fair value adjustments of the underlying transaction |
Balance sheet position of underlying transaction |
Fair value change to measurement of ineffective hedge |
||
|
in CHF thousands |
Assets |
Liabilities |
Assets |
Liabilities |
|
|
|
31.12.2020 |
|
|
|
|
|
|
|
Fair value hedge |
|
|
|
|
|
|
|
Mortgage loans |
11'733'792 |
|
14'685 |
|
Loans |
3'751 |
|
Medium-term notes |
|
1'392'978 |
|
350 |
Debt issued |
87 |
|
in CHF thousands |
Ineffectiveness recognised in the income statement |
Income statement position |
|
31.12.2019 |
|
|
|
Fair value hedge |
|
|
|
Interest rate risk |
2'310 |
Interest expenses |
|
|
|
|
|
31.12.2020 |
|
|
|
Fair value hedge |
|
|
|
Interest rate risk |
2'206 |
Interest expenses |