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.

(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

 

in CHF thousands

PRV

NRV

PRV

NRV

PRV

NRV

PRV

NRV

PRV

NRV

Total
contract
volume

PRV:

Positive replacement value

NRV:

Negative replacement value

31.12.2012

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

 

 

 

 

 

 

 

 

 

Trading swaps

0

0

0

0

3'202

3'190

0

0

3'202

3'190

48'284

Fair value hedge

211

219

1'689

791

2'248

21'816

126

36'042

4'274

58'868

1'109'790

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 contracts

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

(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

 

in CHF thousands

PRV

NRV

PRV

NRV

PRV

NRV

PRV

NRV

PRV

NRV

Total
contract
volume

PRV:

Positive replacement value

NRV:

Negative replacement value

31.12.2011

 

 

 

 

 

 

 

 

 

 

 

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

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