19. Derivative financial instruments

Fair value of derivatives held by the Group is presented in the below table:

Trading derivatives	Nominal value	Fair value
31.12.2019		Assets	Liabilities
Currency derivatives
Foreign Exchange Forward (FX Forward + NDF)	12,776,533	90,807	174,184
Currency Swap (FX Swap)	18,483,784	189,130	115,288
Currency Interest Rate Swaps (CIRS)	12,004,222	133,287	164,022
OTC currency options	2,277,986	26,273	43,701
Total currency derivatives	45,542,525	439,497	497,195
Interest rate derivatives:
Interest Rate Swap	36,811,673	345,936	303,640
Forward Rate Agreements (FRA)	5,500,000	122	346
OTC interest rate options	4,569,927	10,332	9,479
Total interest rate derivatives	46,881,600	356,390	313,465
Other derivatives
OTC options	221,292	4,999	4,977
Currency Spot (FX Spot)	2,450,189	–	–
Total other derivatives	2,671,481	4,999	4,977
Total trading derivatives	95,095,606	800,886	815,637
including: valued using models	95,095,606	800,886	815,637

XLS

Trading derivatives	Nominal value	Fair value
31.12.2018		Assets	Liabilities
Currency derivatives
walutowe transakcje terminowe (FX Forward+NDF)	7,829,117	37,571	84,454
Currency Swap (FX Swap)	21,914,055	211,822	223,383
Currency Interest Rate Swaps (CIRS)	8,909,095	93,281	137,825
OTC currency options	3,580,893	46,682	51,434
Total currency derivatives	42,233,160	389,356	497,096
Interest rate derivatives
Interest Rate Swap	37,357,838	318,561	279,136
Forward Rate Agreements (FRA)	6,660,000	250	–
OTC interest rate options	1,747,257	1,177	1,181
Total interest rate derivatives	45,765,095	319,988	280,317
Other derivatives
OTC options	54,091	2,125	2,135
OTC commodity swaps	295,763	3,813	3,767
Currency Spot (FX Spot)	1,827,788	389	503
Total other derivatives	2,177,642	6,327	6,405
Total trading derivatives	90,175,897	715,671	783,818
including: valued using models	90,175,897	715,671	783,818

Fair value of derivatives by their maturity *

XLS

	Fair value of asset						Fair value of liabilities
31 grudnia 2019	Total		> 1 month	> 3 month	> 1 year	> 5 years	Total		> 1 month	> 3 month	> 1 year	> 5 years
Trading derivatives
Currency derivatives
Foreign Exchange Forward	90,807	15,480	16,620	41,568	17,139	–	174,184	11,543	15,641	61,610	85,390	–
Currency Swap (FX Swap)	189,130	32,931	33,149	58,528	64,522	–	115,288	43,958	53,381	11,855	6,079	14
Currency Interest Rate	133,287	,906	–	1,770	14,319	51 293	164,022	67,375	–	6,411	25,571	64,665
OTC currency options	26,273	2,176	3,581	13,832	6,684	–	43,701	4,915	5,460	24,417	8,909	–
Total currency	439,497	116,492	53,350	115,698	102,664	51,293	497,195	127,792	74,482	104,293	125,948	64,679
Interest rate derivatives
Interest Rate Swap	345,936	2,909	2,375	19,542	175,434	145,676	303,640	272	5,728	17,555	169,153	110,933
Forward Rate Agreements	122	–	–	122	–	–	346	–	–	243	103	–
OTC interest rate options	10,332	52	60	4,983	4,401	836	9,479	52	60	4,877	3,605	885
Total interest rate	356,390	2,961	2,435	24,647	179,835	146,512	313,465	324	5,788	22,675	172,860	111,818
Other derivatives
OTC commodity swaps	4,999	3,807	97	846	249	–	4,977	3,773	91	843	270	–
Total other derivatives:	4,999	3,807	97	846	249	–	4,977	3,773	91	843	270	–
Total trading derivatives:	800,886	123,261	55,882	141,191	282,748	197,804	815,637	131,889	80,361	127,811	299,079	176,497

* Financial data have been rounded and presented in PLN ‘000, and therefore, in some cases, the totals may not correspond exactly to the total sum.

XLS

	Fair value of asset						Fair value of liabilities
31.12.2018	Total		> 1 month	> 3 month	> 1 year	> 5 years	Total		> 1 month	> 3 month	> 1 year	> 5 years
Trading derivatives
Currency derivatives
Foreign Exchange Forward	37,571	3,140	8,298	16,544	9,589	–	84,454	2,998	7,800	36,001	34,847	2,808
Currency Swap (FX Swap)	211,822	84,117	55,678	49,142	22,885	–	223,383	16,067	50,352	79,290	66,166	11,508
Currency Interest Rate	93,281	–	–	1,686	70,937	20,658	137,825	–	–	2,948	84,438	50,439
OTC currency options	46,682	2,207	4,510	8,100	23,416	8,449	51,434	2,279	5,081	9,744	25,573	8,757
Total currency derivatives	389,356	89,464	68,486	75,472	126,827	29,107	497,096	21,344	63,233	127,983	211,024	73,512
Interest rate derivatives
Interest Rate Swap	318,561	3,450	3,993	18,235	202,122	90,761	279,136	1,456	7,376	19,350	192,339	58,615
Forward Rate Agreements	250	–	–	250	–	–	–	–	–	–	–	–
OTC interest rate options	1,177	–	–	16	653	508	1,181	–	–	16	654	511
Total interest rate derivatives	319,988	3,450	3,993	18,501	202,775	91,269	280,317	1,456	7,376	19,366	192,993	59,126
Other derivatives
OTC options	2,125	–	–	2,125	–	–	2,135	–	–	2 135	–	–
OTC commodity swaps	3,813	1,849	979	851	134	–	3,767	1,813	958	862	134	–
Currency Spot (FX Spot)	389	389	–	–	–	–	503	503	–	–	–	–
Total other derivatives:	6,327	2,238	979	2,976	134	–	6,405	2,316	958	2,997	134	–
Total trading derivatives:	715,671	95,152	73,458	96,949	329,736	120,376	783,818	25,116	71,567	150,346	404,151	132,638

* Financial data have been rounded and presented in PLN ‘000, and therefore, in some cases, the totals may not correspond exactly to the total sum.

Maturity dates:

for NDF, FX forward, FX swap, currency options and indexes, IRS, CIRS calculated as a difference in days between the transaction maturity date and the balance sheet date
for FX spot, FRA, securities to be issued/received calculated as a difference in days between the transaction currency date and the balance sheet date

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Annual report 2019

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