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PL

Integrated Report 2020

  • Notes
  • 19. Derivative financial instruments

19. Derivative financial instruments

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

XLS
Trading derivatives Nominal value  Fair value
31.12.2020 Assets Liabilities
Currency derivatives
Foreign Exchange Forward (FX Forward + NDF) 14,782,276 184,587 113,239
Currency Swap (FX Swap) 18,367,382 178,217 213,453
Currency Interest Rate Swaps (CIRS) 13,428,351 167,205 268,192
OTC currency options 3,968,876 180,644 168,075
Total currency derivatives 50,546,885 710,653 762,959
Interest rate derivatives:
Interest Rate Swap 45,872,723 810,474 743,456
Forward Rate Agreements (FRA) 3,300,000 – 7,451
OTC interest rate options 4,435,634 4,646 1,556
Total interest rate derivatives 53,608,357 815,120 752,463
Other derivatives
OTC options 306,311 5,844 5,726
Currency Spot (FX Spot) 3,967,651 – –
Total other derivatives 4,273,962 5,844 5,726
Total trading derivatives 108,429,204 1,531,617 1,521,148
including: measured using models 108,429,204 1,531,617 1,521,148

 

XLS
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: measured using models 95,095,606 800,886 815,637

 

Fair value of derivatives by their maturity *

XLS
Fair value of assets Fair value of liabilities
31 December 2020 Total <= 1 month > 1 month
<= 3 months		 > 3 months
<= 12 months		 > 1 year
<= 5 years		 > 5 years Total <= 1 month > 1 month
<= 3 months		 > 3 months
<= 12 months		 > 1 year
<= 5 years		 > 5 years
Trading derivatives
Currency derivatives:
Foreign Exchange Forward (FX Forward + NDF) 184,587 19,727 22,467 74,380 38,019 29,994 113,239 18,358 28,513 22,341 41,130 2,897
Currency Swap (FX Swap) 178,217 39,832 67,993 17,441 48,078 4,871 213,453 74,540 28,773 48,158 48,701 13,281
Currency Interest Rate Swaps (CIRS) 167,205 2,401 – 1,389 90,912 72,502 268,192 – 3,603 – 84,832 179,757
OTC currency options 180,644 8,044 8,785 27,713 135,552 550 168,075 2,926 8,568 23,650 132,386 545
Total currency derivatives: 710,653 70,004 99,245 120,924 312,562 107,917 762,959 95,824 69,457 94,149 307,049 196,480
Interest rate derivatives:
Interest Rate Swap 810,474 3,020 12,941 34,489 342,663 417,361 743,456 2,378 18,027 33,955 329,836 359,259
Forward Rate Agreements (FRA) – – – – – – 7,451 – – 2,509 4,942 –
OTC interest rate options 4,646 – – 279 212 4,155 1,556 – – 156 212 1,188
Total interest rate derivatives: 815,120 3,020 12,941 34,768 342,875 421,516 752,463 2,378 18,027 36,620 334,991 360,447
Other derivatives
OTC commodity swaps 5,844 1,520 891 3,432 – – 5,726 1,504 874 3,349 – –
Total other derivatives: 5,844 1,520 891 3,432 – – 5,726 1,504 874 3,349 – –
Total trading derivatives 1,531,617 74,545 113,077 159,124 655,437 529,433 1,521,148 99,706 88,358 134,118 642,039 556,927
* 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 assets Fair value of liabilities
31 December 2019 Total <= 1 month > 1 month
<= 3 months		 > 3 months
<= 12 months		 > 1 year
<= 5 years		 > 5 years Total <= 1 month > 1 month
<= 3 months		 > 3 months
<= 12 months		 > 1 year
<= 5 years		 > 5 years
Trading derivatives
Currency derivatives:
Foreign Exchange Forward (FX Forward + NDF) 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 Swaps (CIRS) 133,287 65,906 – 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 –
Razem walutowe instrumenty pochodne: 439,497 116,492 53,351 115,697 102,663 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 (FRA) 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 derivatives: 356,390 2,961 2,435 24,647 179,835 146,511 313,465 324 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.

 

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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