19. Derivative financial instruments
Fair value of derivatives held by the Bank is presented in the below table:
Trading derivatives 31.12.2021 |
Nominal value | Fair value of assets | Fair value of liabilities |
---|---|---|---|
Currency derivatives | |||
Foreign Exchange Forward (FX Forward + NDF) | 17,001,834 | 514,600 | 191,389 |
Currency Swap (FX Swap) | 24,891,458 | 223,832 | 443,129 |
Currency Interest Rate Swaps (CIRS) | 12,752,996 | 374,796 | 405,837 |
OTC currency options | 3,073,655 | 79,587 | 62,336 |
Total currency derivatives | 57,719,943 | 1,192,815 | 1,102,691 |
Interest rate derivatives: | |||
Interest Rate Swap | 45,520,032 | 642,406 | 749,207 |
OTC interest rate options | 7,166,523 | 39,727 | 39,479 |
Total interest rate derivatives | 52,686,555 | 682,133 | 788,686 |
Other derivatives | |||
OTC options | 716,368 | 26,971 | 26,655 |
Currency Spot (FX Spot) | 1 313,499 | – | – |
Total other derivatives | 2,029,867 | 26 971 | 26 655 |
Total trading derivatives | 112,436,365 | 1 901 919 | 1 918 032 |
Including: measured using models | 112,436,365 | 1,901,919 | 1,918,032 |
Trading derivatives 31.12.2020 |
Nominal value | Fair value of assets | Fair value of 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 commodity swaps | 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 |
Fair value of derivatives by their maturity
Fair value of assets | Fair value of liabilities | |||||||||||
31 December 2021 | Total | <= 1 month | > 1 month <= 3 months |
> 3 months <= 12 months |
> 1 year <= 5 years |
> 5 years | Total | <= 1 month | > 1 miesiąc <= 3 miesiące |
> 3 months <= 12 months |
> 1 year <= 5 years |
> 5 years |
Trading derivatives | ||||||||||||
Currency derivatives: | ||||||||||||
Foreign Exchange Forward (FX Forward + NDF) | 514,600 | 19,613 | 12,133 | 73,947 | 408,907 | – | 191,389 | 25,674 | 35,343 | 102,217 | 28,155 | – |
Currency Swap (FX Swap) | 223,832 | 23,936 | 38,974 | 113,108 | 47,814 | – | 443,129 | 47,732 | 48,969 | 62,742 | 283,686 | – |
Currency Interest Rate Swaps (CIRS) | 374,796 | – | 486 | 38,218 | 155,189 | 180,903 | 405,837 | 4,644 | 8,463 | 24,196 | 130,812 | 237,722 |
OTC currency options | 79,587 | 1,820 | 6,785 | 22,729 | 48,253 | – | 62,336 | 2,138 | 7,595 | 17,967 | 34,636 | – |
Total currency derivatives: | 1,192,815 | 45,369 | 58,378 | 248,002 | 660,163 | 180,903 | 1,102,691 | 80,188 | 100,370 | 207,122 | 477,289 | 237,722 |
Interest rate derivatives: | ||||||||||||
Interest Rate Swap | 642,406 | 5,439 | 6,103 | 60,227 | 226,917 | 343,720 | 749,207 | 2,756 | 7,851 | 63,481 | 325,406 | 349,713 |
OTC interest rate options | 39,727 | – | 1 | 1,074 | 21,946 | 16,706 | 39,479 | – | 3 | 868 | 21,928 | 16,680 |
Total interest rate derivatives | 682,133 | 5,439 | 6,104 | 61,301 | 248,863 | 360,426 | 788,686 | 2,756 | 7,854 | 64,349 | 347,334 | 366,393 |
Other derivatives | ||||||||||||
OTC commodity swaps | 26,971 | 7,018 | 3,096 | 16,857 | – | – | 26,655 | 6,981 | 3,067 | 16,607 | – | – |
Total other derivatives: | 26,971 | 7,018 | 3,096 | 16,857 | – | – | 26,655 | 6,981 | 3,067 | 16,607 | – | – |
Total trading derivatives | 1,901,919 | 57,826 | 67,578 | 326,160 | 909,026 | 541,329 | 1,918,032 | 89,925 | 111,291 | 288,078 | 824,623 | 604,115 |
Fair value of assets | Fair value of liabilities | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
31 December 2020 | Total | <= 1 month | > 1 month <= 3 months |
> 3 months <= 12 months |
> 1 year <= years |
> 5 years | Total | <= 1 month | > 1 month <= 3 months |
> 3 months <= 12 months |
> 1 years <= 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 | 891 | 12,941 | 34,768 |
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 |
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