Integrated Report 2021

19. Derivative financial instruments

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

XLS
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

XLS
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

XLS
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

 

* 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 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

 

* 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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