14 Derivative financial instruments

Within the scope of balance sheet management, interest rate swaps are concluded to hedge interest rate fluctuation risks. Furthermore, derivative financial instruments are employed primarily within the context of transactions for clients. Both standardised 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.

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Total

 

 

in CHF thousands

 

Positive Replace­ment Values

 

Negative Replace­ment Values

 

Total contract volume

31.12.2017

 

 

 

 

 

 

Derivative financial instruments in the trading portfolio

 

 

 

 

 

 

Interest rate contracts

 

 

 

 

 

 

Interest rate swaps

 

13

 

55'302

 

1'011'000

Forward contracts

 

11

 

146

 

31'498

 

 

 

 

 

 

 

Foreign exchange contracts

 

 

 

 

 

 

Forward contracts

 

54'154

 

57'082

 

11'227'129

Options (OTC)

 

2'649

 

2'649

 

83'107

 

 

 

 

 

 

 

Precious metals contracts

 

 

 

 

 

 

Forward contracts

 

5

 

5

 

247

Options (OTC)

 

25

 

25

 

2'505

 

 

 

 

 

 

 

Equity / index contracts

 

 

 

 

 

 

Options (OTC)

 

445

 

445

 

108'711

 

 

 

 

 

 

 

Equities

 

 

 

 

 

 

Forward contracts

 

0

 

0

 

23'298

 

 

 

 

 

 

 

Total derivative financial instruments in the trading portfolio

 

57'302

 

115'653

 

12'487'495

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative financial instruments for hedging purposes

 

 

 

 

 

 

Interest rate contracts

 

 

 

 

 

 

Interest rate swaps (fair value hedge)

 

1'438

 

1'795

 

340'000

 

 

 

 

 

 

 

Total derivative financial instruments for hedging purposes

 

1'438

 

1'795

 

340'000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total derivative financial instruments

 

58'740

 

117'448

 

12'827'495

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Total

 

 

in CHF thousands

 

Positive Replace­ment Values

 

Negative Replace­ment Values

 

Total contract volume

31.12.2018

 

 

 

 

 

 

Derivative financial instruments in the trading portfolio

 

 

 

 

 

 

Interest rate contracts

 

 

 

 

 

 

Interest rate swaps

 

34

 

44'914

 

910'000

Forward contracts

 

580

 

55

 

77'360

 

 

 

 

 

 

 

Foreign exchange contracts

 

 

 

 

 

 

Forward contracts

 

189'883

 

197'590

 

15'825'229

Options (OTC)

 

4'898

 

4'898

 

198'720

 

 

 

 

 

 

 

Precious metals contracts

 

 

 

 

 

 

Forward contracts

 

0

 

0

 

0

Options (OTC)

 

70

 

70

 

82'426

 

 

 

 

 

 

 

Equity / index contracts

 

 

 

 

 

 

Options (OTC)

 

350

 

350

 

81'926

 

 

 

 

 

 

 

Equities

 

 

 

 

 

 

Forward contracts

 

0

 

0

 

27'822

 

 

 

 

 

 

 

Total derivative financial instruments in the trading portfolio

 

195'815

 

247'877

 

17'203'482

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivative financial instruments for hedging purposes

 

 

 

 

 

 

Interest rate contracts

 

 

 

 

 

 

Interest rate swaps (fair value hedge)

 

2'071

 

7'687

 

747'565

 

 

 

 

 

 

 

Total derivative financial instruments for hedging purposes

 

2'071

 

7'687

 

747'565

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total derivative financial instruments

 

197'886

 

255'564

 

17'951'047

The LLB Group employs fair value hedge accounting for interest rate risks on fixed-rate instruments. For this purpose, it uses interest rate swaps. The following tables show information on the nominal value (contract volumes), the replacement values and the ineffectiveness of the positions in hedge accounting;

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Carrying value of hedging instrument

 

 

 

 

in CHF thousands

 

Nominal value of hedging instrument

 

Assets

 

Liabilities

 

Balance sheet position of hedging instrument

 

Fair value change to measurement of ineffective hedge

31.12.2018

 

 

 

 

 

 

 

 

 

 

Fair value hedge

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

286'282

 

2'071

 

 

 

197'886

 

633

Interest rate swaps

 

461'282

 

 

 

7'687

 

255'564

 

5'892

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Carrying value of underlying transaction

 

Cumulative total from fair value adjustments of the underlying transaction

 

Balance sheet position of underlying transaction

 

Fair value change to measurement of ineffective hedge

in CHF thousands

 

Assets

 

Liabilities

 

Assets

 

Liabilities

 

 

 

 

31.12.2018

 

 

 

 

 

 

 

 

 

 

 

 

Fair value hedge

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage loans

 

11'119'861

 

 

 

565

 

 

 

12'852'541

 

5'452

Medium-term notes

 

 

 

1'236'362

 

 

 

67

 

1'236'362

 

347

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in CHF thousands

 

Ineffectiveness recognised in the income statement

 

Income statement position

31.12.2018

 

 

 

 

Fair value hedge

 

 

 

 

Interest rate risk

 

–347

 

–49'357