15 Derivative financial instruments
Within the scope of balance sheet management, interest rate swaps are concluded to hedge interest rate fluctuation risks. These instruments are fair value hedges. 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.
The LLB Group employs fair value hedge accounting for interest rate risks on fixed-rate instruments. For this purpose it uses interest rate swaps. In the 2016 business year, these had a nominal value of CHF 240 million (31.12.2015: CHF 145 million), as well as a positive replacement value of CHF 1.3 million (31.12.2015: CHF 0.4 million) and a negative replacement value of CHF 2.2 million (31.12.2015: CHF 0.5 million). At the same time, the loss on hedging instruments totalled CHF 0.5 million (2015: profit of CHF 0.7 million) and the profits on the hedged underlying transactions amounted to CHF 0.6 million (2015: loss of CHF 0.6 million).
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Term to maturity within 3 months |
Term to maturity 3 to 12 months |
Term to maturity 1 to 5 years |
Term to maturity after 5 years |
Total |
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in CHF thousands |
PRV |
NRV |
PRV |
NRV |
PRV |
NRV |
PRV |
NRV |
PRV |
NRV |
Total contract volume |
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31.12.2015 |
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Derivative financial instruments in the trading portfolio |
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Interest rate contracts |
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Swaps |
174 |
0 |
1'046 |
2'715 |
0 |
43'572 |
121 |
47'814 |
1'341 |
94'100 |
1'299'482 |
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Forward contracts |
124 |
315 |
26 |
50 |
0 |
0 |
0 |
0 |
150 |
365 |
80'941 |
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Foreign exchange contracts |
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Forward contracts |
46'678 |
43'915 |
8'297 |
7'534 |
339 |
334 |
0 |
0 |
55'314 |
51'783 |
7'918'742 |
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Over the counter (OTC) contracts |
1'357 |
1'357 |
2'425 |
2'425 |
0 |
0 |
0 |
0 |
3'782 |
3'782 |
68'830 |
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Precious metals contracts |
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Forward contracts |
0 |
0 |
17 |
15 |
0 |
0 |
0 |
0 |
17 |
15 |
972 |
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Over the counter (OTC) contracts |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
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Equity / Index contracts |
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Over the counter (OTC) contracts |
1'017 |
1'017 |
0 |
0 |
0 |
0 |
0 |
0 |
1'017 |
1'017 |
136'240 |
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Equities |
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Forward contracts |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
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Total derivative financial instruments in the trading portfolio |
49'350 |
46'604 |
11'811 |
12'739 |
339 |
43'906 |
121 |
47'814 |
61'621 |
151'062 |
9'505'207 |
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Derivative financial instruments for hedging purposes |
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Interest rate contracts |
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Swaps (fair value hedge) |
0 |
0 |
0 |
0 |
0 |
115 |
392 |
415 |
392 |
531 |
145'000 |
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Total derivative financial instruments for hedging purposes |
0 |
0 |
0 |
0 |
0 |
115 |
392 |
415 |
392 |
531 |
145'000 |
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Derivative financial instruments |
49'350 |
46'604 |
11'811 |
12'739 |
339 |
44'021 |
513 |
48'229 |
62'013 |
151'593 |
9'650'207 |
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31.12.2016 |
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Derivative financial instruments in the trading portfolio |
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Interest rate contracts |
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Swaps |
0 |
0 |
0 |
3'662 |
0 |
38'286 |
0 |
36'180 |
0 |
78'128 |
1'121'000 |
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Forward contracts |
21 |
364 |
8 |
696 |
0 |
0 |
0 |
0 |
30 |
1'060 |
72'168 |
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Foreign exchange contracts |
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Forward contracts |
60'524 |
60'500 |
15'834 |
15'153 |
325 |
316 |
0 |
0 |
76'683 |
75'969 |
8'566'840 |
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Over the counter (OTC) contracts |
402 |
402 |
2'613 |
2'613 |
0 |
0 |
0 |
0 |
3'015 |
3'015 |
76'204 |
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Precious metals contracts |
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Forward contracts |
226 |
251 |
0 |
0 |
0 |
0 |
0 |
0 |
226 |
251 |
18'020 |
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Over the counter (OTC) contracts |
0 |
0 |
6 |
6 |
0 |
0 |
0 |
0 |
6 |
6 |
239 |
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Equity / index contracts |
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Over the counter (OTC) contracts |
1'316 |
1'316 |
0 |
0 |
54 |
54 |
0 |
0 |
1'369 |
1'369 |
186'326 |
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Equities |
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Forward contracts |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
13'652 |
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Total derivative financial instruments in the trading portfolio |
62'488 |
62'832 |
18'462 |
22'130 |
379 |
38'656 |
0 |
36'180 |
81'329 |
159'798 |
10'054'450 |
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Derivative financial instruments for hedging purposes |
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Interest rate contracts |
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Swaps (fair value hedge) |
0 |
0 |
0 |
119 |
0 |
68 |
1'279 |
1'990 |
1'279 |
2'178 |
240'000 |
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Total derivative financial instruments for hedging purposes |
0 |
0 |
0 |
119 |
0 |
68 |
1'279 |
1'990 |
1'279 |
2'178 |
240'000 |
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Derivative financial instruments |
62'488 |
62'832 |
18'462 |
22'249 |
379 |
38'724 |
1'279 |
38'171 |
82'607 |
161'976 |
10'294'450 |