Financial and
ESG report 2020

18e. Financial assets and liabilities held for trading – Valuation of derivatives, Adjustment from fair value hedge and Short positions as at:

31.12.2020 Par value of instruments with future maturity Fair value
below
3 months
from 3 months
to 1 year
from 1 year
to 5 years
above
5 years
Total Assets Liabilities
1. Interest rate derivatives 994 077 2 071 597 8 491 695 84 901 21 976 35 184 13 208
Forward Rate Agreements (FRA) 0 800 000 0 0 133 133 0
Interest rate swaps (IRS) 980 584 1 191 375 7 853 343 84 901 21 839 34 966 13 127
Other interest rate contracts: options 13 493 80 221 638 352 0 4 85 81
2. FX derivatives* 12 851 396 4 301 888 649 597 0 28 085 98 631 70 547
FX contracts 2 597 635 1 693 617 433 337 0 19 095 34 360 15 265
FX swaps 10 253 760 2 608 272 216 259 0 8 990 64 271 55 282
Other FX contracts (CIRS) 0 0 0 0 0 0 0
FX options 0 0 0 0 0 0 0
3. Embedded instruments 252 018 707 315 408 113 0 (19 559) 0 19 559
Options embedded in deposits 201 333 625 428 408 113 0 (17 815) 0 17 815
Options embedded in securities issued 50 685 81 887 0 0 (1 744) 0 1 744
4. Indexes options 364 733 633 269 456 015 0 19 911 20 373 462
Total 14 462 223 7 714 069 10 0054 20 84 901 50 413 154 188 103 775
Valuation of hedged position in fair value hedge accounting 0 0
Liabilities from short sale of debt securities 64 778
*Notional value for double-currency derivatives constitutes the sum of both transactions expressed in PLN.

31.12.2019 Par value of instruments with future maturity Fair value
below
3 months
from 3 months
to 1 year
from 1 year
to 5 years
above
5 years
Total Assets Liabilities
1. Interest rate derivatives 649 552 1 068 646 5 417 947 155 998 9 642 28 109 18 467
Forward Rate Agreements (FRA) 0 0 0 0 0 0 0
Interest rate swaps (IRS) 649 552 1 028 690 5 166 479 155 998 9 639 28 028 18 389
Other interest rate contracts: options 0 39 956 251 468 0 3 81 78
2. FX derivatives* 8 180 367 2 116 434 508 826 0 (48 269) 18 036 66 305
FX contracts 1 996 321 720 150 200 038 0 (15 946) 3 128 19 074
FX swaps 6 184 046 961 812 308 788 0 (28 682) 14 241 42 923
Other FX contracts (CIRS) 0 434 472 0 0 (3 641) 667 4 308
FX options 0 0 0 0 0 0 0
3. Embedded instruments 170 881 1 050 773 812 187 0 (60 944) 1 284 62 228
Options embedded in deposits 164 966 927 283 677 865 0 (55 654) 0 55 654
Options embedded in securities issued 5 915 123 490 134 322 0 (5 290) 1 284 6 574
4. Indexes options 359 682 1 103 193 683 430 0 61 294 64 253 2 959
Total 9 360 482 5 339 046 7 422 390 155 998 (38 277) 111 682 149 959
Valuation of hedged position in fair value hedge accounting 803 776
Liabilities from short sale of debt securities 202 265

 

*Notional value for double-currency derivatives constitutes the sum of both transactions expressed in PLN.

 

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