Financial and
ESG report 2020

23a. Hedge accounting

31.12.2020 Par value of instruments with future maturity Fair values
below 3 months from 3 months
to 1 year
from 1 year
to 5 years
above 5 years Total Assets Liabilities
1. Derivative instruments constituting cash flow hedges related to interest rate and/or exchange rate *
CIRS contracts ** 4 214 237 5 833 452 20 482 303 0 (632 447) 21 795 654 242
IRS contracts 0 500 000 2 680 000 0 (45 903) 0 45 903
Kontrakty FXS 2 531 417 0 0 0 (29 116) 0 29 116
2. Derivatives used as interest rate hedges related to interest rates
IRS contracts 0 50 000 0 90 000 (9 588) 0 9 588
3. Total hedging derivatives 6 745 653 6 383 452 23 162 303 90 000 (717 055) 21 795 738 850
* Notional value for double-currency derivatives constitutes the sum of both transactions expressed in PLN.
** The item contains transactions with future settlement date of the value of PLN 10 645 826 thousand, concluded in order to ensure the continuity of the financing portfolio of CHF after the settlement of currently active contracts.

31.12.2019 Par value of instruments with future maturity Fair values
below 3 months from 3 months
to 1 year
from 1 year
to 5 years
above 5 years Total Assets Liabilities
1. Derivative instruments constituting cash flow hedges related to interest rate and/or exchange rate *
CIRS contracts ** 4 056 194 8 053 048 13 103 887 741 250 (380 312) 37 641 417 953
IRS contracts 280 000 475 000 500 000 0 4 732 4 732 0
FXS contracts 706 197 0 0 0 56 786 730
2. Derivatives used as interest rate hedges related to interest rates
IRS contracts 0 0 500 000 90 000 (8 164) 0 8 164
3. Total hedging derivatives 5 042 391 8 528 048 14 103 887 831 250 (383 688) 43 159 426 847
* Notional value for double-currency derivatives constitutes the sum of both transactions expressed in PLN.
** The item contains transactions with future settlement date of the value of PLN 2 741 705 thousand, concluded in order to ensure the continuity of the financing portfolio of CHF after the settlement of currently active contracts.

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