17 Derivative financial instruments
audited information

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. First-class Swiss banks 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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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

Total
contract

PRV:

Positive replacement value.

NRV:

Negative replacement value.

in CHF thousands

PRV

NRV

PRV

NRV

PRV

NRV

PRV

NRV

PRV

NRV

volume

31.12.2009

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

 

 

 

 

 

 

 

 

 

Trading swaps

3'065

0

3'853

2'263

18'602

7'768

1'975

9'079

27'495

19'110

1'146'099

Fair value hedge

0

0

0

0

8'239

1'821

0

1'798

8'239

3'619

305'000

Forward contracts

27

6

2

21

0

0

0

0

29

27

11'390

 

 

 

 

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

 

 

 

 

 

 

 

 

 

 

Forward contracts

34'323

33'868

15'607

14'823

12

11

0

0

49'942

48'702

4'911'343

Over the counter (OTC) contracts

14'381

14'381

18'832

18'832

0

0

0

0

33'213

33'213

555'060

 

 

 

 

 

 

 

 

 

 

 

 

Precious metals contracts

 

 

 

 

 

 

 

 

 

 

 

Forward contracts

9

8

522

516

0

0

0

0

531

524

29'865

Over the counter (OTC) contracts

49

49

205

205

0

0

0

0

254

254

3'777

 

 

 

 

 

 

 

 

 

 

 

 

Equity/index contracts

 

 

 

 

 

 

 

 

 

 

 

Over the counter (OTC) contracts

9'222

9'222

0

0

0

0

0

0

9'222

9'222

101'760

Total derivative financial instruments

61'076

57'534

39'021

36'660

26'853

9'600

1'975

10'877

128'925

114'671

7'064'294

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

31.12.2008

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

 

 

 

 

 

 

 

 

 

Trading swaps

1'148

409

2'772

191

24'420

7'911

1'191

6'714

29'531

15'225

1'507'199

Fair value hedge

0

269

0

0

7'435

2'001

0

500

7'435

2'770

335'922

Forward contracts

0

0

0

0

0

0

0

0

0

0

0

 

 

 

 

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

 

 

 

 

 

 

 

 

 

 

Forward contracts

91'547

91'438

21'740

21'022

117

108

0

0

113'404

112'568

3'783'437

Over the counter (OTC) contracts

20'722

20'722

34'672

34'672

0

0

0

0

55'394

55'394

1'151'498

 

 

 

 

 

 

 

 

 

 

 

 

Precious metals contracts

 

 

 

 

 

 

 

 

 

 

 

Forward contracts

1'767

1'731

2'916

2'891

0

0

0

0

4'683

4'622

173'843

Over the counter (OTC) contracts

39

39

263

263

0

0

0

0

302

302

6'076

 

 

 

 

 

 

 

 

 

 

 

 

Equity/index contracts

 

 

 

 

 

 

 

 

 

 

 

Over the counter (OTC) contracts

2'125

2'125

0

0

0

0

0

0

2'125

2'125

32'891

Total derivative financial instruments

117'348

116'733

62'363

59'039

31'972

10'020

1'191

7'214

212'874

193'006

6'990'866