23. Nominal amounts of instruments underlying hedging instruments and other derivative instruments
Annual Report
2019
2019
|
NOMINAL AMOUNTS OF UNDERLYING HEDGING INSTRUMENTS (BUY AND SELL TOGETHER) |
||||||
| 31.12.2019 | up to 1 month | 1 to 3 months | 3 months to 1 year | 1 to 5 years | over 5 years | Total |
| IRS | 7 204 | 40 152 | 187 598 | 206 124 | 39 435 | 480 513 |
| Purchase | 3 602 | 20 076 | 93 799 | 103 062 | 19 718 | 240 257 |
| Sale | 3 602 | 20 076 | 93 799 | 103 062 | 19 717 | 240 256 |
| CIRS | 1 386 | 406 | 4 248 | 70 580 | 7 554 | 84 174 |
| Purchase | 694 | 191 | 2 019 | 38 160 | 3 772 | 44 836 |
| Sale | 692 | 215 | 2 229 | 32420 | 3 782 | 39 338 |
| FX Swap | 21 328 | 8 336 | 13 663 | 5 211 | – | 48 538 |
| Purchase of currencies | 10 659 | 4 161 | 6 846 | 2 639 | – | 24 305 |
| Sale of currencies | 10 669 | 4175 | 6 817 | 2 572 | – | 24 233 |
| Opcje | 6 263 | 12 743 | 37 545 | 11 845 | 1 | 68 397 |
| Purchase | 3 108 | 6432 | 18 576 | 5 849 | – | 33 965 |
| Sale | 3 155 | 6 311 | 18 969 | 5 996 | 1 | 34 432 |
| FRA | – | – | 22 211 | 1 000 | – | 23 211 |
| Purchase | – | – | 12 397 | 500 | – | 12 897 |
| Sale | – | – | 9 814 | 500 | – | 10 314 |
| Forward | 7 601 | 13 160 | 24 650 | 12 634 | – | 58 045 |
| Purchase of currencies | 3 795 | 6 588 | 12 316 | 6 305 | – | 29 004 |
| Sale of currencies | 3 806 | 6 572 | 12 334 | 6 329 | – | 29 041 |
| Other (including on stock exchange indices | 824 | 1 348 | 1 924 | 614 | – | 4 710 |
| Purchase | 518 | 683 | 962 | 307 | – | 2 470 |
| Sale | 306 | 665 | 962 | 307 | – | 2 240 |
| Total | 44 606 | 76 145 | 291 839 | 308 008 | 46 990 | 767 588 |
|
NOMINAL AMOUNTS OF UNDERLYING HEDGING INSTRUMENTS (BUY AND SELL TOGETHER) |
||||||
| 31.12.2018 | up to 1 month | 1 to 3 months | 3 months to 1 year | 1 to 5 years | over 5 years | Total |
| IRS | 21 512 | 13 904 | 94 288 | 192 674 | 35 386 | 357 764 |
| Purchase | 10 756 | 6 952 | 47 144 | 96 337 | 17 693 | 178 882 |
| Sale | 10 756 | 6 952 | 47 144 | 96 337 | 17 693 | 178 882 |
| CIRS | – | – | 9 540 | 36 754 | 22 527 | 68 821 |
| Purchase | – | – | 4 717 | 20 680 | 13 377 | 38 774 |
| Sale | – | – | 4 823 | 16 074 | 9 150 | 30 047 |
| FX Swap | 22 811 | 6 905 | 4 142 | 5 048 | – | 38 906 |
| Purchase of currencies | 11 408 | 3 461 | 2 093 | 2 575 | – | 19 537 |
| Sale of currencies | 11 403 | 3 444 | 2 049 | 2 473 | – | 19 369 |
| Opcje | 3 573 | 7 068 | 27 893 | 8 925 | 122 | 47 581 |
| Purchase | 1 809 | 3 363 | 12 759 | 4 502 | 61 | 22 494 |
| Sale | 1 764 | 3 705 | 15 134 | 4 423 | 61 | 25 087 |
| FRA | – | – | 20 853 | 2 700 | – | 23 553 |
| Purchase | – | – | 11 120 | 1 200 | – | 12 320 |
| Sale | – | – | 9 733 | 1 500 | – | 11 233 |
| Forward | 4 513 | 10 600 | 20 762 | 12 309 | 5 | 48 189 |
| Purchase of currencies | 2 251 | 5 292 | 10 324 | 6 137 | 4 | 24 008 |
| Sale of currencies | 2 262 | 5 308 | 10 438 | 6 172 | 1 | 24 181 |
| Other (including on stock exchange indices | 265 | 457 | 1 229 | 1 177 | – | 3 128 |
| Purchase | 126 | 229 | 620 | 590 | – | 1 565 |
| Sale | 139 | 228 | 609 | 587 | – | 1 563 |
| Razem | 52 674 | 38 934 | 178 707 | 259 587 | 58 040 | 587 942 |
|
NOMINAL VALUE OF HEDGING INSTRUMENTS BY MATURITY AS AT 31 DECEMBER 2019 |
up to 1 month | from 1 to 3 months | from 3 months to 1 year |
from 1 to 5 years | over 5 years | Total |
| Cash flow hedges | ||||||
| Hedges of interest rate risk | ||||||
| IRS PLN fixed – float | 500 | 4 700 | 25 492 | 10 031 | 60 | 40 783 |
| IRS EUR fixed – float (original currency) | – | – | 700 | 524 | – | 1 224 |
| IRS CHF fixed – float (original currency) | – | – | – | 400 | – | 400 |
| Hedges of foreign exchange and interest rate risks | ||||||
| CIRS float CHF/float PLN | ||||||
| float CHF | – | 50 | 425 | 750 | 25 | 1 250 |
| float PLN | – | 169 | 1 456 | 2 811 | 88 | 4 524 |
| CIRS fixed USD/float CHF | ||||||
| fixed USD | – | – | – | 875 | – | 875 |
| float CHF | – | – | – | 817 | – | 817 |
| CIRS float EUR/float PLN | ||||||
| float EUR | 25 | – | – | 75 | – | 100 |
| float PLN | 108 | – | – | 329 | – | 437 |
| CIRS float PLN/fixed EUR | ||||||
| float PLN | – | – | – | 2 964 | – | 2 964 |
| fixed EUR | – | – | – | 699 | – | 699 |
| CIRS fixed EUR/float CHF | ||||||
| fixed EUR | – | – | – | 2 301 | – | 2 301 |
| float CHF | – | – | – | 2 567 | – | 2 567 |
| Fair value hedges | ||||||
| Hedges of interest rate risk | ||||||
| IRS USD fixed – float (original currency) | – | – | – | 134 | – | 134 |
| IRS EUR fixed – float (original currency) | – | – | – | 209 | 48 | 257 |
|
NOMINAL VALUE OF HEDGING INSTRUMENTS BY MATURITY AS AT 31 DECEMBER 2018 |
up to 1 month | from 1 to 3 months | from 3 months to 1 year |
from 1 to 5 years | over 5 years | Total |
| Cash flow hedges | ||||||
| Hedges of interest rate risk | ||||||
| IRS PLN fixed – float | – | 300 | 25 492 | 9 985 | 60 | 11 575 |
| IRS EUR fixed – float (original currency) | – | – | – | 499 | 25 | 524 |
| IRS CHF fixed – float (original currency) | – | – | – | 400 | – | 400 |
| Hedges of foreign exchange and interest rate risks | ||||||
| CIRS float CHF/float PLN | ||||||
| float CHF | – | – | 650 | 1 225 | 25 | 1 900 |
| float PLN | – | – | 2 378 | 4 436 | 88 | 6 902 |
| CIRS fixed USD/float CHF | ||||||
| fixed USD | – | – | – | 875 | – | 875 |
| float CHF | – | – | – | 818 | – | 818 |
| CIRS float EUR/float PLN | ||||||
| float EUR | – | – | 25 | 100 | – | 125 |
| float PLN | – | – | 109 | 437 | – | 546 |
| CIRS float PLN/fixed EUR | ||||||
| float PLN | – | – | – | – | 2 101 | 2 101 |
| fixed EUR | – | – | – | – | 499 | 499 |
| CIRS fixed EUR/float CHF | ||||||
| fixed EUR | – | – | – | 1 302 | 500 | 1 802 |
| float CHF | – | – | – | 1 424 | 577 | 2 001 |
| Fair value hedges | ||||||
| Hedges of interest rate risk | ||||||
| IRS EUR fixed – float (original currency) | – | – | – | 91 | 12 | 103 |