Derivative instruments used by the Group
The Bank and the other Group entities use various types of derivatives in order to manage risk involved in its business activities. The most frequently used types of derivatives in the Group’s activity are: IRS, CIRS, FX Swap, FRA, Options, Forwards. The remaining Group’s subsidiaries may enter into transactions in derivatives exclusively for the purpose of hedging against the risk resulting from their core activities.
As at 31 December 2014 and as at 31 December 2013, the Group held the following types of derivative instruments:
| 31.12.2014 | 31.12.2013 | |||
|---|---|---|---|---|
| Assets | Liabilities | Assets | Liabilities | |
| Hedging instruments | 599,841 | 494,961 | 361,639 | 414,804 |
| Other derivative instruments | 4,894,981 | 5,050,180 | 2,639,221 | 2,913,407 |
| Total | 5,494,822 | 5,545,141 | 3,000,860 | 3,328,211 |
| Type of contract | 31.12.2014 | 31.12.2013 | ||
|---|---|---|---|---|
| Assets | Liabilities | Assets | Liabilities | |
| IRS | 4,591,519 | 4,439,830 | 2 ,90,721 | 2,490,821 |
| CIRS | 340,972 | 616,841 | 252,941 | 545,073 |
| FX Swap | 227,857 | 237,542 | 39,908 | 156,393 |
| Options | 185,366 | 133,912 | 75,443 | 61,930 |
| FRA | 59,078 | 63,505 | 13,652 | 11,454 |
| Forward | 89,113 | 52,838 | 24,552 | 60,143 |
| Other | 917 | 673 | 3,643 | 2,397 |
| Total | 5,494,822 | 5,545,141 | 3,000,860 | 3,328,211 |
Derivative financial instruments - nominal value of underlying instruments and fair value of derivative financial instruments
31 December 2014
| Nominal values of underlying instruments | ||||||
|---|---|---|---|---|---|---|
| up to 1 month | 1 - 3 months | 3 months - 1 year | 1 - 5 years | over 5 years | Total | |
| Currency transactions | ||||||
| FX swap | 33,083,683 | 5,081,541 | 6,685,243 | 1,956 | - | 44,852,423 |
| Purchase of currency | 16,567,911 | 2,549,927 | 3,300,566 | 972 | - | 22,419,376 |
| Sale of currency | 16,515,772 | 2,531,614 | 3,384,677 | 984 | - | 22,433,047 |
| FX forward | 1,923,619 | 3,856,935 | 5,868,067 | 2,492,142 | - | 14,140,763 |
| Purchase of currency | 961,724 | 1,931,692 | 2,929,934 | 1,248,425 | - | 7,071,775 |
| Sale of currency | 961,895 | 1,925,243 | 2,938,133 | 1,243,717 | - | 7,068,988 |
| Options | 1,674,263 | 1,685,847 | 5,169,592 | 9,643,722 | - | 18,173,424 |
| Purchase | 839,372 | 838,616 | 2,579,685 | 4,784,088 | - | 9,041,761 |
| Sale | 834,891 | 847,231 | 2,589,907 | 4,859,634 | - | 9,131,663 |
| Cross Currency (CIRS) | 2,667,659 | - | 9,081,656 | 19,181,620 | 19,870,929 | 50,801,864 |
| Purchase | 1,330,822 | - | 4,434,648 | 9,513,434 | 10,032,464 | 25,311,368 |
| Sale | 1,336,837 | - | 4,647,008 | 9,668,186 | 9,838,465 | 25,490,496 |
| Interest rate transactions | ||||||
| Interest Rate Swap (IRS) | 15,563,390 | 27,969,212 | 99,850,642 | 241,827,138 | 39,423,204 | 424,633,586 |
| Purchase | 7,781,695 | 13,984,922 | 49,925,893 | 120,913,987 | 19,711,602 | 212,318,099 |
| Sale | 7,781,695 | 13,984,290 | 49,924,749 | 120,913,151 | 19,711,602 | 212,315,487 |
| Forward Rate Agreement (FRA) | 21,823,000 | 22,975,000 | 47,575,000 | 10,850,000 | - | 103,223,000 |
| Purchase | 11,544,000 | 9,605,000 | 22,200,000 | 5,725,000 | - | 49,074,000 |
| Sale | 10,279,000 | 13,370,000 | 25,375,000 | 5,125,000 | - | 54,149,000 |
| Other transactions | ||||||
| Other (of which stock market index derivatives) | 3,274,082 | 130 246 | 1,672,853 | 1,035,139 | - | 6,112,320 |
| Purchase | 1,296,588 | 67 802 | 662,743 | 552,384 | - | 2,579,517 |
| Sale | 1,977,494 | 62 444 | 1,010,110 | 482,755 | - | 3,532,803 |
| Total derivative instruments | 80,009,696 | 61 698 781 | 175,903,053 | 285,031,717 | 59,294,133 | 661,937,380 |
| Nominal values of underlying instruments | |||||||
| up to 1 month | 1 - 3 months | 3 months - 1 year | 1 - 5 years | over 5 years | Total | ||
|---|---|---|---|---|---|---|---|
| Currency transactions | |||||||
| FX swap | 9,114,776 | 621,348 | 2,413,223 | - | - | 12,149,347 | |
| Purchase of currency | 4,539,899 | 299,874 | 1,170,424 | - | - | 6,010,197 | |
| Sale of currency | 4,574,877 | 321,474 | 1,242,799 | - | - | 6,139,150 | |
| FX forward | 2,020,788 | 2,202,576 | 3,397,762 | 479,550 | - | 8,100,676 | |
| Purchase of currency | 1,008,082 | 1,099,414 | 1,682,174 | 233,773 | - | 4,023,443 | |
| Sale of currency | 1,012,706 | 1,103,162 | 1,715,588 | 245,777 | - | 4,077,233 | |
| Options | 1,454,808 | 1,201,679 | 4,126,364 | 1,024,474 | - | 7,807,325 | |
| Purchase | 730,276 | 589,870 | 2,023,539 | 508,731 | - | 3,852,416 | |
| Sale | 724,532 | 611,809 | 2,102,825 | 515,743 | - | 3,954,909 | |
| Cross Currency (CIRS) | 1,490,674 | 1,354,330 | 2,462,933 | 25,246,228 | 9,914,523 | 40,468,688 | |
| Purchase | 745,837 | 678,010 | 1,236,520 | 12,567,095 | 4,924,105 | 20,151,567 | |
| Sale | 744,837 | 676,320 | 1,226,413 | 12,679,133 | 4,990,418 | 20,317,121 | |
| Interest rate transactions | |||||||
| Interest Rate Swap (IRS) | 19,499,684 | 28,960,018 | 74,498,472 | 213,739,652 | 23,776,104 | 360,473,930 | |
| Purchase | 9,749,842 | 14,480,009 | 37,249,236 | 106,869,826 | 11,888,052 | 180,236,965 | |
| Sale | 9,749,842 | 14,480,009 | 37,249,236 | 106,869,826 | 11,888,052 | 180,236,965 | |
| Forward Rate Agreement (FRA) | - | - | 49,114,000 | 3,100,000 | - | 52,214,000 | |
| Purchase | - | - | 26,063,000 | 1,100,000 | - | 27,163,000 | |
| Sale | - | - | 23,051,000 | 2,000,000 | - | 25,051,000 | |
| Other transactions | |||||||
| Other (of which stock market index derivatives) | 5,456,692 | 111,580 | 489,039 | 1,424,298 | - | 7,481,609 | |
| Purchase | 2,497,383 | 87,915 | 259,177 | 769,506 | - | 3,613,981 | |
| Sale | 2,959,309 | 23,665 | 229,862 | 654,792 | - | 3,867,628 | |
| Total derivative instruments | 39,037,422 | 34,451,531 | 136,501,793 | 245,014,202 | 33,690,627 | 488,695,575 | |