ING Bank Śląski | Annual Report 2014

ING BANK ŚLĄSKI

ING BANK ŚLĄSKIAnnual Report 2014

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17. Valuation of derivatives

The below table shows face values for derivatives whose valuation is presented on the assets side (positive valuation) and liabilities side (negative valuation) of the Group’s  consolidated statement of financial position.

end of 2014
  Valuation of derivatives Nominal value of instruments with the period
​remaining to maturity
  Assets Liabilities up to
​3 months
over 3
months and
up to 1 year
over 1 year TOTAL
Interest rate derivatives, of which: 2,154.7 2,164.0 32,182.3 62,910.7 80,808.0 175,901.0
  - Forward rate agreements (FRA) 43.5 45.7 22,628.0 38,400.0 5,675.0 66,703.0
  - Interest rate swaps (IRS) 2,107.6 2,114.8 9,263.8 24,041.3 71,918.6 105,223.7
  - CAP options 3.6 3.5 290.5 469.4 3,214.4 3,974.3
FX derivatives, of which: 253.4 353.7 25,148.5 8,558.7 2,667.6 36,374.8
  - FX contracts (swap, forward) 207.6 207.4 24,512.4 7,979.7 1,455.4 33,947.5
  - CIRS 24.1 107.9 0.0 0.0 839.7 839.7
  - Currency options (purchased) 21.7 0.0 329.1 135.9 132.9 597.9
  - Currency options (sold) 0.0 38.4 307.0 443.1 239.6 989.7
Current off-balance sheet transactions,
of which:
2.1 1.9 5,020.9 0.0 0.0 5,020.9
  - FX operations 1.8 1.9 2,080.7 - - 2,080.7
  - Securities operations 0.3 0.0 2,940.2 - - 2,940.2
Stock market derivatives, of which: 0.0 0.0 11.4 12.8 0.0 24.2
  - Options for stock market (buy) 0.0 0.0 5.7 6.4 0.0 12.1
  - Options for stock market (sold) 0.0 0.0 5.7 6.4 0.0 12.1
Fair value measurement of other financial instruments 2.1 2.0 - - - -
Total 2,412.3 2,521.6 62,363.1 71,482.2 83,475.6 217,320.9

The amount of fair-value measurement of derivatives includes the credit risk value adjustment (for counterparty insolvency) and debt value adjustment (for Group insolvency).

 

end of 2013
  Valuation of derivatives Nominal value of instruments with the period
remaining to maturity
  Assets Liabilities up to
3 months
over 3
months and
up to 1 year
over 1 year TOTAL
Interest rate derivatives, of which: 1,229.4 1,197.9 28,702.1 44,968.5 60,035.1 133,705.7
  - Forward rate agreements (FRA) 9.8 8.8 18,450.1 25,111.5 1,550.0 45,111.6
  - Interest rate swaps (IRS) 1,214.0 1,182.7 9,962.7 19,599.5 55,920.5 85,482.7
  - CAP options 5.6 6.4 289.3 257.5 2,564.6 3,111.4
FX derivatives, of which: 235.9 289.4 16,946.5 8,166.5 432.9 25,545.9
  - FX contracts (swap, forward) 149.3 137.6 16,554.9 7,304.2 380.5 24,239.6
  - CIRS 52.3 98.6 0.0 0.0 0.0 0.0
  - Currency options (purchased) 34.3 0.0 119.5 329.0 26.4 474.9
  - Currency options (sold) 0.0 53.2 272.1 533.3 26.0 831.4
Current off-balance sheet transactions,
of which:
0.5 0.2 5,697.3 0.0 0.0 5,697.3
  - FX operations 0.4 0.2 2,508.8 - - 2,508.8
  - Securities operations 0.1 0.0 3,188.5 - - 3,188.5
Stock market derivatives, of which: 3.6 3.6 211.4 1,028.8 30.0 1,270.2
  - Options for stock market (buy) 3.6 0.0 105.7 514.4 15.0 635.1
  - Options for stock market (sold) 0.0 3.6 105.7 514.4 15.0 635.1
Fair value measurement of other financial instruments 2.0 1.9 - - - -
Total 1,471.4 1,493.0 51,557.3 54,163.8 60,498.0 166,219.1

Embedded derivatives

At the end of 2014 and 2013 the Bank had deposits in PLN with embedded derivatives. Embedded instruments are FX, stock exchange index, commodity market and participation in investment funds options. Valuation of embedded derivatives as per 31 Dec 2014 was PLN +0.5 million against PLN -2.8 million as per 31 Dec 2013.

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