6.4 Derivative financial instruments (assets and liabilities)
Breakdown by contract type
Trading instruments | Hedging instruments | |||||||||||
Amounts in 1,000 Swiss francs | Positive replacement values | Negative replacement values | Contract volume | Positive replacement values | Negative replacement values | Contract volume | ||||||
Interest rate instruments | 38,283 | 46,294 | 2,051,788 | 116,840 | 142,283 | 11,664,310 | ||||||
Forward contracts including FRAs | 0 | 0 | 0 | 0 | 0 | 0 | ||||||
Swaps | 38,283 | 46,294 | 2,030,803 | 116,840 | 142,283 | 11,664,310 | ||||||
Tom Next Indexed Swaps (TOIS) | 0 | 0 | 0 | 0 | 0 | 0 | ||||||
Caps / Floors / Collars | 0 | 0 | 0 | 0 | 0 | 0 | ||||||
Options (OTC) | 0 | 0 | 0 | 0 | 0 | 0 | ||||||
Options (exchange-traded) | 0 | 0 | 0 | 0 | 0 | 0 | ||||||
Futures | 0 | 0 | 20,985 | 0 | 0 | 0 | ||||||
Foreign exchange / precious metals | 37,774 | 31,614 | 8,611,132 | 0 | 0 | 0 | ||||||
Forward contracts | 36,238 | 30,831 | 8,397,563 | 0 | 0 | 0 | ||||||
Combined interest rate / currency swaps | 0 | 0 | 0 | 0 | 0 | 0 | ||||||
Futures | 0 | 0 | 0 | 0 | 0 | 0 | ||||||
Options (OTC) | 1,536 | 783 | 213,568 | 0 | 0 | 0 | ||||||
Options (exchange-traded) | 0 | 0 | 0 | 0 | 0 | 0 | ||||||
Equity securities / indices | 65,888 | 175,107 | 3,211,996 | 0 | 0 | 0 | ||||||
Forward contracts | 0 | 0 | 0 | 0 | 0 | 0 | ||||||
Swaps | 0 | 0 | 0 | 0 | 0 | 0 | ||||||
Futures | 0 | 0 | 2,082 | 0 | 0 | 0 | ||||||
Options (OTC) | 57,696 | 40,087 | 1,827,380 | 0 | 0 | 0 | ||||||
Options (exchange-traded) | 8,192 | 135,021 | 1,382,534 | 0 | 0 | 0 | ||||||
Credit derivatives | 114 | 1,174 | 36,894 | 0 | 0 | 0 | ||||||
Credit default swaps | 114 | 1,174 | 36,894 | 0 | 0 | 0 | ||||||
Total return swaps | 0 | 0 | 0 | 0 | 0 | 0 | ||||||
First-to-default swaps | 0 | 0 | 0 | 0 | 0 | 0 | ||||||
Other credit derivatives | 0 | 0 | 0 | 0 | 0 | 0 | ||||||
Other derivative financial instruments | 473 | 473 | 4,232 | 0 | 0 | 0 | ||||||
Forward contracts | 0 | 0 | 0 | 0 | 0 | 0 | ||||||
Swaps | 0 | 0 | 0 | 0 | 0 | 0 | ||||||
Futures | 0 | 0 | 0 | 0 | 0 | 0 | ||||||
Options (OTC) | 0 | 0 | 0 | 0 | 0 | 0 | ||||||
Options (exchange-traded) | 473 | 473 | 4,232 | 0 | 0 | 0 | ||||||
Total before netting agreements | 142,532 | 254,662 | 13,916,041 | 116,840 | 142,283 | 11,664,310 | ||||||
of which, determined using a valuation model | 133,867 | 119,168 | – | 116,840 | 142,283 | – | ||||||
Previous year | 274,104 | 293,896 | 13,652,134 | 142,436 | 187,050 | 10,663,453 | ||||||
of which, determined using a valuation model | 263,057 | 190,382 | – | 142,436 | 187,050 | – | ||||||
Positive replacement values | Negative replacement values | Contract volume | ||||||||||
Total after netting agreements | 89,613 | 176,627 | 25,580,351 | |||||||||
Previous year | 174,381 | 190,445 | 24,315,587 | |||||||||
FRA = Forward rate agreement
OTC = Over the counter
RV = Replacement values
Breakdown by counterparty
Amounts in 1,000 Swiss francs | Central clearing houses | Banks and securities firms | Other customers | |||
Positive replacement values (after netting agreements) | 271 | 7,787 | 81,555 | |||
Previous year | 0 | 54,489 | 119,891 |