Annual Report 2012 - Bank Sarasin
Annual Report 2012 - Bank Sarasin
Annual Report 2012 - Bank Sarasin
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2.19 Derivative financial instruments<br />
CHF 000<br />
31.12.<strong>2012</strong><br />
31.12.2011<br />
Positive Negative Notional amount Positive Negative Notional amount<br />
replacement replacement replacement replacement<br />
value value value value<br />
Interest rate instruments<br />
Forward contracts 0 0 0 0 0 0<br />
Swaps 8,704 27,912 1,506,851 50,997 73,036 2,214,158<br />
Futures 0 0 0 0 0 0<br />
Options (OTC) 0 0 0 0 0 0<br />
Options (exchange traded) 0 0 0 0 0 0<br />
Total interest rate instruments 8,704 27,912 1,506,851 50,997 73,036 2,214,158<br />
- of which interest rate swaps as fair value hedges 652 10,053 204,499 289 8,812 223,564<br />
Foreign exchange<br />
Forward contracts 12,191 11,535 1,566,895 54,838 71,462 2,259,456<br />
Combined interest / currency swaps 65,443 35,183 7,845,264 47,207 56,338 6,319,091<br />
Futures 0 0 0 0 0 0<br />
Options (OTC) 17,528 17,549 3,131,485 38,730 36,244 5,732,920<br />
Options (exchange traded) 0 0 0 0 0 0<br />
Total foreign exchange 95,162 64,267 12,543,644 140,775 164,044 14,311,467<br />
Equities / indices<br />
Forward contracts 0 0 0 0 0 0<br />
Futures 0 0 3,008 311 583 300,265<br />
Options (OTC) 34,206 35,401 1,273,369 302,654 150,709 1,789,027<br />
Options (exchange traded) 10,616 14,160 309,570 15,137 38,503 518,927<br />
Total equities / indices 44,822 49,561 1,585,947 318,102 189,795 2,608,219<br />
Precious metals / commodities<br />
Forward contracts 243 238 25,896 1,164 1,668 73,528<br />
Swaps 612 511 27,817 30 0 0<br />
Futures 0 0 0 0 0 0<br />
Options (OTC) 2,513 2,539 229,509 17,597 16,210 1,412,389<br />
Options (exchange traded) 0 0 0 0 0 0<br />
Total precious metals 3,368 3,288 283,222 18,791 17,878 1,485,917<br />
Total derivative financial instruments 152,056 145,028 15,919,664 528,665 444,753 20,619,761<br />
The <strong>Sarasin</strong> Group is applying fair value hedge accounting by using interest rate swaps to hedge its exposure to market fluctuations in the fixed-rate and variable-rate loan and mortgage market.<br />
Their fair value, recognised as positive and negative replacement values, amount to CHF 0.7 million (2011: CHF 0.3 million) and CHF 10.1 million (2011: CHF 8.8 million) with a notional amount<br />
of CHF 204.5 million (2011: CHF 223.6 million).<br />
Hedging instruments generated a loss of CHF 0.9 million (previous year: CHF 8.4 million), while in the same period the hedged items yielded a gain of CHF 1.1 million (previous year: CHF 8.3 million).<br />
<strong>Bank</strong> <strong>Sarasin</strong> & Co. Ltd, <strong>Annual</strong> <strong>Report</strong> <strong>2012</strong> | 46
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