2005 Annual Report Julius Baer Holding Ltd. - GAM Holding AG
2005 Annual Report Julius Baer Holding Ltd. - GAM Holding AG
2005 Annual Report Julius Baer Holding Ltd. - GAM Holding AG
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Notes<br />
28 Derivative financial instruments<br />
Year ended 31 December <strong>2005</strong><br />
Derivatives held for trading<br />
118 JULIUS BAER GROUP<br />
Contract/ Fair values Fair values<br />
Notional amount Assets Liabilities<br />
CHF m CHF m CHF m<br />
Foreign exchange derivatives<br />
Forward contracts 57505.2 618.2 626.4<br />
Futures 1018.0 1.3 -<br />
Options (OTC) 16654.5 232.2 223.8<br />
Total foreign exchange derivatives 31.12.<strong>2005</strong> 75177.7 851.7 850.2<br />
Total foreign exchange derivatives 31.12.2004 75086.0 1311.5 1233.9<br />
Interest rate derivatives<br />
Forward contracts 216.1 1.4 1.2<br />
Swaps 2857.9 16.5 19.1<br />
Futures 203.5 0.2 0.7<br />
Options (OTC) 171.8 0.4 0.3<br />
Options traded - - -<br />
Total interest rate derivatives 31.12.<strong>2005</strong> 3449.3 18.5 21.3<br />
Total interest rate derivatives 31.12.2004 12358.9 23.4 24.3<br />
Precious metals<br />
Forward contracts 216.0 8.1 0.6<br />
Futures 39.4 - 1.5<br />
Options (OTC) 1531.1 120.2 132.6<br />
Total precious metals derivatives 31.12.<strong>2005</strong> 1786.5 128.3 134.7<br />
Total precious metals derivatives 31.12.2004 759.8 9.6 24.2<br />
Equity/indices derivatives<br />
Futures 263.3 0.8 0.2<br />
Options (OTC) 5458.6 309.4 286.6<br />
Options traded 2090.6 24.8 95.0<br />
Total equity/indices derivatives 31.12.<strong>2005</strong> 7812.5 335.0 381.8<br />
Total equity/indices derivatives 31.12.2004 <strong>2005</strong>.9 63.2 88.1<br />
Other<br />
Futures 19.5 - 2.9<br />
Total other derivatives 31.12.<strong>2005</strong> 19.5 - 2.9<br />
Total other derivatives 31.12.2004 - - -<br />
Total derivatives held for trading 31.12.<strong>2005</strong> 88245.5 1333.5 1390.9<br />
Total derivatives held for trading 31.12.2004 90210.6 1407.7 1370.5
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