GENERAL MEETING DRAFT - Bankier.pl

431
>> Consolidated Financial Statements
Part E – Information on risks and related risk management policies
A.4 Financial derivates: gross negative fair value - breakdown by product (� '000)
Portfolios/Derivative instrument types
Amounts as at
12.31.2009
Over the
counter
Negative fair value
Clearing
House
Amounts as at
12.31.2008
Over the
counter
Clearing
House
A. Regulatory trading portfolio 72,172,893 5,683,084 91,285,073 8,887,463
a) Options 13,625,238 5,678,636 19,514,782 8,772,781
b) Interest rate swaps 46,794,865 - 47,035,246 1
c) Cross currency swap 6,717,234 - 10,717,943 1,975
d) Equity swaps 492,205 - 1,012,206 -
e) Forward 3,776,635 - 11,710,263 5
f) Futures - 4,448 164 13,642
g) Others 766,716 - 1,294,469 99,059
B. Banking portfolio - Hedging derivatives 3,859,859 - 6,291,733 1,453,972
a) Options 216,588 - 100,210 -
b) Interest rate swaps 3,275,484 - 5,301,645 -
c) Cross currency swap 203,427 - 220,679 -
d) Equity swaps 37,330 - 21,698 -
e) Forward 127,030 - 635,163 -
f) Futures - - - -
g) Others - - 12,338 1,453,972
C. Banking portfolio - Other derivatives 674,955 - 1,315,004 33,735
a) Options 406,278 - 747,688 -
b) Interest rate swaps 252,721 - 52,772 -
c) Cross currency swap 8,530 - 1,396 -
d) Equity swaps - - - -
e) Forward 6,217 - 322 -
f) Futures - - - -
g) Others 1,209 - 512,826 33,735
Total 76,707,707 5,683,084 98,891,810 10,375,170
This table presents distribution by product of the negative financial derivatives’ fair values in accordance with regulatory classification applied by any
separate Legal Entity belonging to the Banking Group only.
A.5 OTC Financial derivatives: regulatory trading portfolio - notional amounts, positive and negative gross fair value
by counterparty - contracts not included in netting agreement
Amounts as at 12.31.2009
Contracts not included in netting
agreement
Governments
and Central
Banks
Other
public-sector
entities Banks
Financial
companies
Insurance
companies
Non-financial
companies
(� '000)
Other
entities
1) Debt securities and interest
rate indexes
- notional amount 94,798 15,407,594 91,421,664 114,465,537 5,956,003 62,044,675 5,131,208
- positive fair value 508 921,618 1,552,511 1,768,411 81,681 2,882,946 49,831
- negative fair value - 1,122,311 2,345,699 1,446,450 104,983 300,510 2,579
- future exposure 683 195,633 690,045 285,724 18,437 536,338 40,207
2) Equity instruments
and stock indexes
- notional amount - 79,909 5,788,388 8,269,330 3,185,622 778,670 729,971
- positive fair value - 2,427 1,018,202 535,310 584 28,305 1,427
- negative fair value - 1,326 972,832 620,157 10,881 31,632 135,663
- future exposure - 53,439 1,859,967 4,528,226 345,117 12,741 4,388
3) Gold and currencies
- notional amount 2,730,131 1,324,038 70,136,526 11,391,612 1,640,955 13,733,120 2,041,029
- positive fair value 70,560 16,854 1,045,474 216,424 402 554,753 41,266
- negative fair value 20,236 95,243 614,270 428,861 7,893 239,970 3,519
- future exposure 24,710 48,270 676,164 200,470 12,371 306,294 41,613
4) Other instruments
- notional amount - 7,734 315,894 109,028 - 1,018,486 41,188
- positive fair value - - 5,750 4,987 - 49,687 906
- negative fair value - 297 10,751 72,753 - 6,710 1,204
- future exposure - 3,040 166,407 54,994 - 46,432 2,112
Tables A.5, A.6, A.7 e A.8 refer to to OTC derivatives’ contracts belonging to Banking Group Legal Entities (excluded those contracts negotiated within
listed markets and supported by margining process thus overriding counterparty risks exposure)