31.12.2016 | Positive | Negative | Contract |
|---|---|---|---|
in CHF 1,000 | replacement values | replacement values | volumes |
Interest-rate instruments |
|
|
|
Forward contracts |
|
|
|
Swaps | 568 | 21,497 | 314,198 |
Futures |
|
| 50,537 |
Options (OTC) |
|
|
|
Options (exchange-traded) |
|
|
|
Total interest rate instruments 31.12.2016 | 568 | 21,497 | 364,735 |
|
|
|
|
Foreign currencies |
|
|
|
Forward contracts | 3,516 | 8,674 | 480,617 |
Combined interest rate/currency swaps | 39,188 | 25,237 | 4,516,904 |
Futures |
|
|
|
Options (OTC) | 220 | 220 | 18,646 |
Options (exchange-traded) |
|
|
|
Total foreign currencies 31.12.2016 | 42,924 | 34,131 | 5,016,167 |
|
|
|
|
Equity securities/indices |
|
|
|
Forward contracts |
|
|
|
Futures |
|
| 4,384 |
Options (OTC) |
|
|
|
Options (exchange-traded) |
| 331 | 8,465 |
Total equity securities/indices 31.12.2016 | 0 | 331 | 12,849 |
|
|
|
|
Precious metals |
|
|
|
Forward contracts |
|
|
|
Swaps | 56 | 1,068 | 33,584 |
Options (OTC) | 151 | 151 | 10,044 |
Options (exchange-traded) |
|
|
|
Total precious metals 31.12.2016 | 207 | 1,219 | 43,628 |
|
|
|
|
Total derivative financial instruments 31.12.2016 | 43,699 | 57,178 | 5,437,379 |
The fair value of derivative financial instruments without market value is arrived at by recognised valuation models. These models take account of the relevant parameters such as contract specifications, the market price of the underlying security, the yield curve and volatility.
31.12.2015 | Positive | Negative | Contract |
|---|---|---|---|
in CHF 1,000 | replacement values | replacement values | volumes |
Interest-rate instruments |
|
|
|
Forward contracts |
|
|
|
Swaps |
| 26,152 | 276,775 |
Futures |
|
| 60,245 |
Options (OTC) |
|
|
|
Options (exchange-traded) |
|
|
|
Total interest rate instruments 31.12.2015 | 0 | 26,152 | 337,020 |
|
|
|
|
Foreign currencies |
|
|
|
Forward contracts | 6,603 | 8,898 | 885,008 |
Combined interest rate/currency swaps | 28,365 | 16,224 | 3,621,898 |
Futures |
|
|
|
Options (OTC) | 1,456 | 1,430 | 177,875 |
Options (exchange-traded) |
|
|
|
Total foreign currencies 31.12.2015 | 36,424 | 26,552 | 4,684,781 |
|
|
|
|
Equity securities/indices |
|
|
|
Forward contracts |
|
|
|
Futures |
|
| 2,918 |
Options (OTC) |
|
|
|
Options (exchange-traded) |
| 159 | 7,903 |
Total equity securities/indices 31.12.2015 | 0 | 159 | 10,821 |
|
|
|
|
Precious metals |
|
|
|
Forward contracts |
|
|
|
Swaps | 87 |
| 4,443 |
Options (OTC) | 372 | 372 | 31,838 |
Options (exchange-traded) |
|
|
|
Total precious metals 31.12.2015 | 459 | 372 | 36,281 |
|
|
|
|
Total derivative financial instruments 31.12.2015 | 36,883 | 53,235 | 5,068,903 |