10 Derivatives

In CHF million  31.12.0831.12.0731.12.0831.12.0731.12.0831.12.07
 
Fair value
assets

Fair value
assets

Fair value
liabilities

Fair value
liabilities
Contract/
notional
amount
Contract/
notional
amount
 
Currency derivatives 
Forward contracts  9861748615842 88734 984
Swaps  1630591 474803
Options (exchange-traded)  1217983 0001 000
Total currency derivatives  1 12321124315847 36136 787
 
Interest rate derivatives 
Forward rate agreements  1447
Swaps  05810483905 464
Options (exchange-traded)  8251 193
Other  30172605
Total interest rate derivatives  115836482 2026 069
 
Equity/index derivatives 
Forward contracts  281624261 898
Futures  16888
Options (exchange-traded)  140152803 5822 974
Total equity/index derivatives  169313644 4964 872
 
Other derivatives 
Credit derivatives  7161312120
Derivatives embedded in insurance contracts  011010
Derivatives for the account and risk of the Swiss Life Group's customers   6 60 – 0 42 192
Other  3387302400530
Total other derivatives  46163313764852
 
Total derivatives  1 34946334621354 82348 580
 
of which derivatives designated and accounted for as hedging instruments 
Derivatives designated as fair value hedges  544916121 5506 493


Derivatives held for trading

Derivatives held for trading primarily comprise derivatives that share a risk with other financial instruments and give rise to opposite changes in fair value that tend to offset each other (“economic hedges”).

To manage the risks associated with derivative trading, the Group establishes risk levels and monitors these exposures. Exposure to price risk on both derivatives and their underlyings is managed in accordance with risk limits set by management for buying or selling instruments or closing out positions. The risks arise from open positions in interest rates, currencies and equity instruments, all of which are exposed to general and specific market movements. The risks that the Group primarily faces due to the nature of its investments and liabilities are interest rate risk and equity price risk.

Derivatives designated and accounted for as hedging instruments

Derivatives designated and accounted for as hedging instruments primarily comprise derivatives associated with fair value hedges and cash flow hedges that qualify for hedge accounting.

Derivatives designated as fair value hedges

In CHF million  31.12.0831.12.0731.12.0831.12.0731.12.0831.12.0731.12.0831.12.0731.12.0831.12.07
 

Fair value
assets


Fair value
assets


Fair value
liabilities


Fair value
liabilities
Gains/
losses
on hedging
instruments
Gains/
losses
on hedging
instruments
Gains/
losses
on hedged
items
Gains/
losses
on hedged
items

Contract/
notional
amount

Contract/
notional
amount
Interest rate swaps  341–30–245302454471 628
Currency forward contracts  5415151220921–209–211 1034 865
Total derivatives designated as fair value hedges   54 49 16 12 179 –224 –179 224 1 550 6 493


In 2008 and 2007 the Group entered into interest rate swaps to hedge the available-for-sale fixed-rate bond portfolios in USD and EUR against changes in the fair value attributable to interest rate risk. The fair value of the bond portfolios as at 31 December 2008 was CHF 0.4 billion in total (2007: available-for-sale fixed-rate bond portfolios in USD and EUR totalling CHF 1.6 billion).

Forward contracts are used as hedging instruments to protect investments in hedge funds against adverse movements in EUR and USD exchange rates.

 
Back