33 Derivative Financial Instruments
Foreign exchange and other derivative financial instruments entered into by the Group are generally traded in an over-the-counter market with professional market counterparties. Derivatives have potentially favourable (assets) or unfavourable (liabilities) conditions as a result of fluctuations in market interest rates, foreign exchange rates or other variables relative to their terms. Fair value of derivative financial assets and liabilities can fluctuate significantly from time to time.
Fair value of forward contracts is calculated as present value of amounts receivable less present value of amounts payable. The inputs in the discounted cash flows model used are forward exchange rate quotations and quoted implied depo rates. Such instruments are classified as level 2 of fair value hierarchy.Refer to Note 34.
Fair value of option contracts is calculated using the Black-Scholes model. Adjustments for credit risk are made where appropriate. The main inputs of this model are current market price and implied volatility. Where these inputs could be observed on the open market, the carrying amounts are disclosed as level 2 of fair value hierarchy. Otherwise, the amounts are disclosed as level 3. Refer to Note 34.
The table reflects gross positions before the netting of any counterparty positions (and payments) and covers the contracts with settlement dates after the respective reporting date. The contracts are short term in nature.
Domestic counterparties | Foreign counterparties | |||||||
---|---|---|---|---|---|---|---|---|
As at 31 December 2010: (in millions of Russian Roubles) | Principal or agreed amount at fair value of assets receivable | Principal or agreed amount at fair value of assets payable | Assets Positive fair value | Liabilities Negative fair value | Principal or agreed amount at fair value of assets receivable | Principal or agreed amount at fair value of assets payable | Assets Positive fair value | Liabilities Negative fair value |
Forwards | ||||||||
Currency | ||||||||
- purchase EUR/sale CHF | - | - | - | - | 2,040 | (2,461) | - | (421) |
- purchase EUR/sale RUR | 286 | (283) | 3 | - | - | - | - | - |
- purchase EUR/sale USD | 194 | (197) | - | (3) | 146,888 | (145,614) | 1,613 | (339) |
- purchase RUR/sale USD | 9,952 | (9,872) | 96 | (16) | 95,008 | (94,062) | 1,119 | (173) |
- purchase USD/sale RUR | 14,932 | (15,061) | 20 | (149) | 24,740 | (25,065) | 10 | (335) |
- purchase USD/sale BYR | - | - | - | - | 2,867 | (2,862) | 59 | (54) |
- purchase UAH/sale USD | - | - | - | - | 1,723 | (1,725) | - | (2) |
- purchase USD/sale UAH | - | - | - | - | 305 | (305) | - | - |
- purchase BYR/sale USD | - | - | - | - | 124 | (122) | 2 | - |
Precious metals | ||||||||
- purchase precious metals/sale RUR | 255 | (253) | 2 | - | - | - | - | - |
- purchase precious metals/sale USD | - | - | - | - | 19,173 | (18,361) | 814 | (2) |
- purchase USD/sale precious metals | - | - | - | - | 1,584 | (1,575) | 9 | - |
Options purchased | ||||||||
Currency | ||||||||
- purchase EUR / sale RUR | 242 | (250) | 5 | - | 403 | (415) | 3 | - |
- purchase RUR / sale EUR | - | - | - | - | 415 | (403) | 10 | - |
- purchase RUR / sale USD | - | - | - | - | 534 | (518) | 16 | - |
- purchase USD / sale RUR | 152 | (158) | 2 | - | 1,432 | (1,534) | 6 | - |
Equity | ||||||||
- purchase shares / sale RUR | - | - | - | - | 1,277 | (2,323) | 81 | - |
- purchase shares / sale USD | - | - | - | - | 1,048 | (660) | 400 | - |
- purchase RUR / sale shares | 7,227 | (4,265) | 3,377 | |||||
- purchase USD / sale shares | 10,179 | (6,430) | 1,596 | - | - | - | - | - |
Options sold | ||||||||
Currency | ||||||||
- purchase EUR / sale RUR | - | - | - | - | 403 | (432) | - | (2) |
- purchase RUR / sale EUR | - | - | - | - | 402 | (403) | - | (4) |
- purchase RUR/sale USD | - | - | - | - | 1,966 | (1,981) | - | (24) |
- purchase USD/sale RUR | 9 | (9) | - | (15) | 1,067 | (1,115) | - | (6) |
Interest rate swaps | ||||||||
- receive fixed rate / pay floating rate | 494 | (480) | 14 | - | 27 | (28) | - | (1) |
- receive floating rate / pay fixed rate | - | - | - | - | 432 | (439) | - | (7) |
Total | 43,922 | (37,258) | 5,115 | (183) | 303,858 | (302,403) | 4,142 | (1,370) |
Domestic counterparties | Foreign counterparties | |||||||
---|---|---|---|---|---|---|---|---|
As at 31 December 2009: (in millions of Russian Roubles) | Principal or agreed amount at fair value of assets receivable | Principal or agreed amount at fair value of assets payable | Assets Positive fair value | Liabilities Negative fair value | Principal or agreed amount at fair value of assets receivable | Principal or agreed amount at fair value of assets payable | Assets Positive fair value | Liabilities Negative fair value |
Forwards | ||||||||
Foreign currency | ||||||||
- purchase EUR/sale CHF | - | - | - | - | 2,126 | (2,198) | - | (72) |
- purchase EUR/sale RUR | 217 | (217) | - | - | - | - | - | - |
- purchase EUR/sale USD | - | - | - | - | 242,352 | (251,734) | 79 | (9,461) |
- purchase JPY/sale USD | - | - | - | - | 63 | (64) | - | (1) |
- purchase RUR/sale EUR | 237 | (237) | - | - | - | - | - | - |
- purchase RUR/sale USD | 7,384 | (7,484) | - | (100) | 32,317 | (32,441) | 265 | (389) |
- purchase USD/sale EUR | - | - | - | - | 1,410 | (1,406) | 4 | - |
- purchase USD/sale RUR | 1,849 | (1,837) | 39 | (27) | 3,637 | (3,507) | 131 | - |
- purchase EUR/sale BYR | - | - | - | - | 1,615 | (1,241) | 375 | - |
- purchase USD/sale BYR | - | - | - | - | 1,600 | (1,572) | 29 | - |
Precious metals | ||||||||
- purchase precious metals/sale USD | 18,272 | (18,609) | (337) | |||||
- purchase USD/sale precious metals | - | - | - | - | 335 | (337) | - | (2) |
Options purchased | ||||||||
Foreign currency | ||||||||
- purchase USD/sale RUR | - | - | - | - | 302 | (311) | 15 | - |
Equity | ||||||||
- purchase shares/ sale RUR | - | - | - | - | 818 | (2,323) | 97 | - |
- purchase shares/ sale USD | - | - | - | - | 1,474 | (3,115) | 691 | - |
- purchase USD/sale shares | - | - | - | - | 5,824 | (381) | 2,240 | - |
Options sold | ||||||||
Foreign currency | ||||||||
- purchase RUR/sale USD | - | - | - | - | 2,430 | (2,420) | - | (200) |
- purchase RUR/sale EUR | 70 | (65) | - | - | - | - | - | - |
Total | 9,757 | (9,840) | 39 | (127) | 314,575 | (321,659) | 3,926 | (10,462) |
During the year the Group has incurred a net loss on foreign currency derivatives in the amount of RR 9 175 million (2009: a net loss of RR 12 135 million) and earned net gainon precious metals derivatives in the amount of RR 679 million (2009: a net gain of RR 1082 million), which is recorded in the Group's consolidated income statement within net gains arising from trading in foreign currencies, operations with foreign currency derivatives and foreign exchange translation gains, and net gains/(losses) arising from operations with precious metals and precious metals derivatives correspondingly.