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.

As at 31 December 2011:
(In mln of Russian Roubles)
    Russian counterparties     Foreign counterparties
  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 and swaps
Сurrency                
– purchase CAD / sale USD - - - - 897 (898) - (1)
– purchase CHF / sale USD - - - - 920 (927) - (7)
– purchase EUR / sale CHF - - - - 4,350 (4,359) - (9)
– purchase EUR / sale RUB 1,060 (1,125) - (65) 2,010 (2,030) 4 (24)
– purchase EUR / sale USD - - - - 163,879 (166,209) 169 (2,499)
– purchase GBP / sale USD - - - - 629 (625) 4 -
– purchase JPY / sale GBP - - - - 175 (175) - -
– purchase JPY / sale USD - - - - 37 (37) - -
– purchase RUB / sale EUR 17 (17) - - 42 (42) - -
– purchase RUB / sale JPY - - - - 257 (266) - (9)
– purchase RUB / sale USD 20,302 (20,904) 51 (653) 195,670 (203,110) 507 (7,947)
– purchase USD / sale EUR - - - - 2,370 (2,298) 74 (2)
– purchase USD / sale RUB 90,780 (88,942) 1,872 (34) 114,647 (109,276) 5,474 (103)
– purchase USD / sale BYR - - - - 2,831 (396) 2,435 -
– purchase EUR / sale BYR - - - - 10,988 (1,909) 9,079 -
– purchase EUR / sale UAH - - - - 20 (20) - -
– purchase USD / sale UAH - - - - 157 (163) - (6)
– purchase USD / sale HKD - - - - 17 (17) - -
– purchase USD / sale KZT - - - - 96 (97) - (1)
– purchase USD / sale SEK - - - - 5 (6) - (1)
– purchase HKD / sale USD - - - - 22 (22) - -
– purchase USD / sale GBP - - - - 427 (429) - (2)
– purchase USD / sale CAD - - - - 3 (3) - -
– purchase USD / sale CHF - - - - 1,037 (867) 170 -
– purchase USD / sale NOK - - - - 1 (1) - -
– purchase SEK / sale USD - - - - 5 (5) - -
Precious metals                
– purchase EUR / sale gold - - - - 1,406 (1,335) 71 -
– purchase gold / sale USD - - - - 16,465 (17,174) 14 (723)
– purchase palladium / sale USD - - - - 10 (10) - -
– purchase platinum / sale USD - - - - 27 (27) - -
– purchase silver / sale USD - - - - 6,365 (7,110) 2 (747)
– purchase USD / sale palladium - - - - 4 (4) - -
– purchase USD / sale platinum - - - - 5 (5) - (0)
– purchase gold / sale BYR - - - - 10,984 (2,736) 8,248 -
Interest rate                
– purchase fixed rate / sale fixed rate 27,706 (26,019) 1,765 (78) - - - -
– purchase fixed rate / sale floating rate 10,622 (10,213) 434 (25) 51,109 (53,184) 1,458 (3,533)
– purchase floating rate / sale fixed rate 222 (217) 14 (9) 42,868 (41,482) 5,843 (4,457)
– purchase floating rate / sale floating rate 643 (646) 3 (6) 139,134 (137,813) 4,936 (3,615)
Securities                
– purchase USD / sale shares - - - - - (2) - (2)
– purchase shares / sale USD - - - - 151 (138) 13 -
– purchase fixed income / sale income on shares - - - - 1,279 (1,071) 208 -
Market indexes                
– purchase index return / sale RUB - - - - 2,585 (2,594) 8 (17)
Commodities                
– purchase RUB / sale Brent - - - - 3 (2) 1 -
– purchase cocoa / sale USD - - - - 1 (1) - -
– purchase cotton / sale USD - - - - 3 (3) - -
Credit Default Swaps                
– purchase fixed rate / sale credit risk - - - - - - 22 -
Options purchased                
Сurrency                
– purchase EUR / sale USD - - - - 4,094 (4,201) 263 -
– purchase RUB / sale USD - - - - 3,728 (3,498) 34 -
– purchase USD / sale EUR - - - - - - - -
– purchase USD / sale RUB 7 (7) 11 - 4,394 (4,436) 217 -
– purchase EUR / sale RUB - - - - 896 (644) - -
– purchase RUB / sale EUR - - - - 833 (830) 4 -
Precious metals                
– purchase gold / sale USD - - - - 243 (337) 1 -
– purchase RUB / sale gold - - - - - - - -
– purchase silver / sale USD - - - - 99 (162) - -
– purchase USD / sale gold - - - - 356 (476) 2 -
Equity                
– purchase RUB / sale shares 9,604 (9,824) 5,129 - - - - -
– purchase shares / sale RUB 87 (42) 45 - 595 (2,323) - -
– purchase shares / sale USD - - - - 2,255 (2,912) 57 -
– purchase USD / sale shares - - - - 1,490 (1,305) 271 -
Debt                
– purchase RUB / sale debt (5,302) (4,721) - (581) - - - -
Options sold                
Сurrency                
– purchase EUR / Sale USD - - - - - - - -
– purchase RUB / Sale USD 9 (10) - (16) 4,950 (4,813) - (340)
– purchase USD / Sale EUR - - - - 4,245 (4,131) - (289)
– purchase USD / Sale RUB - - - - 2,900 (2,942) - (96)
– purchase EUR / Sale RUB - - - - 830 (833) - (4)
– purchase RUB / Sale EUR - - - - 833 (896) - -
Precious metals                
– purchase gold / sale USD - - - - 76 (58) - -
– purchase RUB / sale gold - - - - - - - -
– purchase silver / sale USD - - - - - - - -
– purchase USD / sale gold - - - - - - - -
Securities                
– purchase shares / sale USD - - - - 556 (700) - (182)
– purchase USD / sale shares - - - - 2,037 (1,439) - (36)
Futures                
Сurrency - - - - - - - -
– purchase RUB / sale USD 2,835 (2,835) - - 1,960 (1,960) 199 (421)
– purchase USD / sale RUB 7,133 (7,133) - - 21,078 (21,078) 2,058 -
– purchase EUR / sale USD - - - - - - - -
– purchase EUR / sale RUB 16 (16) - - - - - -
Precious metals                
– purchase USD / sale gold 15 (15) - - 35 (35) 23 -
– purchase gold / sale USD 52 (52) - - - - - -
– purchase platinum / sale USD - - - - 9 (9) - -
– purchase USD / sale platinum 9 (9) - - - - - -
– purchase silver / sale USD - - - - 72 (72) - (7)
– purchase USD / sale silver 73 (73) - - - - - -
Interest rate                
– purchase Interest / Sale RUB 19 (19) - - 486 (486) - -
– purchase RUB / Sale Interest 10,852 (10,852) - - 23 (23) - -
– purchase Interest / Sale USD - - - - 4,797 (4,797) 9 (2)
– purchase USD / Sale Interest - - - - 55,409 (55,409) - (112)
Securities                
– purchase RUR / sale shares 1,284 (1,284) - - - - - -
– purchase shares / sale RUR 173 (173) - - - - - -
– purchase OFZ / sale RUR 71 (71) - - - - - -
Market indexes                
– purchase USD / sale index return - - - - 324 (324) - (2)
– purchase UAH / sale index return - - - - 142 (142) - -
– purchase RUB / sale index return 24 (24) - - - - - -
– purchase index return / sale RUB 10,987 (10,987) - - - - - -
Commodities                
– purchase RUB / sale brent 184 (184) - - - - - -
– purchase brent / sale RUB 22 (22) - - - - - -
– purchase cocoa / sale USD - - - - 1 (1) - -
– purchase USD/ sale brent - - - - 58 (58) 2 -
– purchase cotton / sale USD - - - - 3 (3) - -
– purchase rough rice / sale USD - - - - 2 (2) - -
– purchase sugar / sale USD - - - - 33 (33) - (2)
– purchase RUB / sale sugar 33 (33) - - - - - -
Total 189,539 (196,469) 9,324 (1,467) 893,733 (880,246) 41,880 (25,198)
In mln of Russian Roubles Notes 2011 2010
    Asset pledged Related liability Asset pledged Related liability
Securities pledged under repurchase agreements 11 301,001 258,953 81,493 67,323
Investment securities available for sale 12 1,320 1,154 - -
Total   302,321 260,107 81,493 67,323

During the year the Group has incurred a net gain on foreign currency derivatives in the amount of RR 2 612 mln (2010: a net loss of RR 9 175 mln) and earned a net gain on precious metals derivatives in the amount of RR 6 521 mln (2010: a net gain of RR 679 mln), 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, and net gains arising from operations with precious metals and precious metals derivatives correspondingly.

    History

My Annual Report

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