Investor Presentaiton
NOTES TO THE GROUP CONSOLIDATED FINANCIAL STATEMENTS
FOR THE YEAR ENDED 31 DECEMBER 2021
35
A. Derivatives held for risk management
The table below shows the positive and negative fair values of derivative financial instruments, together with the notional amounts analysed by the term to maturity.
The notional amount is the amount of a derivative's underlying asset, reference rate or index and is the basis upon which changes in the value of derivatives are
measured. The notional amounts indicate the volume of transactions outstanding at year-end and are neither indicative of the market risk nor credit risk.
31 December 2021 notional amounts by term to maturity
DERIVATIVES
67
EMIRATES NBD BANK PJSC - GROUP CONSOLIDATED FINANCIAL STATEMENTS - FOR THE YEAR ENDED 31 DECEMBER 2021
68
Positive
fair value
AED 000
Negative
fair value
AED 000
Notional
amount
Within 3
months
AED 000
AED 000
Over 3
months
to 1 year
AED 000
Over 1 year
to 3 years
AED 000
Over 3 years
to 5 years
AED 000
Over 5 years
AED 000
Derivatives held for trading:
Forward foreign exchange contracts
Foreign exchange options
Interest rate swaps/caps
Commodity options
2,142,481
37,110
7,914,734
38,693
10,133,018
(1,458,166)
(19,760)
(6,449,639)
269,347,059
1,893,060
484,834,455
(38,708) 1,020,200
(7,966,273) 757,094,774
161,826,589
1,059,083
45,455,049
186,344
208,527,065
77,373,217
24,824,851
4,862,058
460,344
345,905
80,667,671
648,764
159,035,557
161,496
141,775,625
185,092
166,947,064
10,210
126,784,706
316,366
90,151,404
131,656,974 90,928,114
Derivatives held as cash flow hedges:
Interest rate swaps
238,462
(121,895) 29,221,176
6,218,187
7,308,105 4,769,661
8,217,356 2,707,867
Derivatives held as fair value hedges:
Interest rate swaps
287,445
(1,088,283) 30,004,652
1,382,532
412,667
5,325,231
6,776,742 16,107,480
Derivatives held as hedge of a net
investment in foreign operations:
Forward foreign exchange contracts
Total
10,658,925
(9,870)
(9,186,321)
452,876
816,773,478 216,127,784
452,876
167,209,205
177,041,956
146,651,072
109,743,461
Hedging instruments are issued to hedge against interest rate and foreign exchange risks pertaining to hedged items. Hedged items include certain Loans and
receivables amounting to AED 13,569 million (note 12), Investment securities amounting to AED 5,897 million (note 11), customer deposits amounting to
AED 11,823 million (note 17) and Debt issued and borrowed funds amounting to AED 27,937 million (note 18). All the hedges were determined to be effective
as on 31 December 2021.
The hedged forecast cash flows which are expected to occur over the future years and are expected to affect profit or loss are insignificant.
NOTES TO THE GROUP CONSOLIDATED FINANCIAL STATEMENTS
FOR THE YEAR ENDED 31 DECEMBER 2021
35
DERIVATIVES (CONTINUED)
A. Derivatives held for risk management (continued)
31 December 2020 notional amounts by term to maturity
Derivatives held for trading:
Positive
Negative
fair value
AED 000
fair value
AED 000
Notional
amount
AED 000
Within 3
months
AED 000
Over 3
months
Over 1 year
Over 3 years
to 1 year
AED 000
to 3 years
AED 000
to 5 years
Over 5 years
AED 000
AED 000
Forward foreign exchange contracts
1,824,632
Foreign exchange options
23,029
Interest rate swaps/caps
9,854,841
Commodity options
18,117
11,720,619
(1,435,225) 284,477,968
(28,850) 5,000,963
(8,343,567) 437,154,696
(18,508) 1,052,878
(9,826,150) 727,686,505
185,325,169
3,807,260
43,250,310
74,488
232,457,227
68,300,374 25,946,875
436,641 276,106
84,381,622 119,865,584
508,469
469,921
153,627,106 146,558,486 103,716,966 91,326,720
4,533,446
64,878
99,118,642
372,104
416,078
90,538,538
Derivatives held as cash flow hedges:
Interest rate swaps
549,448
(106,004) 40,741,351 7,806,808 13,797,719 8,169,901 6,003,404 4,963,519
Derivatives held as fair value hedges:
Interest rate swaps
1,427,332
(804,474) 26,699,467
35,620
615,838 4,814,034 5,365,134 15,868,841
بنك الإمارات دبي الوطني
Emirates NBD
Derivatives held as hedge of a net
investment in foreign operations:
Forward foreign exchange contracts
Total
(38,603)
520,792
13,697,399 (10,775,231) 795,648,115 240,299,655
520,792
168,561,455 159,542,421
115,085,504 112,159,080
Hedging instruments are issued to hedge against interest rate and foreign exchange risks pertaining to hedged items. Hedged items include certain Loans and
receivables amounting to AED 12,805 million (note 12), Investment securities amounting to AED 6,486 million (note 11), customer deposits amounting to
AED 21,907 million (note 17) and Debt issued and borrowed funds amounting to AED 25,187 million (note 18). All the hedges were determined to be effective
as on 31 December 2020.
The hedged forecast cash flows which are expected to occur over the future years and are expected to affect profit or loss are insignificant.View entire presentation