26. DERIVATIVES
(1) | Derivative assets and derivative liabilities are as follows (Unit: Korean Won in millions): |
December 31, 2016 | ||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||
Notional amount |
Fair value hedge |
For trading |
Fair value hedge |
For trading |
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Interest rate: |
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Futures |
54,785 | — | — | — | — | |||||||||||||||
Swaps |
118,582,511 | 139,832 | 470,057 | 7,013 | 509,686 | |||||||||||||||
Purchase options |
860,000 | — | 21,172 | — | — | |||||||||||||||
Written options |
1,035,000 | — | — | — | 21,863 | |||||||||||||||
Currency: |
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Futures |
493,733 | — | — | — | — | |||||||||||||||
Forwards |
62,539,094 | — | 1,265,852 | — | 1,015,380 | |||||||||||||||
Swaps |
39,782,049 | — | 1,022,969 | — | 1,221,959 | |||||||||||||||
Purchase options |
1,120,949 | — | 42,126 | — | — | |||||||||||||||
Written options |
907,211 | — | — | — | 8,589 | |||||||||||||||
Equity: |
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Futures |
926,392 | — | — | — | — | |||||||||||||||
Swaps |
15,000 | — | 92 | — | 88 | |||||||||||||||
Purchase options |
3,007,969 | 745 | 73,261 | — | — | |||||||||||||||
Written options |
4,460,233 | — | — | 208 | 228,900 | |||||||||||||||
Others: |
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Futures |
5,105 | — | — | — | — | |||||||||||||||
Swaps |
7,918 | — | 2,645 | — | 2,331 | |||||||||||||||
Purchase options |
8,307 | — | 121 | — | — | |||||||||||||||
Written options |
64,352 | — | — | — | 1,181 | |||||||||||||||
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Total |
233,870,608 | 140,577 | 2,898,295 | 7,221 | 3,009,977 | |||||||||||||||
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December 31, 2017 | ||||||||||||||||||||||||||||
Assets | Liabilities | |||||||||||||||||||||||||||
Nominal amount |
For cash flow hedge |
For fair value hedge |
For trading |
For cash flow hedge |
For fair value hedge |
For trading |
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Interest rate: |
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Futures |
75,845 | — | — | — | — | — | — | |||||||||||||||||||||
Swaps |
130,197,378 | — | 59,272 | 223,935 | — | 12,103 | 253,972 | |||||||||||||||||||||
Purchase options |
630,000 | — | — | 12,346 | — | — | — | |||||||||||||||||||||
Written options |
795,000 | — | — | — | — | — | 12,869 | |||||||||||||||||||||
Currency: |
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Futures |
318,217 | — | — | — | — | — | — | |||||||||||||||||||||
Forwards |
72,526,956 | — | — | 1,314,369 | — | — | 1,375,799 | |||||||||||||||||||||
Swaps |
48,176,306 | — | — | 1,352,924 | 55,651 | — | 1,347,905 | |||||||||||||||||||||
Purchase options |
2,291,154 | — | — | 64,267 | — | — | — | |||||||||||||||||||||
Written options |
4,038,237 | — | — | — | — | — | 58,687 | |||||||||||||||||||||
Equity: |
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Futures |
91,436 | — | — | — | — | — | — | |||||||||||||||||||||
Swaps |
15,000 | — | — | 103 | — | — | 10 | |||||||||||||||||||||
Purchase options |
5,060,706 | — | — | 146,775 | — | — | — | |||||||||||||||||||||
Written options |
4,504,290 | — | — | — | — | — | 99,770 | |||||||||||||||||||||
Others: |
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Futures |
— | — | — | — | — | — | — | |||||||||||||||||||||
Swaps |
7,805 | — | — | 1,056 | — | — | 1,037 | |||||||||||||||||||||
Purchase options |
— | — | — | — | — | — | — | |||||||||||||||||||||
Written options |
5,000 | — | — | — | — | — | 100 | |||||||||||||||||||||
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Total |
268,733,330 | — | 59,272 | 3,115,775 | 55,651 | 12,103 | 3,150,149 | |||||||||||||||||||||
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Derivatives held for trading purpose are classified into financial assets or liabilities at FVTPL (see Notes 7 and 20) and derivatives for hedging are stated as a separate line item in the consolidated statements of financial position.
(2) | Gains or losses from valuation of financial instruments under hedge accounting are as follows (Unit: Korean Won in millions): |
For the year ended December 31, 2015 |
For the year ended December 31, 2016 |
For the year ended December 31, 2017 |
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Gains or losses from hedged items |
(31,297 | ) | 98,827 | 110,152 | ||||||||
Gains or losses from hedging instruments |
38,021 | (98,851 | ) | (109,447 | ) |
The maximum period that the Group is exposed to cash flow risk arising from the hedging transaction discussed above will be terminated by February 2021.
Among gain (loss) on valuation of derivatives that was included in the accumulated other comprehensive income, 56,676 million Won has been reclassified to loss, before reduction of income tax effect for the year ended December 31, 2017.