MAGYAR NEMZETI BANK
4.17 OFF-BALANCE SHEET LIABILITIES AND OTHER SIGNIFICANT OFF-BALANCE SHEET ITEMS OF THE MNB Hedging transactions and derivative transactions for purposes other than hedging HUF millions
31 Dec 2019 No. 1.
Description
Net market Receivables value
Liabilities
Net market value
Liabilities
Interest rate swap transactions
3,122,223
3,122,223
56,719
2,639,105
2,639,105
69,792
- IRS facility of monetary policy (MIRS)
1,099,617
1,099,617
22,390
1,099,617
1,099,617
21,263
919,910
919,910
26,941
358,830
358,830
13,432
97,236
16,969
-342
109,331
22,263
-3
7,116,887
7,122,273
-5,327
8,669,557
8,617,794
48,031
2,499,053
2,503,358
-9,944
1,622,161
1,658,420
-47,508
0
0
0
1,098,676
1,089,970
8,927
4,299,412
4,567,579
-343,523
3,372,710
3,544,754
-217,374
137,649
129,825
11,824
129,511
110,636
22,271
14,635,758 14,829,044
-292,473
14,790,703 14,823,916
-99,554
- IRS contracted with domestic credit institutions 2.
Futures
3.
FX swap, FX futures and forward transactions - Forint liquidity providing FX swaps - EUR liquidity providing FX swaps
4.
Receivables
31 Dec 2020
Currency swap transactions (including transactions without capital replacement) -C urrency swap transactions linked to FGS
5.
Total hedging transaction (1+2+3+4)
6.
Options
999
1,001
1
0
0
0
7.
TBA transactions
72,117
44,995
61
191,077
41,863
705
8.
Futures
260,972
0
-599
94,084
0
-13
9.
Total derivative transactions for purposes other than hedging (6+7+8)
334,088
45,996
-537
285,161
41,863
692
10.
Total (5+9)
14,969,846 14,875,040
-293,010
15,075,864 14,865,779
-98,862
The above table includes all types of off-balance sheet receivables and liabilities arising from derivative transactions; it also includes FX swaps, currency swaps, FX futures and forward transactions for hedging purposes, which are part of the foreign currency position and are recorded in the balance sheet, except for currency swaps without capital movement. Hedging transactions reduce risks related to the net foreign currency position arising from cross-rate fluctuations and from interest rate changes and support the creation of the benchmark foreign currency structure. Nearly one half of the interest rate swap transactions are transactions with foreign partners for hedging purposes linked to specific bond issuance, which are concluded with the aim of achieving the interest structure deemed desirable by the MNB. The tenders of the monetary policy interest rate swaps (MIRS) launched early 2018 were terminated at the end of the same year, the balance at end-2019 remained unchanged at end-2020. Since 2014, related to the self-financing programme, the MNB has concluded interest rate swap transactions with domestic credit institutions to reduce their interest rate risk. The balance of such swaps decreased due to maturities. The aim of bond futures transactions is to reduce the duration of the reserve portfolios; these are hedging transactions maturing within 1 year. FX swap, FX futures and forward transactions are primarily the main instruments for hedging foreign exchange risk, based on expectations related to foreign exchange rate changes; their aim is to achieve the targeted foreign currency position, and their maturity is less than 1 year. Fine-tuning FX swap transactions (forint liquidity providing FX swaps) and EUR liquidity providing FX swaps are for monetary policy purposes; the MNB provides their tenders on an ad hoc basis, depending on liquidity for domestic credit institutions.
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ANNUAL REPORT • 2020