Barclays 2006 Annual Report Download - page 244

Notes to the accounts
For the year ended 31st December 2006
Barclays PLC
Annual Report 2006
240
53 Interest rate risk (continued)
As at 31st December 2005 (continued)
Over Over Over
three six Over three Over
Not months months one year years five years
more but not but not but not but not but not Trading
than more more more more more Over portfolio Non-
three than six than one than three than five than ten ten and interest
months months year years years years years derivatives bearing Total
£m £m £m £m £m £m £m £m £m £m
Liabilities
Deposits from other banks 69,837 2,418 1,000 243 264 9 165 – 1,191 75,127
Items in course of
transmission due to
other banks 117 16 ––––––2,208 2,341
Customer accounts 191,633 6,948 4,038 2,917 1,119 845 581 – 30,603 238,684
Trading portfolio liabilities –––––––71,564 – 71,564
Financial liabilities
designated at fair value:
– held on own account 8,127 3,497 7,243 3,016 3,308 5,629 2,557 – 8 33,385
– liabilities to customers
under investment contracts ––––––––85,201 85,201
Derivative financial
instruments –––––––137,971 – 137,971
Debt securities in issue 82,044 5,187 1,981 4,890 2,463 206 6,557 – – 103,328
Repurchase agreements
and cash collateral on
securities lent 106,389 7,186 2,994 431 – – 4,170 – 8 121,178
Subordinated liabilities 3,909 459 97 955 500 2,688 3,738 – 117 12,463
Total financial liabilities 462,056 25,711 17,353 12,452 7,654 9,377 17,768 209,535 119,336 881,242
Non-financial liabilities ––––––––18,685 18,685
Total liabilities 462,056 25,711 17,353 12,452 7,654 9,377 17,768 209,535 138,021 899,927
Interest rate repricing gap (80,225) 13,939 5,131 24,115 7,149 4,459 11,209
Cumulative gap (80,225) (66,286) (61,155) (37,040) (29,891) (25,432) (14,223)
Not more than three months includes instruments at floating interest rates.
Expected repricing and maturity dates do not differ significantly from the contract dates, except for:
•Trading Portfolio Assets and Liabilities, which may not be held to maturity as part of the Group’s trading strategies. For these instruments,
which are mostly held by Barclays Capital, liquidity and repricing risk is managed through the Daily Value at Risk (DVaR) methodology, see
Note 52 for more information.
•Retail deposits which are repayable on demand or at short notice form a stable base for the Group’s operations and liquidity needs because of
the broad base of customers – numerically and by depositor type.
Effective interest rates
Weighted average effective interest rates were as follows:
2006 2005
As at 31st December %%
Assets
Cash and balances at central banks 4.1 3.1
Loans and advances to banks 4.1 3.5
Loans and advances to customers 6.5 4.5
Available for sale financial instruments 4.6 4.2
Reverse repurchase agreements and cash collateral on securities borrowed 4.2 3.4
Liabilities
Deposits from other banks 4.3 3.6
Customer accounts 3.4 2.5
Debt securities in issue 5.0 4.5
Repurchase agreements and cash collateral on securities lent 4.2 3.1
Subordinated liabilities 5.9 5.6