Barclays 2009 Annual Report Download - page 128

126 Barclays PLC Annual Report 2009 www.barclays.com/annualreport09
Risk management
Market risk management
continued
Disclosures about certain trading activities including non-exchange
traded commodity contracts
The Group provides a fully integrated service to clients for base metals,
precious metals, oil, power, natural gas, coal, freight, emission credits,
structured products and other related commodities. This service offering
continues to expand, as market conditions allow, through the addition of
new products and markets.
The Group offers both over the counter (OTC) and exchange-traded
derivatives, including swaps, options, forwards and futures and enters into
physically settled contracts in base metals, power and gas, oil and related
products. Physical commodity positions are held at fair value and reported
under the Trading Portfolio in Note 12 on page 217.
Fair value measurement
The fair values of physical and derivative positions are primarily determined
through a combination of recognised market observable prices, exchange
prices, and established inter-commodity relationships. Further information
on fair value measurement of financial instruments can be found in Note 50
on page 293.
Credit risk
Credit risk exposures are actively managed by the Group. Refer to Note 47
on page 269 for more information on the Group’s approach to credit risk
management and the credit quality of derivative assets.
Fair value of the commodity derivative contracts
The tables below analyse the overall fair value of the OTC commodity
derivative contracts by movement over time and contractual maturity. As at
31st December 2009 the fair value of the commodity derivative contracts
reflects a gross positive fair value of £27,134m (2008: £44,881m) and a
gross negative value of £26,227m (2008: £45,817m).
Movement in fair value 2009 2008
of commodity derivative positions £m £m
Fair value of contracts outstanding
at the beginning of the period (936) 812
Contracts realised or otherwise
settled during the period 1,521 241
Fair value of new contracts entered
into during the period (181) (1,245)
Other changes in fair values 503 (744)
Fair value of contracts outstanding
at the end of the period 907 (936)
Maturity analysis of commodity 2009 2008
derivative fair value £m £m
Not more than one year (75) (2,022)
Over one year but not more than five years 620 999
Over five years 362 87
Total 907 (936)