Barclays 2009 Annual Report Download - page 222

220 Barclays PLC Annual Report 2009 www.barclays.com/annualreport09
Notes to the accounts
For the year ended 31st December 2009
continued
14 Derivative financial instruments continued
The fair values and notional amounts of derivative instruments held for risk management are set out in the following table:
Year ended 31st December
Derivatives held for trading 2009 2008
Notional Notional
contract Fair value contract Fair value
amount Assets Liabilities amount Assets Liabilities
£m £m £m £m £m £m
Derivatives designated as cash flow hedges
Currency swaps –––586 – (271)
Interest rate swaps 79,241 478 (494) 60,669 1,013 (1,011)
Equity options –––400 – (154)
OTC options bought and sold 673 2 – –––
Forward foreign exchange 2,224 237 (51) 1,871 309 (354)
Exchange traded interest rate swaps 33,534 – – 20,028 – –
Derivatives designated as cash flow hedges 115,672 717 (545) 83,554 1,322 (1,790)
Derivatives designated as fair value hedges
Currency swaps 502 10 – 2,666 283 (105)
Interest rate swaps 12,199 357 (459) 14,010 1,052 (357)
Equity options 7,710 53 (56) 259 124 (110)
Forward foreign exchange 5,386 18 (103) –––
Exchange traded interest rate swaps 32,257 – – 18,767 – –
Derivatives designated as fair value hedges 58,054 438 (618) 35,702 1,459 (572)
Derivatives designated as hedges of net investments
Forward foreign exchange 5,321 22 (97) 2,019 4 (76)
Currency swaps 971 – (137) 3,675 21 (1,563)
Derivatives designated as hedges of net investment 6,292 22 (234) 5,694 25 (1,639)
Derivative assets/(liabilities) held for risk management 180,018 1,177 (1,397) 124,950 2,806 (4,001)
Interest rate derivatives, designated as cash flow hedges, primarily hedge the exposure to cash flow variability from interest rates of variable rate loans to
banks and customers, variable rate debt securities held and highly probable forecast financing transactions and reinvestments.
Interest rate derivatives designated as fair value hedges primarily hedge the interest rate risk of fixed rate borrowings in issue, fixed rate loans to banks and
customers and investments in fixed rate debt securities held.
Currency derivatives are primarily designated as hedges of the foreign currency risk of net investments in foreign operations.
The Group’s total derivative asset and liability position as reported on the balance sheet is as follows:
Year ended 31st December 2009 2008
Notional Notional
contract Fair value contract Fair value
amount Assets Liabilities amount Assets Liabilities
£m £m £m £m £m £m
Total derivative assets/(liabilities) held for trading 39,131,979 415,638 (402,019) 45,740,782 981,996 (964,071)
Total derivative assets/(liabilities) held for risk management 180,018 1,177 (1,397) 124,950 2,806 (4,001)
Derivative assets/(liabilities) 39,311,997 416,815 (403,416) 45,865,732 984,802 (968,072)
Derivative assets and liabilities subject to counterparty netting agreements amounted to £343bn (2008: £862bn). Additionally, the Group held £31bn
(2008: £55bn) of collateral against the net derivative assets exposure.