Barclays 2011 Annual Report Download - page 110

The tables below set out the fair values of the derivative assets together with the value of those assets subject to enforceable counterparty netting
arrangements for which the Group holds offsetting liabilities and eligible collateral.
Derivative assets (audited)
Gross
assets
£m
Counterparty
netting
£m
Net
exposure
£m
As at 31 December 2011
Foreign exchange 63,886 53,570 10,316
Interest rate 376,162 315,924 60,238
Credit derivatives 63,313 51,930 11,383
Equity and stock index 13,202 8,944 4,258
Commodity derivatives 22,401 10,224 12,177
Total derivative assets 538,964 440,592 98,372
Cash collateral held 51,124
Net exposure less collateral 47,248
As at 31 December 2010
Foreign exchange 60,494 49,405 11,089
Interest rate 272,386 224,124 48,262
Credit derivatives 47,017 39,786 7,231
Equity and stock index 14,586 10,523 4,063
Commodity derivatives 25,836 16,629 9,207
Total derivative assets 420,319 340,467 79,852
Cash collateral held 37,289
Net exposure less collateral 42,563
Derivative asset exposures would be £492bn (2010: £378bn) lower than reported under IFRS if netting were permitted for assets and liabilities with the
same counterparty or for which we hold cash collateral. Derivative liabilities would be £478bn (2010: £362bn) lower reflecting counterparty netting and
collateral placed.
Exposure relating to derivatives, repurchase agreements, reverse repurchase agreements, stock borrowing and loan transactions is calculated using
internal FSA approved models. These are used as the basis to assess both regulatory capital and capital appetite and are managed on a daily basis.
The methodology encompasses all relevant factors to enable the current value to be calculated and the future value to be estimated, for example,
current market rates, market volatility and legal documentation (including collateral rights).
Reverse repurchase agreements and other financial assets (audited)
Credit quality (audited) 2011 2010
As at 31 December
AAA to BBB-
(investment
grade)
£m
BB+ to B
£m
B- and
below
£m
Total
£m
AAA to BBB-
(investment
grade)
£m
BB+ to B
£m
B- and
below
£m
Total
£m
Reverse repurchase agreements 117,719 34,653 1,293 153,665 179,625 24,801 1,346 205,772
Financial assets designated at fair value:
Reverse repurchase agreements 4,018 1,554 207 5,779 7,285 271 3 7,559
Other financial assets 655 1,079 61 1,795 1,115 1,312 115 2,542
Total reverse repurchase agreements and
other financial assets 122,392 37,286 1,561 161,239 188,025 26,384 1,464 215,873
% of total 75.9% 23.1% 1.0% 100.0% 87.1% 12.2% 0.7% 100.0%
No reverse repurchase agreements held by the Group at 31 December 2011 or 2010 were individually impaired, however during the year, the Group
wrote back £48m of impairment on reverse repurchase agreements (2010: £4m write back).
Risk management
Credit risk continued
108 Barclays PLC Annual Report 2011 www.barclays.com/annualreport