Barclays 2011 Annual Report Download - page 224

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Notes to the financial statements
17 Derivative financial instruments continued
The fair value of gross derivative assets increased by 28% to £539bn (2010: £420bn) reflecting decreases in the major forward curves, offset by the
impact of optimisation initiatives. 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.
The fair values and notional amounts of derivative instruments held for trading are set out in the following table:
Derivatives held for trading 2011 2010
Notional
contract
amount
£m
Fair value Notional
contract
amount
£m
Fair value
Assets
£m
Liabilities
£m
Assets
£m
Liabilities
£m
Foreign exchange derivatives
Forward foreign exchange 2,346,638 29,165 (26,968) 1,823,186 22,882 (22,674)
Currency swaps 1,158,267 27,388 (33,641) 935,420 29,802 (32,433)
OTC options bought and sold 713,690 7,269 (6,669) 739,949 7,736 (7,034)
OTC derivatives 4,218,595 63,822 (67,278) 3,498,555 60,420 (62,141)
Exchange traded futures and options – bought and sold 234,279 – (2) 15,356 – –
Foreign exchange derivatives 4,452,874 63,822 (67,280) 3,513,911 60,420 (62,141)
Interest rate derivatives
Interest rate swaps 8,974,201 251,629 (240,849) 10,316,455 202,050 (183,665)
Forward rate agreements 4,556,842 3,249 (3,374) 4,711,960 2,625 (2,881)
OTC options bought and sold 5,426,331 117,689 (113,214) 4,551,516 66,055 (65,395)
OTC derivatives 18,957,374 372,567 (357,437) 19,579,931 270,730 (251,941)
Exchange traded futures and options – bought and sold 1,040,636 3 (3) 975,533 – –
Exchange traded swaps 15,543,970 – – 21,209,173 – –
Interest rate derivatives 35,541,980 372,570 (357,440) 41,764,637 270,730 (251,941)
Credit derivatives
OTC swaps 1,666,786 60,481 (57,972) 1,780,264 45,977 (44,068)
Exchange traded credit default swaps 219,864 2,831 (3,376) 172,211 1,040 (976)
Credit derivatives 1,886,650 63,312 (61,348) 1,952,475 47,017 (45,044)
Equity and stock index derivatives
OTC options bought and sold 95,233 7,393 (10,768) 118,363 9,340 (13,424)
Equity swaps and forwards 167,098 2,516 (2,808) 56,478 2,226 (2,359)
OTC derivatives 262,331 9,909 (13,576) 174,841 11,566 (15,783)
Exchange traded futures and options – bought and sold 237,779 3,293 (2,616) 303,463 3,017 (2,816)
Equity and stock index derivatives 500,110 13,202 (16,192) 478,304 14,583 (18,599)
Commodity derivatives
OTC options bought and sold 91,573 2,810 (2,554) 93,937 3,778 (3,751)
Commodity swaps and forwards 300,100 17,778 (17,579) 326,336 18,743 (19,133)
OTC derivatives 391,673 20,588 (20,133) 420,273 22,521 (22,884)
Exchange traded futures and options – bought and sold 322,704 1,812 (2,159) 387,604 3,315 (2,554)
Commodity derivatives 714,377 22,400 (22,292) 807,877 25,836 (25,438)
Derivative assets/(liabilities) held for trading 43,095,991 535,306 (524,552) 48,517,204 418,586 (403,163)
For the year ended 31 December 2011 continued
222 Barclays PLC Annual Report 2011 www.barclays.com/annualreport