Barclays 2014 Annual Report Download - page 280

278 I Barclays PLC Annual Report 2014 barclays.com/annualreport
Notes to the financial statements
Assets and liabilities held at fair value
15 Derivative financial instruments continued
The fair values and notional amounts of derivative instruments held for risk management are set out in the following table:
Derivatives held for risk management
2014 2013
Notional
contract
amount
£m
Fair value Notional
contract
amount
£m
Fair value
Assets
£m
Liabilities
£m
Assets
£m
Liabilities
£m
Derivatives designated as cash flow hedges
Interest rate swaps 19,218 223 (60) 74,854 844 (484)
Forward foreign exchange 930 17 – 851 55 (16)
Interest rate derivatives cleared by central counterparty 82,550 – – 85,104 – –
Derivatives designated as cash flow hedges 102,698 240 (60) 160,809 899 (500)
Derivatives designated as fair value hedges
Interest rate swaps 27,345 1,379 (590) 39,964 1,278 (752)
Interest rate derivatives cleared by central counterparty 135,553 – – 83,495 – –
Derivatives designated as fair value hedges 162,898 1,379 (590) 123,459 1,278 (752)
Derivatives designated as hedges of net investments
Forward foreign exchange 2,852 20 (47) 19,377 568 (21)
Derivatives designated as hedges of net investments 2,852 20 (47) 19,377 568 (21)
Derivative assets/(liabilities) held for risk management 268,448 1,639 (697) 303,645 2,745 (1,273)
Total OTC derivatives held for risk management 50,345 1,639 (697) 135,046 2,745 (1,273)
Total derivatives cleared by central counterparty
held for risk management 218,103 – – 168,599 – –
Derivative assets/(liabilities) held for risk management 268,448 1,639 (697) 303,645 2,745 (1,273)
The Group has hedged the following forecast cash flows, which primarily vary with interest rates. These cash flows are expected to impact the
income statement in the following periods, excluding any hedge adjustments that may be applied:
Total
£m
Up to
one year
£m
One to
two years
£m
Two to
three years
£m
Three to
four years
£m
Four to
five years
£m
More than
five years
£m
2014
Forecast receivable cash flows 4,277 308 491 695 729 651 1,403
Forecast payable cash flows 972 178 770 10 7 4 3
2013
Forecast receivable cash flows 6,438 367 500 904 1,126 1,135 2,406
Forecast payable cash flows 1,095 231 128 701 12 14 9
Amounts recognised in net interest income
2014
£m
2013
£m
Gains/(losses) on the hedged items attributable to the hedged risk 2,610 (591)
(Losses)/gains on the hedging instruments (2,797) 773
Fair value ineffectiveness (187) 182
Cash flow hedging ineffectiveness 41 (76)
Gains and losses transferred from the cash flow hedging reserve to the income statement included a £52m gain (2013: £66m gain) transferred to
interest income; a £778m gain (2013: £554m gain) to interest expense; a £15m loss (2013: £44m loss) to net trading income; £nil (2013: £5m
loss) to administration and general expenses; and a £78m loss (2013: £62m loss) to taxation.