Aviva 2009 Annual Report Download - page 274

272
2007
Aviva plc Notes to the consolidated financial statements continued
Annual Report and Accounts 2009
57 – Derivative financial instruments continued
Contract/
notional Fair value Fair value
amount asset liability
£m £m £m
Foreign exchange contracts
OTC
Forwards 9,594 24 (106)
Interest and currency swaps 859 57 —
Total 10,453 81 (106)
Interest rate contracts
OTC
Forwards 3,305 15 (2)
Swaps 16,172 279 (350)
Options 986 251 (1)
Exchange traded
Futures 6,505 220 (37)
Options 15 — —
Total 26,983 765 (390)
Equity/Index contracts
OTC
Options 12,278 267 (61)
Exchange traded
Futures 5,456 418 (23)
Options 473 21 (2)
Total 18,207 706 (86)
Other 414 57 (24)
Totals at 31 December 56,057 1,609 (606)
Fair value assets are recognised as “Derivative financial instruments” in note 24(a), whilst fair value liabilities are recognised as
“other financial liabilities” in note 49.
The Group’s derivative risk management policies are outlined in note 56(b).
(ii) The contractual undiscounted cash flows in relation to non-hedge derivative liabilities have the following maturities:
2009 2008 2007
£m £m £m
Within one year 1,238 1,001 151
Between one and two years 155 285 100
Between two and three years 66 32 20
Between three and four years 74 43 20
Between four and five years 51 69 21
After five years 657 611 516
2,241 2,041 828
(c) Collateral
Certain derivative contracts, primarily interest rate and currency swaps, involve the receipt or pledging of collateral. The amounts of
collateral receivable or repayable are included in notes 25 and 49 respectively.