BT 2016 Annual Report Download - page 212

218 BT Group plc
Annual Report 2016
27. Financial instruments and risk management continued
The credit quality and credit concentration of cash equivalents, current asset investments and derivative financial assets are detailed in the
tables below. Where the opinion of Moody’s and S&P differ, the lower rating is used.
Moody’s/S&P credit rating of counterparty
2016
£m
2015
£m
Aa2/AA and above 2,878 3,133
Aa3/AA– 120 206
A1/A+ 64 248
A2/Aa939 793
A3/A– 160 121
Baa1/BBB+ 492 439
Baa2/BBB and below –11
4,653 4,951
a The group holds cash collateral of £553m (2014/15: £437m) in respect of derivative financial assets with certain counterparties.
The concentration of credit risk for trading balances of the group is provided in note 17, which analyses outstanding balances by line of
business.
Where multiple transactions are undertaken with a single financial counterparty or group of related counterparties, the group has entered
into netting arrangements to reduce the group’s exposure to credit risk by making use of standard International Swaps and Derivatives
Association (ISDA) documentation. The group has also entered into credit support agreements with certain swap counterparties whereby,
on a weekly and monthly basis, the fair value position on notional £1,882m of long dated cross-currency swaps and interest rate swaps is
collateralised. The related net cash inflow during the year was £79m (2014/15: cash inflow of £297m). The collateral paid and received is
recognised within current asset investments and loans and other borrowings, respectively.
Offsetting of financial instruments
The table below shows the group’s financial assets and liabilities that are subject to offset in the group’s balance sheet and the impact of
enforceable master netting or similar agreements.
Related amounts not set off in the balance sheet
Financial assets and liabilities
At 31 March 2016
Gross
amounts
£m
Amounts
set off
£m
Amounts
presented in
the balance
sheet
£m
Right of set off with
derivative
counterparties
£m
Cash
collateral
£m
Net
amount
£m
Derivative financial assets 1,639 –1,639 (456) (553) 630
Derivative financial liabilities (911) –(911) 456 40 (415)
Cash and cash equivalents 643 (146) 497 – – 497
Bank overdrafts (184) 146 (38) – – (38)
Total 1,187 –1,187 –(513) 674
Related amounts not set off in the balance sheet
Financial assets and liabilities
At 31 March 2015
Gross
amounts
£m
Amounts
set off
£m
Amounts
presented in
the balance
sheet
£m
Right of set off with
derivative
counterparties
£m
Cash
collateral
£m
Net
amount
£m
Derivative financial assets 1,329 –1,329 (603) (437) 289
Derivative financial liabilities (1,095) –(1,095) 603 30 (462)
Cash and cash equivalents 588 (154) 434 – – 434
Bank overdrafts (181) 154 (27) – – (27)
Total 641 –641 –(407) 234
Cash and cash equivalents and bank overdrafts include amounts set off of £146m (2014/15: £154m) as part of a master netting
agreement with BarclaysBankPlc. Balances held within this arrangement are pooled and interest is paid or received on the net balance.