Barclays 2003 Annual Report Download - page 156

Notes to the Accounts
For the Year Ended 31st December 2003
45 Derivatives and other financial instruments
The Group’s objectives and policies in managing the risks that arise in connection with the use of financial instruments are set out on pages 37
to 69 under the headings ‘Risk Management and Control – Overview’; ‘Market Risk Management’ and ‘Treasury Asset and Liability Management’.
Short-term debtors and creditors are included in the following interest rate repricing and non-trading currency risk tables. All other disclosures
in Note 45 exclude these short-term balances.
Interest rate sensitivity gap analysis
The table below summarises the repricing profiles of the Group’s non-trading book as at 31st December 2003. Items are allocated to time bands by
reference to the earlier of the next contractual interest rate repricing date and the maturity date.
Interest rate repricing – as at 31st December 2003
Over three Over Over Over Over
months but six months one year three years five years
Not more not more but not but not but not but not Over Non-
than three than six more than more than more than more than ten interest Trading
months months one year three years five years ten years years bearing balances Total
£m £m £m £m £m £m £m £m £m £m
Interest rate sensitivity
Assets:
Treasury bills and other
eligible bills 592283335––––6,4897,177
Loans and advances
to banks 2,632 2 53 48 9 – – 212 58,968 61,924
Loans and advances
to customers 104,397 4,679 7,155 11,739 6,007 2,388 1,102 882 88,470 226,819
Debt securities
and equity shares 721 66 420 898 580 259 250 272 101,786 105,252
Other assets 338––––––12,949 20,825 34,112
Total assets 108,680 4,775 7,661 12,720 6,596 2,647 1,352 14,315 276,538 435,284
Liabilities:
Deposits by banks 4,247 275 105 202 29 235 – 357 88,642 94,092
Customer accounts 118,981 1,369 1,749 1,407 103 13 240 14,056 46,950 184,868
Debt securities in issue 7,101 55 – 1,345 206 – 122 – 40,740 49,569
Other liabilities –––––––9,57668,084 77,660
Loan capital and other
subordinated liabilities 3,060 499 22 22 536 3,649 4,551 – – 12,339
Minority and other
interests and
shareholders’ funds –––––––16,756–16,756
Internal funding of
trading business (22,649) (2,590) (530) 1,080 666 – 269 (8,368) 32,122 –
Total liabilities 110,740 (392) 1,346 4,056 1,540 3,897 5,182 32,377 276,538 435,284
Off-balance sheet items (16,637) (10,301) (464) 11,341 8,448 4,114 3,499–––
Interest rate
repricing gap (18,697) (5,134) 5,851 20,005 13,504 2,864 (331) (18,062) – –
Cumulative gap (18,697) (23,831) (17,980) 2,025 15,529 18,393 18,062–––
Total assets and liabilities exclude retail life-fund assets and liabilities. These are not relevant in considering the interest rate risk of the Group.
Trading balances for the purposes of this table are those, within Barclays Capital, where the risk is managed by DVaR (see pages 60 to 62).
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