Barclays 2003 Annual Report Download - page 160
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Notes to the Accounts
For the Year Ended 31st December 2003
158
45 Derivatives and other financial instruments (continued) 2002
Contract or Year-end Year-end Average Average
underlying positive negative positive negative
principal fair fair fair fair
amount value value value value
£m £m £m £m £m
Foreign exchange derivatives
Forward foreign exchange 269,832 4,521 5,335 3,412 3,676
Currency swaps 148,481 5,022 5,160 4,200 4,273
OTC options bought and sold 64,252 1,096 786 799 680
OTC derivatives 482,565 10,639 11,281 8,411 8,629
Exchange traded futures – bought and sold 100––––
Exchange traded options – bought and sold 31 ––––
Exchange traded swaps 16 ––––
Total 482,712 10,639 11,281 8,411 8,629
Interest rate derivatives
Swaps 1,938,902 54,757 53,334 43,221 42,004
Forward rate agreements 168,392 111 107 108 100
OTC options bought and sold 581,272 8,074 7,891 6,839 6,703
OTC derivatives 2,688,566 62,942 61,332 50,168 48,807
Exchange traded futures – bought and sold 338,581 ––––
Exchange traded options – bought and sold 67,757 ––––
Exchange traded swaps 382,540––––
Total 3,477,444 62,942 61,332 50,168 48,807
Credit derivatives
Swaps 10,665 660 106 675 198
Equity and stock index derivatives
OTC options bought and sold 37,476 1,992 2,060 1,921 2,128
Equity swaps and forwards 3,267 57 57 101 39
OTC derivatives 40,743 2,049 2,117 2,022 2,167
Exchange traded futures – bought and sold 15,585––––
Exchange traded options – bought and sold 9,103––––
Total 65,431 2,049 2,117 2,022 2,167
Commodity derivatives
OTC options bought and sold 7,880 171 153 122 87
Commodity swaps and forwards 18,217 520 502 410 535
OTC derivatives 26,097 691 655 532 622
Exchange traded futures – bought and sold 17,545 10 – 24 22
Exchange traded options – bought and sold 760 – 6 – 10
Total 44,402 701 661 556 654
Total trading derivatives 76,991 75,497
Effect of netting (60,327) (60,327)
Allowable offset – cash collateral (3,210) (3,632)
Balances arising from off-balance sheet financial instruments
(see Other assets/Other liabilities, Notes 23 and 29) 13,454 11,538
Collateral held that reduced credit risk in respect of derivative instruments at 31st December 2002, but did not meet the offset criteria amounted to
£591m (2001: £238m).