Barclays 2003 Annual Report Download - page 164
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Notes to the Accounts
For the Year Ended 31st December 2003
45 Derivatives and other financial instruments (continued)
Maturity analyses of replacement cost and counterparty analyses of net replacement cost
The fair value of a derivative contract represents the amount at which that contract could be exchanged in an arm’s-length transaction, calculated at
market rates current at the balance sheet date. The totals of positive and negative fair values arising on trading derivatives at the balance sheet date
have been netted where the Group has a legal right of offset with the relevant counterparty. The total positive fair value after permitted netting
equates to net replacement cost.
The residual replacement cost by maturity and net replacement cost by counterparty analyses of OTC and non-margined exchange traded derivatives
held for trading and non-trading purposes at 31st December 2003 and 31st December 2002 are as follows:
2003 2002
Over one Over one
year but year but
One not more Over One not more Over
year or than five five year or than five five
less years years Total less years years Total
£m £m £m £m £m £m £m £m
Replacement cost by residual maturity
Foreign exchange derivatives 8,357 5,862 2,929 17,148 5,627 3,398 1,654 10,679
Interest rate derivatives 5,661 21,332 25,603 52,596 6,387 24,335 32,872 63,594
Equity and stock index derivatives 550 1,952 267 2,769 668 1,335 46 2,049
Commodity derivatives 1,008 851 123 1,982 372 244 85 701
Credit derivatives 11 381 408 800 6 236 448 690
15,587 30,378 29,330 75,295 13,060 29,548 35,105 77,713
Total Total
2003 2002
£m £m
Net replacement cost by counterparty
Central Banks 1,046 48
Banks and other financial institutions 8,364 9,469
Other corporate and public bodies 7,010 4,398
16,420 13,915
Potential credit risk exposure
The potential credit risk exposure for each product equals net replacement cost as reduced by the fair value of collateral provided by the
counterparty.
At 31st December 2003 and 31st December 2002, the potential credit risk exposures in respect of the Group’s trading and non-trading OTC
derivatives were not significantly different to net replacement cost.
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