Barclays 2003 Annual Report Download - page 66

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64
The following tables analyse the overall fair value of the commodity derivative contracts by movement over time and source of fair value. As at
31st December 2003 this reflects a gross positive fair value of £1,982m (31st December 2002: £701m) and a gross negative fair value of (£2,088m)
(31st December 2002: (£661m)). Realised and unrealised profits related to physical commodity and commodity derivative activities are included
within dealing profits. Physical commodity positions are held at fair value and reported within other assets in Note 23 on page 141.
Movement in fair value of commodity derivative positions
Total Total
2003 2002
£m £m
Fair value of contracts outstanding at the beginning of the year 40 (45)
Contracts realised or otherwise settled during the year (8) 25
Fair value of new contracts entered into during the year (101) 50
Other changes in fair value (37) 10
Fair values of contracts outstanding at the end of the year (106) 40
Source of commodity derivative fair values
Fair value of contracts at 31st December 2003
Maturity Maturity Maturity Maturity Total
less than one to four to over fair
one year three years five years five years value
£m £m £m £m £m
Prices actively quoted (103) 44 13 (74) (120)
Prices provided by other external sources (1) –––(1)
Prices based on models and other valuation methods (11) 3 2 21 15
Total (115) 47 15 (53) (106)
The following table analyses the positive fair value, adjusted for the impact of netting, arising on commodity derivative contracts. As at
31st December 2003, this reflects a gross positive fair value of £1,982m (31st December 2002: £701m) adjusted for the Group’s ability to net
amounts due to the same counterparties (31st December 2003: £864m, 31st December 2002: £351m).
Analysis of net positive commodity derivative fair value by counterparty credit risk rating
Total Total
value value
2003 2002
£m £m
A- to AAA 792 147
BBB- to BBB+ 280 133
BB+ and below 46 70
Total 1,118 350
At 31st December 2003, 70% of the commodities credit exposure was to counterparties with cross asset class netting agreements, that is, netting
agreements allowing exposure on commodities products to be reduced by amounts owed to the same counterparties in other asset classes.
Additionally, collateral agreements are held with a majority of these same counterparties that allow collateral to be called against commodity
exposures.
Risk Management
Disclosures about Certain Trading Activities including Non-exchange Traded Contracts