Barclays 2003 Annual Report Download - page 70

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Risk Management
Treasury Asset and Liability Management
Analysis of weighted-average receive fixed and pay fixed rates by reset maturity date and nominal amount at 31st December 2003
Sterling denominated contracts Non-sterling denominated contracts
Pay fixed Receive fixed Pay fixed Receive fixed
Nominal Average Nominal Average Nominal Average Nominal Average
amount rate amount rate amount rate amount rate
£m % £m % £m % £m %
Reset maturity date
Not more than three months 1,673 5.25 2,754 5.67 3,403 2.24 593 2.85
Over three months but not
more than six months 2,696 5.36 946 5.76 152 3.32 268 3.38
Over six months but not
more than one year 2,631 5.22 2,854 6.20 2,109 2.51 341 4.38
Over one year but not
more than five years 7,097 5.24 24,807 5.17 2,523 5.12 3,347 6.17
Over five years 2,057 5.65 6,286 5.99 1,361 4.52 4,744 6.65
Total 16,154 5.31 37,647 5.44 9,548 3.40 9,293 6.06
Analysis of weighted-average receive variable and pay variable rates by reset maturity date and nominal amount at 31st December 2003
Sterling denominated contracts Non-sterling denominated contracts
Receive variable Pay variable Receive variable Pay variable
Nominal Average Nominal Average Nominal Average Nominal Average
amount rate amount rate amount rate amount rate
£m % £m % £m % £m %
Reset maturity date
Not more than three months 12,951 3.19 27,230 3.89 7,460 2.17 8,437 3.55
Over three months but not
more than six months 6,041 4.07 13,304 4.20 2,357 2.55 1,162 2.01
Over six months but not
more than one year 62 4.12 13 3.65 86 1.53 35 3.10
Over one year but not
more than five years ––––––––
Over five years ––––––14 –
Total 19,054 3.47 40,547 3.99 9,903 2.25 9,648 3.36
The net effect of the derivative positions, in isolation, on net interest income was a credit of £240m (2002: £246m). This included credits of £273m
(2002: £242m) and debits of £33m (2002: credits of £4m) for interest rate and exchange rate derivatives respectively.
Foreign exchange risk management
Corporate and retail banking businesses incur foreign exchange risk in the course of providing services to their customers. The part of this risk that
arises in UK operations is transferred directly to and managed by Barclays Capital as reported in the previous section. Group Market Risk allocates
modest foreign exchange open position limits to international operations to facilitate the management of customer originated flows. Exposures are
reported daily to Group Market Risk. Throughout 2002 and 2003, aggregate DVaR of these businesses for foreign exchange rate risk was immaterial.
Management of foreign currency investments
Non-trading positions in foreign currencies arise from the currency investments that the Group makes in its overseas businesses. Group Treasury
manages the funding and financing of these investments so as to limit the effect of exchange rate movements on the Group’s risk asset ratios.
The principal structural currency exposures of the Group are set out on page 155.
These positions, together with the currency composition of tiers 2 and 3 capital and minority interests in tier 1 and tier 2 capital, ensure that
movements in exchange rates have little impact on the Group’s risk asset ratios. However, exchange rate movements do have an impact on reserves
(see Consolidated statement of changes in reserves on page 124). With the positions in place at 31st December 2003, a hypothetical increase of 10%
in the value of sterling against all currencies would have led to a fall of some £79m in reserves (2002: £36m).