Barclays 2004 Annual Report Download - page 178

Notes to the accounts
For the year ended 31st December 2004
37 Derivatives and other financial instruments (continued)
Derivative financial instruments held for the purpose of managing non-trading exposures
The following table, which includes only the derivative components of the Group’s hedging programme, summarises the nominal values, fair
values and book values of derivatives held for the purpose of managing non-trading exposures. Included in the amounts below were £10,295m
(2003: £10,685m) contract amount of foreign exchange derivatives and £151,957m (2003: £200,126m) of interest rate derivatives which were
made for asset and liability management purposes with independently managed dealing units of the Group.
2004 2003
Contract or Year-end Year-end Year-end Year-end Contract or Year-end Year-end
underlying positive negative positive negative underlying positive negative
principal fair fair book book principal fair fair
amount value value value value amount value value
£m £m £m £m £m £m £m £m
Foreign exchange derivatives
Forward foreign exchange 1,480 25 14 17 2 1,648 18 23
Currency swaps 10,841 211 842 181 355 10,914 64 786
OTC derivatives 12,321 236 856 198 357 12,562 82 809
Exchange traded futures – bought and sold –––––40––
Total 12,321 236 856 198 357 12,602 82 809
Interest rate derivatives
Swaps 174,382 2,806 2,039 1,015 663 294,021 3,656 3,165
Forward rate agreements 22,039 5 5 – 5 28,742 27 5
OTC options bought and sold 4,080 41 78 3 2 15,062 5 66
OTC derivatives 200,501 2,852 2,122 1,018 670 337,825 3,688 3,236
Exchange traded futures – bought and sold –––––83––
Total 200,501 2,852 2,122 1,018 670 337,908 3,688 3,236
Credit derivatives 5,133 8 31 4 2 4,194 3 77
Equity, stock index, commodity
and precious metals derivatives 1,536 70 23 3 4 1,662 78 34
At 31st December 2003, the total positive book value of derivatives held for the purposes of managing non-trading exposures was £1,856m.
The total negative book value of such contracts at 31st December 2003 was £2,198m.
The nominal amounts of OTC foreign exchange derivatives held to manage the non-trading exposure of the Group analysed by currency and final
maturity are as follows:
2004 2003
Over one Over one
year but year but
not more not more
One year than five Over five One year than five Over five
or less years years Total or less years years Total
£m £m £m £m £m £m £m £m
.
£/euro 352 698 – 1,050 406 1,890 – 2,296
£/Yen 905 3,657 – 4,562 1,147 4,097 – 5,244
£/United States Dollar 194 5,205 520 5,919 625 2,797 561 3,983
United States Dollar/euro 105 130 – 235 127 196 – 323
United States Dollar/Yen 22 – 148 170 13 21 159 193
United States Dollar/South African Rand 176 – – 176 233 – – 233
Yen/euro 28 28 – 56 22 29 – 51
Other 104 49 – 153 181 58 – 239
Total 1,886 9,767 668 12,321 2,754 9,088 720 12,562
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