Barclays 2004 Annual Report Download - page 181

37 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 2004 and 31st December 2003 are as follows:
2004 2003
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 9,285 6,886 4,320 20,491 8,357 5,862 2,929 17,148
Interest rate derivatives 6,121 23,130 34,701 63,952 5,661 21,332 25,603 52,596
Equity and stock index derivatives 1,750 2,312 394 4,456 550 1,952 267 2,769
Commodity derivatives 1,791 2,899 265 4,955 1,008 851 123 1,982
Credit derivatives 22 1,098 332 1,452 11 381 408 800
18,969 36,325 40,012 95,306 15,587 30,378 29,330 75,295
Total Total
2004 2003
£m £m
Net replacement cost by counterparty
Central Banks 2,563 1,046
Banks and other financial institutions 7,043 8,364
Other corporate and public bodies 9,552 7,010
19,158 16,420
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 2004 and 31st December 2003, 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.
Barclays PLC Annual Report 2004
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