Barclays 2005 Annual Report Download - page 163

Barclays PLC
Annual Report 2005 161
3.5
15 Derivative financial instruments
Financial instruments
The Group’s objectives and policies on managing the risks that arise in connection with derivatives, including the policies for hedging, are included
in Note 54 under the headings, ‘Financial Risk Management’, ‘Interest Rate Risk, ‘Credit Risk’, ‘Currency Risk’ and ‘Liquidity Risk’.
The notional amounts of certain types of financial instruments provide a basis for comparison with instruments recognised on the balance sheet
but do not necessarily indicate the amounts of future cash flows involved or the current fair value of the instruments and, therefore, do not indicate
the Group’s exposure to credit or price risks. The derivative instruments become favourable (assets) or unfavourable (liabilities) as a result of
fluctuations in market rates or prices relative to their terms. The aggregate contractual or notional amount of derivative financial instruments on
hand, the extent to which instruments are favourable or unfavourable and, thus the aggregate fair values of derivative financial assets and liabilities
can fluctuate significantly.
The fair value of a derivative contract represents the amount at which that contract could be exchanged in an arms-length transaction, calculated at
market rates current at the balance sheet date.
The disclosure of financial instruments in respect of 2004, excluding the impact of IAS 32, IAS 39 and IFRS 4, can be found in Note 60.
The fair values and notional amounts of derivative instruments held for trading are set out in the following table:
2005
Notional Fair value
contract
Year ended 31st December 2005 amount Assets Liabilities
Derivatives held for trading £m £m £m
Foreign exchange derivatives
Forward foreign exchange 585,635 7,574 (6,707)
Currency swaps 351,319 8,316 (8,045)
OTC options bought and sold 244,810 2,595 (2,516)
OTC derivatives 1,181,764 18,485 (17,268)
Exchange traded futures – bought and sold 2,304 – –
Exchange traded options – bought and sold 6––
Foreign exchange derivatives 1,184,074 18,485 (17,268)
Interest rate derivatives
Interest rate swaps 7,311,939 68,341 (67,669)
Forward rate agreements 1,345,368 431 (434)
OTC options bought and sold 1,267,683 12,256 (11,598)
OTC derivatives 9,924,990 81,028 (79,701)
Exchange traded futures – bought and sold 1,862,606 – –
Exchange traded options – bought and sold 826,351 – –
Exchange traded swaps 2,760,110 – –
Interest rate derivatives 15,374,057 81,028 (79,701)
Credit derivatives
Swaps 609,381 4,172 (4,806)
Equity and stock index derivatives
OTC options bought and sold 208,068 9,974 (13,067)
Equity swaps and forwards 8,108 328 (164)
OTC derivatives 216,176 10,302 (13,231)
Exchange traded futures – bought and sold 52,454 – –
Exchange traded options – bought and sold 26,789 – –
Equity and stock index derivatives 295,419 10,302 (13,231)
Commodity derivatives
OTC options bought and sold 68,377 4,070 (3,881)
Commodity swaps and forwards 211,541 17,674 (17,336)
OTC derivatives 279,918 21,744 (21,217)
Exchange traded futures – bought and sold 50,244 – –
Exchange traded options – bought and sold 11,871 435 (680)
Commodity derivatives 342,033 22,179 (21,897)
Derivative assets/(liabilities) held for trading 17,804,964 136,166 (136,903)