Barclays 2005 Annual Report Download - page 164

15 Derivative financial instruments (continued)
The fair values and notional amounts of derivative instruments held for risk management are set out in the following table:
2005
Notional Fair value
contract
Year ended 31st December 2005 amount Assets Liabilities
Derivatives held for risk management £m £m £m
Derivatives designated as cash flow hedges
Currency swaps 14 1 –
Interest rate swaps 27,042 230 (290)
OTC interest rate options bought 782 1 –
Exchange traded interest rate swaps 11,899 – –
Commodity swaps and forwards 343 – (193)
Derivatives designated as cash flow hedges 40,080 232 (483)
Derivatives designated as fair value hedges
Currency swaps 1,686 – (81)
Interest rate swaps 29,394 387 (190)
Equity options 1,084 36 (46)
Forward foreign exchange 28 – (14)
OTC interest rate options bought 1,287 – –
Derivatives designated as fair value hedges 33,479 423 (331)
Derivatives designated as hedges of net investments
Currency swaps 5,919 2 (254)
Derivatives designated as hedges of net investment 5,919 2 (254)
Derivative assets/(liabilities) held for risk management 79,478 657 (1,068)
The Group’s total derivative asset and liability position as reported on the balance sheet is as follows:
2005
Notional Fair value
contract
amount Assets Liabilities
Year ended 31st December 2005 £m £m £m
Total derivative assets/(liabilities) held for trading 17,804,964 136,166 (136,903)
Total derivative assets/(liabilities) held for risk management 79,478 657 (1,068)
Recognised derivative assets/(liabilities) 17,884,442 136,823 (137,971)
The Group has hedged the following forecast cash flows, which primarily vary with interest rates. These cash flows are expected to impact the
income statement in the following periods, excluding any hedge adjustments that may be applied:
Between Between Between Between
Up to one one to two two to three three to four four to five More than
Total year years years years years five years
£m £m £m £m £m £m £m
Forecast receivable cash flows 3,230 779 768 704 458 265 256
Forecast payable cash flows 2,300 358 350 337 287 238 730
The maximum length of time over which the Group is hedging its exposure to the variability in future cash flows for forecasted transactions
excluding those forecasted transactions related to the payment of variable interest on existing financial instruments is 29 years.
No gain or loss on forecast transactions accorded hedge accounting in 2005 that are no longer expected to occur remains in equity.
Notes to the accounts
For the year ended 31st December 2005
Barclays PLC
Annual Report 2005
162