Barclays 2006 Annual Report Download - page 180

Notes to the accounts
For the year ended 31st December 2006
Barclays PLC
Annual Report 2006
176
14 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 52 to Note 56 under the headings, ‘Financial Risk’, ‘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 fair values and notional amounts of derivative instruments held for trading are set out in the following table:
2006 2005
Notional Fair value Notional Fair value
contract contract
Year ended 31st December amount Assets Liabilities amount Assets Liabilities
Derivatives held for trading £m £m £m £m £m £m
Foreign exchange derivatives
Forward foreign exchange 767,734 8,074 (7,808) 585,635 7,574 (6,707)
Currency swaps 411,889 10,029 (10,088 ) 351,319 8,316 (8,045)
OTC options bought and sold 320,184 3,923 (3,849 ) 244,810 2,595 (2,516)
OTC derivatives 1,499,807 22,026 (21,745 ) 1,181,764 18,485 (17,268)
Exchange traded futures – bought and sold 852––2,304 – –
Exchange traded options – bought and sold 115––6––
Foreign exchange derivatives 1,500,774 22,026 (21,745 ) 1,184,074 18,485 (17,268)
Interest rate derivatives
Interest rate swaps 8,718,015 61,267 (61,510 ) 7,311,939 68,341 (67,669)
Forward rate agreements 1,335,594 337 (374 ) 1,345,368 431 (434)
OTC options bought and sold 2,301,239 13,977 (13,558) 1,267,683 12,256 (11,598)
OTC derivatives 12,354,848 75,581 (75,442) 9,924,990 81,028 (79,701)
Exchange traded futures – bought and sold 1,057,767 188 (256) 1,862,606 – –
Exchange traded options – bought and sold 848,629 241 (156) 826,351 – –
Exchange traded swaps 3,405,109 – – 2,760,110 – –
Interest rate derivatives 17,666,353 76,010 (75,854) 15,374,057 81,028 (79,701)
Credit derivatives
Swaps 1,224,548 9,275 (8,894) 609,381 4,172 (4,806)
Equity and stock index derivatives
OTC options bought and sold 114,227 11,171 (15,613) 208,068 9,974 (13,067)
Equity swaps and forwards 24,580 656 (846) 8,108 328 (164)
OTC derivatives 138,807 11,827 (16,459) 216,176 10,302 (13,231)
Exchange traded futures – bought and sold 30,159 154 (176) 52,454 – –
Exchange traded options – bought and sold 30,473 161 (171) 26,789 – –
Equity and stock index derivatives 199,439 12,142 (16,806) 295,419 10,302 (13,231)
Commodity derivatives
OTC options bought and sold 52,899 2,568 (2,443) 68,377 4,070 (3,881)
Commodity swaps and forwards 164,863 14,933 (13,497) 211,541 17,674 (17,336)
OTC derivatives 217,762 17,501 (15,940) 279,918 21,744 (21,217)
Exchange traded futures – bought and sold 68,710 13 (33) 50,244 – –
Exchange traded options – bought and sold 9,169 306 (474) 11,871 435 (680)
Commodity derivatives 295,641 17,820 (16,447) 342,033 22,179 (21,897)
Derivative assets/(liabilities) held for trading 20,886,755 137,273 (139,746) 17,804,964 136,166 (136,903)