Barclays 2006 Annual Report Download - page 181

Barclays PLC
Annual Report 2006 177
Financial statements
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14 Derivative financial instruments (continued)
The fair values and notional amounts of derivative instruments held for risk management 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 risk management £m £m £m £m £m £m
Derivatives designated as cash flow hedges
Currency swaps –––14 1 –
Interest rate swaps 51,614 132 (312) 27,042 230 (290)
OTC interest rate options bought –––782 1 –
Exchange traded interest rate swaps 12,077 – – 11,899 – –
Commodity swaps and forwards 204 – (89) 343 – (193)
Derivatives designated as cash flow hedges 63,895 132 (401) 40,080 232 (483)
Derivatives designated as fair value hedges
Currency swaps 1,454 – (233) 1,686 – (81)
Interest rate swaps 16,940 240 (152) 29,394 387 (190)
Equity options 1,029 58 (56) 1,084 36 (46)
Forward foreign exchange 66 – – 28 – (14)
OTC interest rate options bought –––1,287 – –
Derivatives designated as fair value hedges 19,489 298 (441) 33,479 423 (331)
Derivatives designated as hedges of net investments
Forward foreign exchange 2,730 – (78) –––
Currency swaps 9,320 650 (31) 5,919 2 (254)
Derivatives designated as hedges of net investment 12,050 650 (109) 5,919 2 (254)
Derivative assets/(liabilities) held for risk management 95,434 1,080 (951) 79,478 657 (1,068)
Interest rate derivatives, designated as cash flow hedges, primarily hedge the exposure to cash flow variability from interest rates of variable rate
loans to banks and customers, variable rate debt securities held and highly probable forecast financing transactions and reinvestments.
Interest rate derivatives designated as fair value hedges primarily hedge the interest rate risk of fixed rate borrowings in issue, fixed rate loans to
banks and customers and investments in fixed rate debt securities held.
Currency derivatives are primarily designated as hedges of the foreign currency risk of net investments in foreign operations.
The Group’s total derivative asset and liability position as reported on the balance sheet is as follows:
2006 2005
Notional Fair value Notional Fair value
contract contract
amount Assets Liabilities amount Assets Liabilities
Year ended 31st December £m £m £m £m £m £m
Total derivative assets/(liabilities) held for trading 20,886,755 137,273 (139,746) 17,804,964 136,166 (136,903)
Total derivative assets/(liabilities) held for risk management 95,434 1,080 (951) 79,478 657 (1,068)
Recognised derivative assets/(liabilities) 20,982,189 138,353 (140,697) 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:
2006
Between Between Between Between
Up to one to two to three to four to More than
Total one year two years three years four years five years five years
£m £m £m £m £m £m £m
Forecast receivable cash flows 5,111 1,500 1,452 954 689 410 106
Forecast payable cash flows 1,280 704 349 121 73 30 3