Barclays 2006 Annual Report Download - page 242

Notes to the accounts
For the year ended 31st December 2006
Barclays PLC
Annual Report 2006
238
53 Interest rate risk (continued)
As at 31st December 2006 (continued)
Over Over Over
three six Over three Over
Not months months one year years five years
more but not but not but not but not but not Trading
than more more more more more Over portfolio Non-
three than six than one than three than five than ten ten and interest
months months year years years years years derivatives bearing Total
£m £m £m £m £m £m £m £m £m £m
Liabilities
Deposits from other banks 72,353 1,377 763 351 – 7 199 – 4,512 79,562
Items in course of
transmission due to
other banks 20–––––––2,201 2,221
Customer accounts 207,023 3,965 3,963 2,371 506 43 216 – 38,667 256,754
Trading portfolio liabilities –––––––71,874–71,874
Financial liabilities
designated at fair value:
– held on own account 20,186 5,635 3,800 1,538 1,607 1,843 774 – 18,604 53,987
– liabilities to customers
under investment contracts 6,931 372 730 806 1,164 2,875 12,794 – 58,965 84,637
Derivative financial
instruments –––––––140,697 – 140,697
Debt securities in issue 92,649 5,624 2,430 4,020 1,630 3,249 1,535 – – 111,137
Repurchase agreements
and cash collateral on
securities lent 122,612 6,132 2,348 1,662 – – 2,818 – 1,384 136,956
Subordinated liabilities 3,192 377 21 1,074 783 3,475 4,842 – 22 13,786
Total financial liabilities 524,966 23,482 14,055 11,822 5,690 11,492 23,178 212,571 124,355 951,611
Non-financial liabilities ––––––––17,78617,786
Total liabilities 524,966 23,482 14,055 11,822 5,690 11,492 23, 178 212,571 142,141 969,397
Interest rate repricing gap (90,115) 400 17,648 18,957 14,269 5,687 4,790
Cumulative gap (90,115) (89,715) (72,067) (53,110) (38,841) (33,154) (28,364)
Not more than three months includes instruments at floating interest rates.
Expected repricing and maturity dates do not differ significantly from the contract dates, except for:
•Trading Portfolio Assets and Liabilities, which may not be held to maturity as part of the Group’s trading strategies. For these instruments,
which are mostly held by Barclays Capital, liquidity and repricing risk is managed through the Daily Value at Risk (DVaR) methodology, see
Note 52 for more information.
•Retail deposits, which are repayable on demand or at short notice. These instruments form a stable base for the Group’s operations and liquidity
needs because of the broad base of customers – numerically and by depositor type.