Barclays 2007 Annual Report Download - page 190

Notes to the accounts
For the year ended 31st December 2007
188 Barclays PLC Annual Report 2007
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 45 to Note 48 under the headings ‘Financial Risks’, ‘Market Risk’, ‘Credit 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:
2007 2006
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 1,041,781 11,381 (11,629) 767,734 8,074 (7,808)
Currency swaps 562,682 15,617 (14,676) 411,889 10,029 (10,088)
OTC options bought and sold 464,575 3,350 (3,995) 320,184 3,923 (3,849)
OTC derivatives 2,069,038 30,348 (30,300) 1,499,807 22,026 (21,745)
Exchange traded futures – bought and sold 139,199 – – 852 – –
Exchange traded options – bought and sold 132 – – 115 – –
Foreign exchange derivatives 2,208,369 30,348 (30,300) 1,500,774 22,026 (21,745)
Interest rate derivatives
Interest rate swaps 11,758,215 111,746 (110,680) 8,718,015 61,267 (61,510)
Forward rate agreements 1,960,106 755 (738) 1,335,594 337 (374)
OTC options bought and sold 3,776,600 27,337 (26,944) 2,301,239 13,977 (13,558)
OTC derivatives 17,494,921 139,838 (138,362) 12,354,848 75,581 (75,442)
Exchange traded futures – bought and sold 903,516 – – 1,057,767 188 (256)
Exchange traded options – bought and sold 269,095 102 (64) 848,629 241 (156)
Exchange traded swaps 4,941,417 – – 3,405,109 – –
Interest rate derivatives 23,608,949 139,940 (138,426) 17,666,353 76,010 (75,854)
Credit derivatives
Swaps 2,472,249 38,696 (35,814) 1,224,548 9,275 (8,894)
Equity and stock index derivatives
OTC options bought and sold 145,399 11,293 (15,743) 114,227 11,171 (15,613)
Equity swaps and forwards 36,149 1,057 (1,193) 24,580 656 (846)
OTC derivatives 181,548 12,350 (16,936) 138,807 11,827 (16,459)
Exchange traded futures – bought and sold 31,519 – – 30,159 154 (176)
Exchange traded options – bought and sold 30,930 848 (2,200) 30,473 161 (171)
Equity and stock index derivatives 243,997 13,198 (19,136) 199,439 12,142 (16,806)
Commodity derivatives
OTC options bought and sold 95,032 4,496 (4,720) 52,899 2,568 (2,443)
Commodity swaps and forwards 276,102 19,075 (18,039) 164,863 14,933 (13,497)
OTC derivatives 371,134 23,571 (22,759) 217,762 17,501 (15,940)
Exchange traded futures – bought and sold 228,465 – – 68,710 13 (33)
Exchange traded options – bought and sold 66,732 1,197 (943) 9,169 306 (474)
Commodity derivatives 666,331 24,768 (23,702) 295,641 17,820 (16,447)
Derivative assets/(liabilities) held for trading 29,199,895 246,950 (247,378) 20,886,755 137,273 (139,746)