Barclays 2007 Annual Report Download - page 191

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Financial statements
Barclays PLC Annual Report 2007 189
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:
2007 2006
Notional Fair value Notional Fair value
contract contract
amount Assets Liabilities amount Assets Liabilities
Year ended 31st December £m £m £m £m £m £m
Derivatives designated as cash flow hedges
Interest rate swaps 38,453 239 (437) 51,614 132 (312)
Equity options 54 41 – –– –
Forward foreign exchange 2,256 178 – –– –
Exchange traded interest rate swaps 14,529 – – 12,077 – –
Commodity swaps and forwards –––204 – (89)
Derivatives designated as cash flow hedges 55,292 458 (437) 63,895 132 (401)
Derivatives designated as fair value hedges
Currency swaps 4,299 81 (75) 1,454 – (233)
Interest rate swaps 18,450 323 (195) 16,940 240 (152)
Equity options 1,203 58 (58) 1,029 58 (56)
Forward foreign exchange –––66 – –
Derivatives designated as fair value hedges 23,952 462 (328) 19,489 298 (441)
Derivatives designated as hedges of net investments
Forward foreign exchange 4,223 31 (57) 2,730 – (78)
Currency swaps 8,397 187 (88) 9,320 650 (31)
Derivatives designated as hedges of net investment 12,620 218 (145) 12,050 650 (109)
Derivative assets/(liabilities) held for risk management 91,864 1,138 (910) 95,434 1,080 (951)
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:
2007 2006
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 29,199,895 246,950 (247,378) 20,886,755 137,273 (139,746)
Total derivative assets/(liabilities) held for risk management 91,864 1,138 (910) 95,434 1,080 (951)
Derivative assets/(liabilities) 29,291,759 248,088 (248,288) 20,982,189 138,353 (140,697)
Derivative assets and liabilities subject to counterparty netting agreements amounted to £199bn (2006: £102bn). Additionally, we held £17bn (2006: £8bn)
of collateral against the net derivative assets exposure.