Barclays 2008 Annual Report Download - page 107

1
Business review
Barclays PLC Annual Report 2008 105
The tables below set out the fair values of the derivative assets together with the value of those assets subject to enforceable counterparty netting
arrangements for which the Group holds offsetting liabilities and eligible collateral.
Gross Counterparty Net
assets netting exposure
Derivative assets – As at 31.12.08 £m £m £m
Foreign exchange 107,730 91,572 16,158
Interest rate 615,321 558,985 56,336
Credit derivatives 184,072 155,599 28,473
Equity and stock index 28,684 20,110 8,574
Commodity derivatives 48,995 35,903 13,092
984,802 862,169 122,633
Total collateral held 54,905
Net exposure less collateral 67,728
Gross Counterparty Net
assets netting exposure
Derivative assets – As at 31.12.07 £m £m £m
Foreign exchange 30,824 22,066 8,758
Interest rate 140,504 117,292 23,212
Credit derivatives 38,696 31,307 7,389
Equity and stock index 13,296 12,151 1,145
Commodity derivatives 24,768 15,969 8,799
248,088 198,785 49,303
Total collateral held 16,700
Net exposure less collateral 32,603
Gross derivative assets of £985bn (2007: £248bn) cannot be netted down under IFRS. Derivative assets would be £917bn (2007: £215bn) lower than
reported under IFRS if counterparty or collateral netting were allowed.
Exposure relating to derivatives, repurchase agreements, reverse repurchase agreements, stock borrowing and loan transactions is calculated using
internal, FSA approved models. These are used as the basis to assess both regulatory capital and capital appetite and are managed on a daily basis.
The methodology encompasses all relevant factors to enable the current value to be calculated and the future value to be estimated, for example:
current market rates, market volatility and legal documentation (including collateral rights).