Barclays 2009 Annual Report Download - page 123

www.barclays.com/annualreport09 Barclays PLC Annual Report 2009 121
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.
Derivative assets Gross Counterparty Net
assets netting exposure
£m £m £m
As at 31.12.09
Foreign exchange 51,775 45,391 6,384
Interest rate 261,211 213,446 47,765
Credit derivatives 56,295 48,774 7,521
Equity and stock index 17,784 13,330 4,454
Commodity derivatives 29,750 21,687 8,063
416,815 342,628 74,187
Total collateral held 31,471
Net exposure less collateral 42,716
As at 31.12.08
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 derivative assets of £417bn (2008: £985bn) cannot be netted down under IFRS. Derivative assets would be £374bn (2008: £917bn) 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).