Barclays 2010 Annual Report Download - page 113

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
assets
£m
Counterparty
netting
£m
Net
exposure
£m
As at 31st December 2010
Foreign exchange 60,494 49,405 11,089
Interest rate 272,386 224,124 48,262
Credit derivatives 47,017 39,786 7,231
Equity and stock index 14,586 10,523 4,063
Commodity derivatives 25,836 16,629 9,207
420,319 340,467 79,852
Total collateral held 37,289
Net exposure less collateral 42,563
As at 31st December 2009
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
Derivative asset exposures would be £378bn (2009: £374bn) lower than reported under IFRS if netting were permitted for assets and liabilities subject
to enforceable counterparty netting arrangements or for which we hold cash collateral. Derivative liabilities would be £362bn (2009: £363bn) lower
reflecting counterparty netting and collateral placed.
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).
Reverse Repurchase Agreements and Other Financial Assets (audited)
Credit quality (audited) 2010 2009
As at 31st December
AAA to
BBB-
(investment
grade)
£m
BB+ to B
£m
B- and
below
£m
Total
£m
AAA to
BBB-
(investment
grade)
£m
BB+ to B
£m
B- and
below
£m
Total
£m
Financial assets designated at fair value –
Other financial assets 7,285 271 3 7,559 4,749 1,955 1,053 7,757
Reverse repurchase agreements 179,625 24,801 1,346 205,772 136,366 6,674 391 143,431
Total reverse repurchase agreements 186,910 25,072 1,349 213,331 141,115 8,629 1,444 151,188
87.6% 11.8% 0.6% 100.0% 93.3% 5.7% 1.0% 100.0%
No reverse repurchase agreements held by the Group at 31st December 2010 or 2009 were individually impaired, however during the year, the Group
wrote back £4m of impairment on reverse repurchase agreements (2009: £43m charge).
Other Credit Risk Assets (audited)
Cash and balances at central banks
Cash and balances at central banks were £97,630m (2009: £81,483m). There is a reduced level of credit risk in relation to balances at central banks.
Items in the course of collection from other banks
Items in the course of collection from other banks were £1,384m (2009: £1,593m) on which there is a reduced credit risk in light of the banking industry
clearing system.
Other financial assets
Other financial assets comprise £2,824m (2009: £3,476m) of other assets and £2,542m (2009: £344m) of assets held at fair value.
Off-balance sheet
The Group applies fundamentally the same risk management policies for off-balance sheet risks as it does for its on-balance sheet risks. In the case of
commitments to lend, customers and counterparties will be subject to the same credit management policies as for loans and advances. Collateral may
be sought depending on the strength of the counterparty and the nature of the transaction.
Barclays PLC Annual Report 2010 www.barclays.com/annualreport10 111
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