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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:
Derivatives held for risk management 2010 2009
Notional
contract
amount
£m
Fair value Notional
contract
amount
£m
Fair value
Assets
£m
Liabilities
£m
Assets
£m
Liabilities
£m
Derivatives designated as cash flow hedges
Interest rate swaps 126,904 760 (882) 79,241 478 (494)
OTC options bought and sold –––6732–
Forward foreign exchange 581 – (43) 2,224237 (51)
Exchange traded interest rate swaps 22,278 – – 33,534 – –
Derivatives designated as cash flow hedges 149,763 760 (925) 115,672717 (545)
Derivatives designated as fair value hedges
Currency swaps 679 – (54) 502 10–
Interest rate swaps 42,301 905 (872) 12,199 357 (459)
Equity options –––7,71053 (56)
Forward foreign exchange 4,561 19 (86) 5,386 18 (103)
Exchange traded interest rate swaps 36,427 – – 32,257 – –
Derivatives designated as fair value hedges 83,968 924 (1,012) 58,054 438 (618)
Derivatives designated as hedges of net investments
Forward foreign exchange 5,870 28 (199) 5,321 22 (97)
Currency swaps 752 21 (217) 971 – (137)
Derivatives designated as hedges of net investment 6,622 49 (416) 6,292 22 (234)
Derivative assets/(liabilities) held for risk management 240,353 1,733 (2,353) 180,018 1,177 (1,397)
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.
Barclays PLC Annual Report 2010 www.barclays.com/annualreport10 215
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