Barclays 2011 Annual Report Download - page 225

17 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 2011 2010
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 120,557 2,147 (1,725) 126,904 760 (882)
Forward foreign exchange 328 3 (1) 581 – (43)
Exchange traded interest rate swaps 36,264 – – 22,278 – –
Derivatives designated as cash flow hedges 157,149 2,150 (1,726) 149,763 760 (925)
Derivatives designated as fair value hedges
Currency swaps – – – 679 – (54)
Interest rate swaps 38,574 1,447 (1,238) 42,301 905 (872)
Forward foreign exchange – – – 4,561 19 (86)
Exchange traded interest rate swaps 35,801 – – 36,427 – –
Derivatives designated as fair value hedges 74,375 1,447 (1,238) 83,968 924 (1,012)
Derivatives designated as hedges of net investments
Forward foreign exchange 11,391 61 (388) 5,870 28 (199)
Currency swaps 619 – (6) 752 21 (217)
Derivatives designated as hedges of net investment 12,010 61 (394) 6,622 49 (416)
Derivatives held for risk management 243,534 3,658 (3,358) 240,353 1,733 (2,353)
The Group has hedged the following forecast cash flows, which primarily vary with interest rates. These cash flows are expected to impact the income
statement in the following periods, excluding any hedge adjustments that may be applied:
Total
£m
Up to
one year
£m
Between
one to
two years
£m
Between
two to
three years
£m
Between
three to
four years
£m
Between
four to
five years
£m
More than
five years
£m
2011
Forecast receivable cash flows 3,818 700 582 597 612 596 731
Forecast payable cash flows 177 108 28 24 9 – 8
2010
Forecast receivable cash flows 2,861 440 570 625 526 291 409
Forecast payable cash flows 307 69 52 76 82 22 6
The maximum length of time over which the Group hedges exposure to the variability in future cash flows for forecast transactions, excluding those
forecast transactions related to the payment of variable interest on existing financial instruments, is 9 years (2010: 14 years).
Amounts recognised in net interest income 2011
£m
2010
£m
Losses on the hedged items attributable to the hedged risk (765) (1,172)
Gains on the hedging instruments 683 1,286
Fair value ineffectiveness (82) 114
Cash flow hedging ineffectiveness 8 138
Net investment hedging ineffectiveness (1) (10)
All gains or losses on hedging derivatives relating to forecast transactions, which are no longer expected to occur, have been recycled to the income
statement.
Gains and losses transferred from the cash flow hedging reserve in the current year to: interest income was a £86m gain (2010: £88m gain); interest
expense a £732m gain (2010: £515m gain); net trading income a £157m loss (2010: £148m loss); and administration and general expenses a £2m gain
(2010: £99m gain).
Barclays PLC Annual Report 2011 www.barclays.com/annualreport 223
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