Barclays 2012 Annual Report Download - page 143

The strategic report Governance Risk review Financial review Financial statements Risk management Shareholder information
Analysis of derivatives (audited)
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 (audited)
Balance sheet
assets
£m
Counterparty
netting
£m
Net
exposure
£m
As at 31 December 2012
Foreign exchange 59,479 50,084 9,395
Interest rate 354,992 299,068 55,924
Credit derivatives 29,797 25,497 4,300
Equity and stock index 10,985 6,821 4,164
Commodity derivatives 13,893 6,202 7,691
Total derivative assets 469,146 387,672 81,474
Cash collateral held 46,855
Net exposure less collateral 34,619
As at 31 December 2011
Foreign exchange 63,886 53,570 10,316
Interest rate 376,162 315,924 60,238
Credit derivatives 63,313 51,930 11,383
Equity and stock index 13,202 8,944 4,258
Commodity derivatives 22,401 10,224 12,177
Total derivative assets 538,964 440,592 98,372
Cash collateral held 51,124
Net exposure less collateral 47,248
Derivative asset exposures would be £435bn (2011: £492bn) lower than reported under IFRS if netting were permitted for assets and liabilities with
the same counterparty or for which we hold cash collateral. Similarly, derivative liabilities would be £427bn (2011: £478bn) lower reflecting
counterparty netting and collateral placed. In addition non-cash collateral of £6bn (2011: £6bn) was held in respect of derivative assets. Barclays
received collateral from clients in support of OTC derivative transactions. These transactions are generally undertaken under International Swaps
and Derivatives Association (ISDA) agreements governed by either UK or New York law.
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).
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