Barclays 2012 Annual Report Download - page 254

Assets and liabilities held at fair value
The notes included in this section focus on assets and liabilities the Group holds and recognises at fair value.
Fair value refers to the price that would be received to sell an asset or the price that would be paid to transfer a
liability in an arm’s length transaction with a willing counterparty, which may be an observable market price or,
where there is no quoted price for the instrument, may be an estimated based on available market data.
Detail regarding the Group’s approach to managing market risk can be found on pages 332-336.
13 Trading portfolio
Accounting for trading portfolio assets and liabilities
In accordance with IAS 39, all assets and liabilities held for trading purposes are held at fair value with gains and losses in the changes in fair
value taken to the income statement net trading income (Note 5).
Trading portfolio assets Trading portfolio liabilities
2012
£m
2011
£m
2012
£m
2011
£m
Debt securities and other eligible bills 114,759 123,364 (36,742) (35,063)
Equity securities 24,751 24,861 (7,979) (10,741)
Traded loans 2,404 1,374 – –
Commodities 3,116 2,584 (73) (83)
Trading portfolio assets/(liabilities) 145,030 152,183 (44,794) (45,887)
14 Financial assets designated at fair value
Accounting for financial assets designated at fair value
In accordance with IAS 39, financial assets may be designated at fair value, with gains and losses taken to the income statement in net
trading income (Note 5) and net investment income (Note 6). The Group has the ability to make the fair value designation when holding
the instruments at fair value reduces an accounting mismatch (caused by an offsetting liability or asset being held at fair value), is managed
by the Group on the basis of its fair value, or includes terms that have substantive derivative characteristics (Note 15).
2012
£m
2011
£m
Loans and advances 21,996 21,960
Debt securities 6,118 2,095
Equity securities 8,957 4,018
Reverse repurchase agreements 6,034 5,779
Customers' assets held under investment contracts 1,263 1,302
Other financial assets 1,693 1,795
Financial assets designated at fair value 46,061 36,949
The total portfolio of linked liabilities to customers under investment contracts also includes £0.2bn (2011: £0.4bn) reported within cash and
balances at central banks. The carrying value of the total portfolio assets equals the carrying value of liabilities to customers under investment
contracts shown in Note 17. Any change in the value of assets results in an equal but opposite change in the value of amounts due to the
policyholders. Therefore, the Group is not exposed to the financial risks inherent in the investments.
Credit risk of loans and advances designated at fair value and related credit derivatives
The following table shows the maximum exposure to credit risk, the changes in fair value attributable to changes in credit risk and the cumulative
changes in fair value since initial recognition together with the amount by which related credit derivatives mitigate this risk:
Maximum exposure
as at 31 December
Changes in fair value
during the year ended
Cumulative changes in
fair value from inception
2012
£m
2011
£m
2012
£m
2011
£m
2012
£m
2011
£m
Loans and advances designated at fair value, attributable to credit risk 21,996 21,960 178 (75) (4,892) (5,070)
Fair value of related credit derivatives 1,342 1,198 (6) 138 395 401
barclays.com/annualreport252 I Barclays PLC Annual Report 2012
Notes to the financial statements
For the year ended 31 December 2012 continued