Barclays 2012 Annual Report Download - page 258

15 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
2012 2011
Notional
contract
amount
£m
Fair value Notional
contract
amount
£m
Fair value
Asset
£m
Liabilities
£m
Assets
£m
Liabilities
£m
Derivatives designated as cash flow hedges
Interest rate swaps 97,935 2,043 (1,094) 120,557 2,147 (1,725)
Forward foreign exchange 148 – (3) 328 3 (1)
Interest rate derivatives cleared by central counterparty 79,039 – – 36,264 – –
Derivatives designated as cash flow hedges 177,122 2,043 (1,097) 157,149 2,150 (1,726)
Derivatives designated as fair value hedges
Interest rate swaps 44,031 1,576 (1,984) 38,574 1,447 (1,238)
Interest rate derivatives cleared by central counterparty 64,209 – – 35,801 – –
Derivatives designated as fair value hedges 108,240 1,576 (1,984) 74,375 1,447 (1,238)
Derivatives designated as hedges of net investments
Forward foreign exchange 17,460 180 (53) 11,391 61 (388)
Currency swaps – – – 619 – (6)
Derivatives designated as hedges of net investments 17,460 180 (53) 12,010 61 (394)
Derivatives held for risk management 302,822 3,799 (3,134) 243,534 3,658 (3,358)
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
2012
Forecast receivable cash flows 2,417 345 333 353 354 350 682
Forecast payable cash flows 54 31 18 4 – 1 –
2011
Forecast receivable cash flows 3,818 700 582 597 612 596 731
Forecast payable cash flows 177 108 28 24 9 – 8
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 (2011: 9 years).
Amounts recognised in net interest income
2012
£m
2011
£m
Losses on the hedged items attributable to the hedged risk (74) (765)
Gains on the hedging instruments 114 683
Fair value ineffectiveness 40 (82)
Cash flow hedging ineffectiveness 30 8
Net investment hedging ineffectiveness – (1)
All gains and 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 net interest income was a £97m gain (2011: £86m gain);
interest expense a £571m gain (2011: £732m gain); net trading income a £48m loss (2011: £157m loss) and administration and general expenses
a £1m gain (2011: £2m gain).
barclays.com/annualreport256 I Barclays PLC Annual Report 2012
Notes to the financial statements
For the year ended 31 December 2012 continued