Barclays 2013 Annual Report Download - page 181

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
nettinga
£m
Net
exposure
£m
As at 31 December 2013
Foreign exchange 60,123 46,806 13,317
Interest rate 218,300 182,335 35,965
Credit derivatives 21,923 18,555 3,368
Equity and stock index 13,349 9,553 3,796
Commodity derivatives 10,640 1,279 9,361
Total derivative assets 324,335 258,528 65,807
Cash collateral held 33,509
Net exposure less collateral 32,298
As at 31 December 2012
Foreign exchange 59,479 45,009 14,470
Interest rate 355,000 307,173 47,827
Credit derivatives 29,797 25,497 4,300
Equity and stock index 10,987 6,821 4,166
Commodity derivatives 13,893 3,172 10,721
Total derivative assets 469,156 387,672 81,484
Cash collateral held 46,855
Net exposure less collateral 34,629
Derivative asset exposures would be £292bn (2012: £435bn) 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 £288bn (2012: £427bn) lower reflecting
counterparty netting and collateral placed. In addition non-cash collateral of £8bn (2012: £6bn) was held in respect of derivative assets. Barclays
received collateral from clients in support of over-the-counter (OTC) derivative transactions. These transactions are generally undertaken under
International Swaps and Derivative 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 PRA 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).
Note
a 2012 counterparty netting for foreign exchange, interest rate and commodity derivatives have been revised to be on a consistent basis with 2013.
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