Barclays 2013 Annual Report Download - page 304

Note 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
2013 2012
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 74,854 844 (484) 97,935 2,043 (1,094)
Forward foreign exchange 851 55 (16) 148 – (3)
Interest rate derivatives cleared by central counterparty 85,104 – – 79,039 – –
Derivatives designated as cash flow hedges 160,809 899 (500) 177,122 2,043 (1,097)
Derivatives designated as fair value hedges
Interest rate swaps 39,964 1,278 (752) 44,031 1,576 (1,984)
Interest rate derivatives cleared by central counterparty 83,495 – – 64,209 – –
Derivatives designated as fair value hedges 123,459 1,278 (752) 108,240 1,576 (1,984)
Derivatives designated as hedges of net investments
Forward foreign exchange 19,377 568 (21) 17,460 180 (53)
Derivatives designated as hedges of net investments 19,377 568 (21) 17,460 180 (53)
Derivative assets/(liabilities) held for risk management 303,645 2,745 (1,273) 302,822 3,799 (3,134)
Total OTC derivatives held for risk management 135,046 2,745 (1,273) 159,574 3,799 (3,134)
Total derivatives cleared by central counterparty
held for risk management 168,599 – – 143,248 – –
Derivative assets/(liabilities) held for risk management 303,645 2,745 (1,273) 302,822 3,799 (3,134)
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
2013
Forecast receivable cash flows 6,438 367 500 904 1,126 1,135 2,406
Forecast payable cash flows 1,095 231 128 701 12 14 9
2012
Forecast receivable cash flows 2,417 345 333 353 354 350 682
Forecast payable cash flows 54 31 18 4 – 1 –
Forecast receivable cash flows on floating rate assets have increased year on year due to significant increases in forward interest rate curves.
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 10 years (2012: 9 years).
Amounts recognised in net interest income
2013
£m
2012
£m
Losses on the hedged items attributable to the hedged risk (591) (74)
Gains on the hedging instruments 773 114
Fair value ineffectiveness 182 40
Cash flow hedging ineffectiveness (76) 30
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 interest income was a £66m gain (2012: £97m gain);
interest expense a £554m gain (2012: £571m gain); net trading income a £44m loss (2012: £48m loss); administration and general expenses a
£5m loss (2012: £1m gain); and taxation a £62m loss (2012: nil).
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302 Barclays PLC Annual Report 2013
Notes to the financial statements
For the year ended 31 December 2013 continued