Barclays 2013 Annual Report Download - page 308

Note 18: Fair value of assets and liabilities continued
The following table shows the Group’s assets and liabilities that are held at fair value disaggregated by valuation technique (fair value hierarchy)
and product type:
Assets and liabilities held at fair value by product type
Assets
Valuation technique using
Liabilities
Valuation technique using
Quoted
market
prices
(Level 1)
£m
Observable
inputs
(Level 2)
£m
Significant
unobservable
inputs
(Level 3)
£m
Quoted
market
prices
(Level 1)
£m
Observable
inputs
(Level 2)
£m
Significant
unobservable
inputs
(Level 3)
£m
As at 31 December 2013
Interest rate derivatives – 217,324 1,031 – (203,466) (1,046)
Foreign exchange derivatives – 59,951 117 – (64,592) (86)
Credit derivativesa– 19,723 2,200 (26) (20,828) (780)
Equity derivatives 3,353 8,730 1,266 (3,926) (13,154) (1,867)
Commodity derivatives – 10,241 399 – (10,323) (540)
Government and government sponsored debt 53,518 63,627 220 (17,833) (17,758) –
Corporate debt 1,005 34,247 3,040 (63) (5,247) (12)
Certificates of deposit, commercial paper and other money market
instruments – 1,493 – (96) (5,303) (409)
Reverse repurchase and repurchase agreements – 5,323 – – (5,306) –
Non asset backed loans – 2,493 16,132 – – –
Asset backed securities – 15,141 2,112 – (105) –
Commercial real estate loans – – 1,198 – – –
Issued debt – 54 1 – (48,734) (1,164)
Equity cash products 45,547 397 168 (11,554) (704) –
Funds and fund-linked products – 8,509 550 – (3,369) (54)
Physical commodities 1,155 3,048 – – (72) –
Investment properties – – 451 – – –
Otherb376 524 4,029 (2) (474) (1)
Total 104,954 450,825 32,914 (33,500) (399,435) (5,959)
As at 31 December 2012
Interest rate derivatives – 353,647 1,353 – (338,502) (1,204)
Foreign exchange derivatives 1 59,275 203 – (63,630) (244)
Credit derivativesa– 26,758 3,039 – (28,002) (1,206)
Equity derivatives 2,851 6,281 1,092 (2,626) (10,425) (1,702)
Commodity derivatives 12 13,984 660 (5) (14,632) (543)
Government and government sponsored debt 65,598 60,336 367 (13,098) (20,185) –
Corporate debt 844 28,640 3,339 (130) (3,312) (36)
Certificates of deposit, commercial paper and other money market
instruments 203 5,443 – (5) (7,840) (760)
Reverse repurchase and repurchase agreements – 6,034 – – (6,020) –
Non asset backed loans 21 19,666 2,365 (2) (3) –
Asset backed securities 17 26,787 4,106 (2) (831) –
Commercial real estate loans – – 1,798 – – –
Issued debt – – – – (57,303) (1,439)
Equity cash products 26,992 2,855 145 (7,236) (1,111) –
Funds and fund-linked products 737 2,447 754 (38) (2,000) (122)
Physical commodities 678 2,438 – – (73) –
Investment properties – – 1,686 – – –
Otherb15 989 4,476 – (1,721) (88)
Total 97,969 615,580 25,383 (23,142) (555,590) (7,344)
Notes
a Credit derivatives includes derivative exposure to Monoline insurers.
b Other primarily includes receivables resulting from the acquisition of the North American businesses of Lehman Brothers, asset-backed loans, private equity investments and non
current assets held for sale.
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306 Barclays PLC Annual Report 2013
Notes to the financial statements
For the year ended 31 December 2013 continued