Barclays 2014 Annual Report Download - page 168

166 I Barclays PLC Annual Report 2014 barclays.com/annualreport
Risk performance
Credit risk
Risk review
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 2014 2013
As at 31 December 2014
Balance sheet
assets
£m
Counterparty
netting
£m
Net
exposure
£m
Balance sheet
assets
£m
Counterparty
netting
£m
Net
exposure
£m
Foreign exchange 74,470 58,153 16,317 60,228 46,912 13,317
Interest rate 309,946 253,820 56,126 232,249 193,466 38,782
Credit derivatives 23,507 19,829 3,678 27,350 23,981 3,369
Equity and stock index 14,844 10,523 4,321 16,286 10,617 5,669
Commodity derivatives 17,142 11,306 5,836 14,187 4,826 9,361
Total derivative assets 439,909 353,631 86,278 350,300 279,802 70,498
Cash collateral held 44,047 36,733
Net exposure less collateral 42,231 33,765
Derivative asset exposures would be £398bn (2013: £317bn) lower than reported under IFRS if netting were permitted for assets and liabilities with
the same counterparty or for which the Group holds cash collateral. Similarly, derivative liabilities would be £397bn (2013: £313bn) lower
reflecting counterparty netting and collateral placed. In addition, non-cash collateral of £8bn (2013: £8bn) was held in respect of derivative assets.
The Group received collateral from clients in support of over the counter 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).
The table below sets out the fair value and notional amounts of OTC derivative instruments by type of collateral arrangement.
Derivatives by collateral arrangement 2014 2013
Notional
contract
amount
£m
Fair value Notional
contract
amount
£m
Fair value
Assets
£m
Liabilities
£m
Assets
£m
Liabilities
£m
Unilateral in favour of Barclays
Foreign exchange 15,067 191 (158) 29,098 363 (344)
Interest rate 5,826 940 (72) 6,495 652 (115)
Credit derivatives 226 3 (4) 402 14 (7)
Equity and stock index 310 3 (8) 486 4 (17)
Commodity derivatives 2,455 158 (120) 5,477 84 (90)
Total unilateral in favour of Barclays 23,884 1,295 (362) 41,958 1,117 (573)
Unilateral in favour of counterparty
Foreign exchange 24,861 681 (2,713) 37,223 1,023 (2,995)
Interest rate 138,396 6,073 (8,751) 153,566 5,221 (7,067)
Credit derivatives 403 6 (19) 378 1 (46)
Equity and stock index 1,100 133 (137) 1,158 90 (112)
Commodity derivatives 2,881 359 (138) 5,645 236 (109)
Total unilateral in favour of counterparty 167,641 7,252 (11,758) 197,970 6,571 (10,329)
Bilateral arrangement
Foreign exchange 3,350,366 67,496 (70,919) 4,245,971 53,917 (57,005)
Interest rate 9,032,753 263,812 (256,697) 11,740,243 209,730 (198,799)
Credit derivatives 887,041 18,290 (17,002) 1,261,171 22,214 (22,226)
Equity and stock index 162,615 6,033 (10,498) 143,121 9,052 (13,985)
Commodity derivatives 68,400 6,254 (6,377) 157,639 8,673 (8,310)
Total bilateral arrangement 13,501,175 361,885 (361,493) 17,548,145 303,586 (300,325)
Uncollateralised derivatives
Foreign exchange 303,341 6,028 (5,452) 293,733 4,820 (4,350)
Interest rate 199,615 8,572 (3,524) 222,676 5,577 (1,945)
Credit derivatives 8,716 565 (800) 8,069 517 (611)
Equity and stock index 5,789 2,115 (2,406) 17,877 2,659 (2,383)
Commodity derivatives 26,099 2,806 (2,766) 35,090 1,104 (1,673)
Total uncollateralised derivatives 543,560 20,086 (14,948) 577,445 14,677 (10,962)
Total OTC derivative assets/(liabilities) 14,236,260 390,518 (388,561) 18,365,518 325,951 (322,189)