Barclays 2015 Annual Report Download - page 165

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Analysis of derivatives (audited)
The tables below set out the fair value 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
2015 2 014
As at 31 December
Balance
sheet assets
£m
Counterparty
netting
£m
Net
exposure
£m
Balance
sheet assets
£m
Counterparty
netting
£m
Net
exposure
£m
Foreign exchange 54,936 40,301 14,635 74,470 58,153 16,317
Interest rate 231,426 190,513 40,913 309,946 253,820 56,126
Credit derivatives 18,181 14,110 4,071 23,507 19,829 3,678
Equity and stock index 13,799 8,358 5,441 14,844 10,523 4,321
Commodity derivatives 9,367 6,300 3,067 17,142 11,306 5,836
Total derivative assets 327,709 259,582 68,127 439,909 353,631 86,278
Cash collateral held 34,918 44,047
Net exposure less collateral 33,209 42,231
Derivative asset exposures would be £295bn (2014: £398bn) 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 £295bn (2014: £397bn) lower reflecting
counterparty netting and collateral placed. In addition, non-cash collateral of £7bn (2014: £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 Over the Counter (OTC) derivative instruments by type of collateral arrangement.
Derivatives by collateral arrangement
2015 2 014
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 15,645 242 (308) 15,067 191 (158)
Interest rate 4,365 846 (65) 5,826 940 (72)
Credit derivatives 277 2 (7) 226 3 (4)
Equity and stock index 303 4 (146) 310 3 (8)
Commodity derivatives 905 150 (30) 2,455 158 (120)
Total unilateral in favour of Barclays 21,495 1,244 (556) 23,884 1,295 (362)
Unilateral in favour of counterparty
Foreign exchange 50,343 810 (2,107) 24,861 681 (2,713)
Interest rate 121,231 4,436 (6,981) 138,396 6,073 (8,751)
Credit derivatives 140 3 (1) 403 6 (19)
Equity and stock index 827 100 (83) 1,100 133 (137)
Commodity derivatives 74 – (3) 2,881 359 (138)
Total unilateral in favour of counterparty 172,615 5,349 (9,175) 167,641 7,252 (11,758)
Bilateral arrangement
Foreign exchange 2,878,125 46,831 (50,899) 3,350,366 67,496 (70,919)
Interest rate 7,315,345 197,900 (188,293) 9,032,753 263,812 (256,697)
Credit derivatives 663,090 13,617 (11,985) 887,041 18,290 (17,002)
Equity and stock index 144,108 4,991 (8,297) 162,615 6,033 (10,498)
Commodity derivatives 36,794 3,164 (3,104) 68,400 6,254 (6,377)
Total bilateral arrangement 11,037,462 266,503 (262,578) 13,501,175 361,885 (361,493)
Uncollateralised derivatives
Foreign exchange 271,819 7,008 (5,424) 303,341 6,028 (5,452)
Interest rate 193,565 6,091 (2,907) 199,615 8,572 (3,524)
Credit derivatives 7,881 467 (700) 8,716 565 (800)
Equity and stock index 6,672 2,204 (3,075) 5,789 2,115 (2,406)
Commodity derivatives 13,347 1,733 (1,667) 26,099 2,806 (2,766)
Total uncollateralised derivatives 493,284 17,503 (13,773) 543,560 20,086 (14,948)
Total OTC derivative assets/(liabilities) 11,724,856 290,599 (286,082) 14,236,260 390,518 (388,561)
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