Barclays 2015 Annual Report Download - page 277

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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
2015 2014
Notional
contract
amount
£m
Fair value Notional
contract
amount
£m
Fair value
Assets
£m
Liabilities
£m
Assets
£m
Liabilities
£m
Derivatives designated as cash flow hedges
Currency swaps 1,357 133 – – – –
Interest rate swaps 14,198 162 (115) 19,218 223 (60)
Forward foreign exchange 759 5 – 930 17 –
Interest rate derivatives cleared by central counterparty 147,072 – – 82,550 – –
Derivatives designated as cash flow hedges 163,386 300 (115) 102,698 240 (60)
Derivatives designated as fair value hedges
Interest rate swaps 13,798 637 (264) 27,345 1,379 (590)
Forward foreign exchange 2,527 – (32) – – –
Interest rate derivatives cleared by central counterparty 134,939 – – 135,553 – –
Derivatives designated as fair value hedges 151,264 637 (296) 162,898 1,379 (590)
Derivatives designated as hedges of net investments
Forward foreign exchange 1,955 – (53) 2,852 20 (47)
Derivatives designated as hedges of net investments 1,955 – (53) 2,852 20 (47)
Derivative assets/(liabilities) held for risk management 316,605 937 (464) 268,448 1,639 (697)
Total OTC derivatives held for risk management 34,594 937 (464) 50,345 1,639 (697)
Total derivatives cleared by central counterparty held for risk
management 282,011 – – 218,103 – –
Derivative assets/(liabilities) held for risk management 316,605 937 (464) 268,448 1,639 (697)
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
One to
two years
£m
Two to
three years
£m
Three to
four years
£m
Four to
five years
£m
More than
five years
£m
2015
Forecast receivable cash flows 4,952 555 816 875 813 633 1,260
Forecast payable cash flows 872 769 35 31 22 11 4
2014
Forecast receivable cash flows 4,277 308 491 695 729 651 1,403
Forecast payable cash flows 972 178 770 10 7 4 3
Amounts recognised in net interest income
2015
£m
2014
£m
Gains/(losses) on the hedged items attributable to the hedged risk 552 2,610
(Losses)/gains on the hedging instruments (485) (2,797)
Fair value ineffectiveness 67 (187)
Cash flow hedging ineffectiveness 16 41
Net investment hedging ineffectiveness (2) –
Gains and losses transferred from the cash flow hedging reserve to the income statement included a £36m gain (2014: £52m gain) transferred to
interest income; a £267m gain (2014: £778m gain) to interest expense; a £4m loss (2014: £15m loss) to net trading income; a £17m gain (2014: nil)
to administration and general expenses; and a £69m loss (2014: £78m loss) to taxation.
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