Barclays 2015 Annual Report Download - page 281

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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 2015
Interest rate derivatives – 228,751 2,675 – (218,864) (2,247)
Foreign exchange derivatives 2 54,839 95 (4) (58,594) (196)
Credit derivativesa – 16,279 1,902 – (16,405) (219)
Equity derivatives 3,830 9,279 690 (2,870) (14,037) (1,545)
Commodity derivatives 2,510 6,801 56 (2,576) (6,133) (562)
Government and government sponsored debt 55,150 52,967 419 (15,036) (5,474) (1)
Corporate debt 352 11,598 2,895 (234) (4,558) (15)
Certificates of deposit, commercial paper and other money market
instruments 82 503 – (5) (6,955) (382)
Reverse repurchase and repurchase agreementsb – 49,513 – – (50,838) –
Non-asset backed loans – 1,931 16,828 – – –
Asset backed securities – 12,009 770 – (384) (37)
Commercial real estate loans – – 551 – – –
Issued debt – – – – (29,695) (546)
Equity cash products 29,704 4,038 171 (8,943) (221) –
Funds and fund linked products – 1,649 378 – (1,601) (148)
Physical commodities 87 156 – – – –
Otherc42 971 9,185 (1,024) (1,268) (4,344)
Total 91,759 451,284 36,615 (30,692) (415,027) (10,242)
As at 31 December 2014
Interest rate derivatives – 308,706 1,239 (5) (299,181) (1,344)
Foreign exchange derivatives 4 74,358 108 (3) (79,188) (138)
Credit derivativesa – 21,541 1,966 – (21,958) (409)
Equity derivatives 3,847 9,750 1,247 (3,719) (13,780) (2,092)
Commodity derivatives 6,012 10,946 185 (6,586) (10,580) (337)
Government and government sponsored debt 62,577 48,296 1,014 (11,563) (14,002) (346)
Corporate debt 151 22,036 3,061 – (3,572) (13)
Certificates of deposit, commercial paper and other money market
instruments 78 921 – (4) (6,276) (665)
Reverse repurchase and repurchase agreements – 5,236 – – (5,423) –
Non-asset backed loans 1 2,462 17,744 – – –
Asset backed securities 30 16,211 1,631 – (67) –
Commercial real estate loans – – 1,180 – – –
Issued debt – – – (10) (40,592) (749)
Equity cash products 40,252 7,823 171 (15,276) (699) –
Funds and fund linked products – 2,644 631 – (2,060) (210)
Physical commodities 4 1,447 – – (363) –
Otherc70 1,530 17,663 (2) (22) (13,297)
Total 113,026 533,907 47,840 (37,168) (497,763) (19,600)
Assets and liabilities reclassified between Level 1 and Level 2
There were transfers of £537m assets and £801m liabilities (2014: nil) of equity and foreign exchange derivatives from Level 1 to Level 2 to reflect
the market observability of these product types.
Notes
a Credit derivatives includes derivative exposure to monoline insurers.
b During 2015, new reverse repurchase agreements and other similar lending and repurchase agreements and other similar secured borrowing in certain businesses have been
designated at fair value to better align to the way the business manages the portfolio’s risk and performance.
c Other includes non-current assets and liabilities held for sale, private equity investments, asset backed loans and investment property.
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