Barclays 2015 Annual Report Download - page 288

286 I Barclays PLC Annual Report 2015 home.barclays/annualreport
Notes to the financial statements
18 Fair value of assets and liabilities continued
Sensitivity analysis of valuations using unobservable inputs
Fair value Favourable changes Unfavourable changes
Total
assets
£m
Total
liabilities
£m
Income
statement
£m
Equity
£m
Income
statement
£m
Equity
£m
As at 31 December 2015
Interest rate derivatives 2,675 (2,247) 93 – (103) –
Foreign exchange derivatives 95 (196) 17 – (17) –
Credit derivativesa1,902 (219) 66 – (96) –
Equity derivatives 690 (1,545) 167 – (185) –
Commodity derivatives 56 (562) 13 – (13) –
Government and government sponsored debt 419 (1) 4 – (4) –
Corporate debt 2,895 (15) 10 1 (5) (1)
Certificates of deposit, commercial paper and other money market
instruments – (382) – – – –
Non-asset backed loans 16,828 – 1,581 – (1,564) –
Asset backed securities 770 (37) 1 – (1) –
Commercial real estate loans 551 – 24 – (1) –
Issued debt – (546) – – – –
Equity cash products 171 – – 17 – (17)
Funds and fund linked products 378 (148) 1 – (1) –
Otherb9,185 (4,344) 154 318 (172) (53)
Total 36,615 (10,242) 2,131 336 (2,162) (71)
As at 31 December 2014
Interest rate derivatives 1,239 (1,344) 70 – (71) –
Foreign exchange derivatives 108 (138) 36 – (36) –
Credit derivativesa1,966 (409) 81 – (229) –
Equity derivatives 1,247 (2,092) 220 – (220) –
Commodity derivatives 185 (337) 46 – (46) –
Government and government sponsored debt 1,014 (346) – – (2) –
Corporate debt 3,061 (13) 26 (1) (9) (4)
Certificates of deposit, commercial paper and other money market
instruments – (665) 3 – 3 –
Non-asset backed loans 17,744 – 1,164 – (820) –
Asset backed securities 1,631 – 46 1 (72) (1)
Commercial real estate loans 1,180 – 20 – (19) –
Issued debt – (749) – – – –
Equity cash products 171 – – 11 – (11)
Funds and fund linked products 631 (210) 14 – (14) –
Otherb17,663 (13,297) 180 82 (156) (55)
Total 47,840 (19,600) 1,906 93 (1,691) (71)
The effect of stressing unobservable inputs to a range of reasonably possible alternatives, alongside considering the impact of using alternative
models, would be to increase fair values by up to £2.1bn (2014: £1.9bn) or to decrease fair values by up to £2.2bn (2014: £1.7bn) with substantially
all the potential effect impacting profit and loss rather than reserves.
Notes
a Credit derivatives includes derivative exposure to monoline insurers.
b Other includes non-current assets and liabilities held for sale, which are measured at fair value on a non-recurring basis, investment property, private equity investments and asset
backed loans.