RBS 2005 Annual Report Download - page 169
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section
03
Financial
statements
167
Notes on the accounts
Annual Report and Accounts 2005
Group
Trading derivatives
Fair value
Notional amounts Assets Liabilities
2004 £bn £m £m
Exchange rate contracts
Spot, forwards and futures 746 17,133 18,566
Currency swaps 178 6,281 6,314
Options purchased 243 5,797 —
Options written 256 — 5,324
Interest rate contracts
Interest rate swaps 4,939 54,964 55,360
Options purchased 296 3,168 —
Options written 287 — 3,274
Futures and forwards 1,091 475 479
Credit derivatives 59 264 285
Equity and commodity contracts 41 1,227 783
89,309 90,385
Effect of netting (71,509) (71,509)
17,800 18,876
Non-trading derivatives
Under previous GAAP, hedging derivatives were accounted for in accordance with the treatment of the hedged transaction.
As a result any gains or losses on the hedging instrument arising from changes in fair values were not recognised in the profit and
loss account immediately but accounted for in the same manner as the hedged item. The Group established such non-trading
derivative positions externally with third parties and also internally. The tables below include the components of the internal hedging
programme that transferred risks to the trading portfolio or to external third party participants in the derivatives market.
Group
Fair value Book value
Notional
amounts Positive Negative Assets Liabilities
2004 £bn £m £m £m £m
Exchange rate contracts
Spot, forwards and futures 21 46 665 35 603
Currency swaps and options 5 349 227 234 123
Interest rate contracts
Interest rate swaps 121 1,617 1,342 623 650
Futures, forwards and options 14 71 318 2 2
Credit derivatives 1411—6
Equity and commodity contracts 2 207 62 102 15
2,294 2,625 996 1,399