RBS 2006 Annual Report Download - page 162
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161
RBS Group • Annual Report and Accounts 2006
Financial statements
Group
2006 2005
Notional amounts Assets Liabilities Notional amounts Assets Liabilities
£bn £m £m £bn £m £m
Exchange rate contracts
Spot, forwards and futures 1,158 11,290 11,806 885 10,758 10,214
Currency swaps 255 5,023 4,735 221 3,228 3,849
Options purchased 361 7,408 — 301 6,438 —
Options written 364 — 6,646 315 — 6,101
Interest rate contracts
Interest rate swaps 12,038 76,671 78,979 7,234 65,618 67,156
Options purchased 1,763 10,852 — 814 5,988 —
Options written 1,589 — 10,489 719 — 5,557
Futures and forwards 1,823 285 328 1,482 268 325
Credit derivatives 346 2,336 2,338 217 1,455 1,355
Equity and commodity contracts 82 2,816 2,791 61 1,910 1,881
116,681 118,112 95,663 96,438
Included in the above are cash flow hedging derivatives as follows:
Spot, forwards and futures 41 — 525
Interest rate swaps 336 451 431 373
Included in the above are fair value hedging derivatives as follows:
Interest rate swaps 804 384 1,096 676
Hedge ineffectiveness recognised in other operating income comprised fair value hedges – gain of £4 million (2005 – loss of £24 million)
and cash flow hedges – gain of £4 million (2005 – gain of £12 million).
The company held derivative liabilities with a fair value of £42 million (2005 – £55 million derivative assets) and notional amount of
£1 billion (2005 – £1 billion).