RBS 2007 Annual Report Download - page 159

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RBS Group • Annual Report and Accounts 2007
Financial statements
Group
2007 2006
Notional amounts Assets Liabilities Notional amounts Assets Liabilities
£bn £m £m £bn £m £m
Exchange rate contracts
Spot, forwards and futures 2,134 29,829 29,629 1,158 11,290 11,806
Currency swaps 887 14,785 13,789 255 5,023 4,735
Options purchased 488 13,750 — 361 7,408 —
Options written 519 — 13,892 364 — 6,646
Interest rate contracts
Interest rate swaps 24,798 202,478 201,487 12,038 76,671 78,979
Options purchased 4,084 30,681 — 1,763 10,852 —
Options written 3,640 — 31,199 1,589 — 10,489
Futures and forwards 3,164 807 987 1,823 285 328
Credit derivatives 2,402 34,123 29,855 346 2,336 2,338
Equity and commodity contracts 281 10,957 11,222 82 2,816 2,791
337,410 332,060 116,681 118,112
Included above are derivatives held for hedging purposes as follows:
Fair value hedging:
Exchange rate contracts 62 344 ——
Interest rate contracts 1,598 1,062 804 384
Cash flow hedging:
Exchange rate contracts 155 78 41 —
Interest rate contracts 738 1,014 336 451
Net investment hedging:
Exchange rate contracts — 211 ——
Hedge ineffectiveness recognised in other operating income comprised:
2007 2006 2005
£m £m £m
Fair value hedging:
Gains on the hedged items attributable to the hedged risk 81 219 56
Losses on the hedging instruments (87) (215) (80)
Fair value ineffectiveness (6) 4 (24)
Cash flow hedging ineffectiveness 9 412
38 (12)
Company
2007 2006
Notional amounts Assets Liabilities Notional amounts Assets Liabilities
£bn £m £m £bn £m £m
Exchange contracts 13 154 178 1—42
Interest rate contracts 1 19 1 ———
173 179 —42
Included above are fair value hedging derivatives liabilities of £54 million (2006 – nil).