Notes to the consolidated financial statements
17. Derivative financial instruments
Our use of derivatives may entail a derivative transaction qualifying for one or more hedge type designations under IAS 39. For further information and a detailed description of our derivative financial instruments and hedge type designations, refer to note 32. The fair value amounts by designated hedge type can be analysed as follows:
| 2009 | 2008 | ||||||
| Assets £m |
Liabilities £m |
Total £m |
Assets £m |
Liabilities £m |
Total £m |
||
| Fair value hedges | |||||||
| Interest rate swaps | 193 | – | 193 | 23 | (8) | 15 | |
| Cross-currency interest rate swaps | 899 | (26) | 873 | 271 | (43) | 228 | |
| 1,092 | (26) | 1,066 | 294 | (51) | 243 | ||
| Cash flow hedges | |||||||
| Interest rate swaps | 5 | (94) | (89) | 49 | (76) | (27) | |
| Cross-currency interest rate swaps | 1,056 | (5) | 1,051 | 609 | (8) | 601 | |
| Foreign exchange forward contracts | – | – | – | 16 | (7) | 9 | |
| 1,061 | (99) | 962 | 674 | (91) | 583 | ||
| Net investment hedges | |||||||
| Cross-currency interest rate swaps | 55 | (1,033) | (978) | 362 | (49) | 313 | |
| Foreign exchange forward contracts | 62 | – | 62 | – | (20) | (20) | |
| 117 | (1,033) | (916) | 362 | (69) | 293 | ||
| Derivatives not in a formal hedge relationship | |||||||
| Interest rate swaps | 247 | (257) | (10) | 76 | (100) | (24) | |
| Interest rate swaptions | – | – | – | – | (6) | (6) | |
| Cross-currency interest rate swaps | 67 | (9) | 58 | 4 | – | 4 | |
| Foreign exchange forward contracts | 32 | (1) | 31 | – | – | – | |
| Forward rate agreements | – | (16) | (16) | – | – | – | |
| Other | 11 | – | 11 | – | – | – | |
| 357 | (283) | 74 | 80 | (106) | (26) | ||
| 2,627 | (1,441) | 1,186 | 1,410 | (317) | 1,093 | ||
| Hedge positions offset within derivative instruments | (501) | 501 | – | 116 | (116) | – | |
| Total | 2,126 | (940) | 1,186 | 1,526 | (433) | 1,093 | |
The maturity of derivative financial instruments is as follows:
| 2009 | 2008 | |||||||
| Assets £m |
Liabilities £m |
Total £m |
Assets £m |
Liabilities £m |
Total £m |
|||
| In one year or less | 593 | (307) | 286 | 463 | (114) | 349 | ||
| Current | 593 | (307) | 286 | 463 | (114) | 349 | ||
| In more than one year, but not more than two years | 44 | (28) | 16 | 104 | (3) | 101 | ||
| In more than two years, but not more than three years | 259 | (229) | 30 | 113 | (21) | 92 | ||
| In more than three years, but not more than four years | 128 | (48) | 80 | 358 | (68) | 290 | ||
| In more than four years, but not more than five years | 281 | (113) | 168 | 170 | (36) | 134 | ||
| In more than five years | 821 | (215) | 606 | 318 | (191) | 127 | ||
| Non-current | 1,533 | (633) | 900 | 1,063 | (319) | 744 | ||
| 2,126 | (940) | 1,186 | 1,526 | (433) | 1,093 | |||
For each class of derivative the sterling equivalent notional value of the pay leg is as follows:
| 2009 £m |
2008 £m |
||||
|---|---|---|---|---|---|
| Interest rate swaps | (12,382) | (10,105) | |||
| Interest rate swaptions | – | (202) | |||
| Cross-currency interest rate swaps | (10,701) | (7,120) | |||
| Foreign exchange forward contracts | (2,802) | (2,020) | |||
| Forward rate agreements | (10,388) | – | |||
| Other | (758) | – | |||
| Total | (37,031) | (19,447) |