Notes to the consolidated financial statements - analysis of items in the primary 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 31. The fair value amounts by designated hedge type can be analysed as follows:
| 2010 | 2009 | ||||||
|---|---|---|---|---|---|---|---|
| Assets £m | Liabilities £m | Total £m | Assets £m | Liabilities £m | Total £m |
||
| Fair value hedges | |||||||
| Interest rate swaps | 128 | (4) | 124 | 193 | – | 193 | |
| Cross-currency interest rate swaps | 589 | (20) | 569 | 899 | (26) | 873 | |
| 717 | (24) | 693 | 1,092 | (26) | 1,066 | ||
| Cash flow hedges | |||||||
| Interest rate swaps | 2 | (112) | (110) | 5 | (94) | (89) | |
| Cross-currency interest rate swaps | 924 | (16) | 908 | 1,056 | (5) | 1,051 | |
| Foreign exchange forward contracts | 2 | – | 2 | – | – | – | |
| 928 | (128) | 800 | 1,061 | (99) | 962 | ||
| Net investment hedges | |||||||
| Cross-currency interest rate swaps | 135 | (660) | (525) | 55 | (1,033) | (978) | |
| Foreign exchange forward contracts | 5 | (42) | (37) | 62 | – | 62 | |
| 140 | (702) | (562) | 117 | (1,033) | (916) | ||
| Derivatives not in a formal hedge relationship | |||||||
| Interest rate swaps | 200 | (233) | (33) | 247 | (257) | (10) | |
| Cross-currency interest rate swaps | 58 | (1) | 57 | 67 | (9) | 58 | |
| Foreign exchange forward contracts | 3 | (43) | (40) | 32 | (1) | 31 | |
| Forward rate agreements | – | (47) | (47) | – | (16) | (16) | |
| Other | – | – | – | 11 | – | 11 | |
| 261 | (324) | (63) | 357 | (283) | 74 | ||
| 2,046 | (1,178) | 868 | 2,627 | (1,441) | 1,186 | ||
| Hedge positions offset within derivative instruments | (304) | 304 | – | (501) | 501 | – | |
| Total | 1,742 | (874) | 868 | 2,126 | (940) | 1,186 | |
The maturity of derivative financial instruments is as follows:
| 2010 | 2009 | ||||||
|---|---|---|---|---|---|---|---|
| Assets £m | Liabilities £m | Total £m | Assets £m | Liabilities £m | Total £m |
||
| In one year or less | 248 | (212) | 36 | 593 | (307) | 286 | |
| Current | 248 | (212) | 36 | 593 | (307) | 286 | |
| In more than one year, but not more than two years | 278 | (174) | 104 | 44 | (28) | 16 | |
| In more than two years, but not more than three years | 152 | (69) | 83 | 259 | (229) | 30 | |
| In more than three years, but not more than four years | 240 | (106) | 134 | 128 | (48) | 80 | |
| In more than four years, but not more than five years | 57 | (14) | 43 | 281 | (113) | 168 | |
| In more than five years | 767 | (299) | 468 | 821 | (215) | 606 | |
| Non-current | 1,494 | (662) | 832 | 1,533 | (633) | 900 | |
| 1,742 | (874) | 868 | 2,126 | (940) | 1,186 | ||
For each class of derivative the notional contract* amounts are as follows:
| 2010 £m | 2009 £m |
|
|---|---|---|
| Interest rate swaps | (13,320) | (12,382) |
| Cross-currency interest rate swaps | (9,528) | (10,701) |
| Foreign exchange forward contracts | (1,989) | (2,802) |
| Forward rate agreements | (10,454) | (10,388) |
| Other | (314) | (758) |
| Total | (35,605) | (37,031) |
- *
- The notional contract amounts of derivatives indicate the gross nominal value of transactions outstanding at the balance sheet date