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OTC 99

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					46 Derivatives and other financial instruments and commitments

Maturity of notional principal amounts as at 31st December1999
                                                                 One year    Over one       Over         Total
                                                                   or less    year but       five
                                                                             not more       years
                                                                             than five
                                                                                years
                                                                      £m          £m          £m           £m
Foreign exchange derivatives
Forward foreign exchange                                         222,068       3,450           -     225,518
Currency swaps                                                    22,113      46,231      20,109      88,453
OTC options bought and sold                                       54,226       1,340         134      55,700
Other foreign exchange contracts                                       -           -           -           -
OTC derivatives                                                  298,407      51,021      20,243     369,671
Exchange traded futures - bought and sold                          9,883       9,883           -       9,883
Exchange traded options - bought and sold                            220           -           -         220
Total                                                            308,510      51,021      20,243     379,774
Interest rate derivatives
Swaps                                                            237,848     437,404     300,468      975,720
Forward rate agreements                                           45,319       4,258           -       49,577
OTC options bought and sold                                       69,359     147,262      49,464      266,085
Other interest rate contracts                                         14           -           -           14
OTC derivatives                                                  352,540     588,924     349,932    1,291,396
Exchange traded futures - bought and sold                        210,360      25,985           -      236,345
Exchange traded options - bought and sold                         36,863           -           -       36,863
Total                                                            599,763     614,909     349,932    1,564,604
Equity and stock index derivatives
OTC options bought and sold                                        9,599      14,779        113       24,491
Equity swaps and forwards                                          3,084          39        674        3,797
OTC derivatives                                                   12,683      14,818        787       28,288
Exchange traded futures - bought and sold                         34,782         138          -       34,920
Exchange traded options - bought and sold                         70,561         388        800       71,749
Total                                                            118,026      15,344       1,587     134,957
Commodity derivatives
OTC options bought and sold                                          392         210          51         653
Commodity swaps and forwards                                       4,335         735           5       5,075
OTC derivatives                                                    4,727         945          56       5,728
Exchange traded futures - bought and sold                         10,083         596           -      10,634
Exchange traded options - bought and sold                            742          11           -         753
Total                                                             15,507       1,552          56      17,115

				
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posted:7/30/2011
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