Annual report and accounts 2008Annual report and accounts 2008

Notes contentsNotes to the company financial statements


6. Derivative financial instruments

The company’s outstanding derivative financial instruments are as follows:

All figures in £ millions 2008   2007
Gross notional
amounts		 Assets Liabilities   Gross notional
amounts		 Assets Liabilities
Interest rate derivatives in a fair value hedge relationship 398 44 —   522 18 (8)
Interest rate derivatives not in a hedge relationship 1,867 140 (20)   796 7 (8)
Cross currency rate derivatives — — —   150 26 —
Total 2,265 184 (20)   1,468 51 (16)
Analysed as expiring:  
In less than one year 487 3 (5)   320 28 —
Later than one year and not later than five years 859 47 (15)   796 13 (8)
Later than five years 919 134 —   352 10 (8)
Total 2,265 184 (20)   1,468 51 (16)

The carrying value of the above derivative financial instruments equals their fair value. Fair values are determined by using market data and the use of established estimation techniques such as discounted cash flow and option valuation models.