| 2005 | 2005 | 2004 | |||||||||||
| Maturity analysis of net fair value | Contract/ | Contract/ | |||||||||||
| 1 – 5 | Net fair | Fair value | Fair value | notional | Net fair | Fair value | Fair value | notional | |||||
| <1 year | years | >5 years | value | of assets | of liabilities | amount | value | of assets | of liabilities | amount | |||
| Rm | Rm | Rm | Rm | Rm | Rm | Rm | Rm | Rm | Rm | Rm | |||
| Derivatives held for trading | |||||||||||||
| Foreign exchange derivatives | 1 294 | 1 591 | (2 104) | 781 | 15 598 | (14 817) | 901 358 | 2 190 | 24 131 | (21 941) | 366 580 | ||
| Forwards | 1 069 | 274 | 151 | 1 494 | 8 999 | (7 505) | 799 584 | 2 405 | 17 418 | (15 013) | 255 647 | ||
| Futures | – | – | – | – | 1 | (1) | 17 558 | ( 61) | 384 | (445) | 11 860 | ||
| Options | 225 | 1 317 | (2 255) | (713) | 6 598 | (7 311) | 84 216 | (154) | 6 329 | (6 483) | 99 073 | ||
| Interest rate derivatives | 1 864 | (1 698) | 300 | 466 | 49 757 | (49 291) | 2 212 444 | 5 912 | 74 767 | (68 855) | 2 639 374 | ||
| Bonds and options | (25) | – | (489) | (514) | 1 459 | (1 973) | 120 743 | (390) | 1 386 | (1 776) | 115 010 | ||
| Caps and floors | 1 | 42 | (9) | 34 | 124 | (90) | 41 458 | 72 | 177 | (105) | 38 686 | ||
| Future options | 14 | 15 | – | 29 | 60 | (31) | 143 876 | 70 | 112 | (42) | 60 202 | ||
| Forwards | (2) | (18) | – | (20) | 230 | (250) | 298 355 | 118 | 998 | (880) | 540 557 | ||
| Swaps | 1 856 | (1 732) | 798 | 922 | 47 700 | (46 778) | 1 595 328 | 6 034 | 72 028 | (65 994) | 1 880 426 | ||
| Swaptions | 20 | (5) | – | 15 | 184 | (169) | 12 684 | 8 | 66 | (58) | 4 493 | ||
| Commodity derivatives | 112 | 313 | 131 | 556 | 28 071 | (27 515) | 444 676 | 437 | 18 731 | (18 294) | 351 411 | ||
| Forwards | 2 089 | 41 | (5) | 2 125 | 18 589 | (16 464) | 289 419 | 406 | 14 362 | (13 956) | 251 038 | ||
| Futures | – | – | – | – | 1 | (1) | 217 | 1 | 1 | – | 100 | ||
| Options | (1 977) | 272 | 136 | (1 569) | 9 481 | (11 050) | 155 040 | 30 | 4 368 | (4 338) | 100 273 | ||
| Credit derivatives | (230) | (404) | 4 | (630) | 646 | (1 276) | 41 037 | 428 | 580 | (152) | 16 262 | ||
| Credit default swaps | 226 | 7 | 4 | 237 | 595 | (358) | 39 157 | 125 | 276 | (151) | 15 067 | ||
| Total return swaps | (456) | (411) | – | (867) | 51 | (918) | 1 880 | 303 | 304 | (1) | 1 195 | ||
| Equity derivatives | 182 | (264) | – | (82) | 3 499 | (3 581) | 119 617 | (360) | 1 608 | (1 968) | 117 605 | ||
| Forwards | 55 | – | – | 55 | 367 | (312) | 3 172 | 41 | 44 | (3) | 239 | ||
| Futures | 7 | 9 | – | 16 | 129 | (113) | 83 978 | 6 | 19 | (13) | 79 907 | ||
| Index options | 207 | (299) | – | (92) | 2 850 | (2 942) | 29 440 | (473) | 1 079 | (1 552) | 31 224 | ||
| Options | (33) | 5 | – | (28) | 76 | (104) | 267 | 42 | 427 | (385) | 4 803 | ||
| Swaps | (9) | 18 | – | 9 | 38 | (29) | 2 628 | 22 | 37 | (15) | 1 426 | ||
| Other | (45) | 3 | – | (42) | 39 | (81) | 132 | 2 | 2 | – | 6 | ||
| Total derivative assets/(liabilities) held for trading | 3 222 | (462) | (1 669) | 1 091 | 97 571 | (96 480) | 3 719 132 | 8 607 | 119 817 | (111 210) | 3 491 232 | ||
| Derivatives held for hedging | |||||||||||||
| Derivatives designated as fair value hedges | 379 | 794 | (835) | 338 | 2 589 | (2 251) | 54 914 | (155) | 3 550 | (3 705) | 54 394 | ||
| Currency futures | – | – | – | – | – | – | – | 4 | 4 | – | 603 | ||
| Interest rate swaps | 379 | 794 | (835) | 338 | 2 589 | (2 251) | 54 914 | (199) | 3 506 | (3 705) | 53 132 | ||
| Cross currency interest rate swaps | – | – | – | – | – | – | – | 40 | 40 | – | 659 | ||
| Derivatives designated as cash flow hedges | (18) | (28) | 7 | (39) | 25 | (64) | 5 213 | (23) | 96 | (119) | 821 | ||
| Currency swaps | (20) | (25) | – | (45) | 3 | (48) | 1 632 | (20) | 49 | (69) | 21 | ||
| Interest rate swaps | 2 | (3) | 7 | 6 | 22 | (16) | 3 581 | (3) | 47 | (50) | 800 | ||
| Derivatives designated as fair value portfolio hedges – interest rate swaps | – | – | – | – | – | – | – | (419) | 761 | (1 180) | 3 200 | ||
| Derivatives designated as hedge of net investment in subsidiaries | (4) | (24) | – | (28) | 3 | (31) | 616 | 12 | 12 | – | 1 839 | ||
| Currency options | 3 | – | – | 3 | 3 | – | 557 | – | – | – | – | ||
| Forward exchange contracts | (7) | (24) | – | (31) | – | (31) | 59 | 12 | 12 | – | 1 839 | ||
| Total derivative assets/(liabilities) held for hedging | 357 | 742 | (828) | 271 | 2 617 | (2 346) | 60 743 | (585) | 4 419 | (5 004) | 60 254 | ||
| Total derivative assets/(liabilities) | 3 579 | 280 | (2 497) | 1 362 | 100 188 | (98 826) | 3 779 875 | 8 022 | 124 236 | (116 214) | 3 551 486 | ||
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