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320 NEDBANK GROUP Limited INTEGRATED REPORT 201023 DERIVATIVE FINANCIAL INSTRUMENTS ... continued23.4 Analysis of derivative financial instrumentsRmEquityderivativesCommodityderivativesExchange ratederivativesInterest ratederivativesTotalDerivative assets2010Maturity analysisUnder one year 241 180 5 052 687 6 160One to five years 305 930 855 2 787 4 877Over five years 356 2 489 2 845546 1 110 6 263 5 963 13 8822009Maturity analysisUnder one year 801 181 4 513 979 6 474One to five years 341 887 1 027 1 412 3 667Over five years 314 2 255 2 5691 142 1 068 5 854 4 646 12 710Derivative liabilities2010Maturity analysisUnder one year 347 178 1 873 504 2 902One to five years 399 891 702 2 894 4 886Over five years 293 3 971 4 264746 1 069 2 868 7 369 12 0522009Maturity analysisUnder one year 1 507 153 2 680 578 4 918One to five years 480 829 184 1 543 3 036Over five years 200 3 397 3 5971 987 982 3 064 5 518 11 551Notional principal of derivatives2010Maturity analysisUnder one year 13 348 1 062 139 137 242 470 396 017One to five years 3 812 6 222 9 973 198 544 218 551Over five years 3 909 79 747 83 65617 160 7 284 153 019 520 761 698 2242009Maturity analysisUnder one year 19 936 2 142 155 771 204 567 382 416One to five years 4 209 12 395 12 112 140 686 169 402Over five years 6 425 90 007 96 43224 145 14 537 174 308 435 260 648 250
321Reports andcertificationsConsolidatedannual financialstatementsShareholdermeeting mattersDefinitions andabbreviationsInstrumentcodesContactdetailsnotes to the financial statements for the year ended 31 December 201024 FINANCIAL INSTRUMENTS DESIGNATED AS AT FAIR VALUE THROUGH PROFIT OR LOSSThe group has satisfied the criteria for designation of financial instruments as at fair value through profit or loss in terms of the accounting policies.Various fixed-rate advances and liabilities are entered into by the group. The overall interest rate risk of the group is economically hedged by wayof interest rate swaps and managed by ALCO. The interest rate risk is then traded to the market through the central trading desk.The swaps and frontdesk trading instruments meet the definition of ‘derivatives’, and are measured at fair value in terms of IAS 39. Fixed-rateadvances and liabilities, however, do not meet this definition. Therefore, to avoid any accounting mismatch of holding the advances at amortisedcost and the hedging instruments at fair value, the advances and liabilities are designated as at fair value through profit or loss and are held atfair value.Various instruments are designated as at fair value through profit or loss, which is consistent with the group’s documented risk management orinvestment strategy. The fair value is the attribute of the instruments that are managed and reviewed on a regular basis by the risk/investmentfunctions of the group. The risk of the portfolio is measured and monitored on a fair-value basis.24.1 Financial assets designated as at fair value through profit or lossRm2010Maximumexposure tocredit riskNegotiable certificates of deposit purchased 271Treasury bills 12 257Government-guaranteed 13 186Other dated securities 4 119Change in fair valuedue to change in credit riskCurrentperiod*CumulativeCommercial mortgage loans 19 338 1 1Instalment credit 6 598Leases and debentures 48Preference shares 1 437Loans and advances (secured and unsecured) 10 038Foreign correspondents 1 830Other loans 3 607Loans to other banks 119Trade and other bills and acceptances 73Debtors and accruals 282Other assets 620Associate companies 912Listed investments 510Unlisted investments 1 735Endowment policy 18Insurance policyholder investments 8 940Policyholder assets (32)85 906 1 1
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215Reports andcertificationsConsoli
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262 NEDBANK GROUP Limited INTEGRATE
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