15. Investments (continued) (b) Derivative financial instruments
Group
2011 £m
Derivative financial instrument asset positions 65.9
2010 £m
60.5 Trust
2011 £m
65.9
Derivative financial instrument liabilities for the Group and Trust of £85.7 million (2010: £60.7 million) are included within creditors falling due within one year, disclosed in note 17.
The Group’s use of derivative financial instruments comprises:
Forward currency contracts Forward currency contracts are used to hedge investment assets denominated in foreign currency into Sterling and as part of the investment strategy to have globally diversified currency exposure. As at 30 September 2011, the notional value of open forward contracts amounted to £2,955.4 million (2010: £3,962.2 million). As at 30 September 2011, the Trust held cash collateral relating to its forward currency contracts of £3.2 million (2010: £37.0 million), as disclosed in note 15(c) and note 17.
Financial futures, options and warrants The use of futures, options and warrants constitutes part of the Trust’s portfolio management including:
• a substitution for investing in physical assets; • a part of the Trust’s long-term investment return strategy, entered into with the expectation of realising gains; and • adjusting asset exposures within the parameters set in the Trust’s Investment Policy.
As at 30 September 2011, there were no long equity index futures positions (2010: nil) and the notional value of open sold futures positions amounted to £nil (2010: £0.1 million). Sold futures are covered by quoted equity positions as reflected in note 15(a).
As at 30 September 2011, the notional value of long options positions amounted to £64.8 million (2010: £64.8 million) and the notional value of short options positions amounted to £ 28.9 million (2010: £ 49.4 million). Sold call options are covered by quoted equities positions as reflected in note 15(a). Sold put options are covered by cash as reflected in note 15(c).
As at 30 September 2011, the Group held long warrants positions relating to unquoted equity holdings which allow the Group to purchase additional equities at an agreed strike price. The notional value of these warrants amounted to £8.3 million (2010: £4.0 million).
(c) Investment cash and certificates of deposit and other investment assets Group
2011 £m
Investment cash and certificates of deposit Cash collateral held
Accrued income from investments Income receivable
Proceeds receivable on sale of investments Prepayment of investment purchases Other investment debtors
Other investment assets
445.9 50.8
11.1 8.7
27.9 —
4.0 102.5
2010 £m
916.5 81.9
11.6 7.0
68.4 11.7 4.9
185.5 Trust
2011 £m
389.1 39.0
9.5 8.6
21.9 —
3.7 82.7
2010 £m
902.9 81.9
10.0 7.0
53.4 —
4.5 156.8
2010 £m
52.5
Annual Report 2011 | 59
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