The following tables provide information on the fair value amounts and the location of the derivative instruments on the Balance Sheet, as well as the notional amounts and credit risk exposures of those derivative instruments, as of June 30, 2012 and June 30, 2011: Fair value amounts of the derivative instruments on the Balance Sheet: In millions of U.S. dollars Derivative assets Balance Sheet Location
June 30, 2012
Derivative liabilities June 30, 2011
Balance Sheet Location
$
*
Other liabilities
June 30, 2012
June 30, 2011
Derivatives not designated as hedging instruments Options, Swaptions and Futures-Investments
Other assets
Interest rate swaps
Derivative assets
2
2
Derivative liabilities
2
3
Currency forward contracts
Derivative assets
8,070
10,188
Derivative liabilities
8,461
10,198
Currency swaps
Derivative assets
1,159
–
Derivative liabilities
1,149
–
Derivative assets
1
*
Derivative liabilities
$9,232
$10,190
Other
a
Total Derivatives
$
*
$
1
$
1
*
1
$9,613
$10,203
a. These relate to TBA securities. * Indicates amount less than $0.5 million. Notional amounts and credit risk exposure of the derivative instruments: In millions of U.S. dollars Type of contract
June 30, 2012
June 30, 2011
Investments—Trading Interest rate swaps Notional principal
$
Credit exposure
60
$
40
2
2
28
–
Currency swaps (including currency forward contracts) Credit exposure Swaptions, exchange traded Options and Futures contracts
a
Notional long position
1,251
698
Notional short position
4,778
3,756
2
–
Notional long position
203
246
Notional short position
26
13
1
*
57
174
Credit exposure Other
b
Credit exposure Derivatives—Asset/liability management Currency forward contracts Credit exposure
a. Exchange traded instruments are generally subject to daily margin requirements and are deemed to have no material credit risk. All options and futures contracts are interest rate contracts. b These relate to TBA securities. * Indicates amount less than $0.5 million.
IDA FINANCIAL STATEMENTS: JUNE 30, 2012 163