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BANQUE SAUDI FRANSI CONSOLIDATED BALANCE SHEET As at December 31, 2008 and 2007 - page 29 / 51

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29 / 51

Forward foreign exchange contracts

183,371

217,602

54,097,887

27,642,019

24,690,644

1,765,224

-

64,039,014

Currency options

221,411

108,917

12,509,716

3,222,169

4,306,193

4,981,354

-

9,854,384

Others

237

2,768

155,290

-

10,000

145,290

-

136,412

Commission rate swaps

1,971,993

2,061,361

98,747,269

6,085,018

21,848,589

64,552,926

6,260,736

93,867,220

Commission rate futures and options

5,242

5,197

10,230,224

512,500

4,608,750

4,192,500

916,474

7,132,695

Commission rate swaps

76,641

1,863

5,452,450

350,000

350,000

2,608,700

2,143,750

5,837,559

Total

2,643,302

2,463,815

191,496,405

40,893,650

59,067,156

82,028,697

9,506,902

189,997,745

Fair value of netting arrangements

(225,803)

(225,803)

(17,400,780)

(3,046,388)

(1,944,586)

(12,353,806)

(56,000)

(19,946,674)

Total after netting (notes 10and 14)

2,417,499

2,238,012

174,095,625

37,847,262

57,122,570

69,674,891

9,450,902

170,051,071

Forward rate agreements

-

-

-

-

-

-

  • -

    300,000

Positive

Negative

Notional

fair

fair

amount

Within 3

3-12

1-5

Over 5

Monthly

value

value

total

months

months

years

years

average

Held as fair value hedges

Commission rate swaps

Held as cash flow hedges

184,407

66,107

10,303,569

3,081,944

3,252,980

3,782,703

185,942

8,830,461

BANQUE SAUDI FRANSI

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS For the years ended December 31, 2008 and 2007 _______________________________________________________________________________________________

SAR’ 000

2007

Held for trading

Notional amounts by term to maturity

Commission rate swaps include the notional amount of SAR 39,074 million (2007: SAR 17,401 million) with an aggregate positive fair value and a negative fair value of SAR 851 million (2007: SAR 226 million) which are netted out for credit exposure purposes as the Bank intends to settle these on a net basis.

The table below shows a summary of hedged items, the nature of the risk being hedged, the hedging instrument and its fair value.

SAR’ 000

Description of hedged items

Fair value

Hedge inception value

Risk

Hedging instrument

Positive Negative fair value fair value

2008

Fixed commission rate investments Fixed commission rate loans Fixed commission rate deposits Floating commission rate investments Floating commission rate loans

2,871,267 3,112,276 6,052,540 3,502,050 7,900,000

2,760,713 2,958,793 5,878,080 3,502,050 7,900,000

Fair value Commission rate swap Fair value Commission rate swap Fair value Commission rate swap Cash flow Commission rate swap Cash flow Commission rate swap

- - 211,847 25,497 475,934

85,103 121,252 330 724

-

2007

Fixed commission rate investments Fixed commission rate loans Fixed commission rate due to banks

2,022,037 1,735,159 285,398

1,991,532 1,661,614 281,250

Fixed commission rate deposits Floating commission rate investments Floating commission rate loans

6,379,382 4,387,063 1,581,250

6,207,769 4,387,063 1,581,250

Fair value

Commission rate swap

9

30,059

Fair value

Commission rate swap

2,673

35,193

Fair value

Commission rate swap

4,330

-

Forward foreign exchange

1,298

-

Fair value

Commission rate swap

176,097

855

Cash flow

Commission rate swap

61,249

1,863

Cash flow Commission rate swap

15,392

-

29

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