Man Group plc - Annual Report 2007

Forward foreign exchange contracts are predominantly used to cash flow hedge expected future Sterling and Swiss Franc administrative expense payments. Where cashflow hedge accounting is applied, gains and losses included in equity on forward foreign exchange contracts will be released to the income statement when the hedged item affects profit or loss. The notional principal amounts of these outstanding forward foreign exchange contracts are $230 million (2006: $126 million).

Interest rate swaps are in place to swap the Group’s fixed rate interest payments on private placement debt and the exchangeable bonds, to floating rate. The notional principal amounts of the outstanding interest rate swap contracts are $1,160 million (2006: $1,160 million). At 31 March 2007 the fixed interest rates on the private placement debt vary from 4.84% to 6.15% and the floating rates vary from 5.97% to 7.37% (US dollar LIBOR plus 0.71% to 2.02%). At 31 March 2007 the fixed interest rates on the exchangeable bonds were 3.75% and the floating rates were 4.74% (Sterling LIBOR plus -0.81% to -0.87%).

Currency swaps are in place to match the exchangeable bonds' redemption value, denominated in Sterling, into the functional currency of the Company (US dollars) at the earliest exercise date by the Company. The notional principal amounts of the outstanding currency swap contracts are $460 million (2006: $655 million).

The currency and interest rate swaps relating to the exchangeable bonds are held at fair value through profit or loss.