XML 345 R60.htm IDEA: XBRL DOCUMENT v3.22.0.1

Derivatives (Tables)

12 Months Ended

Dec. 31, 2021

Derivatives

Schedule of actual movements in the fair value of the hedged items attributable to the hedged risk

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

2021

​

2020

​

​

Notional

​

Assets

​

Liabilities

​

Notional

​

Assets

​

Liabilities

​

£bn

£m

£m

£bn

£m

£m

Exchange rate contracts

​

3,167

​

38,517

​

39,286

​

3,328

​

52,239

​

55,107

Interest rate contracts

8,919

67,458

61,206

10,703

114,115

105,214

Credit derivatives

14

154

343

15

161

376

Equity and commodity contracts

—

10

—

1

8

8

​

​

106,139

100,835

166,523

160,705

​

Schedule of derivatives held for hedging purposes

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

2021

​

2020

​

​

​

​

​

​

​

​

Changes in fair

​

​

​

​

​

​

​

Changes in fair

​

​

​

​

​

​

​

​

value used for

​

​

​

​

​

​

​

value used for

​

​

Notional

​

Assets

​

Liabilities

​

hedge ineffectiveness (1)

​

Notional

​

Assets

​

Liabilities

​

hedge ineffectiveness (1)

​

£bn

£m

£m

£m

£bn

£m

£m

£m

Fair value hedging

​

​

​

​

​

​

Interest rate contracts

65.6

1,176

2,057

​

897

65.5

​

1,878

3,844

​

(875)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Cash flow hedging

​

​

​

​

​

​

​

​

​

​

​

Interest rate contracts

133.1

952

1,149

​

(931)

128.8

​

2,035

1,210

​

217

Exchange rate contracts

7.3

30

109

​

27

10.8

​

37

116

​

(55)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Net investment hedging

​

​

​

​

​

​

​

​

​

​

​

Exchange rate contracts

0.5

11

1

​

7

0.2

​

—

9

​

11

​

​

206.5

​

2,169

​

3,316

​

—

​

205.3

​

3,950

​

5,179

​

(702)

IFRS netting/Clearing house settlements

​

​

​

(2,125)

​

(3,196)

​

​

​

​

​

(3,857)

​

(5,049)

​

​

​

​

44

120

​

​

​

​

93

130

​

​

​

(1) The change in fair value used for hedge ineffectiveness includes instruments that were decrecognised in the year.

Schedule of notional of hedging instruments affected by interest rate benchmark reform (SONIA not subject to reform)

​

​	​	​	​	​
​		2021	​	2020
​		£bn		£bn
Fair value hedging		​	​
EURIBOR (1)		—	​	13.6
GBP LIBOR		—	​	11.2
USD LIBOR (2)	​	20.2	​	26.6
Other currency LIBOR		—	​	1.1
Cash flow hedging		​	​	​
EURIBOR (1)		—	​	5.2
GBP LIBOR		—	​	51.7
SOFR (3)	​	0.2	​	—
USD LIBOR (2)		3.1	​	2.7

​

(1) In 2021 management concluded that EURIBOR is not expected to be significantly reformed further and therefore any uncertainty due to interest benchmark rate reform for EURIBOR has ended.

(2) In 2021 the FCA declared that USD LIBOR will be non-representative post 30 June 2023; at the time of preparing the 2020 disclosures this date was expected to be 31 December 2021.

(3) Hedge relationships subject to reform are those where either the hedged item or the hedging instrument is subject to the IBOR reform.

(4) Notional of £1 billion cross currency derivative contracts in cash flow hedge relationships will convert to repricing off the relevant risk-free rate at the first repricing date post cessation.

​

Schedule of period in which the hedging contracts ends

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

0-3 months

3-12 months

1-3 years

3-5 years

5-10 years

10-20 years

20+ years

Total

2021

​

£bn

​

£bn

​

£bn

​

£bn

​

£bn

​

£bn

​

£bn

​

£bn

Fair value hedging

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Hedging assets - interest rate risk

​

0.9

​

2.5

​

5.5

​

5.7

​

6.2

​

4.9

​

4.5

​

30.2

Hedging liabilities - interest rate risk

​

1.1

​

4.2

​

11.8

​

9.3

​

8.4

​

0.6

​

0.0

​

35.4

Cash flow hedging

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Hedging assets

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest rate risk

​

5.4

​

8.1

​

14.3

​

24.5

​

11.4

​

—

​

—

​

63.7

Average fixed interest rate (%)

​

1.40

​

1.19

​

1.35

​

0.65

​

0.82

​

—

​

—

​

0.97

Hedging liabilities

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest rate risk

​

8.8

​

21.1

​

33.0

​

3.3

​

2.5

​

0.7

​

—

​

69.4

Average fixed interest rate (%)

​

0.50

​

0.24

​

0.41

​

0.47

​

1.01

​

4.55

​

—

​

0.44

Hedging assets

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Exchange rate risk

​

—

​

—

​

—

​

—

​

—

​

—

​

—

​

—

Hedging liabilities

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Exchange rate risk

​

0.1

​

2.4

​

3.5

​

1.3

​

—

​

—

​

—

​

7.3

Net investment hedging

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Exchange rate risk

​

0.5

​

—

​

—

​

—

​

—

​

—

​

—

​

0.5

2020

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Fair value hedging

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Hedging assets - interest rate risk

​

1.2

​

2.3

​

6.3

​

7.4

​

8.9

​

5.1

​

4.2

​

35.4

Hedging liabilities - interest rate risk

​

—

​

0.6

​

10.1

​

11.6

​

7.1

​

0.5

​

0.2

​

30.1

Cash flow hedging

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Hedging assets

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest rate risk

​

0.7

​

10.5

​

19.3

​

13.9

​

10.5

​

0.1

​

—

​

55.0

Average fixed interest rate (%)

​

1.28

​

1.22

​

1.51

​

1.06

​

0.92

​

3.12

​

—

​

1.23

Hedging liabilities

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest rate risk

​

1.6

​

28.9

​

36.8

​

3.4

​

2.4

​

0.7

​

—

​

73.8

Average fixed interest rate (%)

​

1.14

​

0.78

​

0.37

​

1.25

​

0.65

​

4.55

​

—

​

0.64

Hedging assets

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Exchange rate risk

​

—

​

—

​

0.1

​

—

​

—

​

—

​

—

​

0.1

Hedging liabilities

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Exchange rate risk

​

—

​

3.3

​

5.3

​

1.0

​

1.1

​

—

​

—

​

10.7

Net investment hedging

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Exchange rate risk

​

0.1

​

0.1

​

—

​

—

​

—

​

—

​

—

​

0.2

​

Schedule of assets and liabilities subject to hedging derivatives

​

​	​	​	​	​	​	​	​	​
​	​	​	​	​	​	​	​	Impact on
​		​		​		Changes in fair		hedged items
​	​	Carrying value	​	Impact on	​	value used as	​	ceased to be
​	​	of hedged	​	hedged items	​	a basis to	​	adjusted for
​	​	assets and	​	included in	​	determine	​	hedging
​	​	liabilities	​	carrying value	​	ineffectiveness (1)	​	gains or losses
2021	​	£m	​	£m	​	£m	​	£m
Fair value hedging - interest rate	​	​	​	​	​	​	​	​
Loans to banks and customers - amortised cost	​	6,603	​	701	​	(478)	​	69
Other financial assets - securities	​	30,882	​	518	​	(1,576)	​	—
Total	​	37,485	​	1,219	​	(2,054)	​	69
​	​	​	​	​	​	​	​	​
Other financial liabilities - debt securities in issue	​	34,371	​	454	​	953	​	—
Subordinated liabilities	​	6,235	​	(9)	​	255	​	—
Total	​	40,606	​	445	​	1,208	​	—
​	​	​	​	​	​	​	​	​
Cash flow hedging - interest rate	​	​	​	​	​	​	​	​
Loans to banks and customers - amortised cost	​	63,025	​	​	​	1,984	​	​
Other financial assets - securities	​	714	​	​	​	26	​	​
Total	​	63,739	​	​	​	2,010	​	​
​	​	​	​	​	​	​	​	​
Cash flow hedging - interest rate	​	​	​	​	​	​	​	​
Bank and customer deposits	​	68,383	​	​	​	(1,084)	​	​
Other financial liabilities - debt securities in issue	​	1,006	​	​	​	(21)	​	​
Total	​	69,389	​	​	​	(1,105)	​	​
​	​	​	​	​	​	​	​	​
Cash flow hedging - exchange rate	​	​	​	​	​	​	​	​
Loans to banks and customer - amortised cost	​	21	​	​	​	—	​	​
Other financial assets - securities	​	2	​	​	​	—	​	​
Total	​	23	​	​	​	—	​	​
​	​	​	​	​	​	​	​	​
Other financial liabilities - debt securities in issue	​	6,337	​	​	​	(5)	​	​
Subordinated liabilities	​	742	​	​	​	(12)	​	​
Other	​	200	​	​	​	(10)	​	​
Total	​	7,279	​	​	​	(27)	​	​
​	​	​	​	​	​	​	​	​
2020	​	​	​	​	​	​	​	​
Fair value hedging - interest rate						​	​
Loans to banks and customers - amortised cost		6,858		1,228		323	​	77
Other financial assets - securities		35,754		2,268		1,568	​	—
Total		42,612		3,496		1,891	​	77
​	​	​	​	​	​	​	​	​
Other financial liabilities - debt securities in issue		29,317		1,336		(746)	​	—
Subordinated liabilities		6,441		293		(268)	​	10
Total		35,758		1,629		(1,014)	​	10
​	​	​	​	​	​	​	​	​
Cash flow hedging - interest rate				​		​	​	​
Loans to banks and customers - amortised cost		53,335		​		(601)	​	​
Other financial assets - securities		1,550		​		(16)	​	​
Total		54,885		​		(617)	​	​
​	​	​	​	​	​	​	​	​
Cash flow hedging - interest rate	​	​	​	​	​	​	​	​
Bank and customer deposits	​	72,880	​	​	​	409	​	​
Other financial liabilities - debt securities in issue	​	1,014	​	​	​	13	​	​
Total	​	73,894	​	​	​	422	​	​
​	​	​	​	​	​	​	​	​
Cash flow hedging - exchange rate	​	​	​	​	​	​	​	​
Loans to banks and customer - amortised cost	​	112	​	​	​	1	​	​
Other financial assets - securities	​	30	​	​	​	—	​	​
Total	​	142	​	​	​	1	​	​
​	​	​	​	​	​	​	​	​
Cash flow hedging - exchange rate	​	​	​	​	​	​	​	​
Other financial liabilities - debt securities in issue		6,272		​		20	​	​
Subordinated liabilities		4,194		​		36	​	​
Other	​	152	​	​	​	(2)	​	​
Total		10,618		​		54	​	​

​

(1) The change in fair value used for hedge ineffectiveness includes instruments that were derecognised in the year.

Schedule of risk exposures will be affected by interest rate benchmark reform (notional, fair value)

​

​	​	​	​	​	​	​	​	​
​	​	2021			​	2020
​	​	​	​	Hedged	​	​	​	Hedged
​		Notional	​	adjustment	​	Notional		adjustment
​		£bn		£m		£bn		£m
Fair value hedging		​	​	​	​
EURIBOR (1)		—	​	—	​	15.1		27
GBP LIBOR		—	​	—	​	11.4		1,178
USD LIBOR (2)	​	21.8	​	7	​	28.1	​	(427)
Other currency LIBOR		—	​	—	​	1.1		1
Cash flow hedging		​	​	​	​	​	​	​
EURIBOR (1)		—	​	—	​	4.1		(76)
GBP LIBOR		—	​	—	​	10.5		(473)
USD LIBOR (2)	​	3.3	​	21	​	2.7	​	(61)
BOE Base rate (3)		—	​	—	​	40.7		(156)
ECB REFI rate (3)		—	​	—	​	1.2		—
SONIA (3)		—	​	—	​	0.6		4

​

(1) In 2021 management concluded that EURIBOR is not expected to be significantly reformed further and therefore any uncertainty due to interest benchmark rate reform for EURIBOR has ended.

(2) In 2021 the FCA declared that USD LIBOR will be non-representative post 30 June 2023; at the time of preparing the 2020 disclosures this date was expected to be 31 December 2021.

(3) Hedge relationships subject to reform are those where either the hedged item or the hedging instrument is subject to the IBOR reform.

(4) Notional of £6.5 billion GBP LIBOR hedged items in cash flow hedge relationships will convert to repricing off SONIA at the first repricing date post cessation.

Schedule of analysis of cash flow reserve and foreign exchange reserve

​

​	​	​	​	​
​		2021		2020
INR/GBP		106.58		95.29
USD/GBP		1.38		1.36
CHF/GBP		1.25		n/a
JPY/GBP		132.93		132.93
JPY/EUR		n/a		120.21
CNH/GBP		8.74		n/a

​

For net investment hedging of exchange rate risk, the average foreign exchange rates applicable were as below for the main currencies hedged.

​

​	​	​	​	​
​		2021		2020
SEK/GBP		11.74		11.15
DKK/GBP		8.85		8.28
NOK/GBP		12.12		12.73
AED/USD		3.67		n/a
USD/GBP		1.32		n/a

​

​

​	​	​	​	​	​	​	​	​
​	​	2021			​	2020
​	​	​	​	Foreign	​	​	​	Foreign
​	​	Cash flow	​	exchange	​	Cash flow	​	exchange
​	​	hedge reserve	​	hedge reserve	​	hedge reserve	​	hedge reserve
​		£m		£m		£m		£m
Continuing		​		​		​		​
Interest rate risk		(295)		—		695		—
Foreign exchange risk		23	​	53	​	22	​	(13)
​	​	​	​	​	​	​	​	​
De-designated		​		​		​	​	​
Interest rate risk		(297)		—		(424)		—
Foreign exchange risk		10		(759)		(1)		(775)
Total		(559)		(706)		292		(788)

​

​	​	​	​	​	​	​	​	​
​	​	2021			​	2020
​	​	​	​	Foreign	​	​	​	Foreign
​	​	Cash flow	​	exchange hedge	​	Cash flow	​	exchange hedge
​		hedge reserve		reserve		hedge reserve		reserve
​		£m		£m		£m		£m
Amount recognised in equity	​	​	​	​	​	​	​	​
Interest rate risk		(700)	​	—		318		—
Foreign exchange risk		13		88		3		(57)
Total		(687)		88		321		(57)
​	​	​	​	​	​	​	​	​
Amount transferred from equity to earnings	​	​	​	​	​	​	​	​
Interest rate risk to net interest income		(181)		—		(19)		—
Interest rate risk to non-interest income (1)	​	20	​	—	​	—	​	—
Foreign exchange risk to net interest income		(4)		2		(35)		—
Foreign exchange risk to non-interest income		1		(2)		—		2
Foreign exchange risk to operating expenses	​	3	​	—	​	4	​	—
Total		(161)		—		(50)		2

​

(1) There was £20 million reclassified from the cash flow reserve to earnings due to forecasted cash flows that are no longer expected to occur.

Schedule of hedge ineffectiveness recognized in other operating income

​

​	​	​	​	​	​	​
​		2021		2020		2019
​	​	£m	​	£m	​	£m
Fair value hedging		​
(Losses)/gains on hedged items attributable to the hedged risk		(846)		877		610
Gains/(losses) on the hedging instruments		897		(875)		(585)
Fair value hedging ineffectiveness		51		2		25
Cash flow hedging	​	​	​	​	​	​
Interest rate risk	​	(26)	​	22	​	23
Cash flow hedging ineffectiveness		(26)		22		23
Total		25		24		48

X

- Definition

The disclosure of detailed information about hedged items. [Refer: Hedged items [member]]

+ References

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+ References

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-Paragraph 24A
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X

- Definition

Tabular disclosure about amounts that affected continuing operations in other operating income as a result of hedge accounting.

+ References

No definition available.

+ Details

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X

- Definition

The disclosure of a maturity analysis for hedging contracts.

+ References

No definition available.

+ Details

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Data Type:	dtr-types:textBlockItemType
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