Disclosure of information about terms and conditions of hedging instruments and how they affect future cash flows [text block]

Details of the Group’s hedging instruments are set out below:

Maturity

31 December 2018

Up to 1 month
£m

1-3 months
£m

3-12 months
£m

1-5 years
£m

Over 5 years
£m

Total
£m

Fair value hedges

Interest rate

Cross currency swap

Notional

–

36

–

283

171

490

Average fixed interest rate

–

4.82

%

–

5.88

%

4.44

%

Average EUR/USD exchange rate

–

1.13

–

Average USD/GBP exchange rate

–

1.30

–

Average NOK/GBP exchange rate

–

9.22

–

9.19

9.03

Interest rate swap

Notional

393

417

32,876

86,451

30,834

150,971

Average fixed interest rate

1.38

%

2.06

%

1.65

%

1.75

%

2.98

%

Cash flow hedges

Foreign exchange

Currency swap

Notional

67

47

2,234

2,111

6,119

10,578

Average USD/EUR exchange rate

1.15

–

1.13

1.10

1.07

Average USD/GBP exchange rate

–

1.32

1.34

1.27

1.28

Interest rate

Interest rate swap

Notional

4,874

11,204

66,312

292,712

181,843

556,945

Average fixed interest rate

1.47

%

1.03

%

0.99

%

1.46

%

1.85

%

DERIVATIVE FINANCIAL INSTRUMENTS (Tables) [Line Items]

Disclosure of separate financial statements [text block]

The Group’s hedged items are as follows:

Carrying amount of the hedged
item

Accumulated amount of fair
value adjustment on the
hedged item

Change in fair
value of
hedged item

Cash flow hedge/currency
translation reserve

Assets

Liabilities

Assets

Liabilities

for
ineffectiveness
assessment (YTD)

Continuing
hedges

Discontinued
hedges

31 December 2018

£m

Fair value hedges

Interest rate

Fixed rate mortgages¹

53,136

–

(45

)

–

(173

)

Fixed rate issuance²

–

63,746

–

1,598

807

Fixed rate bonds³

23,285

–

232

–

(666

)

Cash flow hedges

Foreign exchange

Foreign currency issuance²

(165

)

114

327

Customer deposits⁴

(62

)

70

(78

)

Interest rate

Customer loans¹

456

867

60

Central bank balances⁵

(16

)

30

20

Customer deposits⁴

(118

)

(9

)

(6

)

1	Included within Loans and advances to customers

2	Included within Debt securities in issue

3	Included within Financial assets at fair value through other comprehensive income

4	Included within Customer deposits

5	Included within Cash and balances at central banks

DERIVATIVE FINANCIAL INSTRUMENTS (Tables) [Line Items]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

The fair values and notional amounts of derivative instruments are set out in the following table:

	31 December 2018						31 December 2017
	Contract/ notional amount £m		Fair value assets £m		Fair value liabilities £m		Contract/ notional amount £m		Fair value assets £m		Fair value liabilities £m
Trading and other
Exchange rate contracts:
Spot, forwards and futures		41,571		746		549		31,716		1,023		789
Currency swaps		311,491		4,566		3,709		223,624		3,157		3,534
Options purchased		10,202		485		–		8,191		580		–
Options written		11,393		–		495		6,684		–		627
		374,657		5,797		4,753		270,215		4,760		4,950
Interest rate contracts:
Interest rate swaps		4,381,271		13,624		12,629		2,264,834		15,791		15,364
Forward rate agreements		494,430		–		2		239,797		5		1
Options purchased		30,724		2,107		–		32,097		2,329		–
Options written		26,463		–		1,997		32,817		–		2,524
Futures		128,211		16		4		35,542		9		7
		5,061,099		15,747		14,632		2,605,087		18,134		17,896
Credit derivatives		13,757		99		181		4,568		77		423
Equity and other contracts		15,145		389		699		25,150		982		1,242
Total derivative assets/liabilities – trading and other		5,464,658		22,032		20,265		2,905,020		23,953		24,511
Hedging
Derivatives designated as fair value hedges:
Currency swaps		490		3		29		1,327		19		38
Interest rate swaps		150,971		947		187		109,670		1,145		407
		151,461		950		216		110,997		1,164		445
Derivatives designated as cash flow hedges:
Interest rate swaps		556,945		358		844		549,099		597		1,053
Futures		–		–		–		73,951		–		1
Currency swaps		10,578		255		48		7,310		120		114
		567,523		613		892		630,360		717		1,168
Total derivative assets/liabilities – hedging		718,984		1,563		1,108		741,357		1,881		1,613
Total recognised derivative assets/liabilities		6,183,642		23,595		21,373		3,646,377		25,834		26,124