XML 120 R79.htm IDEA: XBRL DOCUMENT v3.22.0.1
DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
 12 Months Ended
Dec. 31, 2021
DERIVATIVE FINANCIAL INSTRUMENTS (Tables) [Line Items]  
Schedule of Fair Values and Notional Amounts of Derivative Instruments
The fair values and notional amounts of derivative instruments are set out in the following table:
20212020
Contract/
notional
amount		Fair value
assets		Fair value
liabilities		Contract/
notional
amount		Fair value
assets		Fair value
liabilities
£m£m£m£m£m£m
Trading and other
Exchange rate contracts:
Spot, forwards and futures60,638 611 663 49,400 882 764 
Currency swaps319,882 3,451 3,171 350,882 5,469 6,161 
Options purchased5,045 371 — 5,769 428 — 
Options written5,660 — 428 7,560 — 489 
391,225 4,433 4,262 413,611 6,779 7,414 
Interest rate contracts:
Interest rate swaps3,582,028 14,775 10,814 5,669,551 18,577 15,799 
Forward rate agreements6,437 1 1 633,279 8 6 
Options purchased19,145 1,907 — 24,087 3,053 — 
Options written18,483 — 1,590 19,735 — 2,746 
Futures214,983 19 13 275,377 6 13 
3,841,076 16,702 12,418 6,622,029 21,644 18,564 
Credit derivatives6,740 95 175 7,707 108 174 
Equity and other contracts12,539 735 878 10,058 266 477 
Total derivative assets/liabilities – trading and other4,251,580 21,965 17,733 7,053,405 28,797 26,629 
Hedging
Derivatives designated as fair value hedges:
Interest rate and other swaps172,695 46 308 215,325 467 256 
Currency swaps34 7 — 36 11 — 
172,729 53 308 215,361 478 256 
Derivatives designated as cash flow hedges:
Interest rate swaps109,093 6 1 326,386 295 265 
Currency swaps1,895 27 18 5,829 43 163 
110,988 33 19 332,215 338 428 
Total derivative assets/liabilities – hedging283,717 86 327 547,576 816 684 
Total recognised derivative assets/liabilities4,535,297 22,051 18,060 7,600,981 29,613 27,313 
Schedule of Amount, Timing and Uncertainty of Future Cash Flows
Details of the Group’s hedging instruments are set out below:
Maturity
Up to 1 month1-3 months3-12 months1-5 yearsOver 5 yearsTotal
At 31 December 2021£m£m£m£m£m£m
Fair value hedges
Interest rate
Cross currency swap
Notional— — — — 34 34 
Average fixed interest rate— — — — 1.28%
Average EUR/GBP exchange rate— — — — 1.38 
Interest rate swap
Notional1,396 2,784 18,568 121,878 28,069 172,695 
Average fixed interest rate2.84%1.31%0.95%0.68%1.94%
Cash flow hedges
Foreign exchange
Currency swap
Notional46 200 821 828 — 1,895 
Average USD/GBP exchange rate1.36 1.36 1.36 1.35 1.27 
Interest rate
Interest rate swap
Notional1,000 625 10,428 58,896 38,144 109,093 
Average fixed interest rate0.00%0.23%0.55%0.81%0.65%
Maturity
Up to 1 month1-3 months3-12 months1-5 yearsOver 5 yearsTotal
At 31 December 2020£m£m£m£m£m£m
Fair value hedges
Interest rate
Cross currency swap
Notional— — — — 36 36 
Average fixed interest rate— — — — 1.28%
Average EUR/GBP exchange rate— — — — 1.38 
Interest rate swap
Notional6,032 6,031 39,811 136,527 26,924 215,325 
Average fixed interest rate2.01%1.69%1.42%1.26%2.36%
Cash flow hedges
Foreign exchange
Currency swap
Notional28 469 1,274 1,505 2,553 5,829 
Average USD/GBP exchange rate1.30 1.33 1.30 1.32 1.32 
Interest rate
Interest rate swap
Notional5,026 11,614 42,364 169,499 97,883 326,386 
Average fixed interest rate1.09%1.05%1.16%1.55%2.31%
Swaps  
DERIVATIVE FINANCIAL INSTRUMENTS (Tables) [Line Items]  
Schedule of the Effects of Hedge Accounting on Swaps
The carrying amounts of the Group’s hedging instruments are as follows:
Carrying amount of the hedging instrument
Contract/
notional
amount		AssetsLiabilitiesChanges in fair
value used for
calculating hedge
ineffectiveness
At 31 December 2021£m£m£m£m
Fair value hedges
Interest rate
Currency swaps34 7 — (2)
Interest rate swaps172,695 46 308 946 
Cash flow hedges
Foreign exchange
Currency swaps1,895 27 18 (6)
Interest rate
Interest rate swaps109,093 6 1 (2,642)
Carrying amount of the hedging instrument
Contract/
notional
amount		AssetsLiabilitiesChanges in fair
value used for
calculating hedge
ineffectiveness
At 31 December 2020£m£m£m£m
Fair value hedges
Interest rate
Currency swaps36 11 — 1 
Interest rate swaps215,325 467 256 987 
Cash flow hedges
Foreign exchange
Currency swaps5,829 43 163 (132)
Interest rate
Interest rate swaps326,386 295 265 603 
Debt securities  
DERIVATIVE FINANCIAL INSTRUMENTS (Tables) [Line Items]  
Schedule of the Effects of Hedge Accounting and Amounts Reclassified from Reserves to Income Statement
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 for
ineffectiveness
assessment		Cash flow hedging reserve
Continuing
hedges		Discontinued
hedges
AssetsLiabilitiesAssetsLiabilities
At 31 December 2021£m£m£m£m£m£m£m
Fair value hedges
Interest rate
Fixed rate mortgages1
88,791 — (872)— (2,080)
Fixed rate issuance2
— 58,648 — 1,967 2,071 
Fixed rate bonds3
25,019 — 342 — (758)
Cash flow hedges
Foreign exchange
Foreign currency issuance2
(15)(28)76 
Customer deposits4
21 — — 
Interest rate
Customer loans1
1,873 (742)378 
Central bank balances5
767 (212)(78)
Customer deposits4
(110)43 (109)
Carrying amount of
the hedged item		Accumulated amount of
fair value adjustment on
the hedged item		Change in fair
value of hedged
item for
ineffectiveness
assessment		Cash flow hedging reserve
Continuing
hedges		Discontinued
hedges
AssetsLiabilitiesAssetsLiabilities
At 31 December 2020£m£m£m£m£m£m£m
Fair value hedges
Interest rate
Fixed rate mortgages1
125,181 — 661 — 355 
Fixed rate issuance2
— 68,539 — 4,253 (1,437)
Fixed rate bonds3
24,111 — 1,178 — 641 
Cash flow hedges
Foreign exchange
Foreign currency issuance2
60 (83)130 
Customer deposits4
74 13 (41)
Interest rate
Customer loans1
(510)1,918 6 
Central bank balances5
(141)135 270 
Customer deposits4
33 (203)84 
1Included within loans and advances to customers.
2Included within debt securities in issue.
3Included within financial assets at fair value through other comprehensive income.
4Included within customer deposits.
5Included within cash and balances at central banks.
Change in fair value of hedged item for ineffectiveness assessment  
DERIVATIVE FINANCIAL INSTRUMENTS (Tables) [Line Items]  
Schedule of the Effects of Hedge Accounting and Amounts Reclassified from Reserves to Income Statement
Gains and losses arising from hedge accounting are summarised as follows:
Gain (loss)
recognised
in other
comprehensive
income1
Hedge
ineffectiveness
recognised in the
income statement2
Amounts reclassified from reserves
to income statement as:
Hedged
cash flows
will no
longer occur		Hedged
item affected
income
statement		Income
statement
line item
that includes
reclassified
amount
At 31 December 2021£m£m£m£m
Fair value hedges
Interest rate
Fixed rate mortgages207 
Fixed rate issuance(23)
Fixed rate bonds(7)
Cash flow hedges
Foreign exchange
Foreign currency issuance1 — 3 (18)Interest expense
Customer deposits28 — — — Interest expense
Interest rate
Customer loans(2,286)(43)— (456)Interest income
Central bank balances(695)(27)— (180)Interest income
Customer deposits52 1 — 30 Interest expense
Gain (loss)
recognised
in other
comprehensive
income1
Hedge
ineffectiveness
recognised in the
income statement2
Amounts reclassified from reserves
to income statement as:
Hedged
cash flows
will no
longer occur		Hedged
item affected
income
statement		Income
statement
line item
that includes
reclassified
amount
At 31 December 2020£m£m£m£m
Fair value hedges
Interest rate
Fixed rate mortgages570 
Fixed rate issuance(32)
Fixed rate bonds9 
Cash flow hedges
Foreign exchange
Foreign currency issuance(129)— (6)(62)Interest expense
Customer deposits3 — — 5 Interest expense
Interest rate
Customer loans285 (7)— (377)Interest income
Central bank balances97 5 — (79)Interest income
Customer deposits(22)— — 23 Interest expense
1Comprising the change in fair value of the hedging derivatives (a loss of £2,279 million; 2020: gain of £730 million) and the amounts reclassified from reserves to the income statement (negative £621 million; 2020: negative £496 million).
2Hedge ineffectiveness is included in the income statement within net trading income.