(Download XLS:)  |
|
|
Contract/ |
Fair values |
Contract/ |
Fair values | ||||
|---|---|---|---|---|---|---|---|---|
|
|
Assets |
Liabilities1 |
Assets |
Liabilities1 | ||||
| ||||||||
|
Shareholder derivatives: |
|
|
|
|
|
| ||
|
Interest rate contracts – fair value hedges |
600 |
68 |
– |
629 |
85 |
– | ||
|
Interest rate contracts – held for trading |
1,684 |
24 |
80 |
1,820 |
6 |
110 | ||
|
Forward foreign exchange contracts – net investment hedges |
733 |
10 |
– |
679 |
– |
19 | ||
|
Forward foreign exchange contracts – held for trading |
531 |
138 |
1 |
619 |
191 |
26 | ||
|
Equity/index derivatives – held for trading |
(46) |
14 |
– |
(41) |
12 |
1 | ||
|
Credit derivatives – held for trading |
179 |
3 |
6 |
173 |
11 |
3 | ||
|
Total shareholder derivatives |
|
257 |
87 |
|
305 |
159 | ||
|
Non profit non-unit linked derivatives: |
|
|
|
|
|
| ||
|
Interest rate contracts – held for trading |
21,783 |
654 |
962 |
14,596 |
1,209 |
1,223 | ||
|
Forward foreign exchange contracts – held for trading |
– |
38 |
160 |
– |
10 |
264 | ||
|
Equity/index derivatives – held for trading |
68 |
478 |
3 |
50 |
716 |
– | ||
|
Inflation swap contracts – held for trading |
5,913 |
70 |
152 |
4,106 |
32 |
341 | ||
|
Credit derivatives – held for trading |
1,106 |
29 |
145 |
1,855 |
27 |
392 | ||
|
Other derivatives – held for trading |
996 |
– |
– |
– |
– |
– | ||
|
Total non profit non-unit linked derivatives |
|
1,269 |
1,422 |
|
1,994 |
2,220 | ||
|
With-profits derivatives: |
|
|
|
|
|
| ||
|
Interest rate contracts – held for trading |
952 |
35 |
42 |
1,412 |
59 |
88 | ||
|
Forward foreign exchange contracts – held for trading |
– |
3 |
6 |
– |
– |
34 | ||
|
Equity/index derivatives – held for trading |
398 |
23 |
7 |
(82) |
7 |
3 | ||
|
Other derivatives – held for trading |
2 |
2 |
– |
– |
– |
– | ||
|
Total with-profits derivatives |
|
63 |
55 |
|
66 |
125 | ||
|
Unit linked derivatives: |
|
|
|
|
|
| ||
|
Interest rate contracts – held for trading |
20,322 |
663 |
706 |
16,916 |
3,408 |
645 | ||
|
Forward foreign exchange contracts – held for trading |
– |
339 |
341 |
160 |
221 |
1,031 | ||
|
Equity/index derivatives – held for trading |
(650) |
822 |
648 |
419 |
25 |
2 | ||
|
Other derivatives – held for trading |
5 |
1 |
– |
– |
1 |
– | ||
|
Inflation rate contracts – held for trading |
13,275 |
335 |
318 |
11,888 |
110 |
1,037 | ||
|
Total unit linked derivatives |
|
2,160 |
2,013 |
|
3,765 |
2,715 | ||
|
Total derivative assets and liabilities |
|
3,749 |
3,577 |
|
6,130 |
5,219 | ||
The notional amounts of some derivative instruments provide a basis for comparison with instruments recognised on the balance sheet. However, these amounts do not necessarily indicate the amounts of future cash flows involved or the current fair value of the instruments and, therefore, do not indicate the Group’s exposure to credit or price risks.
The contractual undiscounted cash flows in relation to non-unit linked derivatives have the following maturity profile.
Unit linked derivatives have not been included as shareholders are not directly exposed to liquidity risks.
| (Download XLS:) |
|
|
|
Maturity profile of undiscounted cash flows | |||||
|---|---|---|---|---|---|---|---|
|
As at 31 December 2009 |
Fair |
Within |
1-5 |
5-15 |
15-25 |
Over |
Total |
|
Cash inflows |
|
|
|
|
|
|
|
|
Derivative assets |
257 |
884 |
223 |
623 |
1 |
– |
1,731 |
|
Derivative liabilities |
(87) |
237 |
8 |
6 |
1 |
– |
252 |
|
Non profit non-unit linked derivatives |
|
|
|
|
|
|
|
|
Derivative assets |
1,269 |
3,063 |
1,777 |
3,933 |
3,201 |
3,785 |
15,759 |
|
Derivative liabilities |
(1,422) |
7,102 |
1,465 |
3,126 |
2,633 |
5,529 |
19,855 |
|
With-profits derivatives |
|
|
|
|
|
|
|
|
Derivative assets |
63 |
289 |
93 |
84 |
28 |
4 |
498 |
|
Derivative liabilities |
(55) |
257 |
84 |
108 |
49 |
11 |
509 |
|
Total |
25 |
11,832 |
3,650 |
7,880 |
5,913 |
9,329 |
38,604 |
|
Cash outflows |
|
|
|
|
|
|
|
|
Derivative assets |
257 |
(826) |
(48) |
(403) |
– |
– |
(1,277) |
|
Derivative liabilities |
(87) |
(284) |
(183) |
(78) |
(1) |
– |
(546) |
|
Non profit non-unit linked derivatives |
|
|
|
|
|
|
|
|
Derivative assets |
1,269 |
(2,762) |
(1,314) |
(3,534) |
(2,833) |
(3,306) |
(13,749) |
|
Derivative liabilities |
(1,422) |
(7,464) |
(1,905) |
(4,155) |
(2,844) |
(4,520) |
(20,888) |
|
With-profits derivatives |
|
|
|
|
|
|
|
|
Derivative assets |
63 |
(266) |
(52) |
(85) |
(24) |
(3) |
(430) |
|
Derivative liabilities |
(55) |
(271) |
(122) |
(111) |
(54) |
(13) |
(571) |
|
Total |
25 |
(11,873) |
(3,624) |
(8,366) |
(5,756) |
(7,842) |
(37,461) |
|
Net shareholder derivatives cash flows |
|
11 |
– |
148 |
1 |
– |
160 |
|
Net non profit non-unit linked derivatives cash flows |
|
(61) |
23 |
(630) |
157 |
1,488 |
977 |
|
Net with-profits derivatives cash flows |
|
9 |
3 |
(4) |
(1) |
(1) |
6 |
|
|
|
|
|
|
|
|
|
|
|
|
Maturity profile of undiscounted cash flows | |||||
|
As at 31 December 2008 |
Fair |
Within |
1-5 |
5-15 |
15-25 |
Over |
Total |
|
Cash inflows |
|
|
|
|
|
|
|
|
Derivative assets |
305 |
40 |
151 |
642 |
– |
– |
833 |
|
Derivative liabilities |
(159) |
991 |
40 |
35 |
5 |
3 |
1,074 |
|
Non profit non-unit linked derivatives |
|
|
|
|
|
|
|
|
Derivative assets |
1,994 |
416 |
791 |
1,787 |
1,746 |
3,961 |
8,701 |
|
Derivative liabilities |
(2,220) |
5,097 |
685 |
1,405 |
1,123 |
1,976 |
10,286 |
|
With-profits derivatives |
|
|
|
|
|
|
|
|
Derivative assets |
66 |
40 |
79 |
110 |
40 |
10 |
279 |
|
Derivative liabilities |
(125) |
457 |
52 |
95 |
32 |
7 |
643 |
|
Total |
(139) |
7,041 |
1,798 |
4,074 |
2,946 |
5,957 |
21,816 |
|
Cash outflows |
|
|
|
|
|
|
|
|
Derivative assets |
305 |
(34) |
(140) |
(450) |
– |
– |
(624) |
|
Derivative liabilities |
(159) |
(1,040) |
(48) |
(28) |
(9) |
(5) |
(1,130) |
|
Non profit non-unit linked derivatives |
|
|
|
|
|
|
|
|
Derivative assets |
1,994 |
(340) |
(567) |
(1,431) |
(1,180) |
(2,420) |
(5,938) |
|
Derivative liabilities |
(2,220) |
(5,494) |
(1,251) |
(1,939) |
(1,542) |
(2,540) |
(12,766) |
|
With-profits derivatives |
|
|
|
|
|
|
|
|
Derivative assets |
66 |
(30) |
(50) |
(85) |
(25) |
(5) |
(195) |
|
Derivative liabilities |
(125) |
(507) |
(87) |
(126) |
(58) |
(14) |
(792) |
|
Total |
(139) |
(7,445) |
(2,143) |
(4,059) |
(2,814) |
(4,984) |
(21,445) |
|
Net shareholder derivatives cash flows |
|
(43) |
3 |
199 |
(4) |
(2) |
153 |
|
Net non profit non-unit linked derivatives cash flows |
|
(321) |
(342) |
(178) |
147 |
977 |
283 |
|
Net with-profits derivatives cash flows |
|
(40) |
(6) |
(6) |
(11) |
(2) |
(65) |
Cash inflows and outflows are presented on a net basis where the Group is required to settle net or has a legally enforceable right of offset and the intention is to settle on a net basis.
Forward foreign exchange contracts – net investment hedges
The Group hedges part of the foreign exchange translation exposure on its net investment in its overseas subsidiaries, using forward foreign exchange contracts. It recognises the portion of the gain or loss which is determined to be an effective hedge through reserves within shareholders’ equity, along with the gain or loss on translation of the foreign subsidiaries.
Interest rate swap contracts – fair value hedges
The Group uses interest rate swap contracts to hedge fixed rate loans in particular to hedge the movement in the fair value of a loan due to interest rates.
Fair value gains and losses arising from fair value hedging relationships are as follows:
Fair value losses of £21m arose on hedging instruments (2008: gains of £55m).
Fair value gains of £27m arose on the hedged item attributable to the hedged risk (2008: losses of £60m).
The total fair value gain on hedging instruments shown above excludes fair value gains arising from factors which are outside the designated hedging relationship of £5m (2008: losses of £20m).
Derivative contracts – held for trading
The Group uses certain derivative contracts which are effective hedges of economic exposures in accordance with the Group’s risk management policy, but for various reasons are not designated within a formal hedge accounting relationship. Therefore, these contracts must be designated as held for trading, and gains and losses on these contracts are recognised immediately in the income statement.
