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FINANCIAL RISK MANAGEMENT (Tables)
12 Months Ended
Dec. 31, 2021
Disclosure of financial risk management [Abstract]  
Schedule of Interest Rate Risk Exposure
At 31 December 2021, the Group had the following significant exposures impacted by interest rate benchmark reform which have yet to transition to the replacement benchmark rate:
Sterling LIBORUS Dollar LIBOROther LIBORTotal
£m£m£m£m
Non-derivative financial assets
Financial assets at fair value through profit or loss1,753 268  2,021 
Loans and advances to banks and reverse repurchase agreements 4,106  4,106 
Loans and advances to customers and reverse repurchase agreements3,542 5,975  9,517 
Debt securities126   126 
Financial assets at amortised cost3,668 10,081  13,749 
Financial assets at fair value through other comprehensive income16   16 
Other assets    
5,437 10,349  15,786 
Non-derivative financial liabilities
Deposits from banks and repurchase agreements    
Customer deposits and repurchase agreements 74  74 
Financial liabilities at fair value through profit or loss 100 3 103 
Debt securities in issue 54 26 80 
Other liabilities    
Subordinated liabilities    
 228 29 257 
Derivative notional/contract amount
Interest rate12,734 286,921  299,655 
Cross currency 42,229  42,229 
Schedule of Functional Currency of Group Operations
The Group’s main overseas operations are in the Americas and Europe. Details of the Group’s structural foreign currency exposures are as follows:
(C)Functional currency of Group operations
20212020
EuroUS DollarOther
non-Sterling
EuroUS DollarOther
non-Sterling
£m£m£m£m£m£m
Exposure115 134 7 113 95 12 
Schedule of Maximum Credit Exposure
20212020
Maximum
exposure
Offset1
Net
exposure
Maximum
exposure
Offset1
Net
exposure
£m£m£m£m£m£m
Financial assets at fair value through profit or loss2,3:
Loans and advances29,538  29,538 28,476 — 28,476 
Debt securities, treasury and other bills47,237  47,237 46,701 — 46,701 
Contracts held with reinsurers12,371  12,371 19,543 — 19,543 
89,146  89,146 94,720 — 94,720 
Derivative financial instruments22,051 (11,600)10,451 29,613 (15,866)13,747 
Financial assets at amortised cost, net4:
Loans and advances to banks and reverse
repurchase agreements, net
4
10,533  10,533 10,746 — 10,746 
Loans and advances to customers and reverse
repurchase agreements, net
4
499,788 (1,506)498,282 498,843 (2,762)496,081 
Debt securities, net4
6,835  6,835 5,405 — 5,405 
517,156 (1,506)515,650 514,994 (2,762)512,232 
Financial assets at fair value through other comprehensive income2
27,902  27,902 27,437 — 27,437 
Reinsurance assets759  759 842 — 842 
Off-balance sheet items:
Acceptances and endorsements191  191 131 — 131 
Other items serving as direct credit substitutes510  510 317 — 317 
Performance bonds, including letters of credit, and other transaction-related contingencies2,043  2,043 2,105 — 2,105 
Irrevocable commitments and guarantees71,158  71,158 73,962 — 73,962 
73,902  73,902 76,515 — 76,515 
730,916 (13,106)717,810 744,121 (18,628)725,493 
1Offset items comprise deposit amounts available for offset, and amounts available for offset under master netting arrangements, that do not meet the criteria under IAS 32 to enable loans and advances and derivative assets respectively to be presented net of these balances in the financial statements.
2Excluding equity shares.
3Includes assets within the Group’s unit-linked funds for which credit risk is borne by the policyholders and assets within the Group’s With-Profits Funds for which credit risk is largely borne by the policyholders. Consequently, the Group has no significant exposure to credit risk for such assets which back related contract liabilities.
4Amounts shown net of related impairment allowances.
The table below shows the average PD for the major portfolios used in the calculation of ECL and therefore Stage 2 Average PD reflects the lifetime value. These reflect the forward-looking view under the Group’s base case scenario prior to the application of MES and post-model adjustments which further impact ECL.
20212020
Stage 1
Average PD
Stage 2
Average PD
Stage 1
Average PD
Stage 2
Average PD
%%%%
Retail
UK mortgages0.17 12.44 0.47 15.02 
Credit cards1.58 17.82 2.61 21.53 
Loans and overdrafts2.42 23.57 3.75 32.31 
UK Motor Finance0.81 12.00 0.69 15.91 
Commercial Banking
Loans and advances to customers0.56 17.09 1.05 13.92 
Schedule of Concentration of Exposure
20212020
£m£m
Agriculture, forestry and fishing7,729 7,836 
Energy and water supply1,978 1,313 
Manufacturing4,110 4,956 
Construction4,440 5,096 
Transport, distribution and hotels13,463 14,341 
Postal and telecommunications2,109 2,665 
Property companies23,923 26,061 
Financial, business and other services84,754 92,555 
Personal:
Mortgages1
319,655 307,087 
Other24,604 25,363 
Lease financing982 1,182 
Hire purchase15,861 16,148 
Total loans and advances to customers and reverse repurchase agreements
before allowance for impairment losses
503,608 504,603 
Allowance for impairment losses (note 18)(3,820)(5,760)
Total loans and advances to customers and reverse repurchase agreements499,788 498,843 
1Includes both UK and overseas mortgage balances.
Schedule of Credit Quality of Assets
RetailCommercial
Quality classificationIFRS 9 PD rangeQuality classificationIFRS 9 PD range
RMS 1-6
0.00-4.50%
CMS 1-10
0.00-0.50%
RMS 7-9
4.51-14.00%
CMS 11-14
0.51-3.00%
RMS 10
14.01-20.00%
CMS 15-18
3.01-20.00%
RMS 11-13
20.01-99.99%
CMS 19
20.01-99.99%
RMS 14
100.00%
CMS 20-23
100.00%
Drawn exposuresExpected credit loss allowance
Gross drawn exposures and expected credit loss allowanceStage 1Stage 2Stage 3POCITotalStage 1Stage 2Stage 3POCITotal
£m£m£m£m£m£m£m£m£m£m
At 31 December 2021
Loans and advances to banks and reverse repurchase agreements
CMS 1-1010,473    10,473 1    1 
CMS 11-1461    61      
CMS 15-18          
CMS 19          
CMS 20-23          
10,534    10,534 1    1 
Loans and advances to customers and reverse repurchase agreements
Retail - UK mortgages
RMS 1-6273,620 18,073   291,693 48 250   298 
RMS 7-99 2,258   2,267  64   64 
RMS 10 355   355  15   15 
RMS 11-13 1,112   1,112  65   65 
RMS 14  1,940 10,977 12,917   184 210 394 
273,629 21,798 1,940 10,977 308,344 48 394 184 210 836 
Retail - credit cards
RMS 1-611,252 1,107   12,359 67 43   110 
RMS 7-9896 623   1,519 29 71   100 
RMS 10 112   112  22   22 
RMS 11-13 235   235  82   82 
RMS 14  292  292   128  128 
12,148 2,077 292  14,517 96 218 128  442 
Retail - loans and overdrafts
RMS 1-67,220 501   7,721 84 23   107 
RMS 7-9938 286   1,224 39 33   72 
RMS 1018 74   92 2 14   16 
RMS 11-135 244   249 1 83   84 
RMS 14  271  271   139  139 
8,181 1,105 271  9,557 126 153 139  418 
Retail - UK Motor Finance
RMS 1-611,662 1,309   12,971 101 25   126 
RMS 7-9583 298   881 5 15   20 
RMS 10 69   69  7   7 
RMS 11-132 152   154  27   27 
RMS 14  201  201   116  116 
12,247 1,828 201  14,276 106 74 116  296 
Retail - other
RMS 1-614,979 754   15,733 21 10   31 
RMS 7-91,258 593   1,851 5 27   32 
RMS 10 2   2      
RMS 11-13177 610   787  21   21 
RMS 14  778  778   55  55 
16,414 1,959 778  19,151 26 58 55  139 
Total Retail322,619 28,767 3,482 10,977 365,845 402 897 622 210 2,131 
Gross drawn exposures and expected credit loss allowance continuedDrawn exposuresExpected credit loss allowance
Stage 1Stage 2Stage 3POCITotalStage 1Stage 2Stage 3POCITotal
£m£m£m£m£m£m£m£m£m£m
At 31 December 2021
Commercial Banking
CMS 1-1045,123 192   45,315 23 1   24 
CMS 11-1430,483 3,328   33,811 76 75   151 
CMS 15-18769 2,353   3,122 9 121   130 
CMS 19 257   257  18   18 
CMS 20-23  2,892  2,892   943  943 
76,375 6,130 2,892  85,397 108 215 943  1,266 
Other1
RMS 1-6898 34   932 5 2   7 
RMS 7-9          
RMS 10          
RMS 11-13          
RMS 14  62  62   10  10 
898 34 62  994 5 2 10  17 
CMS 1-1051,363    51,363      
CMS 11-14          
CMS 15-18          
CMS 192    2      
CMS 20-23  7  7   6  6 
51,365  7  51,372   6  6 
Central adjustment     400    400 
Total loans and advances to customers and reverse repurchase agreements451,257 34,931 6,443 10,977 503,608 915 1,114 1,581 210 3,820 
In respect of:
Retail322,619 28,767 3,482 10,977 365,845 402 897 622 210 2,131 
Commercial Banking76,375 6,130 2,892  85,397 108 215 943  1,266 
Other1
52,263 34 69  52,366 405 2 16  423 
Total loans and advances to customers and reverse repurchase agreements451,257 34,931 6,443 10,977 503,608 915 1,114 1,581 210 3,820 
1Comprises mainly reverse repurchase agreement balances and certain hedging adjustments.
Undrawn exposuresExpected credit loss allowance
Gross undrawn exposures and expected credit loss allowanceStage 1Stage 2Stage 3POCITotalStage 1Stage 2Stage 3POCITotal
£m£m£m£m£m£m£m£m£m£m
At 31 December 2021
Loans and advances to customers and reverse repurchase agreements
Retail - UK mortgages
RMS 1-616,971 92   17,063 1    1 
RMS 7-9 3   3      
RMS 10          
RMS 11-13          
RMS 14  13 72 85      
16,971 95 13 72 17,151 1    1 
Retail - credit cards
RMS 1-656,666 2,241   58,907 45 24   69 
RMS 7-9457 172   629 3 3   6 
RMS 10 31   31  1   1 
RMS 11-13 58   58  3   3 
RMS 14  55  55      
57,123 2,502 55  59,680 48 31   79 
Retail - loans and overdrafts
RMS 1-66,303 231   6,534 9 4   13 
RMS 7-997 48   145 1 5   6 
RMS 101 11   12  2   2 
RMS 11-13 29   29  6   6 
RMS 14  18  18      
6,401 319 18  6,738 10 17   27 
Retail - UK Motor Finance
RMS 1-61,457    1,457 2    2 
RMS 7-9527    527      
RMS 10          
RMS 11-131    1      
RMS 14          
1,985    1,985 2    2 
Retail - other
RMS 1-61,413 25   1,438 14    14 
RMS 7-950 27   77 5 5   10 
RMS 10          
RMS 11-13 6   6  2   2 
RMS 14  1  1      
1,463 58 1  1,522 19 7   26 
Total Retail83,943 2,974 87 72 87,076 80 55   135 
Gross undrawn exposures and expected credit loss allowance continuedUndrawn exposuresExpected credit loss allowance
Stage 1Stage 2Stage 3POCITotalStage 1Stage 2Stage 3POCITotal
£m£m£m£m£m£m£m£m£m£m
At 31 December 2021
Commercial Banking
CMS 1-1046,168 32   46,200 10    10 
CMS 11-146,914 1,203   8,117 18 18   36 
CMS 15-18188 320   508 1 12   13 
CMS 19 27   27  1   1 
CMS 20-23  66  66   5  5 
53,270 1,582 66  54,918 29 31 5  65 
Other
RMS 1-6289    289      
RMS 7-9          
RMS 10          
RMS 11-13          
RMS 14          
289    289      
CMS 1-10246    246      
CMS 11-14193    193      
CMS 15-18          
CMS 19          
CMS 20-23  11  11      
439  11  450      
Total loans and advances to customers and reverse repurchase agreements137,941 4,556 164 72 142,733 109 86 5  200 
In respect of:
Retail83,943 2,974 87 72 87,076 80 55   135 
Commercial Banking53,270 1,582 66  54,918 29 31 5  65 
Other728  11  739      
Total loans and advances to customers and reverse repurchase agreements137,941 4,556 164 72 142,733 109 86 5  200 
Drawn exposuresExpected credit loss allowance
Gross drawn exposures and expected credit loss allowanceStage 1Stage 2Stage 3POCITotalStage 1Stage 2Stage 3POCITotal
£m£m£m£m£m£m£m£m£m£m
At 31 December 2020
Loans and advances to banks and reverse repurchase agreements
CMS 1-1010,670 — — — 10,670 — — — 
CMS 11-1482 — — — 82 — — — — — 
CMS 15-18— — — — — — — — — — 
CMS 19— — — — — — — — — — 
CMS 20-23— — — — — — — — — — 
10,752 — — — 10,752 — — — 
Loans and advances to customers and reverse repurchase agreements
Retail - UK mortgages
RMS 1-6251,372 21,010 — — 272,382 103 247 — — 350 
RMS 7-946 4,030 — — 4,076 66 — — 67 
RMS 10— 907 — — 907 — 25 — — 25 
RMS 11-13— 3,071 — — 3,071 — 130 — — 130 
RMS 14— — 1,859 12,511 14,370 — — 191 261 452 
251,418 29,018 1,859 12,511 294,806 104 468 191 261 1,024 
Retail - credit cards
RMS 1-69,619 1,284 — — 10,903 75 57 — — 132 
RMS 7-91,603 1,137 — — 2,740 66 138 — — 204 
RMS 10274 343 — — 617 14 70 — — 84 
RMS 11-13— 509 — — 509 — 193 — — 193 
RMS 14— — 340 — 340 — — 153 — 153 
11,496 3,273 340 — 15,109 155 458 153 — 766 
Retail - loans and overdrafts
RMS 1-65,559 291 — — 5,850 80 15 — — 95 
RMS 7-91,990 580 — — 2,570 99 66 — — 165 
RMS 10116 181 — — 297 13 36 — — 49 
RMS 11-1345 467 — — 512 178 — — 187 
RMS 14— — 307 — 307 — — 147 — 147 
7,710 1,519 307 — 9,536 201 295 147 — 643 
Retail - UK Motor Finance
RMS 1-612,035 1,396 — — 13,431 187 46 — — 233 
RMS 7-9738 456 — — 1,194 33 — — 40 
RMS 10— 171 — — 171 — 30 — — 30 
RMS 11-1313 193 — — 206 — 62 — — 62 
RMS 14— — 199 — 199 — — 133 — 133 
12,786 2,216 199 — 15,201 194 171 133 — 498 
Retail - other
RMS 1-614,952 482 — — 15,434 19 19 — — 38 
RMS 7-92,418 334 — — 2,752 11 39 — — 50 
RMS 10— 21 — — 21 — — — 
RMS 11-13509 467 — — 976 — 40 — — 40 
RMS 14— — 184 — 184 — — 59 — 59 
17,879 1,304 184 — 19,367 30 99 59 — 188 
Total Retail301,289 37,330 2,889 12,511 354,019 684 1,491 683 261 3,119 
Drawn exposuresExpected credit loss allowance
Gross drawn exposures and expected credit loss allowance continuedStage 1Stage 2Stage 3POCITotalStage 1Stage 2Stage 3POCITotal
£m£m£m£m£m£m£m£m£m£m
At 31 December 2020
Commercial Banking
CMS 1-1035,072 191 — — 35,263 42 — — 44 
CMS 11-1430,821 6,971 — — 37,792 141 109 — — 250 
CMS 15-184,665 6,469 — — 11,134 96 398 — — 494 
CMS 19— 685 — — 685 — 144 — — 144 
CMS 20-23— — 3,524 — 3,524 — — 1,282 — 1,282 
70,558 14,316 3,524 — 88,398 279 653 1,282 — 2,214 
Other1
RMS 1-6871 13 — — 884 — — 10 
RMS 7-9— — — — — — — — — — 
RMS 10— — — — — — — — — — 
RMS 11-13— — — — — — — — — — 
RMS 14— — 67 — 67 — — 17 — 17 
871 13 67 — 951 17 — 27 
CMS 1-1060,985 — — — 60,985 — — — — — 
CMS 11-14238 — — — 238 — — — — — 
CMS 15-18— — — — — — — — — — 
CMS 19— — — — — — — — 
CMS 20-23— — 10 — 10 — — — — — 
61,225 — 10 — 61,235 — — — — — 
Central adjustment— — — — — 400 — — — 400 
Total loans and advances to customers and reverse repurchase agreements433,943 51,659 6,490 12,511 504,603 1,372 2,145 1,982 261 5,760 
In respect of:
Retail301,289 37,330 2,889 12,511 354,019 684 1,491 683 261 3,119 
Commercial Banking70,558 14,316 3,524 — 88,398 279 653 1,282 — 2,214 
Other1
62,096 13 77 — 62,186 409 17 — 427 
Total loans and advances to customers and reverse repurchase agreements433,943 51,659 6,490 12,511 504,603 1,372 2,145 1,982 261 5,760 
1Comprises mainly reverse repurchase agreement balances and certain hedging adjustments.
Undrawn exposuresExpected credit loss allowance
Gross undrawn exposures and expected credit loss allowanceStage 1Stage 2Stage 3POCITotalStage 1Stage 2Stage 3POCITotal
£m£m£m£m£m£m£m£m£m£m
At 31 December 2020
Loans and advances to customers and reverse repurchase agreements
Retail - UK mortgages
RMS 1-619,347 109 — — 19,456 — — — 
RMS 7-9— — — — — — — 
RMS 10— — — — — — — — 
RMS 11-13— — — — — — — — 
RMS 14— — 10 74 84 — — — — — 
19,348 118 10 74 19,550 — — — 
Retail - credit cards
RMS 1-654,694 3,044 — — 57,738 67 46 — — 113 
RMS 7-9772 463 — — 1,235 11 — — 19 
RMS 10602 282 — — 884 11 — — 18 
RMS 11-13— 85 — — 85 — — — 
RMS 14— — 56 — 56 — — — — — 
56,068 3,874 56 — 59,998 85 72 — — 157 
Retail - loans and overdrafts
RMS 1-66,070 315 — — 6,385 14 — — 21 
RMS 7-9269 139 — — 408 14 — — 22 
RMS 1013 35 — — 48 — — 
RMS 11-1369 — — 72 — 21 — — 21 
RMS 14— — 18 — 18 — — — — — 
6,355 558 18 — 6,931 23 49 — — 72 
Retail - UK Motor Finance
RMS 1-61,275 — — — 1,275 — — — 
RMS 7-9381 — — 384 — — — 
RMS 10— — — — — — — — — — 
RMS 11-13— — — — — — — — 
RMS 14— — — — — — — — — — 
1,657 — — 1,660 — — — 
Retail - other
RMS 1-61,672 23 — — 1,695 — — 12 
RMS 7-9140 36 — — 176 13 — — 22 
RMS 10— — — — — — — — — — 
RMS 11-13— 10 — — 10 — — — 
RMS 14— — — — — — — — 
1,812 69 — 1,882 16 25 — — 41 
Total Retail85,240 4,622 85 74 90,021 130 146 — — 276 
Gross undrawn exposures and expected credit loss allowance continuedUndrawn exposuresExpected credit loss allowance
Stage 1Stage 2Stage 3POCITotalStage 1Stage 2Stage 3POCITotal
£m£m£m£m£m£m£m£m£m£m
At 31 December 2020
Commercial Banking
CMS 1-1042,071 — — — 42,071 32 — — — 32 
CMS 11-1410,122 2,412 — — 12,534 32 27 — — 59 
CMS 15-18934 1,315 — — 2,249 16 49 — — 65 
CMS 19— 92 — — 92 — 12 — — 12 
CMS 20-23— — 195 — 195 — — 13 — 13 
53,127 3,819 195 — 57,141 80 88 13 — 181 
Other
RMS 1-6299 — — — 299 — — — 
RMS 7-9— — — — — — — — — — 
RMS 10— — — — — — — — — — 
RMS 11-13— — — — — — — — — — 
RMS 14— — — — — — — — — — 
299 — — — 299 — — — 
CMS 1-10239 — — — 239 — — — — — 
CMS 11-14170 — — — 170 — — — — — 
CMS 15-18— — — — — — — — — — 
CMS 19— — — — — — — — — — 
CMS 20-23— — — — — — — — 
409 — — 414 — — — — — 
Total loans and advances to customers and reverse repurchase agreements139,075 8,441 285 74 147,875 212 234 13 — 459 
In respect of:
Retail85,240 4,622 85 74 90,021 130 146 — — 276 
Commercial Banking53,127 3,819 195 — 57,141 80 88 13 — 181 
Other708 — — 713 — — — 
Total loans and advances to customers and reverse repurchase agreements139,075 8,441 285 74 147,875 212 234 13 — 459 
Schedule of Debt Securities Classified as Loans and Receivables
An analysis by credit rating of the Group’s debt securities held at amortised cost is provided below:
20212020
Investment
grade
1
Other2
Total
Investment
grade
1
Other2
Total
£m£m£m£m£m£m
Asset-backed securities:
Mortgage-backed securities1,457  1,457 2,046 — 2,046 
Other asset-backed securities1,590 18 1,608 1,593 20 1,613 
3,047 18 3,065 3,639 20 3,659 
Corporate and other debt securities3,760 13 3,773 1,721 28 1,749 
Gross exposure6,807 31 6,838 5,360 48 5,408 
Allowance for impairment losses(3)(3)
Total debt securities held at amortised cost6,835 5,405 
1Credit ratings equal to or better than ‘BBB’.
2Other comprises sub-investment grade (2021: £18 million; 2020: £8 million) and not rated (2021: £13 million; 2020: £40 million).
Schedule of Available-for-Sale Financial Assets (Excluding Equity Shares) . The credit quality of the Group’s financial assets at fair value through other comprehensive income (excluding equity shares) is set out below:
20212020
Investment
grade
1
Other2
Total
Investment
grade
1
Other2
Total
£m£m£m£m£m£m
Debt securities:
Government securities14,600 13 14,613 14,267 19 14,286 
Asset-backed securities:
Other asset-backed securities15 55 70 115 65 180 
Corporate and other debt securities13,088 46 13,134 12,786 149 12,935 
27,703 114 27,817 27,168 233 27,401 
Treasury and other bills85  85 36 — 36 
Total financial assets at fair value through other comprehensive income27,788 114 27,902 27,204 233 27,437 
1Credit ratings equal to or better than ‘BBB’.
2Other comprises sub-investment grade (2021: £72 million; 2020: £92 million) and not rated (2021: £42 million; 2020: £141 million).
Schedule of Debt Securities, Treasury and Other Bills Held at Fair Value Through Profit or Loss . Substantially all of the loans and advances to customers and banks recognised at fair value through profit or loss have an investment grade rating. The credit quality of the Group’s debt securities, treasury and other bills, and contracts held with reinsurers held at fair value through profit or loss is set out below:
20212020
Investment
grade
1
Other2
Total
Investment
grade
1
Other2
Total
£m£m£m£m£m£m
Trading assets:
Debt securities:
Government securities6,579  6,579 7,574 — 7,574 
Asset-backed securities:
Mortgage-backed securities12  12 
Other asset-backed securities3  3 — 
15  15 11 
Corporate and other debt securities245  245 225 21 246 
Total trading assets6,839  6,839 7,803 28 7,831 
Other financial assets mandatorily at fair value through profit or loss:
Debt securities:
Government securities11,097 4 11,101 13,048 — 13,048 
Other public sector securities2,722 9 2,731 2,347 2,354 
Bank and building society certificates of deposit6,294 3 6,297 4,841 — 4,841 
Asset-backed securities:
Mortgage-backed securities421  421 457 460 
Other asset-backed securities272  272 261 — 261 
693  693 718 721 
Corporate and other debt securities16,692 2,865 19,557 15,743 2,145 17,888 
37,498 2,881 40,379 36,697 2,155 38,852 
Treasury and other bills19  19 18 — 18 
Contracts held with reinsurers12,371  12,371 19,543 — 19,543 
Total other financial assets mandatorily at fair value through profit or loss49,888 2,881 52,769 56,258 2,155 58,413 
Total held at fair value through profit or loss56,727 2,881 59,608 64,061 2,183 66,244 
1Credit ratings equal to or better than ‘BBB’.
2Other comprises sub-investment grade (2021: £1,491 million; 2020: £344 million) and not rated (2021: £1,390 million; 2020: £1,839 million).
Schedule of Derivative Assets
20212020
Investment
grade
1
Other2
Total
Investment
grade
1
Other2
Total
£m£m£m£m£m£m
Trading and other20,193 1,772 21,965 26,782 2,015 28,797 
Hedging81 5 86 810 816 
Total derivative financial instruments20,274 1,777 22,051 27,592 2,021 29,613 
1Credit ratings equal to or better than ‘BBB’.
2Other comprises sub-investment grade (2021: £1,471 million; 2020: £1,499 million) and not rated (2021: £306 million; 2020: £522 million).
Schedule of Mortgage Lending
Drawn balancesExpected credit losses
Stage 1Stage 2Stage 3POCITotal
gross
Stage 1Stage 2Stage 3POCITotal
gross
£m£m£m£m£m£m£m£m£m£m
At 31 December 2021
Less than 70 per cent
217,830 19,766 1,717 9,872 249,185 31 247 98 110 486 
70 per cent to 80 per cent
42,808 1,632 134 572 45,146 11 80 38 26 155 
80 per cent to 90 per cent
12,087 253 52 184 12,576 5 28 23 16 72 
90 per cent to 100 per cent
779 46 14 135 974  10 7 16 33 
Greater than 100 per cent
125 101 23 214 463 1 29 18 42 90 
Total273,629 21,798 1,940 10,977 308,344 48 394 184 210 836 
Drawn balancesExpected credit losses
Stage 1Stage 2Stage 3POCITotal
gross
Stage 1Stage 2Stage 3POCITotal
gross
£m£m£m£m£m£m£m£m£m£m
At 31 December 2020
Less than 70 per cent
185,548 24,330 1,547 10,051 221,476 42 202 77 88 409 
70 per cent to 80 per cent
43,656 3,364 187 1,303 48,510 29 136 46 58 269 
80 per cent to 90 per cent
21,508 1,009 74 470 23,061 28 79 31 34 172 
90 per cent to 100 per cent
555 126 21 190 892 16 11 19 49 
Greater than 100 per cent
151 189 30 497 867 35 26 62 125 
Total251,418 29,018 1,859 12,511 294,806 104 468 191 261 1,024 
Schedule of Securities Lending Transactions
The following on-balance sheet financial assets have been lent to counterparties under securities lending transactions:
20212020
£m£m
Financial assets at fair value through profit or loss2,348 3,224 
Financial assets at fair value through other comprehensive income1,918 894 
Total4,266 4,118 
Schedule of Maturities of Assets and Liabilities
Up to 1
month
1-3
months
3-6
months
6-9
months
9-12
months
1-2
years
2-5
years
Over 5
years
Total
£m£m£m£m£m£m£m£m£m
At 31 December 2021
Assets
Cash and balances at central banks76,420        76,420 
Financial assets at fair value through profit or loss10,706 8,280 6,093 2,840 878 1,784 7,553 168,637 206,771 
Derivative financial instruments1,607 804 633 304 309 947 1,997 15,450 22,051 
Loans and advances to banks and
reverse repurchase agreements
4,922 541 663 383 395 791 2,836 2 10,533 
Loans and advances to customers and
reverse repurchase agreements
28,385 23,526 26,107 15,684 13,270 32,096 77,714 283,006 499,788 
Debt securities19 1,217 19 71 305 220 2,735 2,249 6,835 
Financial assets at amortised cost33,326 25,284 26,789 16,138 13,970 33,107 83,285 285,257 517,156 
Financial assets at fair value through other comprehensive income341 598 122 322 1,552 3,029 8,861 13,312 28,137 
Other assets1,509 1,200 185 528 147 515 948 30,958 35,990 
Total assets123,909 36,166 33,822 20,132 16,856 39,382 102,644 513,614 886,525 
Liabilities

Deposits from banks and
repurchase agreements
2,369 386 363 177 223 353 33,784 77 37,732 
Customer deposits and
repurchase agreements
457,032 6,259 3,165 2,056 1,296 4,883 2,326 367 477,384 
Financial liabilities at fair value through profit or loss5,711 4,921 2,439 1,969 224 212 1,748 5,899 23,123 
Derivative financial instruments1,674 826 470 341 352 1,105 1,962 11,330 18,060 
Debt securities in issue4,020 5,555 5,476 6,320 4,129 10,152 22,496 13,404 71,552 
Liabilities arising from insurance and investment contracts1,532 2,076 2,921 2,894 3,312 10,606 30,663 114,459 168,463 
Other liabilities3,721 2,876 631 1,024 778 567 743 13,611 23,951 
Subordinated liabilities21  96   1,307 6,464 5,220 13,108 
Total liabilities476,080 22,899 15,561 14,781 10,314 29,185 100,186 164,367 833,373 
Up to 1
month
1-3
months
3-6
months
6-9
months
9-12
months
1-2
years
2-5
years
Over 5
years
Total
£m£m£m£m£m£m£m£m£m
At 31 December 2020
Assets
Cash and balances at central banks73,256 — — — — — — 73,257 
Financial assets at fair value through profit or loss8,085 8,168 7,446 1,428 1,132 2,420 5,193 157,297 191,169 
Derivative financial instruments1,332 1,028 1,092 504 374 1,068 3,021 21,194 29,613 
Loans and advances to banks and
reverse repurchase agreements
5,372 1,391 1,170 217 50 — 2,544 10,746 
Loans and advances to customers and
reverse repurchase agreements
27,200 23,432 27,322 16,092 12,088 30,342 73,562 288,805 498,843 
Debt securities118 18 — — — 1,651 1,089 2,529 5,405 
Financial assets at amortised cost32,690 24,841 28,492 16,309 12,138 31,993 77,195 291,336 514,994 
Financial assets at fair value through other comprehensive income51 272 569 349 255 3,423 11,289 11,395 27,603 
Other assets1,810 901 433 153 418 653 1,010 29,255 34,633 
Total assets117,224 35,211 38,032 18,743 14,317 39,557 97,708 510,477 871,269 
Liabilities
Deposits from banks and
repurchase agreements
8,590 2,500 384 104 — 278 19,362 247 31,465 
Customer deposits and
repurchase agreements
431,235 13,354 3,368 2,328 1,825 3,909 3,341 708 460,068 
Financial liabilities at fair value through profit or loss3,618 6,809 3,755 944 13 365 1,648 5,494 22,646 
Derivative financial instruments1,481 1,373 911 585 311 1,363 2,893 18,396 27,313 
Debt securities in issue6,565 6,489 6,881 4,655 3,435 12,001 29,867 17,504 87,397 
Liabilities arising from insurance and investment contracts1,321 1,763 2,573 2,542 3,159 9,488 27,132 106,534 154,512 
Other liabilities5,644 1,821 453 439 728 648 845 13,616 24,194 
Subordinated liabilities— — 587 — — 1,528 4,929 7,217 14,261 
Total liabilities458,454 34,109 18,912 11,597 9,471 29,580 90,017 169,716 821,856 
Schedule of Maturities of Liabilities
The table below analyses financial instrument liabilities of the Group, excluding those arising from insurance and participating investment contracts, on an undiscounted future cash flow basis according to contractual maturity, into relevant maturity groupings based on the remaining period at the balance sheet date; balances with no fixed maturity are included in the over 5 years category.
Up to 1
month
1-3
months
3-12
months
1-5
years
Over 5
years
Total
£m£m£m£m£m£m
At 31 December 2021
Deposits from banks and repurchase agreements2,436 699 959 35,200 240 39,534 
Customer deposits and repurchase agreements457,607 6,312 6,613 7,255 676 478,463 
Financial liabilities at fair value through profit or loss6,371 5,037 4,071 2,130 5,826 23,435 
Debt securities in issue5,804 5,722 16,728 34,562 10,606 73,422 
Liabilities arising from non-participating investment contracts45,040     45,040 
Lease liabilities2 64 167 605 927 1,765 
Subordinated liabilities54 78 677 9,558 9,114 19,481 
Total non-derivative financial liabilities517,314 17,912 29,215 89,310 27,389 681,140 
Derivative financial liabilities
Gross settled derivatives – outflows39,184 30,271 32,267 39,429 21,709 162,860 
Gross settled derivatives – inflows(38,231)(29,283)(31,453)(38,137)(19,834)(156,938)
Gross settled derivatives – net flows953 988 814 1,292 1,875 5,922 
Net settled derivative liabilities12,099 60 52 429 1,350 13,990 
Total derivative financial liabilities13,052 1,048 866 1,721 3,225 19,912 
Up to 1
month
1-3
months
3-12
months
1-5
years
Over 5
years
Total
£m£m£m£m£m£m
At 31 December 2020
Deposits from banks and repurchase agreements8,584 2,429 550 23,451 495 35,509 
Customer deposits and repurchase agreements428,634 13,659 8,387 8,049 1,528 460,257 
Financial liabilities at fair value through profit or loss3,904 7,117 5,096 2,139 10,513 28,769 
Debt securities in issue6,339 6,599 16,612 45,666 19,583 94,799 
Liabilities arising from non-participating investment contracts38,450 — — — — 38,450 
Lease liabilities10 53 182 663 857 1,765 
Subordinated liabilities105 66 1,165 8,303 11,829 21,468 
Total non-derivative financial liabilities486,026 29,923 31,992 88,271 44,805 681,017 
Derivative financial liabilities
Gross settled derivatives – outflows45,151 36,737 32,437 50,646 20,556 185,527 
Gross settled derivatives – inflows(42,851)(34,519)(31,248)(49,866)(21,393)(179,877)
Gross settled derivatives – net flows2,300 2,218 1,189 780 (837)5,650 
Net settled derivative liabilities16,132 98 243 933 2,428 19,834 
Total derivative financial liabilities18,432 2,316 1,432 1,713 1,591 25,484 
Schedule of Liabilities Arising From Insurance and Participating Investment Contracts
Liabilities arising from insurance and participating investment contracts are analysed on a behavioural basis, as permitted by IFRS 4, as follows:
Up to 1
month
1-3
months
3-12
months
1-5
years
Over 5
years
Total
£m£m£m£m£m£m
At 31 December 20211,101 1,603 6,108 26,928 87,683 123,423 
At 31 December 20201,476 1,323 5,879 27,468 79,914 116,060 
Schedule of Liabilities Arising From Insurance and Participating Investment Contracts
The following tables set out the amounts and residual maturities of the Group’s off-balance sheet contingent liabilities, commitments and guarantees.
Up to 1
month
1-3
months
3-6
months
6-9
months
9-12
months
1-3
years
3-5
years
Over 5
years
Total
£m£m£m£m£m£m£m£m£m
At 31 December 2021
Acceptances and endorsements11 180       191 
Other contingent liabilities219 658 328 184 154 295 258 457 2,553 
Total contingent liabilities230 838 328 184 154 295 258 457 2,744 
Lending commitments and guarantees70,437 4,269 20,021 3,662 7,872 20,060 11,595 4,756 142,672 
Other commitments     17  44 61 
Total commitments and guarantees70,437 4,269 20,021 3,662 7,872 20,077 11,595 4,800 142,733 
Total contingents, commitments and guarantees70,667 5,107 20,349 3,846 8,026 20,372 11,853 5,257 145,477 
At 31 December 2020
Acceptances and endorsements80 10 41 — — — — — 131 
Other contingent liabilities327 551 164 175 212 340 70 583 2,422 
Total contingent liabilities407 561 205 175 212 340 70 583 2,553 
Lending commitments and guarantees72,916 4,890 22,288 3,981 5,374 23,048 11,411 3,839 147,747 
Other commitments— — — — 44 16 64 128 
Total commitments and guarantees72,916 4,890 22,288 3,981 5,378 23,092 11,427 3,903 147,875 
Total contingents, commitments and guarantees73,323 5,451 22,493 4,156 5,590 23,432 11,497 4,486 150,428