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Derivative financial instruments and hedge accounting (Tables)
 12 Months Ended
Dec. 31, 2019
Text block [abstract]  
Summary of Outstanding Derivative Financial Instruments
The Group’s approach to the management of financial risks is set out in note 19. The Group’s outstanding derivative financial instruments are as follows:
 
 
 
2019
 
 
2018
 
All figures in £ millions
 
Gross notional
amounts
 
 
Assets
 
 
Liabilities
 
 
Gross notional
amounts
 
 
Assets
 
 
Liabilities
 
Interest rate derivatives – in a fair value hedge relationship
 
 
336
 
 
 
13
 
 
 
—  
 
 
 
404
 
 
 
13
 
 
 
—  
 
Interest rate derivatives – not in a hedge relationship
 
 
557
 
 
 
2
 
 
 
(6
) 
 
 
362
 
 
 
3
 
 
 
—  
 
Cross-currency rate derivatives – in a hedge relationship
 
 
502
 
 
 
29
 
 
 
(31
) 
 
 
577
 
 
 
51
 
 
 
(35
) 
FX derivatives – in a hedge relationship
 
 
555
 
 
 
6
 
 
 
(1
) 
 
 
434
 
 
 
—  
 
 
 
(24
) 
FX derivatives – not in a hedge relationship
 
 
386
 
 
 
4
 
 
 
(1
) 
 
 
473
 
 
 
1
 
 
 
—  
 
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total
 
 
2,336
 
 
 
54
 
 
 
(39
) 
 
 
2,250
 
 
 
68
 
 
 
(59
) 
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
Analysed as expiring:
 
 
 
 
 
 
In less than one year
 
 
1,167
 
 
 
25
 
 
 
(15
) 
 
 
771
 
 
 
1
 
 
 
(23
) 
Later than one year and not later than five years
 
 
694
 
 
 
13
 
 
 
(6
) 
 
 
795
 
 
 
22
 
 
 
(1
) 
Later than five years
 
 
475
 
 
 
16
 
 
 
(18
) 
 
 
684
 
 
 
45
 
 
 
(35
) 
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
Total
 
 
2,336
 
 
 
54
 
 
 
(39
) 
 
 
2,250
 
 
 
68
 
 
 
(59
) 
 
 
 
  
 
 
  
 
 
  
 
 
  
 
 
  
 
 
 
Summary of Instruments to Hedge Exposures to Changes in Interest Rates and Foreign Currency Risk Associated with Borrowings
The Group held the following instruments to hedge exposures to changes in interest rates and foreign currency risk associated with borrowings:
 
 
 
 
2019
 
All figures in £ millions
 
Carrying amount of
hedging instruments
 
 
Change in fair value of
hedging instrument
used to determine
hedge ineffectiveness
 
 
Nominal amounts of
hedging instruments
 
Derivative financial instruments for interest rate risk
 
 
13
 
 
 
—  
 
 
 
336
 
Derivative financial instruments for currency risk
 
 
25
 
 
 
(21
) 
 
 
336
 
 
 
 
 
2018
 
All figures in £ millions
 
Carrying amount of
hedging instruments
 
 
Change in fair value of
hedging instrument
used to determine
hedge ineffectiveness
 
 
Nominal amounts of
hedging instruments
 
Derivative financial instruments for interest rate risk
 
 
13
 
 
 
(7
) 
 
 
404
 
Derivative financial instruments for currency risk
 
 
51
 
 
 
3
 
 
 
404
 
Summary of Amounts at the Reporting Rate Relating to Items Designated as Hedge Items
The amounts at the reporting date relating to items designated as hedge items were as follows:
 
 
 
 
2019
 
All figures in
£ millions
 
Carrying amount
of hedged items
 
 
Accumulated amount
of fair value hedge
adjustments on
the hedged item
included in the
carrying amount
 
 
Change in fair value of
hedged item used to
determine hedge
ineffectiveness
 
 
Hedge
ineffectiveness
 
 
Line item in profit or
loss that includes
hedge ineffectiveness
 
Interest rate risk
 
 
 
 
 
Financial liabilities – borrowings
 
 
(347
) 
 
 
(9
) 
 
 
—  
 
 
 
—  
 
 
 
n/a
 
Currency risk
 
 
 
 
 
Financial liabilities – borrowings
 
 
(347
) 
 
 
n/a
 
 
 
21
 
 
 
—  
 
 
 
n/a
 
 
 
 
 
2018
 
All figures in
£ millions
 
Carrying amount
of hedged items
 
 
Accumulated amount
of fair value hedge
adjustments on
the hedged item
included in the
carrying amount
 
 
Change in fair value of
hedged item used to
determine hedge
ineffectiveness
 
 
Hedge
ineffectiveness
 
 
Line item in profit or
loss that includes
hedge ineffectiveness
 
Interest rate risk
 
 
 
 
 
Financial liabilities – borrowings
 
 
(416
) 
 
 
(9
) 
 
 
7
 
 
 
—
 
 
 
n/a
 
Currency risk
 
 
 
 
 
Financial liabilities – borrowings
 
 
(416
) 
 
 
n/a
 
 
 
(3
) 
 
 
—
 
 
 
n/a
 
Summary of Amounts Related to Items Designated as Hedging Instruments
The amounts related to items designated as hedging instruments were as follows:
 
 
 
  
2019
 
All figures in £ millions
  
Carrying
amount of
hedged
instruments
 
 
Change in value of
hedging
instrument used
to determine
hedge
ineffectiveness
 
  
Nominal
amounts
of hedging
instruments
 
 
Hedging
gains/(losses)
recognised in
OCI
 
  
Hedge
ineffectiveness
recognised in
profit or loss
 
Derivative financial instruments
  
 
(21
) 
 
 
13
 
  
 
(722
) 
 
 
13
 
  
 
—
 
Financial liabilities – borrowings
  
 
(246
) 
 
 
10
 
  
 
(246
) 
 
 
10
 
  
 
—
 
 
 
 
  
2018
 
All figures in £ millions
  
Carrying
amount of
hedged
instruments
 
 
Change in value of
hedging
instrument used
to determine
hedge
ineffectiveness
 
 
Nominal
amounts
of hedging
instruments
 
 
Hedging
gains/(losses)
recognised in
OCI
 
 
Hedge
ineffectiveness
recognised in
profit or loss
 
Derivative financial instruments
  
 
(59
) 
 
 
(22
) 
 
 
(607
) 
 
 
(22
) 
 
 
—  
 
Financial liabilities – borrowings
  
 
(256
) 
 
 
(10
) 
 
 
(256
) 
 
 
(10
) 
 
 
—  
 
Disclosure of Derivative Financial Assets and Liabilities Subject to Offsetting Arrangements Derivative financial assets and liabilities subject to offsetting arrangements are as follows:
 
 
  
2019
 
 
2018
 
All figures in £ millions
  
Gross
derivative
assets
 
  
Gross
derivative
liabilities
 
 
Net derivative
assets/
liabilities
 
 
Gross
derivative
assets
 
  
Gross
derivative
liabilities
 
 
Net
derivative
assets/
liabilities
 
Counterparties in an asset position
  
 
52
 
  
 
(34
) 
 
 
18
 
 
 
67
 
  
 
(44
) 
 
 
23
 
Counterparties in a liability position
  
 
2
 
  
 
(5
) 
 
 
(3
) 
 
 
1
 
  
 
(15
) 
 
 
(14
) 
  
 
 
   
 
 
  
 
 
  
 
 
   
 
 
  
 
 
 
Total as presented in the balance sheet
  
 
54
 
  
 
(39
) 
 
 
15
 
 
 
68
 
  
 
(59
) 
 
 
9