12 Derivatives
Companies in the Group transact derivatives as principal either as a trading activity or to manage balance sheet foreign exchange, interest rate and credit risk.
The following table shows the notional amount and fair value of the Group’s derivatives.
|
|
|
Group |
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|
|
2017 |
|
2016 |
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|
|
|
Notional |
|
|
|
|
|
Notional |
|
|
|
|
|
|
|
amount |
|
Assets |
|
Liabilities |
|
amount |
|
Assets |
|
Liabilities |
|
|
|
£bn |
|
£m |
|
£m |
|
£bn |
|
£m |
|
£m |
|
Exchange rate contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
Spot, forwards and futures |
|
12 |
|
165 |
|
171 |
|
15 |
|
420 |
|
365 |
|
Currency swaps |
|
3 |
|
76 |
|
75 |
|
4 |
|
238 |
|
279 |
|
Options purchased |
|
1 |
|
44 |
|
— |
|
1 |
|
55 |
|
— |
|
Options written |
|
1 |
|
— |
|
44 |
|
1 |
|
— |
|
55 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate swaps |
|
179 |
|
1,987 |
|
2,868 |
|
91 |
|
3,026 |
|
3,918 |
|
Options purchased |
|
6 |
|
43 |
|
— |
|
4 |
|
72 |
|
— |
|
Options written |
|
6 |
|
— |
|
20 |
|
4 |
|
— |
|
37 |
|
Futures and forwards |
|
— |
|
— |
|
— |
|
5 |
|
— |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity and commodity contracts |
|
— |
|
— |
|
— |
|
1 |
|
93 |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,315 |
|
3,178 |
|
|
|
3,904 |
|
4,654 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amounts above include: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Due from/to intermediate holding company |
|
|
|
1,703 |
|
2,951 |
|
|
|
2,929 |
|
4,294 |
|
Due from/to fellow subsidiaries |
|
|
|
6 |
|
15 |
|
|
|
— |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bank |
||||||||||
|
|
|
2017 |
|
2016 |
||||||||
|
|
|
Notional |
|
|
|
|
|
Notional |
|
|
|
|
|
|
|
amount |
|
Assets |
|
Liabilities |
|
amount |
|
Assets |
|
Liabilities |
|
|
|
£bn |
|
£m |
|
£m |
|
£bn |
|
£m |
|
£m |
|
Exchange rate contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
Spot, forwards and futures |
|
11 |
|
162 |
|
166 |
|
13 |
|
371 |
|
343 |
|
Currency swaps |
|
3 |
|
74 |
|
74 |
|
3 |
|
151 |
|
151 |
|
Options purchased |
|
1 |
|
44 |
|
— |
|
1 |
|
55 |
|
— |
|
Options written |
|
1 |
|
— |
|
44 |
|
1 |
|
— |
|
55 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate swaps |
|
170 |
|
1,954 |
|
2,813 |
|
45 |
|
2,433 |
|
3,352 |
|
Options purchased |
|
6 |
|
43 |
|
— |
|
4 |
|
72 |
|
— |
|
Options written |
|
6 |
|
— |
|
20 |
|
4 |
|
— |
|
37 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,277 |
|
3,117 |
|
|
|
3,082 |
|
3,938 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Amounts above include: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Due from/to intermediate holding company |
|
|
|
1,697 |
|
2,908 |
|
|
|
2,167 |
|
3,604 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|