RBS 2011 Annual Report Download - page 369

RBS Group 2011 367
Included in the table above are derivatives held for hedging purposes as follows:
2011 2010 2009
Assets Liabilities Assets Liabilities Assets Liabilities
£m £m £m £m £m £m
Fair value hedging
Exchange rate contracts — — — — 160 38
Interest rate contracts 3,550 4,288 2,496 3,767 2,672 3,292
Cash flow hedging
Exchange rate contracts — — — — 2 7
Interest rate contracts 3,985 1,445 2,903 995 1,753 3,080
Net investment hedging
Exchange rate contracts 148 148 30 102 10 90
Hedge ineffectiveness recognised in other operating income comprised:
2011 2010 2009
£m £m £m
Fair value hedging
Gains on the hedged items attributable to the hedged risk 557 343 512
Losses on the hedging instruments (541) (405) (455)
Fair value hedging ineffectiveness 16 (62) 57
Cash flow hedging ineffectiveness 20 (37) 14
36 (99) 71
The following tables show, when the hedged cash flows are expected to occur and when they will affect income for designated cash flow hedges.
2011
0-1 years
£m
1-2 years
£m
2-3 years
£m
3-4 years
£m
4-5 years
£m
5-10 years
£m
10-20 years
£m
Over 20 years
£m
Total
£m
Hedged forecast cash flows expected to occur
Forecast receivable cash flows 407 415 360 306 200 280 — — 1,968
Forecast payable cash flows (120) (106) (73) (70) (71) (344) (568) (160) (1,512)
Hedged forecast cash flows affect on profit or loss
Forecast receivable cash flows 422 402 355 291 188 265 — — 1,923
Forecast payable cash flows (122) (102) (72) (70) (70) (346) (568) (159) (1,509)
2010
Hedged forecast cash flows expected to occur
Forecast receivable cash flows 280 254 219 161 120 169 30 — 1,233
Forecast payable cash flows (47) (41) (33) (30) (30) (137) (176) (54) (548)
Hedged forecast cash flows affect on profit or loss
Forecast receivable cash flows 281 250 214 157 112 161 28 — 1,203
Forecast payable cash flows (46) (41) (33) (30) (29) (137) (175) (54) (545)
2009
Hedged forecast cash flows expected to occur
Forecast receivable cash flows 504 466 423 267 163 379 141 — 2,343
Forecast payable cash flows (554) (521) (416) (350) (299) (990) (819) (167) (4,116)
Hedged forecast cash flows affect on profit or loss
Forecast receivable cash flows 503 467 422 255 163 371 141 — 2,322
Forecast payable cash flows (554) (518) (409) (346) (296) (978) (818) (167) (4,086)