RBS 2012 Annual Report Download - page 420

14 Derivatives continued
Included in the table above are derivatives held for hedging purposes as follows:
2012 2011 2010
Assets Liabilities Assets Liabilities Assets Liabilities
£m £m £m £m £m £m
Fair value hedging
Interest rate contracts 3,779 4,488 3,550 4,288 2,496 3,767
Cash flow hedging
Interest rate contracts 4,854 1,276 3,985 1,445 2,903 995
Net investment hedging
Exchange rate contracts 6 32 148 148 30 102
Hedge ineffectiveness recognised in other operating income comprised:
2012 2011 2010
£m £m £m
Fair value hedging
Gains on the hedged items attributable to the hedged risk 178 557 343
Losses on the hedging instruments (132)(541)(405)
Fair value hedging ineffectiveness 46 16 (62)
Cash flow hedging ineffectiveness 26 20 (37)
72 36 (99)
The following table shows, when the hedged cash flows are expected to occur and when they will affect income for designated cash flow hedges.
2012
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 285 259 232 177 138 190 — — 1,281
Forecast payable cash flows (56)(45)(37)(35)(35)(172)(259)(39)(678)
Hedged forecast cash flows affect on profit or loss
Forecast receivable cash flows 277 257 225 171 132 180 — — 1,242
Forecast payable cash flows (55)(44)(36)(35)(35)(173)(257)(37)(672)
2011
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)
418
Notes on the consolidated accounts continued