Company: BCS
Filing Date: 2025-02-13
Form Type: 20-F
Source: 0000312069-25-000114
Chunk: 519

Company: BARCLAYS PLC
Filing Date: 2025-02-13
Form: 20-F
Chunk 519
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 benefit. Since the receive-fixed swaps are booked for a specific term, an element of NII is ‘locked in’. The income stabilising feature of the structural hedge provides greater net interest income certainty through the interest rate cycle. The structural hedge is one component of a larger portfolio of interest rate risk management activities that includes non-structural hedging (e.g. pay fixed and receive variable flows for asset hedging), and other offsetting flows. The net risk of these positions is executed externally through interest rate swaps and managed for accounting risk (i.e. income volatility arising from the accounting mismatch of swaps at fair value through profit and loss and underlying hedged items at amortised cost) within the cash flow hedge reserve 1 . Overall the Group has external derivatives designated as cash flow hedges that hedge interest rate risk with a notional £ 106 bn (December 2023: £128bn) which reflects the structural hedge notional of £ 232 bn (December 2023: £246bn) netted with non-structural hedging positions of £ 126 bn (December 2023: £118bn). The majority of these interest rate swaps are cleared with Central Clearing Counterparties and margined daily with an average duration of 3 years (2023: c2.5 years). Sustained higher interest rates have resulted in a gradual shift in balance sheet composition, with customers migrating from non-interest- bearing current accounts and instant access savings accounts to higher yielding trackers and term deposits. These trends have stabilised throughout 2024. Economic risk management objectives and strategies have remained consistent as the reduction in balances available for structural hedging has been affected through existing management actions, with buffers utilised and reinvestment of maturing hedges partially paused to gradually reduce c.£ 14 bn of notional during 2024. Cashflow hedges on the net externalised risk position have likewise been adjusted through designation/de-designation activity throughout the year, with associated reserve amounts recycled back to the income statement over the life of the respective designations. Gross structural hedge contributions were £ 4,708 m (FY23: £3,623m). Gross structural hedge contributions represent the absolute interest income earned on the fixed legs of the swaps in the structural hedge as the floating leg is offset by the base rate funding of the deposits. Note: 1 Structural hedging derivatives are a component of the net externalised interest rate risk. The net externalised risk position is managed within the cash flow hedge reserve. Note 14