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 |
| Note 32 - Interest rate sensitivity gap analysis |
|
| Interest rate risk emanates from the Group’s loan investments and the Group’s funding. The Group’s policy is that fixed rate lending is matched with fixed rate borrowings and the interest rate resetting profile of variable rate lending is matched with that of variable rate borrowings through gearing the portfolio. Financial instruments including interest rate swaps are used as part of this matching process. Equity investments, which are mainly funded by shareholders’ funds but also partially by borrowings in similar currencies, give rise to an interest rate sensitivity gap as a result of the equity investments being non-interest bearing and having no fixed maturity date. The interest rate sensitivity gap at 31 March 2004 was: |
| Assets |
Not more than three months
2003
£
m |
More than three months but not more than six months
2003
£m |
More than six months but not more than one year
2003
£m |
More than one year but not more than five years
2003
£m |
More than five years
2003
£m |
Non-interest bearing
2003
£m |
Total
2003
£m |
| Treasury bills and other eligible bills |
– |
– |
– |
– |
1 |
– |
1 |
| Loans and advances to banks |
419 |
65 |
50 |
– |
– |
– |
534 |
| Debt securities held for treasury purposes |
244 |
40 |
– |
– |
– |
– |
284 |
Debt securities and other fixed income
securities held as financial fixed assets |
|
|
|
|
|
|
|
| Loan investments |
424 |
39 |
59 |
301 |
489 |
– |
1,312 |
| Fixed income shares |
– |
– |
– |
– |
– |
150 |
150 |
| Equity shares |
– |
– |
– |
– |
– |
2,864 |
2,864 |
| Other assets |
– |
– |
– |
– |
– |
267 |
267 |
| |
1,087 |
144 |
109 |
301 |
490 |
3,281 |
5,412 |
| Liabilities |
|
|
|
|
|
|
|
| Deposits by banks |
215 |
– |
– |
– |
– |
– |
215 |
| Debt securities in issue |
(174) |
(24) |
21 |
388 |
917 |
– |
1,128 |
| Convertible bonds |
– |
– |
– |
367 |
– |
– |
367 |
| Other liabilities |
– |
– |
– |
– |
– |
262 |
262 |
| Subordinated liabilities |
– |
– |
– |
– |
45 |
– |
45 |
| Shareholders’ funds |
– |
– |
– |
– |
– |
3,395 |
3,395 |
| |
41 |
(24) |
21 |
755 |
962 |
3,657 |
5,412 |
| Interest rate sensitivity gap |
1,046 |
168 |
88 |
(454) |
(472) |
(376) |
– |
| Cumulative gap |
1,046 |
1,214 |
1,302 |
848 |
376 |
– |
– |
| |
| Assets |
Not more than three months
2003
£m |
More than three months but not more than six months
2003
£m |
More than six months but not more than one year
2003
£m |
More than one year but notmore than five years
2003
£m |
More than five years
2003
£m |
Non-interest bearing
2003
£m |
Total
2003
£m |
| Treasury bills and other eligible bills |
– |
– |
– |
– |
1 |
– |
1 |
| Loans and advances to banks |
412 |
105 |
10 |
– |
– |
– |
527 |
| Debt securities held for treasury purposes |
228 |
55 |
– |
– |
– |
– |
283 |
Debt securities and other fixed income
securities held as financial fixed assets |
|
|
|
|
|
|
|
| Loan investments |
438 |
67 |
65 |
328 |
438 |
– |
1,336 |
| Fixed income shares |
– |
– |
– |
– |
– |
228 |
228 |
| Equity shares |
– |
– |
– |
– |
– |
2,375 |
2,375 |
| Other assets |
– |
– |
– |
– |
– |
249 |
249 |
| |
1,078 |
227 |
75 |
328 |
439 |
2,852 |
4,999 |
| Liabilities |
|
|
|
|
|
|
|
| Deposits by banks |
316 |
104 |
3 |
– |
– |
– |
423 |
| Debt securities in issue |
(44) |
126 |
(34) |
302 |
1,000 |
– |
1,350 |
| Convertible bonds |
– |
– |
– |
– |
– |
– |
– |
| Other liabilities |
– |
– |
– |
– |
– |
239 |
239 |
| Subordinated liabilities |
– |
– |
– |
– |
51 |
– |
51 |
| Shareholders’ funds |
– |
– |
– |
– |
– |
2,936 |
2,936 |
| |
272 |
230 |
(31) |
302 |
1,051 |
3,175 |
4,999 |
| Interest rate sensitivity gap |
806 |
(3) |
106 |
26 |
(612) |
(323) |
– |
| Cumulative gap |
806 |
803 |
909 |
935 |
323 |
– |
– |
|
|
|
|