Page 98 - 86395_CCB - 2024 Annual Report (web)

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Fair value hedges of Interest Rate Risk 2024 2023
£’000
Instrument type: Assets Liabilities Assets Liabilities
Interest rate 149 – – 652
Total 149 – – 652

The fair value of the Bank’s derivatives in place at the year‑end was an asset of £149k (2023: liability £652k).
• Credit Risk derivative risk management

The Bank mitigates the Credit Risk of derivatives by entering transactions under International Swaps and
Derivatives (ISDA) master netting agreements. The Bank has executed a Credit Support Annex (CSA) in
conjunction with the ISDA agreement, which requires the Bank and its counterparty (NatWest Markets PLC) to
post collateral to mitigate counterparty Credit Risk in the event of specific triggers being met.

% of exposure that is subject Principal type Collateral
to collateral requirements of collateral (received)/given

Type of credit exposure 2024 2023
Derivatives held for risk management 100% 100% Cash (£310k)

The following table sets out the Bank’s financial assets and financial liabilities that are subject to an enforceable
master netting arrangement, irrespective of whether they are offset in the statement of financial position.
The values reflect the instruments fair value. The Bank’s ISDA does not meet the criteria for offsetting in the
statement of financial position. This is because it creates a right of set‑off of recognised amounts that is only
enforceable following a predetermined event.
Cash is pledged and received as collateral against derivative contracts which are used by the Bank to manage its
exposure to Market Risk. Collateral is pledged to derivative contract counterparties where there is a net amount
outstanding to the counterparty, and collateral is received from derivative contract counterparties where there
is a net amount due to the Bank. All derivatives are marked to market on a daily basis, with collateral pledged
or received if the aggregate mark to market valuation exceeds the CSA variation margin threshold. The Bank’s
derivative contracts have an outstanding contractual period of up to 5 years (2023: 2.5 years).

At 31 December 2024 the Bank held £310k (2023: £830k pledged) of cash collateral, which is included in the
total loans and advances to banks category on the balance sheet.

Related amounts not
offset in the statement of
£’000 financial position
Net amounts
Gross Gross amounts of financial
amounts of of financial liabilities in
recognised liabilities offset in the statement Financial Cash
financial the statement of of financial instruments collateral Net
Type assets financial position position liabilities received amount
2024
Derivatives held for
risk management
Assets 149 – – – 310 459
Liabilities – – – – – –
2023

Derivatives held for
risk management
Assets – – – – – –

Liabilities – 652 – – – 652