Barclays H1 2022 Results
Structural hedge
Structural hedge programme update
Dec-19 Dec-20 Mar-21 Jun-21 Sep-21 Dec-21 Mar-22 Jun-22
Structural hedge dynamics
FY21
H122
Hedge
notional
(£bn)
Total hedge income (Em)
1,415
879
224
228
238
256
171
188
192
198
Average hedge balances (£bn)
Yield on hedge (%)
204
237
0.69
0.74
3.0
2.0
GBP 5 Year
1.0
swap rate¹
(%)
0.0
2016
2017 2018 2019 2020 2021
2022
-Zero Yield Close
5 Year Moving Average
2.48
0.75
Q420
Q121
Q221
Q321 Q421 Q122
Q222
Gross hedge
contribution
501
(Em)
377
350
341
353
371
378
1 UK Pound Sterling SONIA OIS Zero 5 Year Point (Refinitiv: GBPOIS5YZ=R) |
35 | Barclays H1 2022 Results | 28 July 2022
•
•
•
The Group's combined gross equity and product
structural hedge contribution was £501m in Q222
(Q122: £378m)
The combined structural hedge notional as at Jun-22
was £256bn, an £18bn increase from Mar-22 and an
£85bn increase from Dec-19
The £85bn increase in structural hedge notional is
relative to an increase in Group deposits of £153bn
since Dec-19
The average duration of the structural hedge remains
at close to 3 years
Given recent moves in the yield curve and the increase
in hedge notional, the structural hedge contribution in
FY22 is currently expected to be materially higher than
in FY21
BARCLAYSView entire presentation