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STRATEGIC REVIEW PERFORMANCE REVIEW GOVERNANCE FINANCIAL STATEMENTS
OVERVIEW
Note 21 Financial instruments continued
The fair value and notional amounts of derivatives analysed by hedge type are as follows:
2012 2011
Asset Liability Asset Liability
Fair value
£m
Notional
£m
Fair value
£m
Notional
£m
Fair value
£m
Notional
£m
Fair value
£m
Notional
£m
Fair value hedges
Interest rate swaps and similar instruments 96 1,751 (68) 2,031 27 1,410 (57) 1,844
Cross currency swaps 818 2,686 (8) 269 717 2,674 (28) 714
Cash flow hedges
Interest rate swaps and similar instruments – – (132) 400 ––(54)455
Cross currency swaps 233 304 (41) 988 126 298 (151) 784
Index-linked swaps 30 809 – – ––(8)772
Forward foreign currency contracts 23 733 (21) 1,211 8346 (12)1,269
Net investment hedges
Forward foreign currency contracts – – (7) 969 19 383 (97) 952
Future purchases of non-controlling interests – – – – ––(106)–
Cash flow hedges and net investment hedges
Cross currency swaps ––(1)318 –– ––
Derivatives not in a formal hedge relationship
Interest rate swaps and similar instruments 3 25 (1) 25 125 (1)25
Cross currency swaps 3 146 (4) 56 284 (10)65
Index-linked swaps 539 3,149 (468) 3,149 376 2,639 (311) 2,639
Forward foreign currency contracts 22 923 (62) 1,282 11 523 (20) 720
Future purchases of non-controlling interests – – (3) – –– ––
Total 1,767 10,526 (816) 10,698 1,287 8,382 (855) 10,239
The carrying value and fair value of financial assets and liabilities are as follows:
2012 2011*
Carrying
value
£m
Fair
value
£m
Carrying
value
£m
Fair
value
£m
Assets
Cash and cash equivalents 2,305 2,305 2,428 2,428
Loans and advances to customers – Tesco Bank 4,403 4,440 4,641 4,636
Short-term investments 1,243 1,243 1,022 1,022
Other investments – Tesco Bank 1,526 1,524 938 923
Joint venture and associates loan receivables (Note 28) 384 384 503 514
Other receivables 10 10 25 25
Derivative financial assets:
Interest rate swaps and similar instruments 99 99 28 28
Cross currency swaps 1,054 1,054 845 845
Index-linked swaps 569 569 376 376
Forward foreign currency contracts 45 45 38 38
Total financial assets 11,638 11,673 10,844 10,835
Liabilities
Short-term borrowings:
Amortised cost (1,806) (1,841) (708) (707)
Bonds in fair value hedge relationships – – (628) (614)
Long-term borrowings:
Amortised cost (4,575) (4,966) (4,584) (4,678)
Bonds in fair value hedge relationships (5,202) (5,140) (4,957) (4,915)
Finance leases (Group as lessee – Note 34) (166) (166) (198) (198)
Customer deposits – Tesco Bank (5,387) (5,410) (5,074) (5,081)
Deposits by banks – Tesco Bank (78) (78) (36) (36)
Derivative and other financial liabilities:
Interest rate swaps and similar instruments (201) (201) (112) (112)
Cross currency swaps (54) (54) (189) (189)
Index-linked swaps (468) (468) (319) (319)
Forward foreign currency contracts (90) (90) (129) (129)
Future purchases of non-controlling interests (3) (3) (106) (106)
Total financial liabilities (18,030) (18,417) (17,040) (17,084)
Total (6,392) (6,744) (6,196) (6,249)
* See Note 1 Accounting policies for details of reclassifications. Tesco PLC Annual Report and Financial Statements 2012 123