TMBThanachart Bank Public Company Limited and its Subsidiaries (Formerly TMB Bank Public Company Limited and its Subsidiaries) Notes to the financial statements For the year ended 31 December 2021 70 12 Derivatives As at 31 December 2021 and 2020, fair value of derivatives held for trading book, derivatives held for risk management, and hedge derivative with notional amount classified by type of risks were as follows: Consolidated 2021 2020 Fair Value Notional Fair Value Notional Type of risks Assets Liabilities amount Assets Liabilities amount (in million Baht) Foreign currency related - Trading Book 3,119 3,267 486,496 4,997 4,772 376,568 - Derivative held for risk management 29 16 7,281 7 86 9,377 - Cash flow hedge 1,355 986 29,245 2,398 1 39,106 Interest rate related - Trading Book 2,410 2,326 177,578 4,444 4,374 236,396 - Fair value hedge - - - 113 35 8,509 Total 6,913 6,595 700,600 11,959 9,268 669,956 Bank only 2021 2020 Fair Value Notional Fair Value Notional Type of risks Assets Liabilities amount Assets Liabilities amount (in million Baht) Foreign currency related - Trading Book 3,119 3,267 486,496 4,487 4,349 342,815 - Derivative held for risk management 29 16 7,281 7 86 9,377 - Cash flow hedge 1,355 986 29,245 1,624 1 30,095 Interest rate related - Trading Book 2,410 2,326 177,578 3,782 3,708 192,481 - Fair value hedge - - - 113 - 7,509 Total 6,913 6,595 700,600 10,013 8,144 582,277 12.2 Hedging derivatives 12.2.1 Fair value hedge The Bank and its subsidiaries use interest rate swaps to exchange fixed rate for floating rates on funding to match floating rates received on asset or exchange fixed rates on assets to match the floating rates paid on funding. For qualifying hedges, the fair value changes of the derivative are substantially matched by corresponding fair value changes of the hedged items, both of which are recognized in profit or loss. For the year ended 31 December 2021, the Bank and its subsidiaries recognized loss on fair value hedges in profit or loss amounted to Baht 35 million, including amount recognised from unwinding hedging instruments in consolidated financial statements and no gain or loss in Bank only financial statements. 314 TMBThanachart Bank Public Company Limited
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