What was achieved?

103.  The forecast residual cash balances were very closely matched with the swap profile. The net position involved LCR paying variable rates to the swap counterparty to balance with the variable receipts from surplus cash. LCR receives fixed rate payments. Assuming the Central Case holds, LCR will be largely interest rate neutral for the period which the swap hedge covers. Figure 40 illustrates the match of the swap profile to the cash balances. We believe that structuring the swap package on a gross basis rather than just swapping a net cash position was the only way the hedge could be achieved with a high degree of accuracy.