RBS 2011 Annual Report Download - page 187

RBS Group 2011 185
Derivatives
The Group's derivative assets by internal asset quality rating and residual maturity are analysed below. Master netting arrangements in respect of mark-
to-market (mtm) positions and collateral shown below do not result in a net presentation on the Group’s balance sheet under IFRS.
2011 2010
0-3
months
£m
3-6
months
£m
6-12
months
£m
1-5
years
£m
Over 5
years
£m
Total
£m
0-3
months
£m
3-6
months
£m
6-12
months
£m
1-5
years
£m
Over 5
years
£m
Total
£m
2009
Total
£m
AQ1 24,580 10,957 17,180 126,105 302,800 481,622 30,840 10,755 17,554 135,311 214,029 408,489 389,019
AQ2 326 236 431 2,046 5,138 8,177 319 105 212 1,561 462 2,659 11,550
AQ3 975 390 459 2,811 6,184 10,819 1,284 391 626 610 406 3,317 10,791
AQ4 1,465 782 713 4,093 7,368 14,421 989 155 240 1,726 281 3,391 8,296
AQ5 890 93 219 1,787 3,527 6,516 1,016 81 201 1,447 2,115 4,860 8,270
AQ6 121 30 81 803 1,186 2,221 134 46 71 653 166 1,070 2,548
AQ7 101 29 56 1,674 533 2,393 150 29 44 375 259 857 2,181
AQ8 16 21 11 143 1,061 1,252 2 1 10 118 272 403 1,448
AQ9 5 8 7 254 876 1,150 104 8 39 110 189 450 2,030
AQ10 13 20 35 658 321 1,047 170 11 52 353 995 1,581 2,026
Accruing past due — — — — — — — — — — — — 40
28,492 12,566 19,192 140,374 328,994 529,618 35,008 11,582 19,049 142,264 219,174 427,077 438,199
RFS MI — — 3,255
Group 529,618 427,077 441,454
Counterparty mtm netting (441,626) (330,397) (358,917)
Cash collateral held against derivative exposures (1) (37,222) (31,096) (33,667)
Net exposure 50,770 65,584 48,870
At 31 December 2011 the Group also held collateral in the form of securities of £5.3 billion (2010 - £2.9 billion; 2009 - £3.6 billion).
2011 2010 2009
Contract type Notional
£bn
Assets
£m
Liabilities
£m
Notional
£bn
Assets
£m
Liabilities
£m
Notional
£bn
Assets
£m
Liabilities
£m
Interest rate 38,722 422,156 406,709 39,760 311,731 299,209 43,230 323,592 311,415
Exchange rate 4,479 74,492 80,980 4,854 83,253 89,375 3,842 69,283 63,919
Credit derivatives 1,054 26,836 26,743 1,357 26,872 25,344 1,621 41,748 39,127
Equity and commodity 123 6,134 9,551 179 5,221 10,039 188 6,831 9,680
529,618 523,983 427,077 423,967 441,454 424,141
Key points
xNet exposure, after taking account of position and collateral netting
arrangements, declined by 23% despite an increase in derivative
carrying values, primarily due to the increased use of netting
arrangements.
xInterest rate contracts increased due to continued reductions in
interest rate yields and the depreciation of sterling against the US
dollar. This was partially offset by the appreciation of sterling against
the euro.
xExchange rate contracts decreased due to a reduction in trade
volumes and the appreciation of sterling against the euro. This was
partially offset by the depreciation of sterling against the US dollar.
xCredit derivatives remained flat as the increase from the widening of
credit spreads and the depreciation of sterling against the US dollar
was offset by a reduction in trade volume.