RBS 2011 Annual Report Download - page 188

186 RBS Group 2011
Risk management: Credit risk continued
Balance sheet analysis: Derivatives continued
The tables below analyse the Group’s derivative assets by contract type and residual maturity and the effect of position netting and collateral.
2011
0-3
months
£m
3-6
months
£m
6-12
months
£m
1-5
years
£m
Over 5
years
£m
Total
£m
Counterparty
mtm netting
£m
Net
exposure
£m
Exchange rate 23,838 8,434 9,766 19,176 13,278 74,492 (57,511) 16,981
Interest rate 3,977 3,197 7,672 102,163 305,147 422,156 (356,325) 65,831
Credit derivatives 135 332 626 15,675 10,068 26,836 (23,980) 2,856
Equity and commodity 542 603 1,128 3,360 501 6,134 (3,810) 2,324
28,492 12,566 19,192 140,374 328,994 529,618 (441,626) 87,992
Cash collateral held against derivative exposures (1) (37,222)
Net exposure 50,770
2010
Exchange rate 28,938 7,820 9,360 23,174 13,961 83,253 (69,509) 13,744
Interest rate 4,822 3,533 7,927 104,026 191,423 311,731 (236,513) 75,218
Credit derivatives 497 99 313 12,374 13,589 26,872 (22,728) 4,144
Equity and commodity 751 130 1,449 2,690 201 5,221 (1,647) 3,574
35,008 11,582 19,049 142,264 219,174 427,077 (330,397) 96,680
Cash collateral held against derivative exposures (1) (31,096)
Net exposure 65,584
2009
Exchange rate 19,127 5,824 7,603 23,831 11,967 68,352 (47,885) 20,467
Interest rate 8,415 8,380 16,723 111,144 176,799 321,461 (270,791) 50,670
Credit derivatives 201 112 390 19,859 21,186 41,748 (36,411) 5,337
Equity and commodity 1,562 436 1,109 3,057 474 6,638 (3,830) 2,808
29,305 14,752 25,825 157,891 210,426 438,199 (358,917) 79,282
RFS MI 3,255 — 3,255
Group 441,454 (358,917) 82,537
Cash collateral held against derivative exposures (1) (33,667)
Net exposure 48,870
Note:
(1) At 31 December 2011, in addition to cash collateral the Group holds collateral in the form of securities of £5.3 billion (2010 - £2.9 billion; 2009 - £3.6 billion) against derivative positions.
Business review Risk and balance sheet management continued