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RBS 2011 Annual Report Download - page 189

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RBS Group 2011 187

Credit derivatives

The Group trades credit derivatives as part of its client led business and to mitigate credit risk. The Group’s credit derivative exposures relating to

proprietary trading are minimal. The table below analyses the Group’s bought and sold protection.

2011 2010

Notional Fair value Notional Fair value

Bought Sold Bought Sold Bought Sold Bought Sold

£bn £bn £bn £bn £bn £bn £bn £bn

Client-led trading and residual risk 401.0 390.5 17.0 16.5 386.7 362.5 8.4 6.7

Credit hedging - banking book (1) 15.6 4.7 0.1 0.1 16.3 21.8 — 0.1

Credit hedging - trading book

- Rates 21.2 17.1 0.9 1.7 21.9 10.4 (0.9) 0.2

- Credit and mortgage markets 42.9 28.4 2.3 1.7 168.1 172.7 3.5 3.1

- Other 0.9 0.1 — — 0.7 0.1 — —

Total excluding APS 481.6 440.8 20.3 20.0 593.7 567.5 11.0 10.1

APS 131.8 — (0.2) — 195.8 — 0.6 —

613.4 440.8 20.1 20.0 789.5 567.5 11.6 10.1

Core

Client-led trading 371.0 369.4 14.6 14.0 347.5 343.0 5.2 4.4

Credit hedging - banking book 2.2 1.0 — 0.1 1.1 1.0 (0.2) —

Credit hedging - trading book

-Rates 19.9 16.2 0.9 1.7 21.7 10.3 (0.8) 0.2

- Credit and mortgage markets 4.6 4.0 0.3 0.2 4.4 4.3 0.2 0.3

- Other 0.7 0.1 — — 0.6 0.1 — —

398.4 390.7 15.8 16.0 375.3 358.7 4.4 4.9

Non-Core

Residual risk 30.0 21.1 2.4 2.5 39.2 19.5 3.2 2.3

Credit hedging - banking book 13.4 3.7 0.1 — 15.2 20.8 0.2 0.1

Credit hedging - trading book

-Rates 1.3 0.9 — — 0.2 0.1 (0.1) —

- Credit and mortgage markets 38.3 24.4 2.0 1.5 163.7 168.4 3.3 2.8

- Other 0.2 — — — 0.1 — — —

83.2 50.1 4.5 4.0 218.4 208.8 6.6 5.2

The table below analyses the Group’s credit derivative bought and sold, by counterparty

Counterparty

Central and local government - APS 131.8 — (0.2) — 195.8 — 0.6 —

Monoline insurers 8.6 — 0.6 — 14.9 — 1.5 —

CDPCs 24.5 — 0.9 — 25.0 — 0.8 —

Banks 204.1 202.1 8.5 10.2 370.7 370.6 5.0 5.7

Other financial institutions 234.8 231.6 10.5 9.5 176.6 195.0 4.4 4.3

Corporates 9.6 7.1 (0.2) 0.3 6.5 1.9 (0.7) 0.1

613.4 440.8 20.1 20.0 789.5 567.5 11.6 10.1

Note:

(1) Credit hedging in the banking book principally relates to portfolio management in Non-Core.