RBS 2012 Annual Report Download - page 139

Liquidity, funding and related risks
Introduction 138
2012 achievements and looking forward 138
Liquidity risk 139
Policy, framework and governance 139
Stress testing 141
Contingency planning 142
Liquidity reserves 142
Regulatory oversight 142
Funding risk 143
Funding sources 143
Central bank funding 143
Balance sheet composition 143
Liquidity and funding risk: Analyses 144
Funding sources 144
– Notes issued 144
– Deposit and repo funding 145
– Divisional loan:deposit ratios and funding gaps 145
– Long-term debt issuance 146
Liquidity 147
– Liquidity portfolio 147
– Net stable funding ratio 149
Maturity analysis 150
Encumbrance 151
Non-traded interest rate risk 153
– Introduction and methodology 153
– Analyses 153
Value-at-risk 153
Sensitivity of net interest income 154
Currency risk 155
– Structural foreign currency exposures 155
Non-traded equity risk 156
Business review
Risk and balance sheet management
Contents
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