RBS 2012 Annual Report Download - page 223

RBS GROUP 2012
221
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.
2012 2011 2010
Notional Fair value Notional Fair value Notional Fair value
Bought Sold Bought Sold Bought Sold Bought Sold Bought Sold Bought Sold
Group £bn £bn £bn £bn £bn £bn £bn £bn £bn £bn £bn £bn
Client-led trading and residual risk 250.7 240.7 3.4 3.1 401.0 390.5 17.0 16.5 386.7 362.5 8.4 6.7
Credit hedging - banking book (1) 5.4 0.4 0.1 — 15.6 4.7 0.1 0.1 16.3 21.8 — 0.1
Credit hedging - trading book
- rates 9.4 5.8 0.1 0.1 21.2 17.1 0.9 1.7 21.9 10.4 (0.9) 0.2
- credit and mortgage markets 22.4 16.0 0.9 0.7 42.9 28.4 2.3 1.7 168.1 172.7 3.5 3.1
- other 1.4 0.6 — — 0.9 0.1 — — 0.7 0.1 — —
Total excluding APS 289.3
263.5 4.5 3.9
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 —
289.3 263.5 4.5 3.9 613.4 440.8 20.1 20.0 789.5 567.5 11.6 10.1
Core
Client-led trading 231.4 228.4 3.0 2.7 371.0 369.4 14.6 14.0 347.5 343.0 5.2 4.4
Credit hedging - banking book 1.7 — — — 2.2 1.0 — 0.1 1.1 1.0 (0.2) —
Credit hedging - trading book
- rates 7.8 4.6 0.1 0.1 19.9 16.2 0.9 1.7 21.7 10.3 (0.8) 0.2
- credit and mortgage markets 13.9 13.6 0.2 0.2 4.6 4.0 0.3 0.2 4.4 4.3 0.2 0.3
- other 1.3 0.5 — — 0.7 0.1 — — 0.6 0.1 — —
256.1 247.1 3.3
3.0
398.4 390.7 15.8 16.0 375.3 358.7 4.4 4.9
Non-Core
Residual risk 19.3 12.3 0.4 0.4 30.0 21.1 2.4 2.5 39.2 19.5 3.2 2.3
Credit hedging - banking book (1) 3.7 0.4 0.1 — 13.4 3.7 0.1 — 15.2 20.8 0.2 0.1
Credit hedging - trading book
- rates 1.6 1.2 — —
1.3 0.9 — — 0.2 0.1 (0.1)—
- credit and mortgage markets 8.5 2.4 0.7 0.5 38.3 24.4 2.0 1.5 163.7 168.4 3.3 2.8
- other 0.1 0.1 —
—
0.2 — — — 0.1 — — —
33.2 16.4 1.2 0.9 83.2 50.1 4.5
4.0 218.4 208.8 6.6 5.2
By counterparty
Central government (APS) — — — — 131.8 — (0.2) — 195.8 — 0.6 —
Monoline insurers 4.6 — 0.4 — 8.6 — 0.6 — 14.9 — 1.5 —
CDPCs (2) 21.0 — 0.2 — 24.5 — 0.9 — 25.0 — 0.8 —
Banks 127.2 128.6 2.3 2.8 204.1 202.1 8.5 10.2 370.7 370.6 5.0 5.7
Other financial institutions 135.8 134.9 1.4 1.1 234.8 231.6 10.5 9.5 176.6 195.0 4.4
4.3
Corporates 0.7 — 0.2 — 9.6 7.1 (0.2) 0.3 6.5 1.9 (0.7) 0.1
289.3 263.5 4.5 3.9 613.4 440.8 20.1 20.0 789.5 567.5 11.6 10.1
Notes:
(1) Credit hedging in the banking book principally relates to portfolio management in Non-Core.
(2) Credit derivative product companies.