RBS 2013 Annual Report Download - page 298
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Business review Risk and balance sheet management
296
Balance sheet analysis continued
Derivatives
Summary
The table below analyses the Group’s derivatives by type of contract. Master netting arrangements and collateral shown below do not result in a net
presentation in the Group’s balance sheet under IFRS.
2013 2012 2011
Notional (1)
GBP USD Euro Other Total Assets Liabilities Notional (1) Assets Liabilities Notional (1) Assets Liabilities
Derivatives £bn £bn £bn £bn £bn £m £m £bn £m £m £bn £m £m
Interest rate (2) 5,401 10,583 13,695 5,910 35,589 218,041 208,698 33,483 363,454 345,565 38,727 422,553 406,784
Exchange rate 362 1,982 628 1,583 4,555 61,923 65,749 4,698 63,067 70,481 4,482 74,526 81,022
Credit 2 166 66 19 253 5,306 5,388 553 11,005 10,353 1,054 26,836 26,743
Equity and commodity 29 27 17 8 81 2,770 5,692 111 4,392 7,941 123 6,142 9,560
288,040 285,527 441,918 434,340 530,057 524,109
Counterparty mtm netting (242,836) (242,836) (373,906) (373,906) (441,626) (441,626)
Cash collateral (24,288) (20,429) (34,099) (24,633) (37,222) (31,368)
Securities collateral (5,990) (5,202) (5,616) (8,264) (5,312) (8,585)
14,926 17,060 28,297 27,537 45,897 42,530
of which:
Banks 1,243 6,121
Other financial institutions 2,166 2,416
Corporate 10,341 4,778
Government 1,176 3,745
14,926 17,060
A
sset quality of uncollateralised derivative assets £m
A
Q1 8,647
A
Q2 252
A
Q3 1,713
A
Q4 778
A
Q5 885
A
Q6 882
A
Q7 782
A
Q8 124
A
Q9 184
A
Q10 679
14,926
Notes:
(1) Includes exchange traded contracts were £2,298 billion (2012 - £2,497 billion; 2011 - £2,765 billion) principally interest rate. Trades are margined daily hence carrying values were insignificant:
assets - £69 million (2012 - £41 million; 2011 - £119 million) and liabilities - £299 million (2012 - £255 million; 2011 - £428 million).
(2) Interest rate notional includes £22,563 billion (2012 - £15,864 billion; 2011 - £16,377 billion) in respect of contracts with central clearing counterparties to the extent related assets and liabilities are
offset.