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Business review Risk and balance sheet management
298
Balance sheet analysis continued
Derivatives continued
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.
2013 2012 2011
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 124.7 111.7 1.2 1.5 250.7 240.7 3.4 3.1 401.0 390.5 17.0 16.5
Credit hedging - banking book (1) 2.3 0.2 0.2 —5.4 0.4 0.1 — 15.6 4.7 0.1 0.1
Credit hedging - trading book
- rates 5.1 4.0 0.1 0.1 9.4 5.8 0.1 0.1 21.2 17.1 0.9 1.7
- credit and mortgage markets 2.2 1.3 0.5 0.3 22.4 16.0 0.9 0.7 42.9 28.4 2.3 1.7
- other 0.8 0.1 — — 1.4 0.6 — — 0.9 0.1 — —
Total excluding APS 135.1 117.3 2.0 1.9 289.3 263.5 4.5 3.9 481.6 440.8 20.3 20.0
A
PS — — — — — — — — 131.8 — (0.2) —
135.1 117.3 2.0 1.9 289.3 263.5 4.5 3.9 613.4 440.8 20.1 20.0
Core
Client-led trading 103.9 99.1 1.1 1.3 231.4 228.4 3.0 2.7 371.0 369.4 14.6 14.0
Credit hedging - banking book 1.3 — — — 1.7 — — — 2.2 1.0 — 0.1
Credit hedging - trading book
- rates 4.4 3.5 0.1 0.1 7.8 4.6 0.1 0.1 19.9 16.2 0.9 1.7
- credit and mortgage markets 0.2 — — — 13.9 13.6 0.2 0.2 4.6 4.0 0.3 0.2
- other 0.7 0.1 — — 1.3 0.5 — — 0.7 0.1 — —
110.5 102.7 1.2 1.4 256.1 247.1 3.3 3.0 398.4 390.7 15.8 16.0
Non-Core
Residual risk 20.8 12.6 0.1 0.2 19.3 12.3 0.4 0.4 30.0 21.1 2.4 2.5
Credit hedging - banking book (1) 1.0 0.2 0.2 —3.7 0.4 0.1 — 13.4 3.7 0.1 —
Credit hedging - trading book
- rates 0.7 0.5 — — 1.6 1.2 — — 1.3 0.9 — —
- credit and mortgage markets 2.0 1.3 0.5 0.3 8.5 2.4 0.7 0.5 38.3 24.4 2.0 1.5
- other 0.1 — — — 0.1 0.1 — — 0.2 — — —
24.6 14.6 0.8 0.5 33.2 16.4 1.2 0.9 83.2 50.1 4.5 4.0
By counterparty
Central government (APS) — — — — — — — — 131.8 — (0.2) —
Monoline insurers 1.6 — 0.1 —4.6 — 0.4 — 8.6 — 0.6 —
CDPCs (2) 18.8 — 0.1 —21.0 — 0.2 — 24.5 — 0.9 —
Banks 49.3 55.7 1.2 1.9 127.2 128.6 2.3 2.8 204.1 202.1 8.5 10.2
Other financial institutions 64.7 61.6 0.4 —135.8 134.9 1.4 1.1 234.8 231.6 10.5 9.5
Corporates 0.7 — 0.2 —0.7 — 0.2 — 9.6 7.1 (0.2) 0.3
135.1 117.3 2.0 1.9 289.3 263.5 4.5 3.9 613.4 440.8 20.1 20.0
Notes:
(1) Credit hedging in the banking book principally relates to portfolio management in Non-Core.
(2) Credit derivative product companies.