RBS 2011 Annual Report Download - page 216

214 RBS Group 2011
Risk management: Country risk continued
Eurozone
Credit default protection (reference entity)
HFT
debt securities Notional Fair value
Lending REIL Provisions
AFS and
LAR debt
securities
AFS
reserves Long Short
Total debt
securities
Derivatives
(gross of
collateral)
and repos
Balance
sheet
exposures Bought Sold Bought Sold
2011 £m £m £m £m £m £m £m £m £m £m £m £m £m £m
Central and
local government 3,443 — — 18,406 81 19,597 15,049 22,954 1,925 28,322 37,080 36,759 6,488 (6,376)
Central banks 27,282 — — 20 — 6 — 26 5,770 33,078 — — — —
Other banks 3,550 — — 8,423 (752) 1,272 1,502 8,193 29,685 41,428 19,736 19,232 2,303 (2,225)
Other financial
institutions 5,385 — — 10,494 (1,129) 1,138 471 11,161 10,956 27,502 17,949 16,608 693 (620)
Corporate 47,522 14,152 7,267 964 23 528 59 1,433 4,118 53,073 76,966 70,119 2,241 (1,917)
Personal 19,564 2,280 1,069 — — — — — 1 19,565 — — — —
106,746 16,432 8,336 38,307 (1,777) 22,541 17,081 43,767 52,455 202,968 151,731 142,718 11,725 (11,138)
2010
Central and local
government 1,876 — — 23,201 (893) 25,041 14,256 33,986 1,537 37,399 28,825 29,075 2,899 (2,843)
Central banks 19,659 — — — — 7 — 7 6,382 26,048 — — — —
Other banks 4,320 — — 9,192 (916) 1,719 1,187 9,724 25,639 39,683 16,616 16,256 1,042 (1,032)
Other financial
institutions 4,932 — — 10,583 (737) 908 83 11,408 9,025 25,365 12,921 12,170 173 (182)
Corporate 53,128 12,404 5,393 813 45 831 260 1,384 4,141 58,653 70,354 63,790 (267) 461
Personal 21,383 1,642 537 — — — — — — 21,383 — — — —
105,298 14,046 5,930 43,789 (2,501) 28,506 15,786 56,509 46,724 208,531 128,716 121,291 3,847 (3,596)
CDS bought protection: counterparty analysis by internal asset quality band
AQ1 AQ2-AQ3 AQ4-AQ9 AQ10 Total
Notional Fair value Notional Fair value Notional Fair value Notional Fair value Notional Fair value
2011 £m £m £m £m £m £m £m £m £m £m
Banks 67,624 5,585 1,085 131 198 23 — — 68,907 5,739
Other financial institutions 79,824 5,605 759 89 2,094 278 147 14 82,824 5,986
Total 147,448 11,190 1,844 220 2,292 301 147 14 151,731 11,725
Business review Risk and balance sheet management continued