RBS 2011 Annual Report Download - page 222

220 RBS Group 2011
Risk management: Country risk continued
Greece
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 7 — — 312 — 102 5 409 — 416 3,158 3,165 2,228 (2,230)
Central banks 6 — — — — — — — — 6 — — — —
Other banks — — — — — — — — 290 290 22 22 3 (3)
Other financial
institutions 31 — — — — — — — 2 33 34 34 8 (8)
Corporate 427 256 256 — — — — — 63 490 434 428 144 (142)
Personal 14 — — — — — — — — 14 — — — —
485 256 256 312 — 102 5 409 355 1,249 3,648 3,649 2,383 (2,383)
2010
Central and local
government 14 — — 895 (694) 118 39 974 7 995 2,960 3,061 854 (871)
Central banks 36 — — — — — — — — 36 — — — —
Other banks 18 — — — — — — — 167 185 21 19 3 (3)
Other financial
institutions 31 — — — — — — — 3 34 35 35 11 (11)
Corporate 191 48 48 — — — — — 50 241 511 616 44 (49)
Personal 16 — — — — — — — — 16 — — — —
306 48 48 895 (694) 118 39 974 227 1,507 3,527 3,731 912 (934)
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 2,001 1,345 1 1 — — — — 2,002 1,346
Other financial institutions 1,507 945 63 45 76 47 — — 1,646 1,037
Total 3,508 2,290 64 46 76 47 — — 3,648 2,383
Key points*
xThe Group has reduced its effective exposure to Greece and
continues to actively manage its exposure to the country, in line with
the de-risking strategy that has been in place since early 2010.
Much of the remaining exposure is collateralised or guaranteed.
Central and local government and central bank
xAs a result of the continued deterioration in Greece’s fiscal position,
coupled with the potential for the restructuring of Greek sovereign
debt, the Group recognised an impairment charge in respect of
available-for-sale Greek government bonds.
Financial institutions
xActivity with Greek financial companies is under close scrutiny;
exposure is minimal.
xDue to market movements, the gross derivatives exposure to banks
increased by £0.1 billion during the year. The portfolio is largely
collateralised.
Corporate
xAt the start of 2011, the Group reclassified the domicile of exposures
to a number of defaulted clients, resulting in an increase in reported
exposure to Greek corporate clients as well as increases in REIL
and impairment provisions.
xThe Group’s focus is now on short-term trade facilities to the
domestic subsidiaries of international clients, increasingly supported
by parental guarantees.
Non-Core (included above)
Refer to tables on pages 211 and 212 for details.
xThe Non-Core division’s lending exposure to Greece was £0.1 billion
at 31 December 2011, a reduction of 28% since 31 December 2010.
The remaining lending portfolio primarily consists of the following
sectors: financial intermediaries (33%), construction (20%), other
services (16%) and electricity (14%).
*unaudited
Business review Risk and balance sheet management continued