RBS 2011 Annual Report Download - page 223

RBS Group 2011 221
Portugal
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 — — — 56 (58) 36 152 (60) 19 (41) 3,304 3,413 997 (985)
Other banks 10 — — 91 (36) 12 2 101 389 500 1,197 1,155 264 (260)
Other financial
institutions — — — 5 — 7 — 12 30 42 8 5 1 (1)
Corporate 495 27 27 42 — 18 — 60 81 636 366 321 68 (48)
Personal 5 — — — — — — — — 5 — — — —
510 27 27 194 (94) 73 154 113 519 1,142 4,875 4,894 1,330 (1,294)
2010
Central and local
government 86 — — 92 (26) 68 122 38 29 153
2,844 2,923 471 (460)
Other banks 63 — — 106 (24) 46 2 150 307 520 1,085 1,107 231 (243)
Other financial
institutions — — — 47 — 7 — 54 7 61
9 6 (1) —
Corporate 611 27 21 — 1 — — — 51 662 581 507 48 (29)
Personal 6 — — — — — — — — 6 — — — —
766 27 21 245 (49) 121 124 242 394 1,402 4,519 4,543 749 (732)
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 2,922 786 46 12 — — — — 2,968 798
Other financial institutions 1,874 517 — — 33 15 — — 1,907 532
Total 4,796 1,303 46 12 33 15 — — 4,875 1,330
Key points*
xIn early 2011, RBS closed its local operations in Portugal, leaving
the Group with modest overall exposure of £1.4 billion by year-end.
The portfolio, now managed out of Spain, is focused on corporate
lending and derivatives trading with the largest local banks. Medium-
term activity has ceased with the exception of that carried out under
a Credit Support Annex.
Central and local government and central bank
xDuring 2011, the Group’s exposure to the Portuguese government
was reduced to a very small derivatives position, the result of
decreases in contingent and lending exposures to public sector
entities by way of facility maturities. The Group’s exposure to the
government was negative at 31 December 2011, reflecting net short
held-for-trading debt securities.
Financial institutions
xAmajor proportion of the remaining exposures is focused on the top
four systemically important financial groups. Exposures generally
consist of collateralised trading products.
Corporate
xThe largest non-financial corporate exposure is to the energy and
transport sectors. The Group’s exposure is concentrated on a few
large, highly creditworthy clients.
Non-Core (included above)
Refer to tables on pages 211 and 212 for details.
xThe Non-Core division’s lending exposure to Portugal was £0.3
billion at 31 December 2011, an increase of 8% in the portfolio since
31 December 2010, due to an infrastructure project drawing
committed facilities. The portfolio comprises lending exposure to the
land transport and logistics (52%), electricity (30%) and commercial
real estate (14%) sectors. There is no exposure to central or local
government.