RBS 2011 Annual Report Download - page 224

222 RBS Group 2011
Risk management: Country risk continued
Germany
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 — — — 12,035 523 4,136 2,084 14,087 423 14,510 2,631 2,640 76 (67)
Central banks 18,068 — — — — — — — 5,704 23,772 — — — —
Other banks 653 — — 1,376 5 294 761 909 6,003 7,565 4,765 4,694 307 (310)
Other financial
institutions 305 — — 563 (33) 187 95 655 3,321 4,281 3,653 3,403 7 (2)
Corporate 6,608 191 80 109 9 14 7 116 586 7,310 20,433 18,311 148 (126)
Personal 155 19 19 — — — — — — 155 — — — —
25,789 210 99 14,083 504 4,631 2,947 15,767 16,037 57,593 31,482 29,048 538 (505)
2010
Central and local
government — — — 10,648 1 5,964 4,124 12,488 160 12,648 2,056 2,173 25 (19)
Central banks 10,894 — — — — — — — 6,233 17,127 — — — —
Other banks 1,060 — — 1,291 3 567 481 1,377 6,289 8,726 3,848 3,933 73 (88)
Other financial
institutions 422 — — 494 (47) 195 17 672 1,951 3,045 2,712 2,633 (18) 18
Corporate 7,519 163 44 219 4 44 53 210 633 8,362 20,731 19,076 (382) 372
Personal 162 — — — — — — — — 162 — — — —
20,057 163 44 12,652 (39) 6,770 4,675 14,747 15,266 50,070 29,347 27,815 (302) 283
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 14,644 171 163 4 8 — — — 14,815 175
Other financial institutions 16,315 357 18 — 334 6 — — 16,667 363
Total 30,959 528 181 4 342 6 — — 31,482 538
Business review Risk and balance sheet management continued