RBS 2011 Annual Report Download - page 226

224 RBS Group 2011
Risk management: Country risk continued
France
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 481 — — 2,648 (14) 8,705 5,669 5,684 357 6,522 3,467 2,901 228 (195)
Central banks 3 — — 20 — — — 20 12 35 — — — —
Other banks 1,273 — — 889 (17) 157 75 971 7,271 9,515 4,232 3,995 282 (236)
Other financial
institutions 437 — — 642 (40) 325 126 841 675 1,953 2,590 2,053 136 (117)
Corporate 3,761 128 74 240 9 72 34 278 743 4,782 23,224 21,589 609 (578)
Personal 79 — — — — — — — — 79 — — — —
6,034 128 74 4,439 (62) 9,259 5,904 7,794 9,058 22,886 33,513 30,538 1,255 (1,126)
2010
Central and local
government 511 — — 5,912 40 10,266 3,968 12,210 362 13,083 2,225 2,287 87 (92)
Central banks 3 — — — — — — — 15 18 — — — —
Other banks 1,095 — — 774 — 410 204 980 7,183 9,258 3,631 3,071 63 (43)
Other financial
institutions 470 — — 666 (22) 42 23 685 375 1,530 1,722 1,609 — (2)
Corporate 4,376 230 46 71 1 185 90 166 672 5,214 19,771 18,466 (181) 159
Personal 102 — — — — — — — — 102 — — — —
6,557 230 46 7,423 19 10,903 4,285 14,041 8,607 29,205 27,349 25,433 (31) 22
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 13,353 453 162 13 79 8 — — 13,594 474
Other financial institutions 19,641 758 24 1 254 22 — — 19,919 781
Total 32,994 1,211 186 14 333 30 — — 33,513 1,255
Business review Risk and balance sheet management continued