RBS 2011 Annual Report Download - page 227

RBS Group 2011 225
Luxembourg
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
Other banks 101 — — 10 — 7 — 17 546 664 — — — —
Other financial
institutions 1,779 — — 54 (7) 82 80 56 2,963 4,798 2,080 1,976 118 (108)
Corporate 2,228 897 301 5 — 58 6 57 180 2,465 2,478 2,138 146 (116)
Personal 2 — — — — — — — — 2 — — — —
4,110 897 301 69 (7) 147 86 130 3,689 7,929 4,558 4,114 264 (224)
2010
Central and local
government — — — — — 24 — 24 — 24 — — — —
Central banks 25 — — — — — — — — 25 — — — —
Other banks 26 — — 30 (1) 45 — 75 499 600 — — — —
Other financial
institutions 734 — — 99 (3) 32 19 112 1,800 2,646 1,296 1,220 (5) 1
Corporate 2,503 807 206 5 1 183 21 167 246 2,916 2,367 1,918 (16) 13
Personal 3 — — — — — — — — 3 — — — —
3,291 807 206 134 (3) 284 40 378 2,545 6,214 3,663 3,138 (21) 14
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 1,535 93 16 — — — — — 1,551 93
Other financial institutions 2,927 164 10 — 70 7 — — 3,007 171
Total 4,462 257 26 — 70 7 — — 4,558 264