RBS 2011 Annual Report Download - page 228

226 RBS Group 2011
Risk management: Country risk continued
Belgium
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 213 — — 742 (116) 608 722 628 89 930 1,612 1,505 120 (110)
Central banks 8 — — — — — — — 3 11 — — — —
Other banks 287 — — 4 — — — 4 2,450 2,741 312 302 14 (13)
Other financial
institutions 354 — — — — 1 4 (3) 191 542 — — — —
Corporate 588 31 21 3 — 20 — 23 277 888 563 570 12 (12)
Personal 20 — — — — — — — — 20 — — — —
1,470 31 21 749 (116) 629 726 652 3,010 5,132 2,487 2,377 146 (135)
2010
Central and local
government 102 — — 763 (54) 529 602 690 92 884 880 986 53 (57)
Central banks 14 — — — — — — — 7 21 — — — —
Other banks 441 — — 39 1 66 2 103 1,822 2,366 278 266 2 (1)
Other financial
institutions 32 — — — — — — — 126 158 — — — —
Corporate 893 27 27 1 — 11 2 10 191 1,094 628 594 (6) 6
Personal 327 — — — — — — — — 327 — — — —
1,809 27 27 803 (53) 606 606 803 2,238 4,850 1,786 1,846 49 (52)
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 1,602 97 2 — 12 1 — — 1,616 98
Other financial institutions 866 48 1 — 4 — — — 871 48
Total 2,468 145 3 — 16 1 — — 2,487 146
Business review Risk and balance sheet management continued