RBS 2012 Annual Report Download - page 268

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Business review Risk and balance sheet management continued
Country risk: Country risk exposure continued
Italy
HFT
debt securities Net Gross
Lending REIL Provisions
AFS and
LAR debt
securities
AFS
reserves Long Short
Total debt
securities Derivatives Repos
Balance
sheet
Off-
balance
sheet Total Derivatives Repos
2012 £m £m £m £m £m £m £m £m £m £m £m £m £m £m £m
Government 9 — — 408 (81)2,781 2,224 965 80 — 1,054 — 1,054 131 —
Central bank 21 — — — — — — — — — 21 — 21 — —
Other banks 200 — — 125 (8) 42 54 113 1,454 — 1,767 33 1,800 8,428 3
Other FI 218 — — 357 (1)23 1 379 99 — 696 671 1,367 100 —
Corporate 1,392 34 5 87 2 85 22 150 664 — 2,206 1,900 4,106 938 —
Personal 23 — — — — — — — — — 23 12 35 — —
1,863 34 5 977 (88) 2,931 2,301 1,607 2,297 — 5,767 2,616 8,383 9,597 3
2011
Government — — — 704 (220) 4,336 4,725 315 90 — 405 — 405 142 —
Central bank 73 — — — — — — — — — 73 — 73 — —
Other banks 233 — — 119 (14) 67 88 98 1,064 — 1,395 23 1,418 9,117 305
Other FI 299 — — 685 (15) 40 13 712 686 — 1,697 1,146 2,843 687 —
Corporate 2,444 361 113 75 — 58 — 133 474 — 3,051 1,968 5,019 1,001 —
Personal 23 — — — — — — — — — 23 13 36 — —
3,072 361 113 1,583 (249) 4,501 4,826 1,258 2,314 — 6,644 3,150 9,794 10,947 305
2010
Government 45 — — 906 (99) 5,113 3,175 2,844 71 — 2,960 6 2,966 156 —
Central bank 78 — — — — — — — — — 78 — 78 — —
Other banks 668 — — 198 (11) 67 16 249 781 1 1,699 161 1,860 7,724 58
Other FI 418 — — 646 (5) 49 — 695 759 — 1,872 1,218 3,090 763 —
Corporate 2,483 314 141 20 — 36 8 48 420 — 2,951 2,456 5,407 831 —
Personal 27 — — — — — — — — — 27 12 39 — —
3,719 314 141 1,770 (115) 5,265 3,199 3,836 2,031 1 9,587 3,853 13,440 9,474 58
CDS by reference entity
2012 2011 2010
Notional Fair value Notional Fair value Notional Fair value
Bought Sold Bought Sold Bought Sold Bought Sold Bought Sold Bought Sold
£m £m £m £m £m £m £m £m £m £m £m £m
Government 13,181 13,034 717 (754) 12,125 12,218 1,750 (1,708) 8,998 8,519 641 (552)
Other banks 3,537 3,488 163 (139) 6,078 5,938 1,215 (1,187) 4,417 4,458 421 (414)
Other FI 616 607 8
(5) 872 762 60 (51)723 697 21 (13)
Corporate 2,580 2,295 28 (20)4,742 4,299 350 (281)4,506 3,966 150 (88)
19,914 19,424 916 (918) 23,817 23,217 3,375 (3,227) 18,644 17,640 1,233 (1,067)
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
2012 £m £m £m £m £m £m £m £m £m £m
Banks 2,113 81 7,755 432 3,252 105 — — 13,120 618
Other FI 2,120 96 4,344 194 218 8 112 — 6,794 298
4,233 177 12,099 626 3,470 113 112 — 19,914 916
2011
Banks 12,904 1,676 487 94 61 10 — — 13,452 1,780
Other FI 10,138 1,550 8 2 219 43 — — 10,365 1,595
23,042 3,226 495 96 280 53 — — 23,817 3,375