RBS 2012 Annual Report Download - page 280

278
Business review Risk and balance sheet management continued
Country risk: Country risk exposure continued
Luxembourg
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
Central bank 13 — — — — — — — — — 13 — 13 — —
Other banks 99 — — 8 — 8 6 10 485 77 671 — 671 650 2,215
Other FI 717 — — 51 (1)198 4 245 821 68 1,851 719 2,570 2,343 2,951
Corporate 1,817 940 287 — — 19 23 (4) 156 — 1,969 1,469 3,438 164 —
Personal 4 — — — — — — — — — 4 2 6 — —
2,650 940 287 59 (1)225 33 251 1,462 145 4,508 2,190 6,698 3,157 5,166
2011
Other banks 101 — — 10 — 7 — 17 530 16 664 — 664 664 447
Other FI 925 — — 54 (7) 82 80 56 2,174 789 3,944 711 4,655 3,676 3,529
Corporate 2,228 897 301 5 — 58 6 57 180 — 2,465 1,294 3,759 195 —
Personal 2 — — — — — — — — — 2 2 4 — —
3,256 897 301 69 (7) 147 86 130 2,884 805 7,075 2,007 9,082 4,535 3,976
2010
Government — — — — — 24 — 24 — — 24 — 24 — —
Central bank 25 — — — — — — — — — 25 — 25 — —
Other banks 26 — — 30 (1) 45 — 75 492 7 600 1 601 610 7
Other FI 734 — — 99 (3) 32 19 112 731 1,069 2,646 696 3,342 1,740 2,325
Corporate 2,503 807 206 5 1 183 21 167 246 — 2,916 1,684 4,600 258 —
Personal 3 — — — — — — — — — 3 2 5 — —
3,291 807 206 134 (3) 284 40 378 1,469 1,076 6,214 2,383 8,597 2,608 2,332
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
Other FI 1,169 1,009 32 (29) 2,080 1,976 118 (108) 1,296 1,220 (5) 1
Corporate 1,388 1,238 (9) 10 2,478 2,138 146 (116) 2,367 1,918 (16) 13
2,557 2,247 23 (19) 4,558 4,114 264 (224) 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
2012 £m £m £m £m £m £m £m £m £m £m
Banks 96 4 611 23 63 (1) — — 770 26
Other FI 1,111 (12)361 12 315 (3) — — 1,787 (3)
1,207 (8) 972 35 378 (4) — — 2,557 23
2011
Banks 1,535 93 16 — — — — — 1,551 93
Other FI 2,927 164 10 — 70 7 — — 3,007 171
4,462 257 26 — 70 7 — — 4,558 264