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Royal Bank of Scotland Regulatory News (RBS)



Regulatory News for Royal Bank of Scotland (RBS)


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Interim Management Statement Part 5 of 11

Fri, 5th Nov 2010 07:00

RNS Number : 6733V
Royal Bank of Scotland Group PLC
05 November 2010
 

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Risk and capital management

 

Presentation of information

The disclosures in this section include only those businesses of RBS N.V. that are retained by RBS.

 

Capital

The Group aims to maintain an appropriate level of capital to meet its business needs and regulatory requirements as capital adequacy and risk management are closely aligned. The Group's regulatory capital resources calculated in accordance with FSA definitions, set out below.

 


30 September 

 2010 

30 June 

 2010 

31 December 

 2009 

Risk-weighted assets

£m 

£m 

£m 





Credit risk

404,000 

409,400 

410,400 

Counterparty risk

75,600 

80,200 

56,500 

Market risk

75,200 

70,600 

65,000 

Operational risk

37,100 

37,100 

33,900 






591,900 

597,300 

565,800 

Asset Protection Scheme relief

(116,900)

(123,400)

(127,600)






475,000 

473,900 

438,200 

 

Risk asset ratio





Core Tier 1

10.2 

10.5 

11.0 

Tier 1

12.5 

12.8 

14.4 

Total

13.5 

13.9 

16.3 

 

Key points

·

The attributable loss and reduced risk-weighted assets (RWA) relief on the Asset Protection Scheme (APS) led to a decline of 30 basis points to 10.2% in the Core Tier 1 ratio and to 12.5% in the Tier 1 ratio. The Total Capital ratio declined by 40 basis points to 13.5%.

 


·

Gross RWAs were broadly flat at £592 billion, reflecting successful Non-Core de-leveraging counterbalanced by the roll-off of the capital relief trades within Global, Banking & Markets (GBM).

 


·

RWAs eligible for APS relief declined by £6.5 billion to £117 billion, reflecting disposals and repayments as well as changes in risk parameters.

 

 

 



 

Risk and capital management (continued)

 

Capital (continued)


30 September 

 2010 

30 June 

 2010 

31 December 

 2009 

Composition of regulatory capital (proportional)

£m 

£m 

£m 





Tier 1




Ordinary and B shareholders' equity

70,856 

72,058 

69,890 

Minority interests

1,542 

2,109 

2,227 

Adjustments for:




- goodwill and other intangible assets - continuing businesses

(14,369)

(14,482)

(14,786)

- goodwill and other intangible assets - discontinued businesses

(516)

(757)

(238)

- unrealised losses on available-for-sale (AFS) debt securities

1,347 

1,553 

1,888 

- reserves: revaluation of property and unrealised gains on AFS equities

(170)

(117)

(207)

- reallocation of preference shares and innovative securities

(548)

(548)

(656)

- other regulatory adjustments*

(1,038)

(1,229)

(950)

Less excess of expected losses over provisions net of tax

(2,083)

(1,903)

(2,558)

Less securitisation positions

(2,032)

(2,004)

(1,353)

Less APS first loss

(4,678)

(4,936)

(5,106)





Core Tier 1 capital

48,311 

49,744 

48,151 

Preference shares

5,584 

5,630 

11,265 

Innovative Tier 1 securities

4,623 

4,768 

2,772 

Tax on the excess of expected losses over provisions

830 

759 

1,020 

Less material holdings

(173)

(271)

(310)





Total Tier 1 capital

59,175 

60,630 

62,898 





Tier 2




Reserves: revaluation of property and unrealised gains on AFS equities

170 

117 

207 

Collective impairment provisions

713 

763 

796 

Perpetual subordinated debt

1,835 

1,839 

4,200 

Term subordinated debt

16,962 

16,829 

18,120 

Minority and other interests in Tier 2 capital

11 

11 

11 

Less excess of expected losses over provisions

(2,913)

(2,662)

(3,578)

Less securitisation positions

(2,032)

(2,004)

(1,353)

Less material holdings

(173)

(271)

(310)

Less APS first loss

(4,678)

(4,936)

(5,106)





Total Tier 2 capital

9,895 

9,686 

12,987 





Supervisory deductions




Unconsolidated Investments




- RBS Insurance

(4,040)

(4,016)

(4,068)

- other investments

(323)

(176)

(404)

Other deductions

(352)

(274)

(93)





Deductions from total capital

(4,715)

(4,466)

(4,565)





Total regulatory capital

64,355 

65,850 

71,320 





* Includes reduction for own liabilities carried at fair value

(765)

(1,378)

(1,057)

 

Movement in Core Tier 1 capital

£m 



At 30 June 2010

49,744 

Attributable loss net of movements in fair value of own debt

(532)

Foreign currency reserves

(670)

Loss of minority interest and reduction in goodwill due to partial disposal of Sempra

(309)

Other

78 



At 30 September 2010

48,311 

 



 

Risk and capital management (continued)

 

Capital (continued)

 

Basel 2.5 and Basel III Impacts

CRD3, CRD4 and Basel III, commonly referred to as 'Basel 2.5 and Basel III', are a comprehensive set of reforms to strengthen the regulation, supervision, risk and liquidity management of the banking sector.

 

At its September 2010 meeting, the Group of Governors and Heads of Supervision, the oversight body of the Basel Committee on Banking Supervision, announced a substantial strengthening of existing capital requirements and endorsed the broad agreements it reached in July 2010 on the overall design of its capital and liquidity reform proposals including the definition of capital, the treatment of counterparty credit risk, the leverage ratio and global liquidity standards. There are transition arrangements proposed for implementing these new standards as follows:

 

·    National implementation of increased capital requirements will begin on 1 January 2013;

·    There will be a phased five year implementation of new deductions and regulatory adjustments to Core Tier 1 capital commencing 1 January 2014;

·    The de-recognition of non-qualifying non common Tier 1 and Tier 2 capital instruments will be phased in over 10 years from 1 January 2013; and

·    After an observation period beginning in 2011, the liquidity coverage ratio will be introduced on 1 January 2015. The revised net stable funding ratio will move to a minimum standard by 1 January 2018.

 

RBS is advanced in its planning to implement these new measures and is appropriately well-capitalised with Tangible Equity of £56 billion, Core Tier 1 capital of £48 billion and a Core Tier 1 ratio of 10.2% at 30 September 2010.

 

Set out below are indicative impacts and timings of the major Basel 2.5 and Basel III proposals on the Group's Core Tier 1 ratio. These are preliminary estimates and are subject to change; a high degree of uncertainty still remains around implementation details as the appropriate guidelines are yet to be finalised and then converted into rules by the FSA.

 

A substantial part of the mitigating impacts mentioned in the following paragraphs relate to run-off in the normal course of business and de-leveraging of legacy positions and securitisations, including Non-Core, as well as more 'industry standard' actions we are taking to de-risk market and counterparty exposures.

 

CRD3 (Basel 2.5): Published rules for market risk and re-securitisations. Proposed implementation date 31 December 2011

Estimated impact on pro-forma end 2011 RWAs post mitigation is an increase of £25 billion to £30 billion, split equally between Core GBM and Non-Core. This is lower than previously indicated (c.£60 billion) due to proposed changes to the rules affecting trading book securitisations, along with mitigating actions.



 

Risk and capital management

 

Capital (continued)

 

Basel III Counterparty risk: Proposed implementation date 1 January 2013

Impact on RWAs in 2013 is currently estimated at £45 billion to £50 billion post mitigation and deleveraging, although there may still be movement in the final framework around this risk.

 

Basel III Securitisations:  Proposed implementation date 1 January 2013

Under the proposals, current deductions under Basel 2 (50% Core Tier 1, 50% Tier 2) for securitisation positions are switched to RWAs weighted at 1250%. This change would add c.£50 billion to RWAs, but reduce deductions from Core Tier 1 and Tier 2 capital by c. £2 billion each as at 30 September 2010. Post the run-off of these securitisation positions and mitigating actions, the impact on end 2012 RWAs is expected to be an increase of £30 billion to £35 billion with a corresponding reduction in deductions from Core Tier 1 and Tier 2 capital of £1.2 billion to £1.4 billion each. The net RWA equivalent of this change assuming a 10% Core Tier 1 ratio would be an increase in RWAs of £18 billion to £20 billion.

 

Summary RWA Impacts

To illustrate the impact of these changes on Core Tier 1 assume RWAs of c.£600 billion and a Core Tier 1 ratio of 10%.  The impacts referenced above would lower the Core Tier 1 ratio by approximately 1.3%.

 

Basel III Capital Deductions and Regulatory Adjustments

In addition to the changes outlined above, Basel III will also result in revisions to regulatory adjustments and capital deductions.  These will be phased in over a five year period from 1 January 2014. The initial deduction is expected to be 20%, rising 20 percentage points each year until full deduction by 1 January 2018.  However, this is subject to final implementation rules determined by the FSA. The proportion not deducted in the transition years will continue to be subject to existing national treatments.

 

The major categories of deductions include:

·    Expected loss net of provisions;

·    Deferred Tax Assets not relating to timing differences; and

·    Unrealised losses on available-for-sale securities.

 

The net impact of these adjustments is expected to be manageable as most of these drivers reduce or are eliminated by 2014.

 

 



 

Risk and capital management

 

Credit risk

 

Credit risk is the risk arising from the possibility that the Group will incur losses owing to the failure of customers to meet their financial obligations.  The quantum and nature of credit risk assumed across the Group's different businesses varies considerably, while the overall credit risk outcome usually exhibits a high degree of correlation to the macroeconomic environment.

 

Credit risk assets

Credit risk assets consist of loans and advances (including overdraft facilities), instalment credit, trade finance, finance lease receivables, trade-related instruments, financial guarantees and traded instruments across all customer types.  Reverse repurchase agreements and issuer risk (primarily debt securities - see page 103) are excluded.  Where relevant, and unless otherwise stated, the data reflects the effect of credit mitigation techniques. 



 

Risk and capital management (continued)

 

Credit risk: Country concentration risk

 

The country risk table below shows credit risk assets  exceeding £1 billion by borrowers domiciled in countries with an external rating of A+ and below, from either Standard & Poor's, Moody's and/or Fitch, and are stated gross of mitigating action, which may have been taken to reduce or eliminate exposure to country risk events.

 


Personal 

Central 

 and local 

 government 

 

Financial 

 institutions 

Corporate 

Total 

Core 

Non-Core 


£m 

£m 

£m 

£m 

£m 

£m 

£m 









30 September 2010








Italy

 27 

261 

 2,231 

 3,476 

5,995 

 3,812 

 2,183 

India

382 

 1 

 1,695 

 3,605 

 5,683 

 4,921 

762 

China

 49 

76 

 2,396 

978 

 3,499 

 3,241 

258 

Turkey

 11 

300 

536 

 1,999 

 2,846 

 2,178 

668 

Russia

59 

822 

1,514 

2,395 

2,076 

319 

South Korea

 1 

 1,434 

874 

 2,309 

 2,257 

 52 

Mexico

311 

1,235 

1,547 

1,117 

430 

Portugal

118 

433 

 823 

 1,381 

944 

437 

Romania

461 

81 

 208 

608 

 1,358 

1,350 

Poland

20 

 150 

 1,036 

 1,212 

1,088 

124 

Brazil

914 

292 

 1,211 

1,070 

141 

Pakistan

114 

164 

769 

1,047 

99 

948 









30 June 2010








Italy

28 

165 

2,210 

3,495 

5,898 

3,607 

2,291 

India

458 

1,616 

3,800 

5,876 

5,033 

843 

China

39 

118 

1,862 

1,097 

3,116 

2,784 

332 

Turkey

11 

297 

555 

1,757 

2,620 

1,742 

878 

Russia

66 

217 

1,938 

2,221 

2,024 

197 

South Korea

1,537 

965 

2,503 

2,438 

65 

Mexico

42 

189 

1,339 

1,571 

1,065 

506 

Portugal

21 

414 

811 

1,252 

846 

406 

Romania

445 

80 

214 

680 

1,419 

31 

1,388 

Poland

20 

94 

1,205 

1,327 

1,175 

152 

Brazil

1,127 

334 

1,465 

1,311 

154 

Pakistan

129 

197 

837 

1,164 

129 

1,035 









31 December 2009








Italy

27 

91 

1,704 

5,697 

7,519 

3,921 

3,598 

India

619 

305 

1,045 

3,144 

5,113 

4,308 

805 

China

51 

50 

1,336 

1,102 

2,539 

2,198 

341 

Turkey

11 

302 

628 

2,010 

2,951 

2,190 

761 

Russia

41 

172 

2,045 

2,258 

1,782 

476 

South Korea

1,575 

1,448 

3,024 

2,916 

108 

Mexico

276 

1,304 

1,583 

694 

889 

Portugal

42 

324 

1,007 

1,378 

952 

426 

Romania

508 

102 

438 

753 

1,801 

66 

1,735 

Poland

57 

85 

1,582 

1,730 

1,617 

113 

Brazil

902 

423 

1,328 

1,113 

215 

Pakistan

137 

203 

573 

921 

100 

821 

 

 



 

Risk and capital management (continued)

 

Credit risk: Loans and advances to customers by geography and industry

 

The following table analyses the balance sheet value of loans and advances to customers excluding reverse repos and disposal groups, by industry and geography (by location of office).

 


30 September 2010


30 June 2010


31 December 2009


Core 

Non-Core 

Total 


Core 

Non-Core 

Total 


Core 

Non-Core 

Total 


£m 

£m 

£m 


£m 

£m 

£m 


£m 

£m 

£m 













Total (1)












Central and local government

9,766 

1,204 

10,970 


9,527 

1,370 

10,897 


6,128 

1,532 

7,660 

Finance

54,723 

8,650 

63,373 


54,244 

8,979 

63,223 


50,673 

9,713 

60,386 

Individuals - home

139,457 

6,351 

145,808 


132,046 

11,933 

143,979 


127,975 

12,932 

140,907 

Individuals - other

34,129 

4,183 

38,312 


35,167 

5,397 

40,564 


35,313 

6,358 

41,671 

Property

42,269 

49,919 

92,188 


47,769 

46,746 

94,515 


49,054 

50,372 

99,426 

Construction

8,994 

3,623 

12,617 


9,147 

3,723 

12,870 


9,502 

5,258 

14,760 

Manufacturing

26,255 

9,339 

35,594 


28,438 

9,894 

38,332 


30,272 

14,402 

44,674 

Service industries and

  business activities

97,738 

25,983 

123,721 


100,434 

26,538 

126,972 


100,438 

33,638 

134,076 

Agriculture, forestry and

  fishing

3,952 

158 

4,110 


3,920 

144 

4,064 


3,726 

553 

4,279 

Finance leases and

  instalment credit

8,233 

9,541 

17,774 


8,076 

10,529 

18,605 


8,147 

11,956 

20,103 

Interest accruals

847 

278 

1,125 


920 

426 

1,346 


1,179 

549 

1,728 













Loans and advances to

  customers - gross

426,363 

119,229 

545,592 


429,688 

125,679 

555,367 


422,407 

147,263 

569,670 

Loan impairment provisions

(7,664)

(9,879)

(17,543)


(7,504)

(8,523)

(16,027)


(6,786)

(8,230)

(15,016)













Total loans and advances to customers

418,699 

109,350 

528,049 


422,184 

117,156 

539,340 


415,621 

139,033 

554,654 













By geographical region:












UK domestic












Central and local government

3,942 

147 

4,089 


4,160 

183 

4,343 


2,951 

223 

3,174 

Finance

17,122 

3,506 

20,628 


18,595 

3,497 

22,092 


14,658 

2,365 

17,023 

Individuals - home

97,615 

1,695 

99,310 


95,170 

1,775 

96,945 


90,687 

1,896 

92,583 

Individuals - other

23,395 

706 

24,101 


23,414 

768 

24,182 


24,109 

1,136 

25,245 

Property

14,995 

27,862 

42,857 


18,083 

27,877 

45,960 


18,057 

30,802 

48,859 

Construction

4,390 

2,235 

6,625 


4,500 

2,260 

6,760 


4,493 

3,287 

7,780 

Manufacturing

7,604 

2,052 

9,656 


8,252 

2,162 

10,414 


8,747 

2,678 

11,425 

Service industries and

  business activities

38,669 

10,801 

49,470 


38,477 

10,851 

49,328 


39,188 

12,472 

51,660 

Agriculture, forestry and

  fishing

2,891 

77 

2,968 


2,858 

78 

2,936 


2,775 

138 

2,913 

Finance leases and

  instalment credit

5,487 

8,683 

14,170 


5,192 

9,638 

14,830 


5,343 

10,843 

16,186 

Interest accruals

447 

99 

546 


486 

130 

616 


718 

175 

893 














216,557 

57,863 

274,420 


219,187 

59,219 

278,406 


211,726 

66,015 

277,741 



 

Risk and capital management (continued)

 

Credit risk: Loans and advances to customers by geography and industry (continued)

 


30 September 2010


30 June 2010


31 December 2009


Core 

Non-Core 

Total 


Core 

Non-Core 

Total 


Core 

Non-Core 

Total 


£m 

£m 

£m 


£m 

£m 

£m 


£m 

£m 

£m 













UK international (2)












Central and local government

4,260 

40 

4,300 


3,253 

46 

3,299 


1,402 

53 

1,455 

Finance

19,435 

3,082 

22,517 


15,296 

3,194 

18,490 


14,615 

3,640 

18,255 

Individuals - home

439 

439 


427 

427 


Individuals - other

334 

341 


366 

373 


504 

505 

Property

19,867 

4,085 

23,952 


18,912 

3,969 

22,881 


18,350 

4,585 

22,935 

Construction

2,695 

336 

3,031 


2,606 

357 

2,963 


2,471 

353 

2,824 

Manufacturing

4,099 

770 

4,869 


4,953 

637 

5,590 


5,715 

577 

6,292 

Service industries and

  business activities

22,980 

2,747 

25,727 


23,042 

3,303 

26,345 


23,558 

3,393 

26,951 

Agriculture, forestry and

  fishing

168 

10 

178 


184 

14 

198 


171 

171 

Interest accruals
















74,279 

11,077 

85,356 


69,039 

11,529 

80,568 


66,787 

12,604 

79,391 













Europe (1)












Central and local government

351 

967 

1,318 


786 

1,047 

1,833 


334 

1,164 

1,498 

Finance

3,430 

645 

4,075 


2,642 

1,399 

4,041 


3,973 

904 

4,877 

Individuals - home

19,726 

634 

20,360 


13,328 

5,765 

19,093 


15,055 

6,718 

21,773 

Individuals - other

2,264 

631 

2,895 


2,111 

1,026 

3,137 


1,877 

1,009 

2,886 

Property

5,490 

13,072 

18,562 


8,474 

9,392 

17,866 


10,812 

9,417 

20,229 

Construction

1,303 

845 

2,148 


1,486 

878 

2,364 


1,946 

1,167 

3,113 

Manufacturing

6,646 

5,011 

11,657 


6,885 

5,080 

11,965 


7,311 

8,609 

15,920 

Service industries and

  business activities

17,233 

7,066 

24,299 


18,569 

6,508 

25,077 


19,088 

9,883 

28,971 

Agriculture, forestry and

  fishing

843 

70 

913 


838 

52 

890 


737 

356 

1,093 

Finance leases and

  instalment credit

377 

831 

1,208 


378 

864 

1,242 


379 

1,094 

1,473 

Interest accruals

129 

97 

226 


131 

196 

327 


165 

246 

411 














57,792 

29,869 

87,661 


55,628 

32,207 

87,835 


61,677 

40,567 

102,244 













US












Central and local government

214 

45 

259 


207 

65 

272 


196 

64 

260 

Finance

8,440 

643 

9,083 


9,744 

719 

10,463 


9,524 

1,771 

11,295 

Individuals - home

21,271 

3,829 

25,100 


22,715 

4,221 

26,936 


21,842 

4,317 

26,159 

Individuals - other

6,747 

2,837 

9,584 


7,881 

3,155 

11,036 


7,373 

3,599 

10,972 

Property

1,203 

3,510 

4,713 


1,631 

3,862 

5,493 


1,498 

3,788 

5,286 

Construction

455 

95 

550 


479 

127 

606 


490 

132 

622 

Manufacturing

5,358 

678 

6,036 


5,555 

1,015 

6,570 


5,895 

1,200 

7,095 

Service industries and

  business activities

13,670 

3,161 

16,831 


14,900 

3,625 

18,525 


14,078 

4,505 

18,583 

Agriculture, forestry and

  fishing

32 

32 


34 

34 


27 

27 

Finance leases and

  instalment credit

2,323 

2,323 


2,498 

2,498 


2,417 

2,417 

Interest accruals

181 

78 

259 


219 

88 

307 


204 

94 

298 














59,894 

14,876 

74,770 


65,863 

16,877 

82,740 


63,544 

19,470 

83,014 

 



 

Risk and capital management (continued)

 

Credit risk: Loans and advances to customers by geography and industry (continued)

 


30 September 2010


30 June 2010


31 December 2009


Core 

Non-Core 

Total 


Core 

Non-Core 

Total 


Core 

Non-Core 

Total 


£m 

£m 

£m 


£m 

£m 

£m 


£m 

£m 

£m 













RoW (3)












Central and local government

999 

1,004 


1,121 

29 

1,150 


1,245 

28 

1,273 

Finance

6,296 

774 

7,070 


7,967 

170 

8,137 


7,903 

1,033 

8,936 

Individuals - home

406 

193 

599 


406 

172 

578 


390 

391 

Individuals - other

1,389 

1,391 


1,395 

441 

1,836 


1,450 

613 

2,063 

Property

714 

1,390 

2,104 


669 

1,646 

2,315 


337 

1,780 

2,117 

Construction

151 

112 

263 


76 

101 

177 


102 

319 

421 

Manufacturing

2,548 

828 

3,376 


2,793 

1,000 

3,793 


2,604 

1,338 

3,942 

Service industries and

  business activities

5,186 

2,208 

7,394 


5,446 

2,251 

7,697 


4,526 

3,385 

7,911 

Agriculture, forestry and

  fishing

18 

19 



16 

59 

75 

Finance leases and

  instalment credit

46 

27 

73 


27 

35 


19 

27 

Interest accruals

88 

92 


84 

10 

94 


92 

32 

124 














17,841 

5,544 

23,385 


19,971 

5,847 

25,818 


18,673 

8,607 

27,280 

 

Notes:

(1)

The industry classification for Europe, and consequently total loans and advances to customers at 30 June 2010, have been revised.

(2)

UK international represents transactions concluded through offices in the UK which service international banking transactions.

(3)

Rest of the World.

 

 

Key points

?

Total gross loans and advances to customers decreased by £9.8 billion or 2% in Q3 2010, with decreases in manufacturing, service industries and business activities, property and unsecured personal lending being partially offset by the increase in residential mortgages.



?

Residential mortgages increased by £1.8 billion primarily in the UK.



?

Overall property lending declined by £2.3 billion. However, there were increases in certain geographic regions including the Republic of Ireland due to foreign currency movements.



?

US lending declined by £8.0 billion or 10% across most sectors reflecting a lack of demand due to weak housing market, continued high unemployment and foreign currency movements.


 

Risk and capital management (continued)

 

Credit risk: Loans, REIL and impairment provisions by industry and geography

 

The tables below analyse gross loans and advances to customers (excluding reverse repos and disposal groups) and risk elements in lending (REIL) and closing provisions relating to these loans, by industry and geography (by location of office). Finance leases below include instalment credit.


30 September 2010


30 June 2010


31 December 2009


Gross 

 loans 

REIL 

Provisions 

REIL as 

 a % 

of loans 

Provisions 

 as a 

% of REIL 


Gross 

 loans 

REIL 

Provisions 

REIL as 

 a % 

of loans 

Provisions  as a 

 % of REIL 


Gross 

 loans 

REIL 

Provisions 

REIL as 

 a % 

of loans 

Provisions  as a 

 % of REIL 

Total

£m 

£m 

£m 


£m 

£m 

£m 


£m 

£m 

£m 

Central and local

  government

10,970 


10,897 


7,660 

Finance

63,373 

1,014 

561 

1.6 

55.3 


63,223 

1,156 

460 

1.8 

39.8 


60,386 

1,539 

419 

2.5 

27.2 

Individuals - home

145,808 

4,194 

753 

2.9 

18.0 


143,979 

3,795 

732 

2.6 

19.3 


140,907 

3,284 

551 

2.3 

16.8 

Individuals - other

38,312 

3,839 

3,129 

10.0 

81.5 


40,564 

3,826 

3,056 

9.4 

79.9 


41,671 

3,940 

2,926 

9.5 

74.3 

Property

92,188 

19,270 

6,273 

20.9 

32.6 


94,515 

17,895 

5,199 

18.9 

29.1 


99,426 

14,318 

3,422 

14.4 

23.9 

Construction

12,617 

2,225 

764 

17.6 

34.3 


12,870 

1,749 

691 

13.6 

39.5 


14,760 

2,232 

519 

15.1 

23.3 

Manufacturing

35,594 

1,120 

515 

3.1 

46.0 


38,332 

1,317 

544 

3.4 

41.3 


44,674 

3,131 

2,088 

7.0 

66.7 

Service industries and business activities

123,721 

5,381 

2,215 

4.3 

41.2 


126,972 

5,584 

2,220 

4.4 

39.8 


134,076 

5,308 

1,860 

4.0 

35.0 

Agriculture, forestry

  and fishing

4,110 

173 

93 

4.2 

53.8 


4,064 

150 

69 

3.7 

46.0 


4,279 

137 

73 

3.2 

53.3 

Finance leases

17,774 

837 

482 

4.7 

57.6 


18,605 

603 

348 

3.2 

57.7 


20,103 

894 

418 

4.4 

46.8 

Interest accruals

1,125 






1,346 






1,728 





Latent



2,758 






2,708 






2,740 






















545,592 

38,053 

17,543 

7.0 

46.1 


555,367 

36,075 

16,027 

6.5 

44.4 


569,670 

34,783 

15,016 

6.1 

43.2 

of which:


















UK domestic

274,420 

18,721 

8,500 

6.8 

45.4 


278,406 

17,688 

8,103 

6.4 

45.8 


277,741 

15,791 

6,811 

5.7 

43.1 

UK international

85,356 

287 

134 

0.3 

46.7 


80,568 

278 

127 

0.3 

45.7 


79,391 

313 

111 

0.4 

35.5 

Europe

87,661 

14,553 

6,075 

16.6 

41.7 


87,835 

13,313 

4,954 

15.2 

37.2 


102,244 

13,184 

5,292 

12.9 

40.1 

US

74,770 

2,465 

1,798 

3.3 

72.9 


82,740 

2,870 

1,915 

3.5 

66.7 


83,014 

4,115 

2,020 

5.0 

49.1 

RoW

23,385 

2,027 

1,036 

8.7 

51.1 


25,818 

1,926 

928 

7.5 

48.2 


27,280 

1,380 

782 

5.1 

56.7 




















545,592 

38,053 

17,543 

7.0 

46.1 


555,367 

36,075 

16,027 

6.5 

44.4 


569,670 

34,783 

15,016 

6.1 

43.2 

 



 

Risk and capital management (continued)

 

Credit risk: Loans, REIL and impairment provisions by industry and geography (continued)

 


30 September 2010


30 June 2010


31 December 2009


Gross 

 loans 

REIL 

Provisions 

REIL as 

 a % 

of loans 

Provisions 

 as a 

% of REIL 


Gross 

 loans 

REIL 

Provisions 

REIL as 

 a % 

of loans 

Provisions  as a 

 % of REIL 


Gross 

 loans 

REIL 

Provisions 

REIL as 

 a % 

of loans 

Provisions  as a 

 % of REIL 

Core

£m 

£m 

£m 


£m 

£m 

£m 


£m 

£m 

£m 

Central and local

  government

9,766 


9,527 


6,128 

Finance

54,723 

610 

408 

1.1 

66.9 


54,244 

638 

307 

1.2 

48.1 


50,673 

1,038 

259 

2.0 

25.0 

Individuals - home

139,457 

3,910 

590 

2.8 

15.1 


132,046 

3,076 

515 

2.3 

16.7 


127,975 

2,670 

341 

2.1 

12.8 

Individuals - other

34,129 

3,353 

2,762 

9.8 

82.4 


35,167 

3,361 

2,707 

9.6 

80.5 


35,313 

3,344 

2,560 

9.5 

76.6 

Property

42,269 

2,751 

613 

6.5 

22.3 


47,769 

3,432 

755 

7.2 

22.0 


49,054 

1,766 

468 

3.6 

26.5 

Construction

8,994 

486 

171 

5.4 

35.2 


9,147 

418 

210 

4.6 

50.2 


9,502 

457 

131 

4.8 

28.7 

Manufacturing

26,255 

438 

246 

1.7 

56.2 


28,438 

379 

199 

1.3 

52.5 


30,272 

491 

191 

1.6 

38.9 

Service industries and business activities

97,738 

2,307 

882 

2.4 

38.2 


100,434 

2,518 

905 

2.5 

35.9 


100,438 

1,762 

669 

1.8 

38.0 

Agriculture, forestry

  and fishing

3,952 

111 

54 

2.8 

48.6 


3,920 

101 

46 

2.6 

45.5 


3,726 

90 

46 

2.4 

51.1 

Finance leases

8,233 

231 

134 

2.8 

58.0 


8,076 

208 

124 

2.6 

59.6 


8,147 

303 

116 

3.7 

38.3 

Interest accruals

847 






920 






1,179 





Latent



1,804 






1,736 






2,005 






















426,363 

14,197 

7,664 

3.3 

54.0 


429,688 

14,131 

7,504 

3.3 

53.1 


422,407 

11,921 

6,786 

2.8 

56.9 

of which:


















UK domestic

216,557 

8,914 

4,665 

4.1 

52.3 


219,187 

8,574 

4,615 

3.9 

53.8 


211,726 

7,481 

4,171 

3.5 

55.8 

UK international

74,279 

167 

33 

0.2 

19.8 


69,039 

165 

29 

0.2 

17.6 


66,787 

314 

38 

0.5 

12.1 

Europe

57,792 

3,280 

1,872 

5.7 

57.1 


55,628 

3,473 

1,730 

6.2 

49.8 


61,677 

2,348 

1,574 

3.8 

67.0 

US

59,894 

961 

891 

1.6 

92.7 


65,863 

1,001 

906 

1.5 

90.5 


63,544 

1,497 

876 

2.4 

58.5 

RoW

17,841 

875 

203 

4.9 

23.2 


19,971 

918 

224 

4.6 

24.4 


18,673 

281 

127 

1.5 

45.2 




















426,363 

14,197 

7,664 

3.3 

54.0 


429,688 

14,131 

7,504 

3.3 

53.1 


422,407 

11,921 

6,786 

2.8 

56.9 

 



 

Risk and capital management (continued)

 

Credit risk: Loans, REIL and impairment provisions by industry and geography (continued)

 


30 September 2010


30 June 2010


31 December 2009


Gross 

 loans 

REIL 

Provisions 

REIL as 

 a % 

of loans 

Provisions 

 as a 

% of REIL 


Gross 

loans 

REIL 

Provisions 

REIL as 

 a % 

of loans 

Provisions  as a 

 % of REIL 


Gross 

loan 

REIL 

Provisions 

REIL as 

 a % 

of loans 

Provisions  as a 

 % of REIL 

Non-Core

£m 

£m 

£m 


£m 

£m 

£m 


£m 

£m 

£m 

Central and local

  government

1,204 


1,370 


1,532 

Finance

8,650 

404 

153 

4.7 

37.9 


8,979 

518 

153 

5.8 

29.5 


9,713 

501 

160 

5.2 

31.9 

Individuals - home

6,351 

284 

163 

4.5 

57.4 


11,933 

719 

217 

6.0 

30.2 


12,932 

614 

210 

4.7 

34.2 

Individuals - other

4,183 

486 

367 

11.6 

75.5 


5,397 

465 

349 

8.6 

75.1 


6,358 

596 

366 

9.4 

61.4 

Property

49,919 

16,519 

5,660 

33.1 

34.3 


46,746 

14,463 

4,444 

30.9 

30.7 


50,372 

12,552 

2,954 

24.9 

23.5 

Construction

3,623 

1,739 

593 

48.0 

34.1 


3,723 

1,331 

481 

35.8 

36.1 


5,258 

1,775 

388 

33.8 

21.9 

Manufacturing

9,339 

682 

269 

7.3 

39.4 


9,894 

938 

345 

9.5 

36.8 


14,402 

2,640 

1,897 

18.3 

71.9 

Service industries and business activities

25,983 

3,074 

1,333 

11.8 

43.4 


26,538 

3,066 

1,315 

11.6 

42.9 


33,638 

3,546 

1,191 

10.5 

33.6 

Agriculture, forestry

  and fishing

158 

62 

39 

39.2 

62.9 


144 

49 

23 

34.0 

46.9 


553 

47 

27 

8.5 

57.4 

Finance leases

9,541 

606 

348 

6.4 

57.4 


10,529 

395 

224 

3.8 

56.7 


11,956 

591 

302 

4.9 

51.1 

Interest accruals

278 






426 






549 





Latent



954 






972 






735 






















119,229 

23,856 

9,879 

20.0 

41.4 


125,679 

21,944 

8,523 

17.5 

38.8 


147,263 

22,862 

8,230 

15.5 

36.0 

of which:


















UK domestic

57,863 

9,807 

3,835 

16.9 

39.1 


59,219 

9,114 

3,488 

15.4 

38.3 


66,015 

8,310 

2,640 

12.6 

31.8 

UK international

11,077 

120 

101 

1.1 

84.2 


11,529 

113 

98 

1.0 

86.7 


12,604 

90 

73 

0.7 

81.1 

Europe

29,869 

11,273 

4,203 

37.7 

37.3 


32,207 

9,840 

3,224 

30.6 

32.8 


40,567 

10,745 

3,718 

26.5 

34.6 

US

14,876 

1,504 

907 

10.1 

60.3 


16,877 

1,869 

1,009 

11.1 

54.0 


19,470 

2,618 

1,144 

13.4 

43.7 

RoW

5,544 

1,152 

833 

20.8 

72.3 


5,847 

1,008 

704 

17.2 

69.8 


8,607 

1,099 

655 

12.8 

59.6 




















119,229 

23,856 

9,879 

20.0 

41.4 


125,679 

21,944 

8,523 

17.5 

38.8 


147,263 

22,862 

8,230 

15.5 

36.0 

 

 


 

Risk and capital management (continued)

 

Credit risk: Loans, REIL and impairment provisions (continued)

 

Risk elements in lending (REIL) and potential problem loans (PPL)

The table below analyses the Group's loans to banks and customers that are classified as REIL and PPL.


30 September 2010


30 June 2010


31 December 2009


Core 

Non-Core 

Total 


Core 

Non-Core 

Total 


Core 

Non-Core 

Total 


£m 

£m 

£m 


£m 

£m 

£m 


£m 

£m 

£m 












Non-accrual loans (1):












- Domestic (2)

7,306 

8,596 

15,902 


7,100 

7,924 

15,024 


6,348 

7,221 

13,569 

- Foreign (2)

5,191 

13,769 

18,960 


5,382 

12,526 

17,908 


4,383 

13,859 

18,242 














12,497 

22,365 

34,862 


12,482 

20,450 

32,932 


10,731 

21,080 

31,811 













Accruing loans past due  

  90 days or more (3):












- Domestic (2)

1,610 

1,210 

2,820 


1,470 

1,192 

2,662 


1,135 

1,089 

2,224 

- Foreign (2)

231 

282 

513 


340 

320 

660 


223 

731 

954 














1,841 

1,492 

3,333 


1,810 

1,512 

3,322 


1,358 

1,820 

3,178 













Total REIL

14,338 

23,857 

38,195 


14,292 

21,962 

36,254 


12,089 

22,900 

34,989 













PPL (4):












- Domestic (2)

332 

113 

445 


292 

174 

466 


137 

287 

424 

- Foreign (2)

36 

136 

172 


179 

353 

532 


135 

365 

500 













Total PPL

368 

249 

617 


471 

527 

998 


272 

652 

924 













Total REIL and PPL

14,706 

24,106 

38,812 


14,763 

22,489 

37,252 


12,361 

23,552 

35,913 













REIL as a % of gross loans to customers (5)

3.3% 

19.5% 

6.9% 


3.3% 

16.8% 

6.5% 


2.8% 

15.1% 

6.1% 













REIL and PPL as a % of

  gross loans to customers (5)

3.4% 

19.7% 

7.1% 


3.4% 

17.3% 

6.6% 


2.9% 

15.5% 

6.2% 

 

Notes:

(1)

Loans which have defaulted and against which an impairment provision is held.

(2)

Domestic activities consist of the UK domestic transactions of the Group. Foreign activities comprise the Group's transactions conducted through the offices outside the UK and those offices in the UK specifically organised to service international banking transactions.

(3)

Loans where an impairment event has taken place but no impairment provision recognised. This category is used for fully collateralised non-revolving credit facilities.

(4)

Loans for which an impairment event has occurred but no impairment provision is necessary. This category is used for advances and revolving credit facilities where the past due concept is not applicable.

(5)

Excludes reverse repos and includes gross loans relating to disposal groups.

 

 



 

Risk and capital management (continued)

 

Credit risk: Loans, REIL and impairment provisions (continued)

 

REIL, PPL and coverage ratios by division and movement in REIL

 

The table below analyses the Group's loans and advances to banks and customers by division that are classified as REIL, PPL and coverage ratios.

 


REIL 

PPL 

REIL & PPL 

Total 

 provision 

 Provision as 

a % of REIL 

Provision as a %

of REIL & PPL 


£m 

£m 

£m 

£m 








30 September 2010







UK Retail

4,994 

4,994 

2,937 

59 

59 

UK Corporate

3,343 

299 

3,642 

1,623 

49 

45 

Wealth

203 

35 

238 

63 

31 

26 

Global Transaction Services

171 

11 

182 

173 

101 

95 

Ulster Bank

3,172 

3,173 

1,289 

41 

41 

US Retail & Commercial

833 

833 

523 

63 

63 








Retail & Commercial

12,716 

346 

13,062 

6,608 

52 

51 

Global Banking & Markets

1,622 

22 

1,644 

1,183 

73 

72 








Core

14,338 

368 

14,706 

7,791 

54 

53 

Non-Core

23,857 

249 

24,106 

9,879 

41 

41 









38,195 

617 

38,812 

17,670 

46 

46 








30 June 2010







UK Retail

4,845 

4,845 

2,887 

60 

60 

UK Corporate

2,928 

245 

3,173 

1,477 

50 

47 

Wealth

229 

48 

277 

64 

28 

23 

Global Transaction Services

174 

13 

187 

169 

97 

90 

Ulster Bank

3,484 

3,490 

1,321 

38 

38 

US Retail & Commercial

865 

865 

514 

59 

59 








Retail & Commercial

12,525 

312 

12,837 

6,432 

51 

50 

Global Banking & Markets

1,767 

159 

1,926 

1,201 

68 

62 








Core

14,292 

471 

14,763 

7,633 

53 

52 

Non-Core

21,962 

527 

22,489 

8,533 

39 

38 









36,254 

998 

37,252 

16,166 

45 

43 

 

 



 

Risk and capital management (continued)

 

Credit risk: Loans, REIL and impairment provisions (continued)

 

REIL, PPL and coverage ratios by division and movement in REIL (continued)

 


REIL 

PPL 

REIL & PPL 

Total 

 provision 

 Provision as 

a % of REIL 

Provision as a % of REIL & PPL 


£m 

£m 

£m 

£m 








31 March 2010







UK Retail

4,706 

4,706 

2,810 

60 

60 

UK Corporate

2,496 

106 

2,602 

1,367 

55 

53 

Wealth

219 

45 

264 

58 

26 

22 

Global Transaction Services

184 

191 

184 

100 

96 

Ulster Bank

2,987 

2,990 

1,157 

39 

39 

US Retail & Commercial

710 

710 

523 

74 

74 








Retail & Commercial

11,302 

161 

11,463 

6,099 

54 

53 

Global Banking & Markets

1,237 

177 

1,414 

1,298 

105 

92 








Core

12,539 

338 

12,877 

7,397 

59 

57 

Non-Core

23,997 

255 

24,252 

9,430 

39 

39 









36,536 

593 

37,129 

16,827 

46 

45 








31 December 2009







UK Retail

4,641 

4,641 

2,677 

58 

58 

UK Corporate

2,330 

97 

2,427 

1,271 

55 

52 

Wealth

218 

38 

256 

55 

25 

21 

Global Transaction Services

197 

201 

189 

96 

94 

Ulster Bank

2,260 

2,262 

962 

43 

43 

US Retail & Commercial

643 

643 

478 

74 

74 








Retail & Commercial

10,289 

141 

10,430 

5,632 

55 

54 

Global Banking & Markets

1,800 

131 

1,931 

1,289 

72 

67 








Core

12,089 

272 

12,361 

6,921 

57 

56 

Non-Core

22,900 

652 

23,552 

8,252 

36 

35 









34,989 

924 

35,913 

15,173 

43 

42 

 



 

Risk and capital management (continued)

 

Credit risk: Loans, REIL and impairment provisions (continued)

 

REIL, PPL and coverage ratios by division and movement in REIL (continued)

 

The table below details the movement in REIL.


Quarter ended


Half year ended


30 September 2010


30 June 2010


Core 

Non-Core 

Total 


Core 

Non-Core 

Total 

Movement in REIL

£m 

£m 

£m 


£m 

£m 

£m 









At beginning of period

14,292 

21,962 

36,254 


12,089 

22,900 

34,989 

Intra-Group transfers

(1,142)

1,142 


587 

(587)

Currency translation and other adjustments

80 

791 

871 


(53) 

(614)

(667)

Additions

3,528 

3,382 

6,910 


4,832 

5,949 

10,781 

Disposals, restructurings and repayments

(1,383)

(2,724)

(4,107)


(1,933)

(2,738)

(4,671)

Amounts written-off

(1,037)

(696)

(1,733)


(1,230)

(2,948)

(4,178)









At end of period

14,338 

23,857 

38,195 


14,292 

21,962 

36,254 

 

 

Key points

?

Total REIL increased by £1.9 billion in Q3 2010 (£1.3 billion increase in the first half of 2010).  In Core, additions of £3.5 billion were offset by write-offs of £1.0 billion, transfers to Non-Core of £1.1 billion and repayments, restructuring and disposals. 



?

REIL and PPL for Core were flat in Q3 2010 relative to Q2 2010. Net increases in Non-Core non-accrual loans of £1.9 billion were mainly due to a deterioration in the Ulster Bank development property portfolio as well as foreign currency movements of £0.9 billion.



 

Risk and capital management (continued)

 

Credit risk: Debt securities

 

The table below analyses debt securities by issuer and external ratings.

 


Central and local government

Banks 

 and 

building 

societies 

ABS 

Corporate 

Other 

Total 

 


UK 

US 

Other 

External rating

£m 

£m 

£m 

£m 

£m 

£m 

£m 

£m 

 










30 September 2010









 

AAA

14,825 

34,768 

48,561 

2,914 

50,026 

1,153 

152,247 

 

AA to AA+

19,237 

2,913 

6,591 

855 

29,599 

 

A to AA-

10,604 

4,593 

3,911 

2,112 

41 

21,261 

 

BBB- to A-

3,386 

1,002 

3,898 

3,342 

395 

12,023 

 

Non investment grade

877 

190 

4,213 

2,020 

101 

7,401 

 

Unrated

215 

197 

1,373 

1,682 

412 

3,879 

 











14,825 

34,768 

82,880 

11,809 

70,012 

11,164 

952 

226,410 

 










 

30 June 2010









 

AAA

20,589 

33,836 

44,520 

3,626 

56,330 

1,088 

159,989 

 

AA to AA+

20,869 

3,482 

7,367 

1,090 

11 

32,819 

 

A to AA-

8,762 

4,490 

4,848 

1,680 

568 

20,348 

 

BBB- to A-

2,014 

864 

4,232 

2,147 

9,266 

 

Non investment grade

1,739 

163 

4,616 

3,075 

9,596 

 

Unrated

501 

238 

1,312 

1,619 

572 

4,242 

 











20,589 

33,836 

78,405 

12,863 

78,705 

10,699 

1,163 

236,260 

 










 

31 December 2009









 

AAA

26,601 

23,219 

44,396 

4,012 

65,067 

2,263 

165,558 

 

AA to AA+

22,003 

4,930 

8,942 

1,429 

37,304 

 

A to AA-

13,159 

3,770 

3,886 

1,860 

22,675 

 

BBB- to A-

3,847 

823 

4,243 

2,187 

11,100 

 

Non investment grade

353 

169 

3,515 

2,042 

6,079 

 

Unrated

504 

289 

1,949 

2,601 

1,036 

6,379 

 











26,601 

23,219 

84,262 

13,993 

87,602 

12,382 

1,036 

249,095 

 

 

Key points

·

59% of securities were issued by central and local governments (30 June 2010 - 56%; 31 December 2009 - 54%).



·

67% of securities were AAA rated (30 June 2010 - 68%; 31 December 2009 - 66%).



·

Of the asset-backed securities (ABS) portfolios 71% were AAA rated (30 June 2010 - 72%; 31 December 2009 - 74%) and 51% were guaranteed by G10 governments or covered bonds (30 June 2010 - 48%; 31 December 2009 - 49%).



·

67% of corporate debt securities were investment grade (30 June 2010 - 56%; 31 December 2009 - 63%).



·

Unrated securities declined from £6.4 billion at 31 December 2009 to £4.2 billion at 30 June 2010 and to £3.9 billion at 30 September 2010.

 

 



 

Risk and capital management (continued)

 

Credit risk: Debt securities (continued)

 

The table below analyses debt securities by issuer and measurement classification.

 


Central and local government

Banks and 

building 

societies 

ABS 

Corporate 

Other 

Total 

 


UK 

US 

Other 

Measurement classification

£m 

£m 

£m 

£m 

£m 

£m 

£m 

£m 

 










30 September 2010









 

Held-for-trading

5,302 

17,164 

49,204 

4,884 

20,475 

7,733 

628 

105,390 

 

DFV

353 

227 

18 

603 

 

Available-for-sale

9,511 

17,604 

33,323 

6,910 

42,923 

2,654 

226 

113,151 

 

Loans and receivables

11 

12 

6,387 

759 

97 

7,266 

 











14,825 

34,768 

82,880 

11,809 

70,012 

11,164 

952 

226,410 

 

Short positions

(4,494)

(11,815)

(17,902)

(1,771)

(916)

(3,581)

(660)

(41,139)

 










Net

10,331 

22,953 

64,978 

10,038 

69,096 

7,583 

292 

185,271 

 










 

30 June 2010









 

Held-for-trading

8,993 

16,642 

40,589 

5,471 

23,614 

7,077 

775 

103,161 

 

DFV

357 

234 

24 

619 

 

Available-for-sale

11,584 

17,194 

37,459 

7,371 

47,709 

2,324 

300 

123,941 

 

Loans and receivables

11 

18 

7,148 

1,274 

88 

8,539 

 











20,589 

33,836 

78,405 

12,863 

78,705 

10,699 

1,163 

236,260 

 

Short positions

(5,609)

(10,002)

(16,890)

(2,171)

(1,768)

(3,053)

(720)

(40,213)

 










Net

14,980 

23,834 

61,515 

10,692 

76,937 

7,646 

443 

196,047 

 










 

31 December 2009









 

Held-for-trading

8,128 

10,427 

50,150 

6,103 

28,820 

6,892 

893 

111,413 

 

DFV

122 

385 

418 

394 

1,087 

20 

2,429 

 

Available-for-sale

18,350 

12,789 

33,727 

7,472 

50,464 

2,550 

30 

125,382 

 

Loans and receivables

7,924 

1,853 

93 

9,871 

 











26,601 

23,219 

84,262 

13,993 

87,602 

12,382 

1,036 

249,095 

 

Short positions

(5,805)

(8,957)

(14,491)

(1,951)

(3,616)

(2,199)

(512)

(37,531)

 










Net

20,796 

14,262 

69,771 

12,042 

83,986 

10,183 

524 

211,564 

 

 

Key points

·

The net increase in HFT debt securities reflects an increase in government securities, partially offset by a reduction in ABS. The increase was primarily in Japanese and Swiss treasury bills and the decrease was due to the sale of US collateralised debt obligations and CLO positions in Non-Core.



·

AFS securities were £10.8 billion lower principally reflecting reductions in GBM as well as in US Retail and Commercial and RBS N.V., adjusting down their liquidity portfolios.



·

The reduction in LAR securities reflected ABS and corporate bond maturities.

 

 


 

Risk and capital management (continued)

 

Credit risk: Debt securities (continued)

 

The table below analyses available-for-sale (AFS) debt securities and related AFS reserves relating to debt securities issued by governments and other entities by country for those exceeding £0.5 billion together with the total of those less than £0.5 billion.


30 September 2010



31 December 2009


Government 

ABS 

Other 

Total 

AFS 

 reserves 


Government 

ABS 

Other 

Total 

AFS 

 reserves 


Government 

ABS 

Other 

Total 

AFS 

 reserves 


£m 

£m 

£m 

£m 

£m 


£m 

£m 

£m 

£m 

£m 


£m 

£m 

£m 

£m 

£m 



















US

17,604 

20,140 

824 

38,568 

127 


17,194 

25,603 

900 

43,697 

745 


12,789 

24,788 

668 

38,245 

(302)

UK

9,511 

4,317 

2,487 

16,315 

(114)


11,584 

4,171 

2,758 

18,513 

(68)


18,350 

4,372 

3,267 

25,989 

(169)

Germany

11,166 

1,409 

553 

13,128 

151 


12,027 

918 

400 

13,345 

179 


12,283 

1,036 

406 

13,725 

(24)

Netherlands

3,246 

6,939 

513 

10,698 

(31)


4,482 

6,503 

513 

11,498 

(324)


4,329 

7,522 

1,558 

13,409 

(115)

France

6,645 

598 

874 

8,117 

171 


7,207 

535 

914 

8,656 

86 


6,456 

543 

812 

7,811 

Spain

97 

7,087 

222 

7,406 

(898)


108 

6,591 

217 

6,916 

(665)


162 

8,070 

355 

8,587 

(117)

Japan

3,379 

66 

3,445 


4,661 

258 

4,919 

(2)


1,426 

100 

1,526 

(7)

Australia

445 

1,724 

2,169 

(32)


832 

1,670 

2,502 

(62)


581 

1,213 

1,794 

(85)

Italy

968 

251 

45 

1,264 

(75)


1,200 

248 

31 

1,479 

(77)


1,007 

380 

72 

1,459 

(39)

Belgium

815 

34 

234 

1,083 

(26)


743 

32 

270 

1,045 

48 


788 

34 

397 

1,219 

(24)

Switzerland

876 

149 

1,025 

12 


855 

93 

948 

13 


653 

28 

681 

11 

Greece

977 

977 

(517)


919 

919 

(494)


1,389 

1,389 

(196)

Singapore

715 

13 

197 

925 


759 

14 

182 

955 


564 

13 

105 

682 

Hong Kong

859 

868 


819 

10 

829 


975 

975 

India

615 

253 

868 


628 

184 

812 

(74)


480 

-- 

480 

Denmark

646 

171 

817 


660 

213 

873 


659 

256 

915 

Republic of Ireland

120 

180 

468 

768 

(59)


121 

581 

421 

1,123 

(132)


150 

529 

319 

998 

(154)

Austria

292 

42 

232 

566 

(27)


397 

145 

10 

552 

(31)


249 

202 

142 

593 

(17)

South Korea

500 

500 

(19)


164 

164 


526 

526 

(3)

Luxembourg

150 

79 

264 

493 

27 


186 

356 

542 

20 


222 

307 

529 

11 

Portugal

100 

103 

55 

258 

(32)


96 

107 

41 

244 

(25)


552 

125 

45 

722 

(18)

Other  (<£0.5 billion)

1,657 

786 

450 

2,893 

(18)


1,777 

1,079 

554 

3,410 

(696)


1,605 

1,521 

3,128 

(654)




















60,438 

42,923 

9,790 

113,151 

(1,347)


66,237 

47,709 

9,995 

123,941 

(1,553)


64,866 

50,464 

10,052 

125,382 

(1,888)


 

Risk and capital management (continued)

 

Credit risk: Derivatives

 

The table below analyses the fair value of the Group's derivative assets by contract type and residual maturity. Master netting arrangements in respect of mark-to-market (mtm) values and collateral do not result in a net presentation in the Group's balance sheet under IFRS.

 


< 3 

 months 

3 - 6 

 months 

6 - 12 

 months 

1 - 5 

 years 

> 5 

 years 

Gross 

 assets 

Counterparty 

mtm netting 

Net 

 exposure 

Contract type

£m 

£m 

£m 

£m 

£m 

£m 

£m 

£m 










30 September 2010









Exchange rate

31,943 

8,260 

10,033 

24,551 

14,741 

89,528 

(65,366)

24,162 

Interest rate

5,598 

8,177 

11,781 

117,241 

279,380 

422,177 

(358,824)

63,353 

Credit derivatives

1,323 

83 

337 

13,678 

15,389 

30,810 

(22,719)

8,091 

Equity and commodity

1,782 

566 

284 

3,078 

580 

6,290 

(2,443)

3,847 











40,646 

17,086 

22,435 

158,548 

310,090 

548,805 

(449,352)

99,453 










Cash collateral held against derivative exposures





(39,507)










Net exposure








59,946 










30 June 2010









Exchange rate

29,147 

8,394 

9,712 

23,892 

13,948 

85,093 

(64,879) 

20,214 

Interest rate

8,277 

4,636 

14,288 

118,683 

246,945 

392,829 

(323,262) 

69,567 

Credit derivatives

375 

141 

455 

19,357 

18,653 

38,981 

(29,462) 

9,519 

Equity and commodity

1,090 

1,133 

311 

2,936 

498 

5,968 

(4,094) 

1,874 











38,889 

14,304 

24,766 

164,868 

280,044 

522,871 

(421,697) 

101,174 










Cash collateral held against derivative exposures





(36,709)










Net exposure








64,465 










31 December 2009









Exchange rate

19,127 

5,824 

7,603 

23,831 

11,967 

68,352 

(47,885) 

20,467 

Interest rate

8,415 

8,380 

16,723 

111,144 

176,799 

321,461 

(270,791) 

50,670 

Credit derivatives

201 

112 

390 

19,859 

21,186 

41,748 

(36,411) 

5,337 

Equity and commodity

1,562 

436 

1,109 

3,057 

474 

6,638 

(3,830) 

2,808 











29,305 

14,752 

25,825 

157,891 

210,426 

438,199 

(358,917) 

79,282 










Cash collateral held against derivative exposures





(33,667)










Net exposure








45,615 

 

Key points

·

Exchange and interest rate contracts fair values increased during Q3 2010, primarily due to changes in interest rates, currency movements and higher trading volumes.



·

Credit derivative fair values and net exposures declined during the quarter primarily due to restructuring of certain monoline exposures, tightening credit spreads, and also foreign currency effects. The value of the APS credit derivative decreased by £0.8 billion.

 

 

 


This information is provided by RNS
The company news service from the London Stock Exchange
 
END
 
 
IMSEADFLESPEFAF






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27-Jun-14 10:15RNSInvestor Round TableCompany Announcement - General
25-Jun-14 17:35RNSResult of GMResults and Trading Reports
25-Jun-14 17:34RNSResult of GMResults and Trading Reports


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