Interim Management Statement - Part 9 of 10

RNS Number : 0663G

Royal Bank of Scotland Group PLC

06 May 2011

 



Appendix 2

Asset Protection Scheme

Appendix 2 Asset Protection Scheme

Covered assets roll forward

The table below shows the movement in covered assets.

	Covered   amount
	£bn
Covered assets at 30 September 2010	205.4
Disposals	(3.0)
Maturities, amortisation and early repayments	(8.3)
Effect of foreign currency movements and other adjustments	0.6
Covered assets at 31 December 2010	194.7
Disposals	(1.4)
Maturities, amortisation and early repayments	(10.6)
Effect of foreign currency movements and other adjustments	(0.9)
Covered assets at 31 March 2011	181.8

Key points

·	The reduction in covered assets was due to run-off of the portfolio, disposals, early repayments, maturing loans and the amortisation of consumer finance assets in line with the Scheme rules.
·	The Group took advantage of market conditions and executed sales from a number of its portfolios.

Credit impairments and write downs

The table below analyses the cumulative credit impairment losses and adjustments to par value (including available-for-sale reserves) relating to the covered assets.

	31 March  2011	31 December  2010
	£m	£m
Loans and advances	18,799	18,033
Debt securities	11,085	11,747
Derivatives	1,826	2,043
	31,710	31,823
By division:
UK Retail	3,053	2,964
UK Corporate	1,703	1,382
Ulster Bank	1,040	804
Retail & Commercial	5,796	5,150
Global Banking & Markets	1,445	1,496
Core	7,241	6,646
Non-Core	24,469	25,177
	31,710	31,823

Key point

·	Cumulative credit impairments and write-downs decreased by £0.1 billion in the quarter, primarily reflecting a decrease due to exchange rate movements (£0.4 billion) and Non-Core disposals (£0.1 billion) partially offset by an increase in further impairments and write-downs (£0.4 billion).

Appendix 2 Asset Protection Scheme (continued)

First loss utilisation

Definitions of triggered amounts and other related aspects are set out in the Group's 2010 Annual Report and Accounts. The table below summarises the triggered amount and related cash recoveries by division.

	31 March 2011				31 December 2010
	Triggered   amount	Cash  recoveries   to date	Net  triggered   amount		Triggered   amount	Cash  recoveries   to date	Net  triggered   amount
	£m	£m	£m		£m	£m	£m
UK Retail	3,789	514	3,275		3,675	455	3,220
UK Corporate	5,573	1,404	4,169		4,640	1,115	3,525
Ulster Bank	1,659	216	1,443		1,500	160	1,340
Retail & Commercial	11,021	2,134	8,887		9,815	1,730	8,085
Global Banking & Markets	2,692	808	1,884		2,547	749	1,798
Core	13,713	2,942	10,771		12,362	2,479	9,883
Non-Core	31,991	5,269	26,722		32,138	4,544	27,594
	45,704	8,211	37,493		44,500	7,023	37,477
Loss credits			1,468				1,241
			38,961				38,718

Key points

·	The Group received loss credits in relation to some of the withdrawals and disposals of £0.2 billion during Q1 2011. The Group and the Asset Protection Agency remain in discussion with regard to loss credits in relation to the withdrawal of £0.5 billion of derivative assets during Q2 2010 and the disposal of £0.6 billion of structured finance and leveraged finance assets.
·	The Group currently expects recoveries on triggered amounts to be approximately 45% over the life of the relevant assets. On this basis, the expected loss on triggered assets at 31 March 2011 is approximately £25 billion (42%) of the £60 billion first loss threshold under APS.

Risk-weighted assets

The table below analyses by division, risk-weighted assets (RWAs) covered by APS.

	31 March  2011	31 December  2010
	£bn	£bn
UK Retail	11.4	12.4
UK Corporate	21.5	22.9
Ulster Bank	7.4	7.9
Retail & Commercial	40.3	43.2
Global Banking & Markets	11.1	11.5
Core	51.4	54.7
Non-Core	47.0	50.9
APS RWAs	98.4	105.6

Key point

·	The decrease of £7.2 billion in APS RWAs principally reflects pool movements, partially offset by changes in risk parameters.

 

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