RBS 2011 Annual Report Download - page 113

RBS Group 2011 111
Capital adequacy*
The Group’s RWAs and risk asset ratios, calculated in accordance with FSA definitions, are set out below.
Statutory Proportional
Risk-weighted assets by risk 2011
£bn
2010
£bn
2009
£bn
2009
£bn
Credit risk 344.3 385.9 513.2 410.4
Counterparty risk 61.9 68.1 56.5 56.5
Market risk 64.0 80.0 65.0 65.0
Operational risk 37.9 37.1 33.9 33.9
508.1 571.1 668.6 565.8
Asset Protection Scheme relief (69.1) (105.6) (127.6) (127.6)
439.0 465.5 541.0 438.2
Risk asset ratios %% % %
Core Tier 1 10.6 10.7 11.0 11.0
Tier 1 13.0 12.9 14.1 14.4
Total 13.8 14.0 16.1 16.3
Key points*
xMarket risk RWAs were impacted by the new CRD III rules but decreased overall by £16 billion in 2011 reflecting de-risking of Non-Core and a
reduction in trading VaR.
xAPS relief decreased by £36.5 million, reflecting pool movements, assets moving into default and changes in risk parameters.
Pillar 3*
The Group publishes its Pillar 3 Disclosures on its website, providing a range of additional information relating to Basel II and risk and capital
management across the Group. The disclosures focus on capital resources and adequacy and discuss a range of credit risk measures and
management methods (such as credit risk mitigation, counterparty credit risk and provisions) and their associated RWAs under the various Basel II
approaches. Detailed disclosures are also made on equity exposures, securitisations, operational risk, market risk and interest rate risk in the banking
book.