RBS 2011 Annual Report Download - page 125

RBS Group 2011 123
Net stable funding ratio*
The table below shows the Group’s net stable funding ratio (NSFR), estimated by applying the Basel III guidance issued in December 2010. The Group
is aiming to meet the minimum required NSFR of 100% over the longer term. This measure seeks to show the proportion of structural term assets which
are funded by stable funding, including customer deposits, long-term wholesale funding and equity. One of the main components of the ratio entails
categorising retail and SME deposits as either ‘more stable’ or ‘less stable’. The Group’s NSFR will also continue to be refined over time in line with
regulatory developments. It may be calculated on a basis that is not consistent with that used by other financial institutions.
2011 2010 2009
ASF(1) ASF(1) ASF(1) Weighting
£bn £bn £bn £bn £bn £bn %
Equity 76 76 77 77 80 80 100
Wholesale funding > 1 year 124 124 154 154 144 144 100
Wholesale funding < 1 year 134 — 157 — 250 — —
Derivatives 524 — 424 — 422 — —
Repurchase agreements 129 — 115 — 106 — —
Deposits
- Retail and SME - more stable 227 204 172 155 166 149 90
- Retail and SME - less stable 31 25 51 41 50 40 80
- Other 179 89 206 103 199 99 50
Other (2) 83 —
98 — 105 — —
Total liabilities and equity 1,507 518 1,454 530 1,522 512
Cash 79 — 57 — 52 — —
Inter-bank lending 44 — 58 — 49 — —
Debt securities > 1 year
- central and local governments AAA to AA- 77 4 89 4 84 4 5
- other eligible bonds 73 15 75 15 87 17 20
- other bonds 14 14 10 10 9 9 100
Debt securities < 1 year 45 — 43 — 69 — —
Derivatives 530 — 427 — 438 — —
Reverse repurchase agreements 101 — 95 — 76 — —
Customer loans and advances > 1 year
- residential mortgages 145 94 145 94 137 89 65
- other 173 173 211 211 241 241 100
Customer loans and advances < 1 year
- retail loans 19 16 22 19 24 20 85
- other 137 69 125 63 153 77 50
Other (3) 70 70
97 97 103 103 100
Total assets 1,507 455 1,454 513 1,522 560
Undrawn commitments 240 12 267 13 289 14 5
Total assets and undrawn commitments 1,747 467 1,721 526 1,811 574
Net stable funding ratio 111% 101% 89%
Notes:
(1) Available stable funding.
(2) Deferred tax, insurance liabilities and other liabilities.
(3) Prepayments, accrued income, deferred tax and other assets.
Key points*
xThe NSFR increased by 10% in the year to 111%, with the funding cushion over term assets and undrawn commitments increasing from £4 billion
to £51 billion.
xAvailable stable funding decreased by £12 billion in the year as a result of a £30 billion reduction in long-term wholesale funding, including the
move into short-term of approximately £20 billion of balances under the CGS. This was offset by a £19 billion increase in qualifying deposit
balances, including classification of certain deposits as more stable, as some assumptions and methodologies were refined.
xTerm assets decreased in the year by £38 billion primarily reflecting Non-Core disposals and run-offs. The decrease in other assets is primarily due
to the closure of certain equities businesses in Global Banking & Markets and other asset movements.