RBS 2011 Annual Report Download - page 174

172 RBS Group 2011
Risk management: Credit risk continued
Balance sheet analysis continued
Asset quality
The asset quality analysis presented below is based on the Group’s
internal asset quality ratings which have ranges for the probability of
default as set out below. Customers are assigned credit grades, based
on various credit grading models that reflect the key drivers of default for
the customer type. All credit grades across the Group map to both a
Group level asset quality scale, used for external financial reporting, and
amaster grading scale for wholesale exposures used for internal
management reporting across portfolios. Debt securities are analysed by
external ratings and are therefore excluded from the table below and are
set out on pages 175 and 176.
Asset quality band Probability of default range
AQ1 0% - 0.034%
AQ2 0.034% - 0.048%
AQ3 0.048% - 0.095%
AQ4 0.095% - 0.381%
AQ5 0.381% - 1.076%
AQ6 1.076% - 2.153%
AQ7 2.153% - 6.089%
AQ8 6.089% - 17.222%
AQ9 17.222% - 100%
AQ10 100%
Cash and
balances
at central
banks
Loans and
advances
to banks (1)
Loans and
advances to
customers
Settlement
balances Derivatives
Other
financial
instruments Commitments
Contingent
liabilities Total
2011 £m £m £m £m £m £m £m £m £m
Total
AQ1 78,592 74,192 113,437 4,582 481,622 556 75,356 14,076 842,413
AQ2 342 1,881 15,622 93 8,177 — 24,269 3,154 53,538
AQ3 196 1,981 32,830 546 10,819 — 23,471 4,427 74,270
AQ4 19 1,612 103,617 760 14,421 — 40,071 5,847 166,347
AQ5 90 1,261 112,537 79 6,516 45 34,593 4,301 159,422
AQ6 9 188 47,892 46 2,221 — 17,153 1,662 69,171
AQ7 8 432 31,379 13 2,393 — 19,163 1,037 54,425
AQ8 7 30 11,871 19 1,252 — 4,159 276 17,614
AQ9 5 83 16,006 4 1,150 320 2,286 943 20,797
AQ10 1 164 570 6 1,047 — 2,354 221 4,363
Past due — 2 10,995 1,623 — — — — 12,620
Impaired — 137 38,610 — — 414 — — 39,161
Impairment provision — (123) (19,760) — — (26) — — (19,909)
Group 79,269 81,840 515,606 7,771 529,618 1,309 242,875 35,944 1,494,232
2010
AQ1 56,655 91,952 126,444 6,815 408,489 658 78,728 9,745 779,486
AQ2 14 598 13,282 1,271 2,659 3 26,128 1,980 45,935
AQ3 48 2,197 25,981 156 3,317 — 25,731 4,337 61,767
AQ4 188 639 95,777 571 3,391 6 41,027 6,522 148,121
AQ5 99 2,322 114,796 64 4,860 144 38,612 5,169 166,066
AQ6 3159 65,497 34 1,070 — 25,991 2,230 94,984
AQ7 2178 46,072 1 857 69 18,752 2,456 68,387
AQ8 —15 16,573 14 403 — 9,289 9,545 35,839
AQ9 —115 14,263 2 450 80 3,889 932 19,731
AQ10 5 355 5,644 2 1,581 — 2,829 407 10,823
Accruing past due —10 13,430 2,675 — — — — 16,115
Impaired — 145 35,556 — — 375 — — 36,076
Impairment provision —(127) (18,055) — — (29) — — (18,211)
Group before RFS MI 57,014 98,558 555,260 11,605 427,077 1,306 270,976 43,323 1,465,119
RFS MI — 2 — — — — — 32 34
Group 57,014 98,560 555,260 11,605 427,077 1,306 270,976 43,355 1,465,153
For the note relating to this table refer to page 174.
Business review Risk and balance sheet management continued