RBS 2011 Annual Report Download - page 190

188 RBS Group 2011
Risk management: Credit risk continued
Balance sheet analysis continued
Monoline insurers
The table below summarises the Group's exposure to monolines, all of which are in Non-Core.
2011
£m
2010
£m
2009
£m
Gross exposure to monolines 1,888 4,023 6,170
Hedges with financial institutions (71) (71) (531)
Credit valuation adjustment (1,198) (2,443) (3,796)
Net exposure to monolines 619 1,509 1,843
Credit valuation adjustment as a % of gross exposure 63% 61% 62%
Counterparty and credit risk RWAs*£3.6bn £17.8bn £13.7bn
The net income statement effect relating to monoline exposures is detailed below.
2011 2010 2009
£m £m £m
Credit valuation adjustment at 1 January (2,443) (3,796) (5,988)
Credit valuation adjustment at 31 December (1,198) (2,443) (3,796)
Decrease in credit valuation adjustment 1,245 1,353 2,192
Net debit relating to realisations, hedges, foreign exchange and other movements (1,878) (844) (3,290)
Net credit/(debit) relating to reclassified debt securities 197 (305) (1,468)
Net (debit)/credit to income statement (1) (436) 204 (2,566)
Note:
(1) Comprises the following elements:
- a loss of £670 million (2010 - £5 million; 2009 - £2,387 million) in income from trading activities;
-impairment (losses)/reversals of £(1) million (2010 - £71 million; 2009 - £(239) million); and
-other income of £235 million (2010 - £138 million; 2009 - £60 million) relating to reclassified debt securities.
The table below summarises monoline exposures by rating. Credit ratings are based on those from rating agencies S&P and Moody's. Where the
ratings differ, the lower of the two is taken.
2011
Notional:
protected
assets
£m
Fair value:
reference
protected
assets
£m
Gross
exposure
£m
Credit
valuation
adjustment
£m
Hedges
£m
Net
exposure
£m
Ato AA- 4,939 4,243 696 252 — 444
Non-investment grade 3,623 2,431 1,192 946 71 175
8,562 6,674 1,888 1,198 71 619
Of which:
CMBS 946 674 272 247
CDOs 500 57 443 351
CLOs 4,616 4,166 450 177
Other ABS 1,998 1,455 543 334
Other 502 322 180 89
8,562 6,674 1,888 1,198
*unaudited
Business review Risk and balance sheet management continued