RBS 2011 Annual Report Download - page 193

RBS Group 2011 191
Other counterparties
The net income statement effect arising from the change in the level of credit valuation adjustments (CVA) for all other counterparties and related trades
is shown in the table below.
2011 2010 2009
£m £m £m
Credit valuation adjustment at 1 January (1,714) (1,588) (1,738)
Credit valuation adjustment at 31 December (2,254) (1,714) (1,588)
(Increase)/decrease in credit valuation adjustment (540) (126) 150
Net credit/(debit) relating to realisations, hedges, foreign exchange and other movements 244 (19) (841)
Loss from trading activities (296) (145) (691)
Key point
xThe CVA held against exposures to other counterparties increased during the year, primarily due to wider credit spreads.
Risk elements in lending, provisions and reserves
Risk elements in lending (REIL) comprises impaired loans and accruing
loans past due 90 days or more as to principal or interest.
Impaired loans are all loans for which an impairment provision has been
established; for collectively assessed loans, impairment loss provisions
are not allocated to individual loans and the entire portfolio is included in
impaired loans.
Loans are classified as accruing loans past due 90 days or more where
they are past due 90 days but where no impairment provision is
recognised. This category is used for fully collateralised non revolving
credit facilities.
2011 2010 2009
Core
£m
Non-Core
£m
Total
£m
Core
£m
Non-Core
£m
Total
£m
Group before
RFS MI
£m
Total
£m
Impaired loans
-UK 8,291 7,284 15,575 8,575 7,835 16,410 13,869 13,872
- overseas 7,015 16,157 23,172 4,936 14,355 19,291 17,942 21,153
15,306 23,441 38,747 13,511 22,190 35,701 31,811 35,025
Accruing loans past due 90 days or more
-UK 1,192 508 1,700 1,434 939 2,373 2,235 2,235
- overseas 364 34 398 262 262 524 943 989
1,556 542 2,098 1,696 1,201 2,897 3,178 3,224
Total REIL 16,862 23,983 40,845 15,207 23,391 38,598 34,989 38,249
REIL as a % of gross loans and advances (1) 4.4% 30.1% 8.6% 3.7% 20.8% 7.3% 6.1% 5.4%
Closing provision for impairment as a
% of total REIL (1) 50% 48% 49% 52% 44% 47% 44% 46%
Note:
(1) Includes assets of disposal groups and loans excluding reverse repos.
Potential problem loans
Potential problem loans (PPL) are loans for which an impairment event has taken place but no impairment provision is required. This category is used
for fully collateralised advances which are not past due 90 days or revolving credit facilities where identification as 90 days overdue is not feasible.
2011
£m
2010
£m
2009
£m
Potential problem loans 739 633 1,009
Both REIL and PPL are reported gross and take no account of the value of any security held which could reduce the eventual loss should it occur, nor of
any provision marked. Therefore impaired assets which are highly collateralised, such as mortgages, will have a low coverage ratio of provisions held
against the reported impaired balance.