RBS 2012 Annual Report Download - page 159

Credit risk
Introduction 158
Top and emerging credit risks 158
Objectives, organisation and governance 159
Credit risk management framework 160
Risk appetite and concentration risk management 160
Product/asset class 160
Sector concentration 161
Single-name concentration 161
Country 161
Controls and assurance 161
Credit risk measurement
– Probability of default/customer credit grade 162
– Exposure at default models 162
– Loss given default models 162
– Changes to wholesale credit risk models 162
Credit risk assets 163
– Divisional analysis 163
– Sector and geographical regional analyses 164
– Asset quality 166
Credit risk mitigation 168
– Approaches and methodologies 168
– Secured portfolios 168
Corporate exposures 168
Commercial real estate 169
Other corporate 169
– Wholesale market exposures 170
– Retail 170
Residential mortgages 170
Early problem identification and problem debt management 172
– Wholesale customers 172
Early problem recognition 172
Watchlist 172
Global Restructuring Group 172
– Wholesale renegotiations 173
Wholesale renegotiations during the year by sector 174
Renegotiation arrangements 174
Provisioning for wholesale renegotiated customers 175
Recoveries and active insolvency management 175
– Retail customers 176
Collections and recoveries 176
Retail forbearance 176
Identification of forbearance 176
Types of retail forbearance 176
Arrears status and provisions 177
Forbearance arrangements 177
Unsecured portfolios 179
Provisioning for retail customers 179
– Impairment loss provision methodology 179
Key credit portfolios 181
– Commercial real estate 181
– Residential mortgages 186
– Personal lending 189
– Ulster Bank Group (Core and Non-Core) 190
Business review
Risk and balance sheet management
Contents
157