RBS 2012 Annual Report Download - page 197

195
Balance sheet analysis
Credit risk assets analysed on the pages 163 to 167 are reported internally to senior management. However, they exclude certain exposures, primarily
securities and reverse repurchase agreements, and take account of legal netting agreements, that provide a right of legal set-off but do not meet the
criteria for offset in IFRS. The table below is therefore provided to supplement the credit risk assets analysis and other analysis to reconcile to the
balance sheet grossed up for disposal groups.
Financial assets
Exposure summary
The table below analyses the Group’s financial asset exposures, both gross and net of offset arrangements.
Gross
exposure
IFRS
offset (1)
Carrying
value
Non-IFRS
offset (2)
Exposure
post offset
2012 £m £m £m £m £m
Cash and balances at central banks 79,308 — 79,308 — 79,308
Reverse repos 143,207 (38,377) 104,830 (17,439) 87,391
Lending (3) 464,691 (1,460) 463,231 (34,941) 428,290
Debt securities 164,624 — 164,624 — 164,624
Equity shares 15,237 — 15,237 — 15,237
Derivatives (4) 815,394 (373,476) 441,918 (408,004) 33,914
Settlement balances 8,197 (2,456) 5,741 (1,760) 3,981
Other financial assets 924 — 924 — 924
Total 1,691,582 (415,769) 1,275,813 (462,144) 813,669
Short positions (27,591) — (27,591) — (27,591)
Net of short positions 1,663,991 (415,769) 1,248,222 (462,144) 786,078
2011
Cash and balances at central banks 79,396 — 79,396 — 79,396
Reverse repos 138,539 (37,605) 100,934 (15,246) 85,688
Lending (3) 517,474 — 517,474 (41,129) 476,345
Debt securities 209,080 — 209,080 — 209,080
Equity shares 15,188 — 15,188 — 15,188
Derivatives (4) 1,074,548 (544,491) 530,057 (478,848) 51,209
Settlement balances 9,144 (1,359) 7,785 (2,221) 5,564
Other financial assets 1,309 — 1,309 — 1,309
Total 2,044,678 (583,455) 1,461,223 (537,444) 923,779
Short positions (41,039) — (41,039) — (41,039)
Net of short positions 2,003,639 (583,455) 1,420,184 (537,444) 882,740
2010
Cash and balances at central banks 57,198 — 57,198 — 57,198
Reverse repos 135,105 (39,986) 95,119 (10,712) 84,407
Lending (3) 566,323 — 566,323 (44,801) 521,522
Debt securities 217,480 — 217,480 — 217,480
Equity shares 22,218 — 22,218 — 22,218
Derivatives (4) 882,803 (450,578) 432,225 (361,493) 70,732
Settlement balances 14,182 (2,022) 12,160 (1,539) 10,621
Other financial assets 1,306 — 1,306 — 1,306
Total 1,896,615 (492,586) 1,404,029 (418,545) 985,484
Short positions (43,118) — (43,118) — (43,118)
Net of short positions 1,853,497 (492,586) 1,360,911 (418,545) 942,366
Notes:
(1) Relates to offset arrangements that comply with IFRS criteria and to transactions cleared through and novated to central clearing houses, primarily London Clearing House and US Government
Securities Clearing Corporation.
(2) This reflects the amount by which the Group’s credit risk exposure is reduced through arrangements, such as master netting agreements, which give the Group a legal right to set off the financial
asset against a financial liability due to the same counterparty. In addition, the Group holds collateral in respect of individual loans and advances to banks and customers. This collateral includes
mortgages over property (both personal and commercial); charges over business assets such as plant, inventories and trade debtors; and guarantees of lending from parties other than the borrower.
The Group obtains collateral in the form of securities relating to reverse repurchase agreements. Cash and securities are received as collateral in respect of derivative transactions..
(3) Lending non-IFRS offset includes cash collateral posted against derivative liabilities of £24.6 billion, (2011 - £31.4 billion; 2010 - £31.0 billion) and cash management pooling of £10.3 billion, (2011 -
£9.7 billion; 2010 - £13.8 billion).
(4) Derivative non-IFRS offset includes cash collateral received against derivative assets of £34.1 billion (2011 - £37.2 billion; 2010 - £31.1 billion). Refer to page 220.
Business review Risk and balance sheet management continued