RBS 2012 Annual Report Download - page 207

RBS GROUP 2012
205
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
a master 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 following table and
are set out on pages 210 to 212.
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%
Loans and advances
Banks Customers
Cash and
balances at
central banks
Reverse
repos
Derivative
cash
collateral Other Total
Reverse
repos
Derivative
cash
collateral Other Total
Settlement
balances and
other financial
assets Derivatives Commitments
Contingent
liabilities Total
2012 £m £m £m £m £m £m £m £m £m £m £m £m £m £m
Total
AQ1 78,039 17,806 3,713 10,913 32,432 42,963 15,022 39,734 97,719 2,671 100,652 63,785 8,113 383,411
AQ2 12 3,556 4,566 526 8,648 710704 13,101 14,515 185 108,733 20,333 2,810 155,236
AQ3 1,156 5,703 2,241 2,757 10,701 2,886 3,917 25,252 32,055 539 152,810 23,727 7,431 228,419
AQ4 100 6,251 1,761 2,734 10,746 14,079 2,144 104,060 120,283 1,202 58,705 40,196 5,736 236,968
AQ5 — 1,183 469 787 2,439 8,163 679 92,147 100,989 659 13,244 28,165 2,598 148,094
AQ6 — 282 39 357 678 86 50 40,096 40,232 73 2,175 13,854 1,380 58,392
AQ7 — 2 — 236 238 1,133 12 36,223 37,368 191 3,205 19,219 1,275 61,496
AQ8 — — — 68 68 4 2 12,812 12,818 8 262 5,688 185 19,029
AQ9 1 — — 93 93 23 7 17,431 17,461 137 1,360 1,363 95 20,510
AQ10 — — — — — — — 807 807 1 772 1,454 238 3,272
Past due — — — — — — 249 10,285 10,534 999 — — — 11,533
Impaired — — — 134 134 — — 38,365 38,365 — — — — 38,499
Impairment
provision — — — (114)(114)—— (21,148)(21,148)— — — — (21,262)
Group 79,308 34,783 12,789 18,491 66,063 70,047 22,786 409,165 501,998 6,665 441,918 217,784 29,861 1,343,597
Core
AQ1 78,003 17,806 3,713 10,519 32,038 42,963 15,022 32,268 90,253 2,671 99,882 62,440 7,822 373,109
AQ2 12 3,556 4,566 521 8,643 710704 10,551 11,965 185 108,107 20,207 2,792 151,911
AQ3 1,046 5,703 2,241 2,738 10,682 2,886 3,917 21,688 28,491 539 152,462 23,392 7,419 224,031
AQ4 100 6,251 1,761 2,729 10,741 14,079 2,144 99,771 115,994 1,202 57,650 39,832 5,648 231,167
AQ5 — 1,183 469 785 2,437 8,163 679 87,429 96,271 659 12,082 27,501 2,508 141,458
AQ6 — 282 39 356 677 86 50 36,891 37,027 73 1,476 13,140 1,353 53,746
AQ7 — 2 — 186 188 1,133 12 32,032 33,177 191 2,536 17,824 949 54,865
AQ8 — — — 68 68 4 2 10,731 10,737 8 247 5,607 146 16,813
AQ9 1 — — 93 93 — 7 14,979 14,986 137 979 1,088 93 17,377
AQ10 — — — — — — — 684 684 1 448 832 149 2,114
Past due — — — — — — 249 9,528 9,777 991 — — — 10,768
Impaired — — — 133 133 — — 17,418 17,418 — — — — 17,551
Impairment
provision — — — (113)(113)—— (9,949)(9,949)— — — — (10,062)
Group 79,162 34,783 12,789 18,015 65,587 70,02422,786 364,021 456,831 6,657 435,869 211,863 28,879 1,284,848