RBS 2012 Annual Report Download - page 225

RBS GROUP 2012
223
Credit derivative product companies (CDPCs)
A summary of the Group's exposure to CDPCs, all of which are in Non-Core, is detailed below.
2012 2011 2010
£m £m £m
Gross exposure to CDPCs 554 1,896 1,244
Valuation adjustment (314)(1,034)(490)
Net exposure to CDPCs 240 862 754
Valuation adjustment as a % of gross exposure 57% 55% 39%
Counterparty and credit risk RWAs* £2.0bn £8.4bn £7.2bn
Capital deductions — £245m £280m
The table below details CDPC exposures by rating.
2012
Notional:
protected
assets
£m
Fair value:
reference
protected
assets
£m
Gross
exposure
£m
Valuation
adjustment
£m
Net
exposure
£m
AAA 43 43 — — —
A to AA- 619 612 7 7 —
Non-investment grade 16,254 15,841 413 173 240
Unrated 4,073 3,939 134 134 —
20,989 20,435 554 314 240
2011
AAA 213 212 1 — 1
A to AA- 646 632 14 3 11
Non-investment grade 19,671 18,151 1,520 788 732
Unrated 3,974 3,613 361 243 118
24,504 22,608 1,896 1,034 862
2010
AAA 213 212 1 — 1
BBB- to A- 644 629 15 4 11
Non-investment grade 20,066 19,050 1,016 401 615
Unrated 4,165 3,953 212 85 127
25,088 23,844 1,244 490 754
Key points
x The exposure to CDPCs decreased during the year primarily driven
by tighter credit spreads of the underlying reference loans and
bonds together with a decrease in the relative value of senior
tranches compared with the underlying reference portfolio and the
impact of restructuring certain exposures in the first half of the year.
x The valuation adjustment decreased on an absolute basis in line
with the decrease in exposure while remaining stable on a relative
basis.
*unaudited