RBS 2012 Annual Report Download - page 252

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Business review Risk and balance sheet management continued
Market risk: VaR non-trading portfolios continued
Structured credit portfolio
The structured credit portfolio is within Non-Core. The risk in this portfolio is not disclosed using VaR, as the Group believes this is not an appropriate
tool for the banking book portfolio, which comprises illiquid debt securities. These assets are reported on a drawn notional and fair value basis, and
managed on a third party asset and risk-weighted assets basis. The table below shows the open market risk in the structured credit portfolio.
Drawn notional Fair value
CDOs (1) CLOs (2) MBS (3) Other ABS (4) Total CDOs (1) CLOs (2) MBS (3) Other ABS (4) Total
2012 £m £m £m £m £m £m £m £m £m £m
1-2 years — — — 80 80 — — — 74 74
3-4 years — — 27 82 109 — — 24 76 100
4-5 years — — 95 — 95 — — 86 — 86
5-10 years — 310 92 — 402 — 295 44 — 339
>10 years 289 279 380 398 1,346 116 256 253 254 879
289 589 594 560 2,032 116 551 407 404 1,478
2011
1-2 years — — — 27 27 — — — 22 22
2-3 years — — 10 196 206 — — 9 182 191
4-5 years — 37 37 95 169 — 34 30 88 152
5-10 years 32 503 270 268 1,073 30 455 184 229 898
>10 years 2,180 442 464 593 3,679 766 371 291 347 1,775
2,212 982 781 1,179 5,154 796 860 514 868 3,038
2010
1-2 years — — — 47 47 — — — 42 42
2-3 years 85 19 44 98
246 81 18 37 91 227
3-4 years — 41 20 205 266 — 37 19 191 247
4-5 years 16 — — — 16 15 —
— — 15
5-10 years 98 466 311 437 1,312 87 422 220 384 1,113
>10 years 412 663 584 550 2,209 161 515 397 367 1,440
611 1,189 959 1,337 4,096 344 992 673 1,075 3,084
Notes:
(1) Collateralised debt obligations.
(2) Collateralised loan obligations.
(3) Mortgage-backed securities.
(4) Asset-backed securities.
Key point
x The structured credit portfolio drawn notional and fair values declined across all asset classes from 31 December 2011 to 31 December 2012. Key
drivers were: (i) during the first half of 2012, the liquidation of legacy trust preferred securities and commercial real estate CDOs and subsequent
sale of the underlying assets; and (ii) during the second half of 2012, the sale of underlying assets from CDO collateral pools and legacy conduits.
Market risk capital*
Minimum capital requirements
The following table analyses the market risk minimum capital requirement, calculated in accordance with Basel 2.5.
2012 2011
£m £m
Interest rate position risk requirement 254 1,107
Equity position risk requirement 1 3
Option position risk requirement 26 26
Commodity position risk requirement 2 2
Foreign currency position risk requirement 12 10
Specific interest rate risk of securitisation positions 156 250
Total (standard method) 451 1,398
Pillar 1 model based position risk requirement 2,959 3,725
Total position risk requirement 3,410 5,123
*unaudited