RBS 2012 Annual Report Download - page 253

RBS GROUP 2012
251
The principal contributors to the Pillar 1 model based position risk requirement (PRR) are:
2012
Average (1) Maximum (1) Minimum (1) Period end 2011
£m £m £m £m £m
Value-at-risk (VaR) (1) 939 1,190 757 825 887
Stressed VaR (SVaR) 1,523 1,793 1,160 1,226 1,682
Incremental risk charge (IRC) 521 659 372 467 469
All price risk (APR) 149 290 12 12 297
Note:
(1) The average, maximum and minimum are based on the monthly Pillar 1 model based capital requirements.
Key points
x The FSA approved the inclusion of the Group’s US trading
subsidiary RBS Securities Inc. in the regulatory models in March
2012. This resulted in the model-based charges for VaR, SVaR and
IRC increasing at that time and the standardised interest rate PRR
decreasing significantly.
x SVaR decreased during the remainder of 2012, due to the disposal
of assets in Non-Core and general de-risking in sovereign and
agency positions in Markets.
x The APR decreased significantly due to the disposal of assets and
unwinding of trades.
IRC by rating and product category
The following table analyses the IRC by rating and product.
Internal ratings
2012
AAA
£m
AA
£m
A
£m
BBB
£m
BB
£m
B
£m
CCC
£m
Total (1)
£m
Product categories
Cash - ABS 59.2 — — (0.1) (0.9) — — 58.2
Cash - regular 39.5 146.9 9.8 59.9 8.6 16.9 12.7 294.3
Derivatives - credit (0.3) (14.0)4.0 30.4 28.4 5.6 (2.7) 51.4
Derivatives - interest rate (1.0) — 1.5 0.1 (2.1) (0.3) — (1.8)
Other 13.8 — — — — — — 13.8
Total 111.2 132.9 15.3 90.3 34.0 22.2 10.0 415.9
Note:
(1) The figures presented are based on the spot IRC charge at 31 December 2012 and will therefore not agree with the IRC position risk requirement, as this is based on the 60 day average. The figures
presented above are in capital terms.
Securitisation positions in the trading book
The following table analyses the trading book securitised exposures, by rating, subject to a market risk capital requirement.
Ratings (1)
AAA
2012 £m
AA
£m
A
£m
BBB
£m
BB
£m
Below BB
£m
Total (1,2)
£m
STD PRR (3)
%
Capital
deductions
£m
Trading book securitisation charge 15.5 7.4 15.2 35.3 75.8 6.2 155.4 36.6 1,369.6
Notes:
(1) Based on S&P ratings.
(2) Excludes the capital deductions.
(3) Percentage of total standardised position risk requirement.