RBS 2012 Annual Report Download - page 414

412
Notes on the consolidated accounts continued
12 Financial instruments - maturity analysis
Remaining maturity
The following table shows the residual maturity of financial instruments, based on contractual date of maturity.
2012 2011 2010
Less than
12 months
More than
12 months Total
Less than
12 months
More than
12 months Total
Less than
12 months
More than
12 months Total
£m £m £m £m £m £m £m £m £m
Assets
Cash and balances at central banks 79,290 — 79,290 79,269 — 79,269 56,997 17 57,014
Loans and advances to banks 63,143 808 63,951 80,905 2,405 83,310 98,789 1,729 100,518
Loans and advances to customers 197,855 302,280 500,135 197,338 318,268 515,606 199,626 355,634 555,260
Debt securities 26,363 131,075 157,438 45,311 163,769 209,080 42,678 174,802 217,480
Equity shares — 15,232 15,232 — 15,183 15,183 — 22,198 22,198
Settlement balances 5,741 — 5,741 7,767 4 7,771 11,605 — 11,605
Derivatives 51,021 390,882 441,903 60,250 469,368 529,618 65,639 361,438 427,077
Liabilities
Deposits by banks 90,704 10,701 101,405 100,499 8,305 108,804 95,241 3,549 98,790
Customer accounts 494,405 26,874 521,279 487,428 15,527 502,955 492,609 18,084 510,693
Debt securities in issue 20,296 74,296 94,592 68,889 93,732 162,621 94,048 124,324 218,372
Settlement balances and short
positions 8,573 24,896 33,469 15,248 33,268 48,516 16,981 37,128 54,109
Derivatives 51,503 382,830 434,333
61,734 462,249 523,983 71,306 352,661 423,967
Subordinated liabilities 2,351 24,422 26,773 624 25,695 26,319 964 26,089 27,053
Assets and liabilities by contractual cash flow maturity
The tables below show the contractual undiscounted cash flows
receivable and payable, up to a period of 20 years, including future
receipts and payments of interest of on-balance sheet assets by
contractual maturity. The balances in the following table do not agree
directly with the consolidated balance sheet, as the table includes all
cash flows relating to principal and future coupon payments, presented
on an undiscounted basis. The tables have been prepared on the
following basis:
The contractual maturity of on-balance sheet assets and liabilities
highlights the maturity transformation which underpins the role of banks
to lend long-term, but to fund themselves predominantly by short-term
liabilities such as customer deposits. This is achieved through the
diversified funding franchise of the Group across an extensive retail,
wealth and SME customer base, and across a wide geographic network.
In practice, the behavioural profiles of many assets and liabilities exhibit
greater stability and longer maturity than the contractual maturity.
Financial assets have been reflected in the time band of the latest date
on which they could be repaid, unless earlier repayment can be
demanded by the Group. Financial liabilities are included at the earliest
date on which the counterparty can require repayment, regardless of
whether or not such early repayment results in a penalty. If the
repayment of a financial instrument is triggered by, or is subject to,
specific criteria such as market price hurdles being reached, the asset is
included in the time band that contains the latest date on which it can be
repaid, regardless of early repayment. The liability is included in the time
band that contains the earliest possible date on which the conditions
could be fulfilled, without considering the probability of the conditions
being met.
For example, if a structured note is automatically prepaid when an equity
index exceeds a certain level, the cash outflow will be included in the less
than three months period, whatever the level of the index at the year end.
The settlement date of debt securities in issue, issued by certain
securitisation vehicles consolidated by the Group, depends on when cash
flows are received from the securitised assets. Where these assets are
prepayable, the timing of the cash outflow relating to securities assumes
that each asset will be prepaid at the earliest possible date. As the
repayments of assets and liabilities are linked, the repayment of assets in
securitisations is shown on the earliest date that the asset can be
prepaid, as this is the basis used for liabilities.
The principal amounts of financial assets and liabilities that are repayable
after 20 years or where the counterparty has no right to repayment of the
principal are excluded from the table, as are interest payments after 20
years.
Held-for-trading assets and liabilities- held-for-trading assets of £666.5
billion and liabilities of £628.2 billion (2011 - £763.3 billion assets and
£708.0 billion liabilities; 2010 - £665.0 billion assets and £586.1 billion
liabilities) have been excluded from the following tables in view of their
short-term nature.