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9
RBS – Interim Results 2015
Appendix 1 Capital and risk management
Leverage exposure (continued)
Weighted undrawn commitments*
Ulste
r
Commercial Private Central
UK PBB Bank Banking Banking CIB items CFG RCR Total
30 June 2015 £bn £bn £bn £bn £bn £bn £bn £bn £bn
Unconditionally cancellable items (1) 3.2 0.4 1.2 0.1 3.6 2.6 1.8 - 12.9
Items with a 20% CCF 0.1 - 0.4 - 2.0 0.1 0.3 - 2.9
Items with a 50% CCF 5.4 0.6 15.0 0.7 22.5 0.8 7.9 0.3 53.2
Items with a 100% CCF 0.1 0.1 2.2 0.4 7.7 3.6 1.4 0.2 15.7
8.8 1.1 18.8 1.2 35.8 7.1 11.4 0.5 84.7
31 December 2014
Unconditionally cancellable items (1) 3.1 0.1 1.0 0.2 2.4 - 1.8 - 8.6
Items with a 20% CCF 0.4 - 0.7 0.1 3.2 - 0.4 - 4.8
Items with a 50% CCF 4.8 1.0 9.8 1.4 36.8 1.6 7.8 0.5 63.7
Items with a 100% CCF 0.1 0.3 2.2 0.8 10.2 3.9 1.5 0.3 19.3
8.4 1.4 13.7 2.5 52.6 5.5 11.5 0.8 96.4
Note:
(1) Based on a 10% credit conversion factor.
Risk-weighted assets*
The tables below analyse the movement in RWAs on the end-point CRR basis during H1 2015, by key
drivers.
Credit risk RWAs
Non-counterparty Counterparty Total
£bn £bn £bn
A
t 1 January 2015 264.7 30.4 295.1
Foreign exchange movement (3.5) 0.1 (3.4)
Business movements (12.9) (3.3) (16.2)
Risk parameter changes (4.1) - (4.1)
Methodology changes (0.2) - (0.2)
Model updates 0.7 (0.1) 0.6
Other changes 0.3 0.4 0.7
At 30 June 2015 245.0 27.5 272.5
Modelled (1) 143.7 24.2 167.9
Non-modelled 101.3 3.3 104.6
245.0 27.5 272.5
Market risk RWAs Operational
CIB Othe
r
Total risk RWAs Total
£bn £bn £bn £bn £bn
A
t 1 January 2015 18.9 5.1 24.0 36.8 60.8
Business and market movements (0.8) (0.9) (1.7) (5.2) (6.9)
At 30 June 2015 18.1 4.2 22.3 31.6 53.9
Modelled (1) 15.4 3.3 18.7 - 18.7
Non-modelled 2.7 0.9 3.6 31.6 35.2
18.1 4.2 22.3 31.6 53.9
Note:
(1) Modelled refers to advanced internal ratings (AIRB) basis for non-counterparty credit risk, internal model method (IMM) for counterparty credit risk, and value-at-risk and
related models for market risk. These principally relate to CIB (£71.8 billion) and Commercial Banking (£50.5 billion).
*Not within the scope of Deloitte LLP’s review report