RBS 2014 Annual Report Download - page 145

10
RBS – Interim Results 2015
Appendix 1 Capital and risk management
Risk-weighted assets* (continued)
The table below analyses the movement in end-point CRR RWAs by segment during the half year.
Ulste
r
Commercial Private Central
UK PBB Bank Banking Banking CIB items CFG RC
R
Total
Total RWAs £bn £bn £bn £bn £bn £bn £bn £bn £bn
A
t 1 January 2015 42.8 23.8 64.0 11.5 107.1 16.3 68.4 22.0 355.9
Foreign exchange movement - (1.5) (0.3) 0.1 (1.0) - (0.3) (0.4) (3.4)
Business movements (0.6) (0.4) 1.1 (0.8) (18.3) (0.6) 1.7 (5.2) (23.1)
Risk parameter changes (1) (1.3) (0.7) (0.2) - 0.3 (0.2) - (2.0) (4.1)
Methodology changes (2) - - (0.2) - -- - -(0.2)
Model updates (3) (0.2) - - - 1.4 (0.6) - -0.6
Other changes 0.3 - 2.5 (1.0) (1.5) 0.4 - -0.7
At 30 June 2015 41.0 21.2 66.9 9.8 88.0 15.3 69.8 14.4 326.4
Credit risk
- non-counterparty 32.0 19.6 60.7 8.2 38.6 14.1 64.0 7.8 245.0
- counterparty - 0.1 - - 22.9 0.6 0.9 3.0 27.5
Market risk - - - 0.1 18.1 0.1 - 4.0 22.3
Operational risk 9.0 1.5 6.2 1.5 8.4 0.5 4.9 (0.4) 31.6
Total RWAs 41.0 21.2 66.9 9.8 88.0 15.3 69.8 14.4 326.4
Key points
• RWAs fell by £29.5 billion to £326.4 billion in the first half of 2015 principally in CIB and RCR.
• CIB reduced RWAs by £19 billion to £88 billion in line with expected business run-off as it implemented
the new strategy. These reductions included:
○ regional loan portfolio disposals and run-offs (£6.8 billion), including US corporate loan portfolio
sales to Mizuho (£3.2 billion);
○ US asset-backed product exit (£2.3 billion);
○ other trading portfolio disposals (£2.1 billion);
○ restructuring of certain derivative transactions (£1.7 billion); and
○ run down of the trade finance in GTS in line with contractual maturities (£3.2 billion).
• RCR disposal and run-off strategy continued to progress, resulting in RWA reductions of £7.6 billion.
• Improvements in credit quality metrics contributed to RWA decreases in Ulster Bank and UK PBB.
• Sterling strengthening against the euro and US dollar resulted in lower RWAs in Ulster Bank and CIB.
• Commercial Banking RWAs at 30 June 2015 included the transfer of UK Corporate coverage from CIB
(£2.3 billion) and Private Banking RBSI (£1.5 billion).
•
A
nnual recalculation of operational risk resulted in a £5.2 billion RWA reduction, primarily £3.4 billion in
CIB and £0.4 billion in both UK PBB and Private Banking.
• In terms of RWA density for AIRB portfolios:
○ other sovereign density decreased from 25% to 17% following the sale of term loans in RCR;
○ non-bank financial institution density increased from 38% to 45% primarily reflecting close-out of a
large low risk-weighted exposure and implementation of new LGD and PD models;
○ commercial property RWA density increased overall principally due to the impact of RCR disposals,
including defaulted assets; and
○ the increase in RWA density for oil and gas and mining and metal sectors reflected implementation
of the new large corporate PD model for mining exposures.
*Not within the scope of Deloitte LLP’s review report