rbs201105066k9.htm
 
FORM 6-K
SECURITIES AND EXCHANGE COMMISSION
Washington D.C. 20549

 
 
Report of Foreign Private Issuer
 
Pursuant to Rule 13a-16 or 15d-16
of the Securities Exchange Act of 1934
 
For May 6, 2011
 
Commission File Number: 001-10306

 
The Royal Bank of Scotland Group plc

 
RBS, Gogarburn, PO Box 1000
Edinburgh EH12 1HQ

 
(Address of principal executive offices)
 
 
Indicate by check mark whether the registrant files or will file annual reports under cover of Form 20-F or Form 40-F.
 
Form 20-F X
  
Form 40-F ___
 
Indicate by check mark if the registrant is submitting the Form 6-K in paper as permitted by Regulation S-T Rule 101(b)(1):_________

 
Indicate by check mark if the registrant is submitting the Form 6-K in paper as permitted by Regulation S-T Rule 101(b)(7):_________


Indicate by check mark whether the registrant by furnishing the information contained in this Form is also thereby furnishing the information to the Commission pursuant to Rule 12g3-2(b) under the Securities Exchange Act of 1934.


Yes
   ___
No X
 
 
If "Yes" is marked, indicate below the file number assigned to the registrant in connection with Rule 12g3-2(b): 82- ________

 
 
The following information was issued as a Company announcement in London, England and is furnished pursuant to General Instruction B to the General Instructions to Form 6-K:

 
 
 
 
Appendix 2
 
Asset Protection Scheme
 
 
 

Appendix 2 Asset Protection Scheme
Covered assets roll forward
The table below shows the movement in covered assets.
 
Covered 
 amount
 
£bn 
   
Covered assets at 30 September 2010
205.4 
Disposals
(3.0)
Maturities, amortisation and early repayments
(8.3)
Effect of foreign currency movements and other adjustments
0.6 
   
Covered assets at 31 December 2010
194.7 
Disposals
(1.4)
Maturities, amortisation and early repayments
(10.6)
Effect of foreign currency movements and other adjustments
(0.9)
   
Covered assets at 31 March 2011
181.8 
 
Key points
·
The reduction in covered assets was due to run-off of the portfolio, disposals, early repayments, maturing loans and the amortisation of consumer finance assets in line with the Scheme rules.
   
·
The Group took advantage of market conditions and executed sales from a number of its portfolios.
 
Credit impairments and write downs
The table below analyses the cumulative credit impairment losses and adjustments to par value (including available-for-sale reserves) relating to the covered assets.
 
 
31 March 
2011 
31 December 
2010 
 
£m 
£m 
     
Loans and advances
18,799 
18,033 
Debt securities
11,085 
11,747 
Derivatives
1,826 
2,043 
     
 
31,710 
31,823 
     
By division:
    
UK Retail
3,053 
2,964 
UK Corporate
1,703 
1,382 
Ulster Bank
1,040 
804 
     
Retail & Commercial
5,796 
5,150 
Global Banking & Markets
1,445 
1,496 
     
Core
7,241 
6,646 
Non-Core
24,469 
25,177 
     
 
31,710 
31,823 
 
Key point
·
Cumulative credit impairments and write-downs decreased by £0.1 billion in the quarter, primarily reflecting a decrease due to exchange rate movements (£0.4 billion) and Non-Core disposals (£0.1 billion) partially offset by an increase in further impairments and write-downs (£0.4 billion).


 
Appendix 2 Asset Protection Scheme (continued)
First loss utilisation
Definitions of triggered amounts and other related aspects are set out in the Group's 2010 Annual Report and Accounts. The table below summarises the triggered amount and related cash recoveries by division.
 
31 March 2011
  
31 December 2010
 
Triggered 
 amount  
Cash 
recoveries 
 to date 
Net 
triggered 
 amount 
  
 
Triggered 
 amount 
Cash 
recoveries 
 to date 
Net 
triggered 
 amount 
 
£m 
£m 
£m 
  
£m 
£m 
£m 
               
UK Retail
3,789 
514 
3,275 
  
3,675 
455 
3,220 
UK Corporate
5,573 
1,404 
4,169 
  
4,640 
1,115 
3,525 
Ulster Bank
1,659 
216 
1,443 
  
1,500 
160 
1,340 
               
Retail & Commercial
11,021 
2,134 
8,887 
  
9,815 
1,730 
8,085 
Global Banking & Markets
2,692 
808 
1,884 
  
2,547 
749 
1,798 
               
Core
13,713 
2,942 
10,771 
  
12,362 
2,479 
9,883 
Non-Core
31,991 
5,269 
26,722 
  
32,138 
4,544 
27,594 
               
 
45,704 
8,211 
37,493 
  
44,500 
7,023 
37,477 
               
Loss credits
    
1,468 
      
1,241 
               
     
38,961 
      
38,718 
 
Key points
·
The Group received loss credits in relation to some of the withdrawals and disposals of £0.2 billion during Q1 2011. The Group and the Asset Protection Agency remain in discussion with regard to loss credits in relation to the withdrawal of £0.5 billion of derivative assets during Q2 2010 and the disposal of £0.6 billion of structured finance and leveraged finance assets.
   
·
The Group currently expects recoveries on triggered amounts to be approximately 45% over the life of the relevant assets. On this basis, the expected loss on triggered assets at 31 March 2011 is approximately £25 billion (42%) of the £60 billion first loss threshold under APS.
 
Risk-weighted assets
The table below analyses by division, risk-weighted assets (RWAs) covered by APS.
 
 
31 March 
2011 
31 December 
2010 
 
£bn 
£bn 
     
UK Retail
11.4 
12.4 
UK Corporate
21.5 
22.9 
Ulster Bank
7.4 
7.9 
     
Retail & Commercial
40.3 
43.2 
Global Banking & Markets
11.1 
11.5 
     
Core
51.4 
54.7 
Non-Core
47.0 
50.9 
     
APS RWAs
98.4 
105.6 
 
Key point
·
The decrease of £7.2 billion in APS RWAs principally reflects pool movements, partially offset by changes in risk parameters.


 
 
 

 
Signatures


 
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.







 
 
Date: 6 May 2011
 
THE ROYAL BANK OF SCOTLAND GROUP plc (Registrant)
 
 
 
By:
/s/ Jan Cargill
 
 
Name:
Title:
Jan Cargill
Deputy Secretary