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Credit and counterparty risk information

 
Refer to credit and counterparty risk management for a description on where and how credit risk is assumed in our operations. The tables that follow provide an analysis of our credit and counterparty exposures. 
 

An analysis of gross credit and counterparty exposures
Credit and counterparty exposures increased by 10.3% to £40.1 billion largely as a result of an increase in fixed income investments and core loans and advances. Cash and near cash balances increased by 2.2% to £9.3 billion and are largely reflected in the following line items in the table below: debt instruments; bank placements and sovereign, government placements. 
 
Audited
£’000		 31 March
2011		 31 March
2010		 % change Average*
On-balance sheet exposures 36 479 737 33 424 983 9.1% 34 952 362
         
Securitisation exposures arising from securitisation/principal finance activities 2 071 151 1 753 645 18.1% 1 912 398
Rated instruments 712 783 546 469 30.4% 629 626
Unrated instruments 224 264 203 032 10.5% 213 648
Other 1 134 104 1 004 144 12.9% 1 069 124
Debt instruments – non-sovereign (NCDs, bonds held, debentures) 3 174 000 2 209 936 43.6% 2 691 968
Bank placements 3 173 678 3 293 211 (3.6)% 3 233 445
Sovereign, government placements 5 127 371 4 867 650 5.3% 4 997 511
Call facilities (non-bank entities) 535 983 502 036 6.8% 519 010
Trading exposures (positive fair value excluding potential future exposures) 3 120 144 2 597 731 20.1% 2 858 938
Other credit exposures 207 802 103 636 >100% 155 719
Gross core loans and advances to customers** 19 069 608 18 097 138 5.4% 18 583 373
Off-balance sheet exposures 3 651 759 2 948 037 23.9% 3 299 898
Guarantees^ 553 231 345 363 60.2% 449 297
Contingent liabilities, committed facilities, other 3 098 528 2 602 674 19.1% 2 850 601
Total gross credit and counterparty exposures pre collateral or other credit enhancements 40 131 496 36 373 020 10.3% 38 252 260
* Where the average is based on a straight line average.
** Please refer to calculation.
^ Excludes guarantees provided to clients which are backed/secured by cash on deposit with the bank.
 
An analysis of gross credit and counterparty exposures
  
An analysis of gross credit and counterparty exposures
 
An analysis of gross credit and counterparty exposures by geography
  UK and Europe Southern Africa Australia Total
Audited
£’000		 31 March
2011		 31 March
2010		 31 March
2011		 31 March
2010		 31 March
2011		 31 March
2010		 31 March
2011		 31 March
2010
               
On-balance sheet exposures 13 135 516 12 637 394 20 019 930 17 648 464 3 324 291 3 139 125 36 479 737 33 424 983
               
Securitisation exposures arising from securitisation/principal finance activities 1 641 153 1 387 876 363 648 296 860 66 350 68 909 2 071 151 1 753 645
Rated instruments 391 295 316 046 255 138 161 514 66 350 68 909 712 783 546 469
Unrated instruments 194 798 168 497 29 466 34 535 – – 224 264 203 032
Other 1 055 060 903 333 79 044 100 811 – – 1 134 104 1 004 144
Debt instruments (NCDs, bonds held, debentures) 623 807 205 834 1 783 175 1 402 311 767 018 601 791 3 174 000 2 209 936
Bank placements 1 666 304 1 674 188 1 410 902 1 549 090 96 472 69 933 3 173 678 3 293 211
Sovereign, government placements 1 585 366 2 348 319 3 386 868 2 013 550 155 137 505 781 5 127 371 4 867 650
Call facilities (non-bank entities) – – 535 983 502 036 – – 535 983 502 036
Trading exposures (positive fair value excluding potential future exposures) 1 816 236 1 467 111 1 222 240 1 090 364 81 668 40 256 3 120 144 2 597 731
Other credit exposures 70 883 17 311 82 942 86 325 53 977 – 207 802 103 636
Gross core loans and advances to customers 5 731 767 5 536 755 11 234 172 10 707 928 2 103 669 1 852 455 19 069 608 18 097 138
Off-balance sheet exposures 730 962 442 116 2 716 051 2 337 012 204 746 168 909 3 651 759 2 948 037
Guarantees 11 982 9 948 501 312 294 969 39 937 40 446 553 231 345 363
Contingent liabilities, committed facilities, other 718 980 432 168 2 214 739 2 042 043 164 809 128 463 3 098 528 2 602 674
Total gross credit and counterparty exposures pre collateral or other credit enhancements 13 866 478 13 079 510 22 735 981 19 985 476 3 529 037 3 308 034 40 131 496 36 373 020
 
An analysis of gross credit and counterparty exposures by geography
  
 
A further analysis of our on-balance sheet credit and counterparty exposures
The table below indicates in which class of asset (on the face of the consolidated balance sheet) our on-balance sheet credit and counterparty exposures are reflected. Not all assets included in the balance sheet bear credit and counterparty risk. 
 
Audited
£’000		         Debt
instruments
non-
sovereign
(NCDs,
bonds held,
debentures)		 Bank
placements		 Sovereign,
government
placements		 Call facilities
(non-bank
entities)		 Trading
exposures
(positive
fair value
excluding
potential
future
exposures)		 Other credit
exposures		 Gross core
loans and
advances to
customers		 Total
credit and
counterparty
exposure		 Assets that
we deem
to have no
legal credit
exposure		 Note
reference		 Total
balance
sheet
       
Securitisation exposures arising from securitisation/principal finance activities
Total Rated
instruments		 Unrated
instruments		 Other
As at 31 March 2011                              
Cash and balances at central banks – – – – – 4 233 1 764 647 – 162 – – 1 769 042 36   1 769 078
Loans and advances to banks – – – – – 1 448 804 – – 19 899 2 – 1 468 705 –   1 468 705
Cash equivalent advances to customers – – – – – – – 535 983 – – – 535 983 –   535 983
Reverse repurchase agreements and cash collateral on securities borrowed – – – – 105 642 1 445 868 38 960 – 877 301 – – 2 467 771 4 1 2 467 775
Trading securities 47 373 26 441 20 932 – 924 756 – 2 475 325 – 468 288 5 933 – 3 921 675 1 192 647   5 114 322
Derivative financial instruments 7 521 – – 7 521 – – – – 1 546 092 – – 1 553 613 245 591   1 799 204
Investment securities 78 553 55 934 22 619 – 2 063 778 248 652 848 439 – 168 – – 3 239 590 89 019 1 3 328 609
Loans and advances to customers 1 207 475 604 161 99 525 503 789 79 824 – – – – 53 977 18 002 199 19 343 475 (584 951) 2 18 758 524
Loans and advances to customers – Kensington warehouse assets 619 246 – – 619 246 – – – – – – – 619 246 992 935 3 1 612 181
Securitised assets 107 435 26 247 81 188 – – – – – – – 1 067 409 1 174 844 3 749 449 4 4 924 293
Deferred taxation assets – – – – – – – – – – – – 114 838   114 838
Other assets 3 548 – – 3 548 – 26 121 – – 208 234 83 177 – 321 080 1 089 513   1 410 593
Interests in associated undertakings – – – – – – – – – – – – 23 481   23 481
Property and equipment – – – – – – – – – 64 713 – 64 713 215 088   279 801
Investment property – – – – – – – – – – – – 379 527   379 527
Goodwill – – – – – – – – – – – – 456 608   456 608
Intangible assets – – – – – – – – – – – – 136 452   136 452
Insurance assets – – – – – – – – – – – – 6 361 296   6 361 296
Total 2 071 151 712 783 224 264 1 134 104 3 174 000 3 173 678 5 127 371 535 983 3 120 144 207 802 19 069 608 36 479 737 14 461 533   50 941 270
As at 31 March 2010                              
Cash and balances at central banks – – – – – 3 914 2 334 273 – – – – 2 338 187 47   2 338 234
Loans and advances to banks – – – – – 2 754 037 – 319 27 079 195 – 2 781 630 –   2 781 630
Cash equivalent advances to customers – – – – – – – 501 717 – 79 400 – 581 117 –   581 117
Reverse repurchase agreements and cash collateral on securities borrowed – – – – 119 403 377 277 – – 414 752 – – 911 432 – 1 911 432
Trading securities 49 812 23 305 26 507 – 1 122 547 – 1 687 945 – 486 500 – – 3 346 804 874 841   4 221 645
Derivative financial instruments 22 769 – – 22 769 – – – – 1 321 333 – – 1 344 102 247 739   1 591 841
Investment securities 69 133 62 390 6 743 – 918 989 100 581 845 432 – – – – 1 934 135 61 938 1 1 996 073
Loans and advances to customers 800 389 375 027 10 085 415 277 – – – – – – 16 924 421 17 724 810 (310 119) 2 17 414 691
Loans and advances to customers – Kensington warehouse assets 555 307 – – 555 307 – – – – – – – 555 307 1 221 218 3 1 776 525
Securitised assets 248 710 85 747 159 697 3 266 – – – – – – 1 172 717 1 421 427 3 913 026 4 5 334 453
Deferred taxation assets – – – – – – – – – – – – 134 355   134 355
Other assets 7 525 – – 7 525 48 997 57 402 – – 348 067 24 041 – 486 032 754 592   1 240 624
Interests in associated undertakings – – – – – – – – – – – – 104 059   104 059
Property and equipment – – – – – – – – – – – – 161 255   161 255
Investment property – – – – – – – – – – – – 273 038   273 038
Goodwill – – – – – – – – – – – – 274 417   274 417
Intangible assets – – – – – – – – – – – – 36 620   36 620
Insurance assets – – – – – – – – – – – – 5 399 856   5 399 856
Total 1 753 645 546 469 203 032 1 004 144 2 209 936 3 293 211 4 867 650 502 036 2 597 731 103 636 18 097 138 33 424 983 13 146 882   46 571 865
1. Largely relates to exposures that are classified as equity risk in the banking book.
2. Largely relates to impairments and the impact of hedge accounting.
3. Whilst the group manages all risks (including credit risk) from a day-to-day operational perspective, these assets are within special purpose vehicles that ring fence the assets to specific credit providers and limits security to the assets in the vehicle. The table above reflects the net credit exposure in the vehicles that the group has reflected in the 'total credit and counterparty exposure' with the maximum credit exposure referenced to credit providers external to the group in the column headed ‘assets that we deem to have no credit exposure’.
4. Largely relates to net investments in Kensington securitised vehicles to which Investec has no direct exposure as discussed in the securitisation/principal finance activities and exposures. Also includes liquidity facilities provided to third party corporate securitisation vehicles in South Africa. These facilities have remained undrawn and are reflected as a contingent liability, i.e. off-balance sheet exposure of the bank. 
 
Detailed analysis of gross credit and counterparty exposures by industry
£’000 HNW and
professional
individuals		 Agriculture Electricity,
gas and
water (utility
services)		 Public and
non-
business
services		 Business
services		 Finance
and
insurance
(including
central
banks)		 Retailers
and
wholesalers		 Manu-
facturing
and
commerce		 Real estate Mining
and
resources		 Leisure,
entertain-
ment and
tourism		 Transport
and
communi-
cation		 Total
As at 31 March 2011                          
On-balance sheet exposures 13 602 632 72 302 370 907 5 717 112 439 371 11 128 990 556 802 1 148 292 2 077 872 314 855 303 814 746 788 36 479 737
Securitisation exposures arising from securitisation/principal finance activities – – – – – 808 211 – – 1 262 940 – – – 2 071 151
Rated instruments – – – – – 603 697 – – 109 086 – – – 712 783
Unrated instruments – – – – – 117 950 – – 106 314 – – – 224 264
Other – – – – – 86 564 – – 1 047 540 – – – 1 134 104
Debt instruments – non-sovereign (NCDs, bonds held, debentures) – – – – – 3 160 929 – – – – – 13 071 3 174 000
Bank placements – – – – – 3 173 678 – – – – – – 3 173 678
Sovereign, government placements – – – 5 127 371 – – – – – – – – 5 127 371
Call facilities (non-bank entities) – 9 250 – – 30 008 154 421 150 031 155 381 – 22 435 – 14 457 535 983
Trading exposures (positive fair value excluding potential future exposures) 8 340 78 18 449 367 422 17 244 2 493 094 50 071 13 485 114 236 11 442 4 506 21 777 3 120 144
Other credit exposures – – – 13 535 52 535 82 112 790 1 663 54 894 1 534 739 – 207 802
Gross core loans and advances to customers 13 594 292* 62 974 352 458 208 784 339 584 1 256 545 355 910 977 763 645 802 279 444 298 569 697 483 19 069 608
Off-balance sheet exposures 2 652 764 17 843 181 618 16 009 25 104 203 964 18 375 91 063 13 041 265 080 57 761 109 137 3 651 759
Guarantees 396 454 – 3 047 – 5 745 16 103 3 482 20 363 6 254 100 705 650 428 553 231
Contingent liabilities, committed facilities, other 2 256 310 17 843 178 571 16 009 19 359 187 861 14 893 70 700 6 787 164 375 57 111 108 709 3 098 528
Total gross credit and counterparty exposures pre collateral or other credit enhancements 16 255 396 90 145 552 525 5 733 121 464 475 11 332 954 575 177 1 239 355 2 090 913 579 935 361 575 855 925 40 131 496
As at 31 March 2010                          
On-balance sheet exposures 13 087 885 57 698 290 454 5 097 621 321 733 9 549 068 455 589 1 195 082 1 976 055 261 218 297 537 835 043 33 424 983
Securitisation exposures arising from securitisation/principal finance activities – – – – – 539 958 8 260 – 1 205 427 – – – 1 753 645
Rated instruments – – – – – 391 812 – – 154 657 – – – 546 469
Unrated instruments – – – – – 34 630 4 994 – 163 408 – – – 203 032
Other – – – – – 113 516 3 266 – 887 362 – – – 1 004 144
Debt instruments – non-sovereign (NCDs, bonds held, debentures) – – 20 663 – – 2 176 523 – – – – – 12 750 2 209 936
Bank placements – – – – – 3 293 211 – – – – – – 3 293 211
Sovereign, government placements – – – 4 867 650 – – – – – – – – 4 867 650
Call facilities (non-bank entities) – 4 535 – – 30 220 131 964 110 235 162 382 – 23 294 – 39 406 502 036
Trading exposures (positive fair value excluding potential future exposures) 21 972 926 20 298 – 68 716 2 257 000 61 921 23 612 81 508 38 342 5 092 18 344 2 597 731
Other credit exposures 3 129 – – 107 – 96 027 243 2 331 477 1 283 10 29 103 636
Gross core loans and advances to customers 13 062 784* 52 237 249 493 229 864 222 797 1 054 385 274 930 1 006 757 688 643 198 299 292 435 764 514 18 097 138
Off-balance sheet exposures 2 329 509 8 977 9 754 4 984 4 836 267 829 11 986 85 326 700 131 019 35 332 57 785 2 948 037
Guarantees 275 279 – 3 886 23 4 798 8 882 27 19 150 – 33 095 – 223 345 363
Contingent liabilities, committed facilities, other 2 054 230 8 977 5 868 4 961 38 258 947 11 959 66 176 700 97 924 35 332 57 562 2 602 674
Total gross credit and counterparty exposures pre collateral or other credit enhancements 15 417 394 66 675 300 208 5 102 605 326 569 9 816 897 467 575 1 280 408 1 976 755 392 237 332 869 892 828 36 373 020
* A further analysis of our Private Banking loan book is provided.
 
Summary analysis of gross credit and counterparty exposures by industry
Private Banking loans account for 72.0% of total core loans and advances, as represented by the industry classification 'HNW and professional individuals'. A description of the type of lending we undertake within the Private Bank, and a more detailed analysis of the Private Banking loan portfolio. The remainder of core loans and advances largely reside within our Capital Markets division and are evenly spread across industry sectors. A description of the type of lending we undertake within the Capital Markets division, and a more detailed analysis of the Capital Markets loan portfolio.

Other credit and counterparty exposures are largely reflective of cash and near cash balances held with institutions and central banks, thus the large balance reflected in the 'public and non-business services' and 'finance and insurance' sectors. These exposures also include off-balance sheet items such as guarantees, committed facilities and contingent liabilities, largely to our HNW and professional individual Private Banking clients. 
 
Breakdown of gross credit exposure by industry
  Gross core loans
and advances		 Other credit and
counterparty exposures		 Total
£’000 31 March
2011		 31 March
2010		 31 March
2011		 31 March
2010		 31 March
2011		 31 March
2010
HNW and professional individuals 13 594 292 13 062 784 2 661 104 2 354 610 16 255 396 15 417 394
Agriculture 62 974 52 237 27 171 14 438 90 145 66 675
Electricity, gas and water (utility services) 352 458 249 493 200 067 50 715 552 525 300 208
Public and non-business services 208 784 229 864 5 524 337 4 872 741 5 733 121 5 102 605
Business services 339 584 222 797 124 891 103 772 464 475 326 569
Finance and insurance (including central banks) 1 256 545 1 054 385 10 076 409 8 762 512 11 332 954 9 816 897
Retailers and wholesalers 355 910 274 930 219 267 192 645 575 177 467 575
Manufacturing and commerce 977 763 1 006 757 261 592 273 651 1 239 355 1 280 408
Real estate 645 802 688 643 1 445 111 1 288 112 2 090 913 1 976 755
Mining and resources 279 444 198 299 300 491 193 938 579 935 392 237
Leisure, entertainment and tourism 298 569 292 435 63 006 40 434 361 575 332 869
Transport and communication 697 483 764 514 158 442 128 314 855 925 892 828
Total 19 069 608 18 097 138 21 061 888 18 275 882 40 131 496 36 373 020
 
Gross credit and counterparty exposures by residual contractual maturity as at 31 March 2011
£’000 Up to 3
months		 3 to 6
months		 6 months
to 1 year		 1 to
5 years		 5 to
10 years		 >10 years Total
             
On-balance sheet exposures 12 375 955 1 978 841 3 340 875 10 264 850 3 012 492 5 506 724 36 479 737
Securitisation exposures arising from securitisation/principal finance activities – – 671 148 909 312 837 1 608 734 2 071 151
Rated instruments – – – 48 906 301 352 362 525 712 783
Unrated instruments – – 206 20 959 3 964 199 135 224 264
Other – – 465 79 044 7 521 1 047 074 1 134 104
Debt instruments – non-sovereign (NCDs, bonds held, debentures) 516 174 96 532 442 023 1 418 513 591 794 108 964 3 174 000
Bank placements 2 766 230 99 497 86 321 221 630 – – 3 173 678
Sovereign, government placements 3 979 239 473 896 80 163 203 888 71 681 318 504 5 127 371
Call facilities (non-bank entities) 535 983 – – – – – 535 983
Trading exposures (positive fair value excluding potential future exposures) 1 596 395 62 767 93 557 743 859 240 571 382 995 3 120 144
Other credit exposures 143 516 9 372 18 765 36 149 – – 207 802
Gross core loans and advances to customers 2 838 418 1 236 777 2 619 375 7 491 902 1 795 609 3 087 527 19 069 608
             
Off–balance sheet exposures 2 414 918 204 199 346 840 633 843 46 753 5 206 3 651 759
Guarantees 133 270 93 698 201 570 119 344 5 349 – 553 231
Contingent liabilities, committed facilities and other 2 281 648 110 501 145 270 514 499 41 404 5 206 3 098 528
             
Total gross credit and counterparty exposures pre collateral or other credit enhancements 14 790 873 2 183 040 3 687 715 10 898 693 3 059 245 5 511 930 40 131 496

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