RBS 2008 Annual Report Download - page 127

Business review continued
RBS Group Annual Report and Accounts 2008126
RMBS
Non Prime
Sub-prime conforming Guaranteed Other CMBS CDOs/CLOs Other ABS Total
2007 (1) £m £m £m £m £m £m £m £m
Carrying value: credit rating and classification
AAA rated (2)
Held-for-trading 1,790 2,093 15,502 12,952 3,285 12,067 3,495 51,184
Available-for-sale 139 865 16,545 10,313 964 2,152 5,073 36,051
Designated at fair value ———72 37 7—116
1,929 2,958 32,047 23,337 4,286 14,226 8,568 87,351
BBB- and above rated (2)
Held-for-trading 2,476 530 — 557 574 1,509 1,077 6,723
Available-for-sale ———18 12 1 208 239
Loans and receivables ————626 ——626
Designated at fair value 2————17 — 19
2,478 530 — 575 1,212 1,527 1,285 7,607
Non-investment grade (2)
Held-for-trading 616 146 — 27 35 1,082 91 1,997
Available-for-sale ——————14 14
Loans and receivables 5—————72 77
Designated at fair value 16 ——————16
637 146 — 27 35 1,082 177 2,104
Not publicly rated
Held-for-trading 191 144 125 131 22 819 1,095 2,527
Available-for-sale —————20 284 304
Designated at fair value ————— 2186 188
191 144 125 131 22 841 1,565 3,019
Total
Held-for-trading 5,073 2,913 15,627 13,667 3,916 15,477 5,758 62,431
Available-for-sale 139 865 16,545 10,331 976 2,173 5,579 36,608
Loans and receivables 5———626 — 72 703
Designated at fair value 18 ——72 37 26 186 339
Total 5,235 3,778 32,172 24,070 5,555 17,676 11,595 100,081
Of which:
Level 2 (3) 5,171 3,598 32,172 24,070 4,929 15,926 11,393 97,259
Level 3 (4) 59 180 ———1,750 130 2,119
5,230 3,778 32,172 24,070 4,929 17,676 11,523 99,378
Notes:
(1) Carrying values at 31 December 2007 above include ABN AMRO’s liquidity portfolio of £18.6 billion of ABS which were part of shared assets then; this portfolio was transferred to RBS Group
Treasury in the first half of 2008.
(2) Credit ratings are based on those from rating agencies Standard & Poor’s (S&P), Moody’s and Fitch and have been mapped onto S&P scale
(3) Valuation is based significantly on observable market data. Instruments in this category are valued using:
– quoted prices for similar instruments or identical instruments in markets which are not considered to be active; or
– valuation techniques where all the inputs that have a significant effect on the valuation are directly or indirectly based on observable market data.
(4) Instruments in this category have been valued using a valuation technique where at least one input which could have a significant effect on the instrument’s valuation is not based on observable
market data.