RBS 2011 Annual Report Download - page 178

176 RBS Group 2011
Risk management: Credit risk continued
Balance sheet analysis: Debt securities continued
Central and local government
2010
UK
£m
US
£m
Other
£m
Banks
£m
Other
financial
institutions
£m
Corporate
£m
Total
£m
Total (2)
%
Of which
ABS (1)
£m
Total
AAA 13,486 38,009 44,123 10,704 39,388 878 146,588 67 51,235
AA to AA+ — — 18,025 3,511 6,023 616 28,175 13 6,335
Ato AA- — — 9,138 4,926 2,656 1,155 17,875 8 3,244
BBB- to A- — — 2,845 1,324 3,412 2,005 9,586 5 3,385
Non-investment grade — — 1,770 1,528 5,522 2,425 11,245 5 4,923
Unrated — — 54 480 2,552 925 4,011 2 1,703
13,486 38,009 75,955 22,473 59,553 8,004 217,480 100 70,825
Core
AAA 13,110 37,698 44,101 10,532 35,595 839 141,875 70 47,441
AA to AA+ — — 18,025 3,485 3,242 612 25,364 13 3,656
Ato AA- — — 9,138 4,420 1,605 1,089 16,252 8 1,879
BBB- to A- — — 2,845 1,050 1,412 1,903 7,210 4 1,108
Non-investment grade — — 1,464 1,444 3,658 2,014 8,580 4 3,052
Unrated — — 53 420 1,375 768 2,616 1 978
13,110 37,698 75,626 21,351 46,887 7,225 201,897 100 58,114
Non-Core
AAA 376 311 22 172 3,793 39 4,713 30 3,794
AA to AA+ — — — 26 2,781 4 2,811 18 2,679
Ato AA- — — — 506 1,051 66 1,623 11 1,365
BBB- to A- — — — 274 2,000 102 2,376 15 2,277
Non-investment grade — — 306 84 1,864 411 2,665 17 1,871
Unrated — — 1 60 1,177 157 1,395 9 725
376 311 329 1,122 12,666 779 15,583 100 12,711
2009
AAA 26,601 28,210 44,155 13,208 49,363 4,021 165,558 66 65,067
AA to AA+ — — 22,003 4,225 9,602 1,474 37,304 15 8,942
Ato AA- — — 13,161 3,425 4,563 1,526 22,675 9 3,886
BBB- to A- — — 3,847 788 4,727 1,738 11,100 5 4,243
Non-investment grade — — 353 159 3,937 1,630 6,079 2 3,515
Unrated — — 509 232 3,586 2,052 6,379 3 1,949
Group before RFS MI 26,601 28,210 84,028 22,037 75,778 12,441 249,095 100 87,602
RFS MI 721 183 11,871 3,803 675 906 18,159 580
Group 27,322 28,393 95,899 25,840 76,453 13,347 267,254 88,182
Notes:
(1) Asset-backed securities.
(2) Percentage calculated on Group before RFS MI.
Key points
xThe decrease in AAA rated debt securities relates to the
downgrading of US government and agencies to AA+ by S&P during
the year.
xThe proportion of debt securities rated A to AA- increased to 18%,
principally reflecting the Japanese government downgrade in 2011.
xNon-investment grade and unrated debt securities accounted for 5%
of the debt securities portfolio at 31 December 2011, down from 7%
in the prior year.
Business review Risk and balance sheet management continued