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RBS 2011 Annual Report Download - page 181

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RBS Group 2011 179

Asset-backed securities by product, geography and measurement classification

FVTPL (1)

US UK Europe RoW Total HFT (2) DFV (3) AFS (4) LAR (5)

2011 £m £m £m £m £m £m £m £m £m

Gross exposure

RMBS: government sponsored or

similar 27,549 — 5,884 2 33,435 15,031 — 18,404 —

RMBS: prime 1,201 3,487 1,541 484 6,713 1,090 567 4,977 79

RMBS: non-conforming 1,220 2,197 74 — 3,491 717 — 1,402 1,372

RMBS: sub-prime 1,847 427 94 2 2,370 2,183 — 22 165

MBS: covered bond 133 203 8,256 — 8,592 — — 8,592 —

CMBS 1,623 1,562 883 1 4,069 2,001 — 862 1,206

CDOs 7,889 72 469 — 8,430 4,455 — 3,885 90

CLOs 5,019 156 1,055 — 6,230 1,294 — 4,734 202

ABS covered bond 21 71 948 4 1,044 — — 1,044 —

Other ABS 2,085 1,844 1,746 992 6,667 1,965 17 2,389 2,296

48,587 10,019 20,950 1,485 81,041 28,736 584 46,311 5,410

Carrying value

RMBS: government sponsored or

similar 28,022 — 5,549 2 33,573 15,132 — 18,441 —

RMBS: prime 1,035 3,038 1,206 466 5,745 872 558 4,243 72

RMBS: non-conforming 708 1,897 74 — 2,679 327 — 980 1,372

RMBS: sub-prime 686 144 72 2 904 737 — 9 158

MBS: covered bond 136 209 7,175 — 7,520 — — 7,520 —

CMBS 1,502 1,253 635 1 3,391 1,513 — 716 1,162

CDOs 1,632 31 294 — 1,957 315 — 1,555 87

CLOs 4,524 98 719 — 5,341 882 — 4,280 179

ABS covered bond 19 70 953 4 1,046 — — 1,046 —

Other ABS 1,715 947 1,525 966 5,153 1,038 — 1,945 2,170

39,979 7,687 18,202 1,441 67,309 20,816 558 40,735 5,200

Net exposure

RMBS: government sponsored or

similar 28,022 — 5,549 2 33,573 15,132 — 18,441 —

RMBS: prime 825 3,456 1,005 458 5,744 447 557 4,668 72

RMBS: non-conforming 677 2,225 74 — 2,976 284 — 1,320 1,372

RMBS: sub-prime 385 138 67 2 592 434 — — 158

MBS: covered bond 136 209 7,175 — 7,520 — — 7,520 —

CMBS 860 1,253 543 1 2,657 777 — 718 1,162

CDOs 1,030 31 294 — 1,355 304 — 964 87

CLOs 1,367 98 712 — 2,177 827 — 1,171 179

ABS covered bond 19 70 952 4 1,045 — — 1,045 —

Other ABS 1,456 843 1,527 804 4,630 617 — 1,941 2,071

34,777 8,323 17,898 1,271 62,269 18,822 557 37,788 5,101

For notes relating to this table refer to page 181.