RBS 2011 Annual Report Download - page 182

180 RBS Group 2011
Risk management: Credit risk continued
Balance sheet analysis: Asset-backed securities by product, geography and measurement classification continued
FVTPL (1)
US UK Europe RoW Total HFT (2) DFV (3) AFS (4) LAR (5)
2010 £m £m £m £m £m £m £m £m £m
Gross exposure
RMBS: government sponsored or
similar 24,207 16 6,422 — 30,645 13,840 — 16,805 —
RMBS: prime 1,784 3,385 1,118 192 6,479 1,605 1 4,749 124
RMBS: non-conforming 1,249 2,107 92 — 3,448 708 — 1,313 1,427
RMBS: sub-prime 792 365 139 221 1,517 819 — 496 202
MBS: covered bond 138 208 8,525 — 8,871 — — 8,871 —
CMBS 3,086 1,451 912 45 5,494 2,646 120 1,409 1,319
CDOs 12,156 128 453 — 12,737 7,951 — 4,687 99
CLOs 6,038 134 879 9 7,060 1,062 — 5,572 426
ABS covered bond — — 1,908 — 1,908 — — 1,908 —
Other ABS 3,104 1,144 963 1,705 6,916 1,533 — 2,615 2,768
52,554 8,938 21,411 2,172 85,075 30,164 121 48,425 6,365
Carrying value
RMBS: government sponsored or
similar 24,390 16 5,958 — 30,364 13,765 — 16,599 —
RMBS: prime 1,624 3,000 931 192 5,747 1,384 1 4,249 113
RMBS: non-conforming 1,084 1,959 92 — 3,135 605 — 1,102 1,428
RMBS: sub-prime 638 255 120 205 1,218 681 — 344 193
MBS: covered bond 142 208 7,522 — 7,872 — — 7,872 —
CMBS 2,936 1,338 638 38 4,950 2,262 118 1,281 1,289
CDOs 3,135 69 254 — 3,458 1,341 — 2,021 96
CLOs 5,334 102 635 3 6,074 691 — 4,958 425
ABS covered bond — — 1,861 — 1,861 — — 1,861 —
Other ABS 2,780 945 754 1,667 6,146 1,259 — 2,228 2,659
42,063 7,892 18,765 2,105 70,825 21,988 119 42,515 6,203
Net exposure
RMBS: government sponsored or
similar 24,390 16 5,958 — 30,364 13,765 — 16,599 —
RMBS: prime 1,523 2,948 596 192 5,259 897 1 4,248 113
RMBS: non-conforming 1,081 1,959 92 — 3,132 602 — 1,102 1,428
RMBS: sub-prime 289 253 112 176 830 305 — 332 193
MBS: covered bond 142 208 7,522 — 7,872 — — 7,872 —
CMBS 1,823 1,336 458 38 3,655 1,188 10 1,230 1,227
CDOs 1,085 39 245 — 1,369 743 — 530 96
CLOs 1,387 102 629 1 2,119 673 — 1,021 425
ABS covered bond — — 1,861 — 1,861 — — 1,861 —
Other ABS 2,293 748 748 1,659 5,448 690 — 2,220 2,538
34,013 7,609 18,221 2,066 61,909 18,863 11 37,015 6,020
For notes relating to this table refer to page 181.
Business review Risk and balance sheet management continued