RBS 2011 Annual Report Download - page 183

RBS Group 2011 181
FVTPL (1)
US UK Europe RoW Total HFT (2) DFV (3) AFS (4) LAR (5)
2009 £m £m £m £m £m £m £m £m £m
Gross exposure
RMBS: government sponsored or
similar 26,644 17 7,016 94 33,771 13,536 — 20,235 —
RMBS: prime 2,965 5,276 4,567 222 13,030 6,274 147 5,761 848
RMBS: non-conforming 1,341 2,138 128 — 3,607 635 — 1,498 1,474
RMBS: sub-prime 1,668 724 195 561 3,148 1,632 17 1,020 479
MBS: covered bond 49 297 9,019 — 9,365 — — 9,365 —
CMBS 3,422 1,781 1,420 75 6,698 2,936 209 1,842 1,711
CDOs 12,382 329 571 27 13,309 9,080 1 3,923 305
CLOs 9,092 166 2,169 1,173 12,600 5,346 — 6,581 673
ABS covered bond — — 2,206 — 2,206 — — 2,206 —
Other ABS 3,587 1,980 2,825 1,569 9,961 2,912 18 3,046 3,985
61,150 12,708 30,116 3,721 107,695 42,351 392 55,477 9,475
Carrying value
RMBS: government sponsored or
similar 26,984 17 6,870 33 33,904 13,397 — 20,507 —
RMBS: prime 2,696 4,583 4,009 212 11,500 5,133 141 5,643 583
RMBS: non-conforming 958 1,957 128 — 3,043 389 — 1,180 1,474
RMBS: sub-prime 977 314 146 387 1,824 779 17 704 324
MBS: covered bond 50 288 8,734 — 9,072 — — 9,072 —
CMBS 3,237 1,305 924 43 5,509 2,279 216 1,637 1,377
CDOs 3,275 166 400 27 3,868 2,064 1 1,600 203
CLOs 6,736 112 1,469 999 9,316 3,296 — 5,500 520
ABS covered bond — — 2,200 — 2,200 — — 2,200 —
Other ABS 2,886 1,124 2,169 1,187 7,366 1,483 19 2,421 3,443
47,799 9,866 27,049 2,888 87,602 28,820 394 50,464 7,924
Net exposure
RMBS: government sponsored or
similar 26,984 17 6,870 33 33,904 13,397 — 20,507 —
RMBS: prime 2,436 3,747 3,018 172 9,373 3,167 142 5,480 584
RMBS: non-conforming 948 1,957 128 — 3,033 379 — 1,180 1,474
RMBS: sub-prime 565 305 137 290 1,297 529 17 427 324
MBS: covered bond 50 288 8,734 — 9,072 — — 9,072 —
CMBS 2,245 1,228 595 399 4,467 1,331 203 1,556 1,377
CDOs 743 124 382 26 1,275 521 1 550 203
CLOs 1,636 86 1,104 39 2,865 673 — 1,672 520
ABS covered bond — — 2,200 — 2,200 — — 2,200 —
Other ABS 2,117 839 2,131 1,145 6,232 483 19 2,421 3,309
37,724 8,591 25,299 2,104 73,718 20,480 382 45,065 7,791
Notes:
(1) Fair value through profit or loss.
(2) Held-for-trading.
(3) Designated as at fair value.
(4) Available-for-sale.
(5) Loans and receivables.