RBS 2011 Annual Report Download - page 184

182 RBS Group 2011
Risk management: Credit risk continued
Balance sheet analysis: Asset-backed securities continued
The table below summarises the rating levels of ABS carrying values. Credit ratings are based on those from rating agencies Standard & Poor’s (S&P),
Moody’s and Fitch and have been mapped onto the S&P scale.
RMBS (1)
Government
sponsored
or similar (2) Prime
Non-
conforming Sub-prime
MBS
covered
bond CMBS (3) CDOs (4) CLOs (5)
ABS
covered
bond
Other
ABS Total
2011 £m £m £m £m £m £m £m £m £m £m £m
AAA 4,169 3,599 1,488 105 2,595 647 135 2,171 625 1,622 17,156
AA to AA+ 29,252 669 106 60 379 710 35 1,533 321 550 33,615
Ato AA- 131 506 110 104 2,567 1,230 161 697 100 725 6,331
BBB- to A- — 39 288 93 1,979 333 86 341 — 1,321 4,480
Non-investment grade 21 784 658 396 — 415 1,370 176 — 672 4,492
Unrated — 148 29 146 — 56 170 423 — 263 1,235
33,573 5,745 2,679 904 7,520 3,391 1,957 5,341 1,046 5,153 67,309
2010
AAA 28,835 4,355 1,754 317 7,107 2,789 444 2,490 988 2,156 51,235
AA to AA+ 1,529 147 144 116 357 392 567 1,786 681 616 6,335
Ato AA- —67 60 212 408 973 296 343 192 693 3,244
BBB- to A- —82 316 39 — 500 203 527 — 1,718 3,385
Non-investment grade —900 809 458 — 296 1,863 332 — 265 4,923
Unrated —196 52 76 — — 85 596 — 698 1,703
30,364 5,747 3,135 1,218 7,872 4,950 3,458 6,074 1,861 6,146 70,825
2009
AAA 33,779 9,211 1,981 578 8,645 3,441 615 2,718 1,933 2,166 65,067
AA to AA+ 125 676 197 121 360 599 944 4,365 267 1,288 8,942
Ato AA- —507 109 306 67 1,022 254 607 — 1,014 3,886
BBB- to A- —547 160 87 — 298 944 260 — 1,947 4,243
Non-investment grade —558 594 579 — 147 849 636 — 152 3,515
Unrated — 1 2 153 — 2 262 730 — 799 1,949
33,904 11,500 3,043 1,824 9,072 5,509 3,868 9,316 2,200 7,366 87,602
Notes:
(1) Residential mortgage-backed securities.
(2) Includes US agency and Dutch government guaranteed securities.
(3) Commercial mortgage-backed securities.
(4) Collateralised debt obligations.
(5) Collateralised loan obligations.
Key points
xCarrying value of total ABS decreased by £3.5 billion during 2011.
US government sponsored RMBS increased by £3.6 billion,
reflecting a move towards G10 governments generally, partially off-
set by decrease in European exposure. There were reductions
across all other portfolios.
xThe decrease in AAA rated debt securities mainly relates to the
downgrading of US government and agencies to AA+ by S&P during
the year.
xCDOs and CLOs decreased by £2.2 billion principally reflecting
asset reductions in Non-Core.
xThe decrease in CMBS of £1.6 billion, primarily reflecting
restructuring of certain monoline exposures.
xThe average mark of total ABS was 83%, broadly the same as 2010
and 2009.
Business review Risk and balance sheet management continued