RBS 2011 Annual Report Download - page 185

RBS Group 2011 183
Non-investment grade and unrated ABS
The table below summarises the carrying values by accounting classification of non-investment grade or not publicly rated ABS.
Non-investment grade Unrated
HFT AFS LAR Total HFT AFS LAR Total
2011 £m £m £m £m £m £m £m £m
RMBS: G10 governments — 21 — 21 — — — —
RMBS: prime 312 417 54 783 148 — — 148
RMBS: non-conforming 279 372 7 658 28 — — 28
RMBS: sub-prime 387 9 — 396 146 — — 146
CMBS 307 10 98 415 56 — — 56
CDOs 116 1,215 40 1,371 130 40 — 170
CLOs 131 — 44 175 284 139 — 423
Other ABS 150 12 511 673 12 70 182 264
1,682 2,056 754 4,492 804 249 182 1,235
2010
RMBS: prime 354 535 11 900 196 — — 196
RMBS: non-conforming 389 414 6 809 52 — — 52
RMBS: sub-prime 437 21 — 458 76 — — 76
CMBS 198 17 81 296 — — — —
CDOs 691 1,151 21 1,863 85 — — 85
CLOs 239 5 88 332 267 329 — 596
Other ABS 148 17 100 265 191 162 345 698
2,456 2,160 307 4,923 867 491 345 1,703
2009
RMBS: prime 120 430 8 558 — 1 — 1
RMBS: non-conforming 253 341 — 594 — 2 — 2
RMBS: sub-prime 339 240 — 579 153 — — 153
CMBS 89 3 55 147 1 — 1 2
CDOs 487 300 62 849 143 119 — 262
CLOs 269 359 8 636 207 523 — 730
Other ABS 78 63 11 152 270 134 395 799
1,635 1,736 144 3,515 774 779 396 1,949