RBS 2011 Annual Report Download - page 191

RBS Group 2011 189
2010
Notional:
protected
assets
£m
Fair value:
reference
protected
assets
£m
Gross
exposure
£m
Credit
valuation
adjustment
£m
Hedges
£m
Net
exposure
£m
Ato AA- 6,336 5,503 833 272 — 561
Non-investment grade 8,555 5,365 3,190 2,171 71 948
14,891 10,868 4,023 2,443 71 1,509
Of which:
CMBS 4,149 2,424 1,725 1,253
CDOs 1,133 256 877 593
CLOs 6,724 6,121 603 210
Other ABS 2,393 1,779 614 294
Other 492 288 204 93
14,891 10,868 4,023 2,443
2009
Ato AA- 7,143 5,875 1,268 378 — 890
Non-investment grade 12,598 7,696 4,902 3,418 531 953
19,741 13,571 6,170 3,796 531 1,843
Of which:
CMBS 4,253 2,034 2,219 1,562
CDOs 2,284 797 1,487 1,059
CLOs 10,007 8,584 1,423 641
Other ABS 2,688 1,861 827 412
Other 509 295 214 122
19,741 13,571 6,170 3,796
Key points
xThe exposure to monolines declined during the year, primarily due to the restructuring of some our exposures, partially offset by lower prices of
underlying reference instruments.
xThe CVA decreased in line with the reduction in exposure partially offset by the impact of wider credit spreads.
xThe reduction in the Group’s RWA requirements was driven by the decrease in exposure to monolines.*
Anumber of debt instruments with monoline protection were reclassified
from HFT to AFS in 2008. Changes in the fair value of these securities
since the reclassification are recognised in the income statement to the
extent that they are considered to be impaired. Changes in the fair value
of the related monoline CDSs continue to be recorded in the income
statement.
The fair value of these reclassified debt securities at 31 December 2011
was £4,453 million (1 July 2008 - £5,071 million after adjusting for both
principal based cash flows and foreign exchange effects between 1 July
2008 and 31 December 2011). As a result of these reclassifications, total
cumulative losses of £254 million have not been recognised in the
income statement.