RBS 2011 Annual Report Download - page 237

RBS Group 2011 235
Structured credit portfolios
Drawn notional Fair value
CDOs CLOs MBS (1) Other ABS Total CDOs CLOs MBS (1) Other ABS Total
2011 £m £m £m £m £m £m £m £m £m £m
1-2 years — — — 27 27 — — — 22 22
2-3 years — — 10 196 206 — — 9 182 191
4-5 years — 37 37 95 169 — 34 30 88 152
5-10 years 32 503 270 268 1,073 30 455 184 229 898
>10 years 2,180 442 464 593 3,679 766 371 291 347 1,775
2,212 982 781 1,179 5,154 796 860 514 868 3,038
2010
1-2 years ———47 47 — — — 42 42
2-3 years 85 19 44 98 246 81 18 37 91 227
3-4 years —41 20 205 266 — 37 19 191 247
4-5 years 16 — — — 16 15 — — — 15
5-10 years 98 466 311 437 1,312 87 422 220 384 1,113
>10 years 412 663 584 550 2,209 161 515 397 367 1,440
611 1,189 959 1,337 4,096 344 992 673 1,075 3,084
2009
1-2 years ———81 81 — — — 68 68
2-3 years 40 — — 19 59 24 — — 18 42
3-4 years 19 18 42 99 178 16 17 31 76 140
4-5 years 17 47 36 332 432 3 41 29 275 348
5-10 years 107 685 424 521 1,737 90 594 251 394 1,329
>10 years 594 1,114 820 573 3,101 193 896 468 325 1,882
777 1,864 1,322 1,625 5,588 326 1,548 779 1,156 3,809
Note:
(1) Mortgage-backed securities (MBS) include sub-prime residential mortgage-backed securities (RMBS) with a drawn notional amount of £401 million (31 December 2010 - £471 million) and a fair value
of £252 million (31 December 2010 - £329 million), all with residual maturities of greater than 10 years.
The structured credit portfolio is within Non-Core. The risk on this portfolio is not measured or disclosed using VaR, as the Group believes this is not an
appropriate tool for the banking book portfolio, which comprises illiquid debt securities. These assets are reported on a drawn notional and fair value
basis, and managed on a third party asset and RWA basis.
Key Points
xThe increase in total and collateralised debt obligation (CDO) drawn
notional year-on-year is due to the inclusion of banking book
exposures that were previously hedged by monoline protection. As a
result of the restructuring of some monoline protection, those
previously protected assets are now reported on a drawn notional
and fair value basis.
xThe overall reduction in collateralised loan obligation (CLO), MBS
and other ABS drawn notional is due to the amortisations and pay-
downs over the year in line with expected amortisation profiles. In
addition to this, fair value has declined due to falling market prices.