RBS 2012 Annual Report Download - page 214

212
Business review Risk and balance sheet management continued
Balance sheet analysis: Debt securities continued
Central and local government
2010
UK
£m
US
£m
Other
£m
Banks
£m
Other financial
institutions
£m
Corporate
£m
Total
£m
Total (2)
%
Of which
ABS (1)
£m
Total
AAA 13,486 38,009 44,123 10,704 39,388 878 146,588 67 51,235
AA to AA+ — — 18,025 3,511 6,023 616 28,175 13 6,335
A to AA- — — 9,138 4,926 2,656 1,155 17,875 8 3,244
BBB- to A- — — 2,845 1,324 3,412 2,005 9,586 5 3,385
Non-investment grade — — 1,770 1,528 5,522 2,425 11,245 5 4,923
Unrated — — 54 480 2,552 925 4,011 2 1,703
13,486 38,009 75,955 22,473 59,553 8,004 217,480 100 70,825
Core
AAA 13,110 37,698 44,10110,532 35,595 839 141,875 70 47,441
AA to AA+ — — 18,025 3,485 3,242 612 25,364 13 3,656
A to AA- — — 9,138 4,420 1,605 1,089 16,252 8 1,879
BBB- to A- — — 2,845 1,050 1,412 1,903 7,210 4 1,108
Non-investment grade — — 1,464 1,444 3,658 2,014 8,580 4 3,052
Unrated — — 53 420 1,375 768 2,616 1 978
13,110 37,698 75,626 21,351 46,887 7,225 201,897 100 58,114
Non-Core
AAA 376 311 22 172 3,793 39 4,713 30 3,794
AA to AA+ — — — 26 2,781 4
2,811 18 2,679
A to AA- — — — 506 1,051 66 1,623 11 1,365
BBB- to A- — — — 274 2,000 102 2,376 15 2,277
Non-investment grade — — 306 84 1,864 411 2,665 17 1,871
Unrated — — 160 1,177 157 1,395 9
725
376 311 329 1,122 12,666 779 15,583 100 12,711
Notes:
(1) Asset-backed securities.
(2) Percentage calculated on Group before RFS MI.
Key points
x AAA rated debt securities decreased as France and Austria were
downgraded to AA+ in the first half of 2012 and also reflected the
Group’s reduced holdings of UK government bonds. Additionally,
certain Spanish covered bonds were downgraded in the first half of
2012.
x The decrease in A to AA- debt securities related to downgrades of
Italy and Spain to BBB+ and BBB- respectively, in the first half of
2012, along with a downgrade of selected banks.
x Non-investment grade and unrated debt securities decreased by
£2.2 billion and accounted for 4% of the portfolio.