RBS 2012 Annual Report Download - page 216

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Business review Risk and balance sheet management continued
Balance sheet analysis: Debt securities continued
Product, geography and IFRS measurement classification
US UK Europe RoW Total HFT DFV AFS LAR
2012 £m £m £m £m £m £m £m £m £m
Gross exposure
RMBS: government sponsored or
similar 22,162 — 5,366 18 27,546 13,961 — 13,585 —
RMBS: prime 819 2,821 1,181 403 5,224 753 509 3,876 86
RMBS: non-conforming 595 2,077 58 — 2,730 202 — 1,235 1,293
RMBS: sub-prime 968 99 66 5 1,138 1,027 — 5 106
MBS: covered bond 46 172 6,129 — 6,347 — — 6,347 —
CMBS 3,352 1,121 671 35,147 1,992 — 2,327 828
CDOs 4,002 42 404 — 4,448 3,111 — 1,307 30
CLOs 2,705 44 787 — 3,536 1,049 — 2,422 65
ABS covered bond — 132 374 16 522 — — 522 —
Other ABS 1,632 1,873 1,111 306 4,922 1,667 7 1,774 1,474
36,281 8,381 16,147 75161,560 23,762 516 33,400 3,882
Carrying value
RMBS: government sponsored or
similar 22,460 — 4,879 18 27,357 13,959 — 13,398 —
RMBS: prime 717 2,552 912 390 4,571 569 509 3,420 73
RMBS: non-conforming 477 1,918 58 — 2,453 150 — 1,009 1,294
RMBS: sub-prime 660 73 46 5 784 682 — — 102
MBS: covered bond 48 204 5,478 — 5,730 — — 5,730 —
CMBS 3,274 821 425 3 4,523 1,489 — 2,284 750
CDOs 480 22 218 — 720 104 — 589 27
CLOs 2,550 12 464 — 3,026 697 — 2,266 63
ABS covered bond — 137 380 16 533 — — 533 —
Other ABS 1,401 1,263 929 295 3,888 969 7 1,514 1,398
32,067 7,002 13,789 727 53,585 18,619 516 30,743 3,707
Net exposure
RMBS: government sponsored or
similar 22,460 — 4,879 18 27,357 13,959 — 13,398 —
RMBS: prime 513 2,549 911 383 4,356 554 509 3,221 72
RMBS: non-conforming 277 1,908 58 — 2,243 110 — 839 1,294
RMBS: sub-prime 417 73 46 4 540 439 — — 101
MBS: covered bond 48 204 5,478 — 5,730 — — 5,730 —
CMBS 2,535 821 425 3 3,784 750 — 2,284 750
CDOs 162 22 212 1397 79 — 290 28
CLOs 879 12 459 — 1,350 639 — 648 63
ABS covered bond — 137 380 16 533 — — 533 —
Other ABS 1,257 1,170 929 163 3,519 601 7 1,513 1,398
28,548 6,896 13,777 588 49,809 17,131 516 28,456 3,706