RBS 2012 Annual Report Download - page 219

RBS GROUP 2012
217
Ratings
The table below summarises the rating levels of ABS carrying values.
RMBS
Government
sponsored
or similar (1)Prime
Non-
conforming Sub-prime
MBS
covered
bond CMBS CDOs CLOs
ABS
covered
bond
Other
ABS Total
2012 £m £m £m £m £m £m £m £m £m £m £m
AAA 2,454 2,854 1,487 11 639 396 92 1,181 165 1,479 10,758
AA to AA+ 23,692 613 88 26 102 2,551 7 887 340 469 28,775
A to AA- 201 302 275 33 155 808 74 146 20 883 2,897
BBB- to A- 990 53 141 86 4,698 441 32 291 8 654 7,394
Non-investment grade (2) 20 641 454 330 136 304 421 133 — 235 2,674
Unrated (3) — 108 8 298 — 23 94 388 — 168 1,087
27,357 4,571 2,453 784 5,730 4,523 720 3,026 533 3,888 53,585
Of which in Non-Core — 651 404 154 — 780 494 2,228 — 850 5,561
2011
AAA 4,169 3,599 1,488 105 2,595 647 135 2,171 625 1,622 17,156
AA to AA+ 29,252 669 106 60 379 710 35 1,533 321 550 33,615
A to AA- 131 506
110 104 2,567 1,230 161 697 100 725 6,331
BBB- to A- — 39 288 93 1,979 333 86 341 — 1,321 4,480
Non-investment grade (2) 21 784 658 396 — 415 1,370 176 — 672 4,492
Unrated (3) — 148 29 146 — 56 170 423 — 263 1,235
33,573 5,745 2,679 904 7,520 3,391 1,957 5,341 1,046 5,153 67,309
Of which in Non-Core — 837 477 308 — 830 1,656 4,227 — 1,861 10,196
2010
AAA 28,835 4,355 1,754 317 7,107 2,789 444 2,490 988 2,156 51,235
AA to AA+ 1,529 147 144 116 357 392 567 1,786 681 616 6,335
A to AA- — 67 60 212 408 973 296 343 192 693 3,244
BBB- to A- — 82 316 39 — 500 203 527 — 1,718 3,385
Non-investment grade (2) — 900 809 458 — 296 1,863 332 — 265 4,923
Unrated (3) — 196 52 76 — — 85 596 — 698 1,703
30,364 5,747 3,135 1,218 7,872 4,950 3,458 6,074 1,861 6,146 70,825
Of which in Non-Core — 81 336 379 — 1,278 3,159 5,094 — 2,386 12,713
Notes:
(1) Includes US agency and Dutch government guaranteed securities.
(2) Includes HFT £1,177 million (2011 - £1,682 million; 2010 - £2,456 million), DFV £7 million (2011 and 2010 - nil), AFS £1,173 million (2011 - £2,056 million; 2010 - £2,160 million) and LAR £317
million (2011 - £754 million; 2010 - £307 million).
(3) Includes HFT £808 million (2011 - £804 million; 2010 - £867 million), AFS £149 million (2011 - £249 million; 2010 - £491 million) and LAR £130 million (2011 - £182 million; 2010 - £345 million).