RBS 2012 Annual Report Download - page 224

222
Business review Risk and balance sheet management continued
Balance sheet analysis: Derivatives continued
Monoline insurers
The table below summarises the Group's exposure to monolines, all of which are in Non-Core.
2012
£m
2011
£m
2010
£m
Gross exposure to monolines 561 1,888 4,023
Hedges with financial institutions (12)(71) (71)
Credit valuation adjustment (192)(1,198)(2,443)
Net exposure to monolines 357 619 1,509
Credit valuation adjustment as a % of gross exposure 34% 63% 61%
Counterparty and credit risk RWAs* £1.2bn £3.6bn £17.8bn
The table below summarises monoline exposures by rating. Credit ratings are based on those from rating agencies Standard and Poor’s and Moody's.
Where the ratings differ, the lower of the two is taken.
2012
Notional:
protected
assets
£m
Fair value:
reference
protected
assets
£m
Gross
exposure
£m
Credit
valuation
adjustment
£m
Hedges
£m
Net
exposure
£m
A to AA- 3,388 2,944 444 128 — 316
Non-investment grade 1,194 1,077 117 64 12 41
4,582 4,021 561 192 12 357
Of which:
CMBS 183 170 13 3
CLOs 2,777 2,563 214 47
Other ABS 1,202 999 203 95
Other 420 289 131 47
4,582 4,021 561 192
2011
A to AA- 4,939 4,243 696 252 — 444
Non-investment grade 3,623 2,431 1,192 946 71 175
8,562 6,674 1,888 1,198 71 619
Of which:
CMBS 946 674 272 247
CDOs 500 57 443 351
CLOs 4,616 4,166 450 177
Other ABS 1,998 1,455 543 334
Other 502 322 180 89
8,562 6,674 1,888 1,198
2010
A to 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
Key points
x The exposure to monolines declined during the year primarily due to
restructuring of certain exposures and an increase in underlying
asset prices.
x The credit valuation adjustment decreased on a total basis reflecting
reduction in exposure and on a relative basis due to restructurings
and tighter credit spreads.
*unaudited