RBS 2012 Annual Report Download - page 452

450
Notes on the consolidated accounts continued
30 Special purpose entities continued
Total assets and other aspects relating to the Group’s consolidated conduits are set out below.
2012 2011 2010
Core
£m
Non-Core
£m
Total
£m
Core
£m
Non-Core
£m
Total
£m
Core
£m
Non-Core
£m
Total
£m
Total assets held by the conduits 2,839 765 3,604 11,208 1,893 13,101 16,390 3,624 20,014
Commercial paper issued (1) 717 — 717 10,590 859 11,449 15,522 2,540 18,062
Liquidity and credit enhancements
Deal specific liquidity
- drawn 2,122 7812,903 321 1,051 1,372 868 1,109 1,977
- undrawn 1,521 171,538 15,324 1,144 16,468 21,935 2,980 24,915
PWCE (2) 60 —60 795 193 988 1,025 257 1,282
3,703 798 4,501 16,440 2,388 18,828 23,828 4,346 28,174
Maximum exposure to loss (3) 3,643 798 4,441 15,646 2,194 17,840 22,803 4,089 26,892
Notes:
(1) Includes £0.7 billion of ABCP issued to RBS plc at 31 December 2012 (2011 - £0.3 billion; 2010 - £0.7 billion).
(2) Programme-wide credit enhancement (PWCE) is an additional programme-wide credit support which would absorb the first loss on transactions where liquidity support is provided by a third party.
(3) Maximum exposure to loss quantifies the Group’s exposure to its sponsored conduits. It is determined as the Group’s liquidity commitment to its sponsored conduits and additional PWCE which
would absorb the first loss on transactions where liquidity support is provided by third parties. Historically, PWCE has been greater than third party liquidity. Therefore the maximum exposure to loss
is total deal specific liquidity.
(4) Liquidity commitments from the Group to the conduit exceed the nominal amount of assets funded by the conduit given that liquidity commitments are sized to cover the accrued funding cost of the
related assets.