RBS 2013 Annual Report Download - page 287
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Business review Risk and balance sheet management
285
Key points
HFT
• UK and US government bonds and US agency ABS decreased
reflecting sales and continued focus on balance sheet reduction and
capital management in Markets. The decrease in other government
bonds primarily comprised reductions in Japanese, French, Belgian
and Canadian bonds, partially offset by increases in Italian, German
and Spanish bonds. Short positions in US government bonds
decreased, reflecting reduced holdings and short positions in
German government bonds increased reflecting focus on reduction
in net exposure.
AFS
• Government securities, primarily US, German and UK, decreased by
£15.4 billion reflecting Group Treasury’s disposals. Holdings in bank
issuances fell by £2.9 billion due to maturities and amortisations.
The decrease in securities issued by other financial institutions of
£6.6 billion primarily related to ABS (£1.6 billion collateralised loan
obligations in Non-Core and £3.4 billion residential mortgage-backed
securities), due to disposals, maturities and buy backs by issuers.
This was partially offset by a build up of securities (£0.9 billion),
primarily US agency securities in US Retail & Commercial. The
reduction includes £7.2 billion related to Direct Line Group, not
included at 31 December 2013 as it is now an associate.
AFS gross unrealised gains and losses
• The UK government net decrease of £0.9 billion reflects exposure
reductions. The US government decrease of £0.7 billion reflects
exposure reduction as well as the impact of expectations of tapering
of the liquidity programme by the US Federal Reserve. The
reductions in bank, other financial institutions and ABS reflected
maturities, disposals and market movements.
Ratings
The table below analyses debt securities by issuer and external ratings. Ratings are based on the lowest of Standard and Poor’s, Moody’s and Fitch.
Central and local government Other financial Of which
UK US Other Banks institutions Corporate Total Total ABS
2013 £m £m £m £m £m £m £m % £m
Total
A
AA — 18 13,106 1,434 8,155 162 22,875 20 6,796
A
A to AA+ 13,210 23,812 7,847 446 16,825 138 62,278 55 21,054
A
to AA- — — 4,200 1,657 1,521 290 7,668 7 1,470
BBB- to A- — — 7,572 3,761 2,627 854 14,814 13 4,941
Non-investment grade — — 494 341 2,444 427 3,706 3 2,571
Unrated — 2 6 230 1,647 397 2,282 2 1,454
13,210 23,832 33,225 7,869 33,219 2,268 113,623 100 38,286
Core
A
AA — 18 13,106 1,434 7,722 162 22,442 20 6,391
A
A to AA+ 13,210 23,812 7,847 446 16,518 138 61,971 55 20,747
A
to AA- — — 4,200 1,657 1,131 290 7,278 7 1,080
BBB- to A- — — 7,572 3,761 2,562 854 14,749 13 4,876
Non-investment grade — — 406 341 2,015 340 3,102 3 2,077
Unrated — 2 6 230 1,407 372 2,017 2 1,245
13,210 23,832 33,137 7,869 31,355 2,156 111,559 100 36,416
Non-Core
A
AA — — — — 433 — 433 21 405
A
A to AA+ — — — — 307 — 307 15 307
A
to AA- — — — — 390 — 390 19 390
BBB- to A- — — — — 65 — 65 3 65
Non-investment grade — — 88 — 429 87 604 29 494
Unrated — — — — 240 25 265 13 209
— — 88 — 1,864 112 2,064 100 1,870