RBS 2013 Annual Report Download - page 291
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Business review Risk and balance sheet management
289
Product, geography and IFRS measurement classification
US UK Europe RoW Total HFT DFV AFS LAR
2013 £m £m £m £m £m £m £m £m £m
Gross exposure
RMBS: government sponsored or
similar 14,886 — 2,491 — 17,377 7,088 — 10,289 —
RMBS: prime 1,608 1,694 806 99 4,207 777 15 3,392 23
RMBS: non-conforming 446 1,859 49 — 2,354 165 — 960 1,229
RMBS: sub-prime 818 86 59 — 963 871 — — 92
MBS: covered bond 47 176 4,489 — 4,712 — — 4,712 —
CMBS 3,598 689 254 1 4,542 858 — 3,124 560
CDOs 1,835 32 277 — 2,144 1,602 21 511 10
CLOs 907 36 652 — 1,595 898 — 667 30
A
BS covered bond — — 48 — 48 — — 48 —
Other ABS 1,432 1,428 1,045 40 3,945 1,266 — 1,161 1,518
25,577 6,000 10,170 140 41,887 13,525 36 24,864 3,462
Carrying value
RMBS: government sponsored or
similar 14,870 — 2,403 — 17,273 7,031 — 10,242 —
RMBS: prime 1,532 1,696 775 99 4,102 713 15 3,351 23
RMBS: non-conforming 379 1,770 49 — 2,198 128 — 841 1,229
RMBS: sub-prime 775 78 45 — 898 806 — — 92
MBS: covered bond 48 202 4,316 — 4,566 — — 4,566 —
CMBS 3,523 558 127 1 4,209 602 — 3,077 530
CDOs 314 1 115 — 430 98 — 322 10
CLOs 823 15 378 — 1,216 552 — 636 28
A
BS covered bond — — 48 — 48 — — 48 —
Other ABS 1,349 943 1,015 39 3,346 744 — 1,091 1,511
23,613 5,263 9,271 139 38,286 10,674 15 24,174 3,423
Net exposure
RMBS: government sponsored or
similar 14,869 — 2,403 — 17,272 7,031 — 10,241 —
RMBS: prime 1,528 1,694 771 99 4,092 702 15 3,352 23
RMBS: non-conforming 348 1,761 49 — 2,158 90 — 839 1,229
RMBS: sub-prime 569 78 45 — 692 600 — — 92
MBS: covered bond 48 202 4,316 — 4,566 — — 4,566 —
CMBS 3,247 558 127 1 3,933 325 — 3,076 532
CDOs 36 1 115 — 152 90 — 52 10
CLOs 474 15 373 — 862 493 — 341 28
A
BS covered bond — — 48 — 48 — — 48 —
Other ABS 1,253 922 1,015 39 3,229 628 — 1,091 1,510
22,372 5,231 9,262 139 37,004 9,959 15 23,606 3,424