RBS 2013 Annual Report Download - page 294
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Business review Risk and balance sheet management
292
Balance sheet analysis continued
Debt securities continued
Ratings
The table below summarises the ratings of asset-backed securities on the balance sheet.
RMBS
Government MBS ABS
sponsored Non- covered covered Other
or similar (1) Prime conforming Sub-prime bond CMBS CDOs CLOs bond ABS Total
2013 £m £m £m £m £m £m £m £m £m £m £m
A
AA 871 2,974 790 24 145 165 66 313 — 1,448 6,796
A
A to AA+ 16,226 192 634 28 216 3,224 — 309 48 177 21,054
A
to AA- 158 151 227 34 48 60 60 167 — 565 1,470
BBB- to A- 13 126 162 95 3,806 102 25 165 — 447 4,941
Non-investment grade (2) 5 559 369 492 351 160 258 144 — 233 2,571
Unrated (3) — 100 16 225 —498 21 118 — 476 1,454
17,273 4,102 2,198 898 4,566 4,209 430 1,216 48 3,346 38,286
Of which in Non-Core — 42 288 164 —18 331 569 — 458 1,870
2012
A
AA 2,454 2,854 1,487 11 639 396 92 1,181 165 1,479 10,758
A
A 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 8298 —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
A
AA 4,169 3,599 1,488 105 2,595 647 135 2,171 625 1,622 17,156
A
A 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
Notes:
(1) Includes US agency and Dutch government guaranteed securities.
(2) Comprises HFT £1,275 million (2012 - £1,177 million; 2011 - £1,682 million), DFV nil (2012 - £7 million; 2011 - nil), AFS £1,138 million (2012 - £1,173 million; 2011 - £2,056 million) and LAR £158
million (2012 - £317 million; 2011 - £754 million).
(3) Comprises HFT £504 million (2012 - £808 million; 2011 - £804 million), AFS £26 million (2012 - £149 million; 2011 - £249 million) and LAR £924 million (2012 - £130 million; 2011 - £182 million).