RBS 2014 Annual Report Download - page 157
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22
RBS – Interim Results 2015
Appendix 1 Capital and risk management
Debt securities
The table below shows debt securities by issuer, IFRS measurement classifications and external rating.
Ratings are based on the lowest of Standard & Poor’s, Moody’s and Fitch. US central and local government
includes US federal agencies. The other financial institutions category includes US government-sponsored
agencies and securitisation entities, the latter principally relating to asset-backed securities (ABS).
Othe
r
Central and local government Central and local government Central and local government financial Of which
UK US Othe
r
Banks institutions Corporate Total
A
BS
30 June 2015 £m £m £m £m £m £m £m £m
Held-for-trading (HFT) 4,352 4,624 23,129 1,446 5,100 825 39,476 982
Designated as at fair value - - 109 - 1 - 110 -
A
vailable-for-sale (AFS) 7,021 12,631 10,721 1,916 13,506 147 45,942 18,937
Loans and receivables - - - 249 2,541 122 2,912 2,496
Held-to-maturity (HTM) 4,932 - - - - - 4,932 -
Long positions 16,305 17,255 33,959 3,611 21,148 1,094 93,372 22,415
A
AA - 6 9,366 1,867 5,827 - 17,066 4,707
A
A to AA+ 16,305 17,249 10,695 422 9,997 101 54,769 15,037
A
to AA- - - 9,204 1,058 2,303 198 12,763 476
BBB- to A- - - 4,537 64 828 247 5,676 434
Non-investment grade - - 157 49 1,045 514 1,765 862
Unrated - - - 151 1,148 34 1,333 899
16,305 17,255 33,959 3,611 21,148 1,094 93,372 22,415
Of which US agencies - 6,945 - - 8,077 - 15,022 14,202
Short positions (HFT) (6,104) (4,897) (12,123) (531) (736) (163) (24,554) -
A
vailable-for-sale
Gross unrealised gains 353 185 290 6 266 6 1,106 286
Gross unrealised losses (9) (151) (10) (1) (131) (1) (303) (213)
31 December 2014
Held-for-trading 6,218 7,709 24,451 1,499 7,372 1,977 49,226 3,559
Designated as at fair value - - 111 2 4 - 117 -
A
vailable-for-sale 4,747 11,011 11,058 3,404 14,585 161 44,966 18,884
Loans and receivables - - - 185 2,774 137 3,096 2,734
Held-to-maturity 4,537 - - - - - 4,537 -
Long positions 15,502 18,720 35,620 5,090 24,735 2,275 101,942 25,177
A
AA - 6 15,533 1,319 6,086 77 23,021 4,762
A
A to AA+ 15,502 18,714 9,879 283 12,215 117 56,710 16,956
A
to AA- - - 4,958 2,670 2,534 340 10,502 688
BBB- to A- - - 4,822 277 1,184 772 7,055 853
Non-investment grade - - 331 61 1,247 603 2,242 1,060
Unrated - - 97 480 1,469 366 2,412 858
15,502 18,720 35,620 5,090 24,735 2,275 101,942 25,177
Of which US agencies - 6,222 - - 10,860 - 17,082 16,053
Short positions (HFT) (4,167) (6,413) (10,276) (557) (674) (731) (22,818) -
A
vailable-for-sale
Gross unrealised gains 451 210 541 8 361 6 1,577 389
Gross unrealised losses (1) (117) (3) (1) (158) (2) (282) (257)