RBS 2008 Annual Report Download - page 132
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131
RBS Group Annual Report and Accounts 2008
Asset-backed collateralised debt and loan obligations (audited)
Collateralised debt obligations are securities whose performance is
dependant on a portfolio of referenced underlying securitised assets.
The referenced assets generally consist of ABS,
but may also include other classes of assets. Collateralised loan
obligations represent securities in special purpose entities, the assets
of which are primarily cash flows from underlying leveraged loans.
The Group’s ABS CDO and CLO net exposures comprised:
2008 2007
£m £m
Super senior CDOs 1,375 3,834
Other CDOs 1,465 1,569
CLOs 3,443 4,082
6,283 9,485
The Group’s CDO exposures comprise CDOs structured by the Group from 2003 to 2007 that were unable to be sold to third parties due to prevailing
illiquid markets with net exposures of £1.4 billion (2007 – £3.8 billion), as well as other CDO net exposures of £1.5 billion (2007 – £1.6 billion) purchased
from third parties some of which are fully hedged through CDSs with other banks or monoline insurers.