RBS 2008 Annual Report Download - page 46

45RBS Group Annual Report and Accounts 2008
Credit market exposures
2008 2007
Net Write-downs Average Net Average
exposure (1) before tax price exposure(1) price
£m £m % £m %
Asset-backed CDOs
High grade 1,231 1,836 29 2,581 84
Mezzanine 144 1,140 6 1,253 70
1,375 2,976 3,834 79
Monolines 4,804 3,557 n/a 2,547 n/a
US residential mortgages (2)
Sub-prime — 353 n/a 1,292 72
Alt-A — 1,071 n/a 2,233 83
Other non-agency — 43 n/a 794 94
— 1,467 4,319 81
US commercial mortgages (2) 437 95 87 1,809 97
Leveraged finance (3)
Held-for-trading 103 1,088 64 11,992 96
Loans and receivables 5,920 — n/a 2,514 n/a
6,023 1,088 14,506
CLOs 520 240 81 1,386 93
9,423
CDS hedging (1,642)
Total net of CDS hedging 7,781
Notes:
(1) Net of hedges and write-downs.
(2) Figures represent the Group’s remaining net exposure to its previously reported credit market exposures.
(3) Includes commitments to lend.
Additional disclosures on these and other related exposures can be found in the rest of this document as follows:
Disclosure Section Sub-section Page
Further analysis (1) Risk management Credit market and related disclosures 122 – 144
Valuation aspects (1) Financial statements Note 11 Financial instruments 201 – 206
Valuation of financial instruments (1) Financial statements Critical accounting policies 186 – 187
(general and level 3) Note 11 Financial instruments 199 – 206
Reclassification of financial instruments Financial statements Note 11 Financial instruments 208
Asset-backed CDOs Risk management Market risk 109
Notes:
(1) In preparing these disclosures, the Group took into consideration the leading practice recommendations of the Financial Stability Forum issued in April 2008 and the report of the IASB Advisory
Panel ‘measuring and disclosing fair value of financial instruments in markets that are no longer active’ issued in October 2008.