RBS 2009 Annual Report Download - page 187

Business review
Risk, capital and liquidity management
185RBS Group Annual Report and Accounts 2009
Asset-backed securities by geography and measurement classification
Other
US UK Europe (4) RoW Total HFT AFS LAR DFV
2009 £m £m £m £m £m £m £m £m £m
Gross exposure: (1)
RMBS: G10 governments (2) 26,693 314 16,594 94 43,695 13,536 30,159 — —
RMBS: prime (4) 2,965 5,276 4,567 222 13,030 6,274 5,761 848 147
RMBS: non-conforming 1,341 2,138 128 — 3,607 635 1,498 1,474 —
RMBS: sub-prime 1,668 724 195 561 3,148 1,632 1,020 479 17
CMBS 3,422 1,781 1,420 75 6,698 2,936 1,842 1,711 209
CDOs 12,382 329 571 27 13,309 9,080 3,923 305 1
CLOs 9,092 166 2,169 1,173 12,600 5,346 6,581 673 —
Other ABS 3,587 1,980 5,031 1,569 12,167 2,912 5,252 3,985 18
61,150 12,708 30,675 3,721 108,254 42,351 56,036 9,475 392
Carrying value:
RMBS: G10 governments (2) 27,034 305 16,183 33 43,555 13,397 30,158 — —
RMBS: prime (4) 2,697 4,583 4,009 212 11,501 5,133 5,643 583 142
RMBS: non-conforming 958 1,957 128 — 3,043 389 1,180 1,474 —
RMBS: sub-prime 977 314 146 387 1,824 779 704 324 17
CMBS 3,237 1,305 924 43 5,509 2,279 1,638 1,377 215
CDOs 3,275 166 400 27 3,868 2,064 1,600 203 1
CLOs 6,736 112 1,469 999 9,316 3,296 5,500 520 —
Other ABS 2,886 1,124 4,369 1,187 9,566 1,483 4,621 3,443 19
47,800 9,866 27,628 2,888 88,182 28,820 51,044 7,924 394
Net exposure: (3)
RMBS: G10 governments (2) 27,034 305 16,183 33 43,555 13,397 30,158 — —
RMBS: prime (4) 2,436 3,747 3,018 172 9,373 3,167 5,480 584 142
RMBS: non-conforming 948 1,957 128 — 3,033 379 1,180 1,474 —
RMBS: sub-prime 565 305 137 290 1,297 529 427 324 17
CMBS 2,245 1,228 595 399 4,467 1,331 1,556 1,377 203
CDOs 743 124 382 26 1,275 521 550 203 1
CLOs 1,636 86 1,104 39 2,865 673 1,672 520 —
Other ABS 2,117 839 4,331 1,145 8,432 483 4,621 3,309 19
37,724 8,591 25,878 2,104 74,297 20,480 45,644 7,791 382
Notes:
(1) Gross exposures represent the principal amounts relating to asset-backed securities.
(2) RMBS: G10 government securities comprise securities that are:
(a) Guaranteed or effectively guaranteed by the US government, by way of its support for US federal agencies and government sponsored enterprises (GSEs);
(b) Guaranteed by the Dutch government; and
(c) Covered bonds, referencing primarily Dutch and Spanish government-backed loans.
(3) Net exposures represent the carrying value after taking account of hedge protection purchased from monoline insurers and other counterparties but exclude the effect of counterparty credit
valuation adjustments. The hedges provide credit protection of principal and interest cash flows in the event of default by the counterparty. The value of this protection is based on the underlying
instrument being protected.
(4) Includes prime RMBS in RFS Holdings minority interests at 31 December 2009 comprising gross exposure: £558 million, carrying value: £579 million, and net exposure: £579 million. There was no
ABS in RFS Holdings minority interest at 31 December 2008 or 2007.