RBS 2009 Annual Report Download - page 188

Business review continued
RBS Group Annual Report and Accounts 2009186
Market turmoil exposures continued
Asset-backed securities continued
The table below summarises the gross and net exposures and balance sheet carrying values of asset-backed securities by the geography of the
underlying assets and between Core and Non-Core, at 31 December 2009.
Other
US UK Europe (4) RoW Total
Non- Non- Non- Non- Non-
Core Core Core Core Core Core Core Core Core Core
2009 £m £m £m £m £m £m £m £m £m £m
Gross exposure (1):
RMBS: G10 governments (2) 26,644 49 17 297 2,679 13,357 94 — 29,434 13,703
RMBS: prime 2,873 92 3,787 1,489 1,200 3,367 177 45 8,037 4,993
RMBS: non-conforming 1,166 175 2,108 30 — 128 — — 3,274 333
RMBS: sub-prime 820 848 516 208 128 67 8 553 1,472 1,676
CMBS 2,685 737 905 876 774 646 — 75 4,364 2,334
CDOs 339 12,043 143 186 289 282 — 27 771 12,538
CLOs 358 8,734 102 64 969 1,200 — 1,173 1,429 11,171
Other ABS 1,712 1,875 1,626 354 1,780 3,251 1,224 345 6,342 5,825
36,597 24,553 9,204 3,504 7,819 22,298 1,503 2,218 55,123 52,573
Carrying value:
RMBS: G10 governments (2) 26,984 50 17 288 2,632 12,972 33 — 29,666 13,310
RMBS: prime 2,626 71 3,567 1,016 987 3,022 170 42 7,350 4,151
RMBS: non-conforming 946 12 1,928 29 — 128 — — 2,874 169
RMBS: sub-prime 703 274 237 77 101 45 6 381 1,047 777
CMBS 2,660 577 623 682 502 422 — 43 3,785 1,724
CDOs 6 3,269 71 95 195 205 — 27 272 3,596
CLOs 282 6,454 66 46 564 905 — 999 912 8,404
Other ABS 1,435 1,451 831 293 1,168 3,201 936 251 4,370 5,196
35,642 12,158 7,340 2,526 6,149 20,900 1,145 1,743 50,276 37,327
Net exposure (3):
RMBS: G10 governments (2) 26,984 50 17 288 2,632 12,972 33 — 29,666 13,310
RMBS: prime 2,433 3 3,518 229 484 2,534 169 3 6,604 2,769
RMBS: non-conforming 946 2 1,928 29 — 128 — — 2,874 159
RMBS: sub-prime 450 115 236 69 92 45 6 284 784 513
CMBS 2,193 52 622 606 394 201 — 399 3,209 1,258
CDOs 165 578 71 53 194 188 — 26 430 845
CLOs 217 1,419 65 21 564 540 — 39 846 2,019
Other ABS 1,301 816 623 216 1,169 3,162 916 229 4,009 4,423
34,689 3,035 7,080 1,511 5,529 19,770 1,124 980 48,422 25,296
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 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) The table excludes RFS Holdings minority interest.