RBS 2009 Annual Report Download - page 189

Business review
Risk, capital and liquidity management
187RBS Group Annual Report and Accounts 2009
The table below summarises ABS carrying values and net exposures by geography and measurement classification at 31 December 2008 and 2007.
Other
US UK Europe (3) RoW Total HFT AFS LAR DFV
2008 £m £m £m £m £m £m £m £m £m
Carrying value:
RMBS: G10 governments (1) 33,508 321 17,682 46 51,557 18,631 32,926 — —
RMBS: prime 5,623 4,754 6,154 246 16,777 7,272 8,769 570 166
RMBS: non-conforming 1,111 2,906 — — 4,017 352 2,183 1,482 —
RMBS: sub-prime 1,824 445 439 381 3,089 1,594 913 566 16
CMBS 2,145 1,395 1,646 141 5,327 2,751 1,126 1,437 13
CDOs 8,275 259 441 45 9,020 4,389 4,280 351 —
CLOs 6,428 329 2,605 255 9,617 3,385 5,299 933 —
Other ABS 3,582 1,622 5,098 1,437 11,739 1,505 6,572 3,621 41
62,496 12,031 34,065 2,551 111,143 39,879 62,068 8,960 236
Net exposure: (2)
RMBS: G10 governments (1) 33,508 321 17,682 46 51,557 18,631 32,926 — —
RMBS: prime 5,548 3,667 5,212 215 14,642 5,138 8,768 570 166
RMBS: non-conforming 1,106 2,906 — — 4,012 346 2,184 1,482 —
RMBS: sub-prime 358 408 380 313 1,459 346 571 526 16
CMBS 1,147 1,225 1,095 79 3,546 1,178 918 1,437 13
CDOs 2,402 127 311 — 2,840 1,618 873 349 —
CLOs 874 259 2,139 171 3,443 845 1,665 933 —
Other ABS 3,507 1,367 4,299 1,256 10,429 196 6,572 3,621 40
48,450 10,280 31,118 2,080 91,928 28,298 54,477 8,918 235
2007
Carrying value:
RMBS: G10 governments (1) 26,044 390 13,833 — 40,267 15,627 24,640 — —
RMBS: prime 2,739 3,357 9,488 391 15,975 13,666 2,237 — 72
RMBS: non-conforming 2,829 881 — 68 3,778 2,913 865 — —
RMBS: sub-prime 4,277 180 324 454 5,235 5,073 138 5 19
CMBS 3,286 1,149 956 164 5,555 3,916 976 626 37
CDOs 9,873 212 1,793 122 12,000 9,825 2,153 — 22
CLOs 4,214 574 683 205 5,676 5,653 20 — 3
Other ABS 4,942 1,483 4,567 603 11,595 5,758 5,579 72 186
58,204 8,226 31,644 2,007 100,081 62,431 36,608 703 339
Net exposure: (2)
RMBS: G10 governments (1) 26,045 385 13,834 — 40,264 15,903 24,361 — —
RMBS: prime 2,739 3,029 9,214 392 15,374 12,792 2,510 — 72
RMBS: non-conforming 2,829 881 — 68 3,778 2,913 865 — —
RMBS: sub-prime 2,953 180 321 205 3,659 3,497 139 5 18
CMBS 2,186 1,143 896 174 4,399 2,749 977 626 47
CDOs 3,732 212 1,337 123 5,404 3,229 2,155 — 20
CLOs 2,812 574 537 158 4,081 4,058 20 — 3
Other ABS 2,881 1,402 4,500 533 9,316 3,480 5,578 72 186
46,177 7,806 30,639 1,653 86,275 48,621 36,605 703 346
Notes:
(1) 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.
(2) 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.
(3) 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.