RBS 2009 Annual Report Download - page 190

Business review continued
RBS Group Annual Report and Accounts 2009188
Market turmoil exposures continued
Asset-backed securities continued
The table below summarises the ratings and valuation hierarchy levels of ABS carrying values:
Ratings (1) Of which carried at fair value (2)
BBB- Non- Not
AAA rated and investment publicity
rated (1) above (1) grade rated Total Level 2 Level 3 Total
2009 £m £m £m £m £m £m £m £m
RMBS: G10 governments 43,005 550 — — 43,555 43,555 — 43,555
RMBS: prime 9,211 1,731 558 1 11,501 10,696 221 10,917
RMBS: non-conforming 1,980 467 594 2 3,043 1,549 21 1,570
RMBS: sub-prime 578 514 579 153 1,824 1,371 128 1,499
CMBS 3,440 1,920 147 2 5,509 4,000 134 4,134
CDOs 616 2,141 849 262 3,868 2,640 1,025 3,665
CLOs 2,718 5,232 636 730 9,316 7,978 818 8,796
Other ABS 4,099 4,516 152 799 9,566 5,177 946 6,123
65,647 17,071 3,515 1,949 88,182 76,966 3,293 80,259
2008
RMBS: G10 governments 51,548 — — 9 51,557 51,322 235 51,557
RMBS: prime 15,252 1,417 106 2 16,777 16,061 146 16,207
RMBS: non-conforming 3,532 337 146 2 4,017 2,486 50 2,536
RMBS: sub-prime 1,362 936 790 1 3,089 2,459 64 2,523
CMBS 3,702 1,586 38 1 5,327 3,315 574 3,889
CDOs 4,510 2,041 2,088 381 9,020 6,922 1,748 8,670
CLOs 7,299 1,601 268 449 9,617 7,721 963 8,684
Other ABS 6,649 3,519 242 1,329 11,739 6,676 1,442 8,118
93,854 11,437 3,678 2,174 111,143 96,962 5,222 102,184
2007
RMBS: G10 governments 40,142 — — 125 40,267 40,267 — 40,267
RMBS: prime 15,242 575 27 131 15,975 15,975 — 15,975
RMBS: non-conforming 2,958 530 146 144 3,778 3,598 180 3,778
RMBS: sub-prime 1,929 2,478 637 191 5,235 5,171 59 5,230
CMBS 4,286 1,212 35 22 5,555 4,929 — 4,929
CDOs 10,069 823 989 119 12,000 10,334 1,666 12,000
CLOs 4,157 704 93 722 5,676 5,593 83 5,676
Other ABS 8,568 1,285 177 1,565 11,595 11,391 130 11,521
87,351 7,607 2,104 3,019 100,081 97,258 2,118 99,376
Notes:
(1) Credit ratings are based on those from rating agency Standard & Poor’s (S&P). Moody’s and Fitch have been mapped onto the S&P scale.
(2) Fair value hierarchy levels 2 and 3 as defined by IFRS.