RBS 2010 Annual Report Download - page 200

Risk management: Market risk continued
Structured Credit Portfolios
Drawn notional Fair value
CDOs CLOs MBS (1) Other ABS Total CDOs CLOs MBS (1) Other ABS Total
2010 £m £m £m £m £m £m £m £m £m £m
1-2 years ———47 47 — — — 42 42
2-3 years 85 19 44 98 246 81 18 37 91 227
3-4 years —41 20 205 266 — 37 19 191 247
4-5 years 16 — — — 16 15 — — — 15
5-10 years 98 466 311 437 1,312 87 422 220 384 1,113
>10 years 412 663 584 550 2,209 161 515 397 367 1,440
611 1,189 959 1,337 4,096 344 992 673 1,075 3,084
2009
1-2 years ———81 81 — — — 68 68
2-3 years 40 — — 19 59 24 — — 18 42
3-4 years 19 18 42 99 178 16 17 31 76 140
4-5 years 17 47 36 332 432 3 41 29 275 348
5-10 years 107 685 424 521 1,737 90 594 251 394 1,329
>10 years 594 1,114 820 573 3,101 193 896 468 325 1,882
777 1,864 1,322 1,625 5,588 326 1,548 779 1,156 3,809
Note:
(1) Mortgage-backed securities (MBS) include sub-prime residential mortgage-backed securities with a notional amount of £471 million (2009 - £682 million) and a fair value of £329 million (2009 - £415
million), all with residual maturities of greater than 10 years.
The SCP are within Non-Core. The risk on this portfolio is not measured or disclosed using VaR, as the Group believes this is not an appropriate tool for
the banking book portfolio comprising of illiquid debt securities. The main driver of the reduction in drawn notional is the asset sales from a portfolio
within an unwound securitisation arbitrage conduit. The impact of disposals on portfolio fair value has been partially offset by an increase in residual
average price to 75% (2009 - 68%).
RBS Group 2010198
Business review continued