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RBS 2010 Annual Report Download - page 208

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Risk management: Other risk exposures continued

Asset-backed securities by product, geography and measurement classification continued

FVTPL (1)

US UK

Other

Europe RoW (2) Total HFT (3) DFV (4) AFS (5) LAR (6)

2009 £m £m £m £m £m £m £m £m £m

Gross exposure

RMBS: G10 government 26,644 17 7,016 94 33,771 13,536 — 20,235 —

RMBS: covered bond 49 297 9,019 — 9,365 — — 9,365 —

RMBS: prime 2,965 5,276 4,567 222 13,030 6,274 147 5,761 848

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 17 1,020 479

CMBS 3,422 1,781 1,420 75 6,698 2,936 209 1,842 1,711

CDOs 12,382 329 571 27 13,309 9,080 1 3,923 305

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 18 5,252 3,985

61,150 12,708 30,116 3,721 107,695 42,351 392 55,477 9,475

Carrying value

RMBS: G10 government 26,984 17 6,870 33 33,904 13,397 — 20,507 —

RMBS: covered bond 50 288 8,734 — 9,072 — — 9,072 —

RMBS: prime 2,696 4,583 4,009 212 11,500 5,133 141 5,643 583

RMBS: non-conforming 958 1,957 128 — 3,043 389 — 1,180 1,474

RMBS: sub-prime 977 314 146 387 1,824 779 17 704 324

CMBS 3,237 1,305 924 43 5,509 2,279 216 1,637 1,377

CDOs 3,275 166 400 27 3,868 2,064 1 1,600 203

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 19 4,621 3,443

47,799 9,866 27,049 2,888 87,602 28,820 394 50,464 7,924

Net exposure

RMBS: G10 government 26,984 17 6,870 33 33,904 13,397 — 20,507 —

RMBS: covered bond 50 288 8,734 — 9,072 — — 9,072 —

RMBS: prime 2,436 3,747 3,018 172 9,373 3,167 142 5,480 584

RMBS: non-conforming 948 1,957 128 — 3,033 379 — 1,180 1,474

RMBS: sub-prime 565 305 137 290 1,297 529 17 427 324

CMBS 2,245 1,228 595 399 4,467 1,331 203 1,556 1,377

CDOs 743 124 382 26 1,275 521 1 550 203

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 19 4,621 3,309

37,724 8,591 25,299 2,104 73,718 20,480 382 45,065 7,791

For notes to this table refer to page 207.

RBS Group 2010206

Business review continued