RBS 2010 Annual Report Download - page 211

Non-investment grade and unrated ABS
The table below summarises the carrying values by accounting classification of non-investment grade or not publicly rated ABS.
Non-investment grade Unrated
HFT AFS LAR Total HFT AFS LAR Total
2010 £m £m £m £m £m £m £m £m
RMBS: prime 354 535 11 900 196 — — 196
RMBS: non-conforming 389 414 6 809 52 — — 52
RMBS: sub-prime 437 21 — 458 76 — — 76
CMBS 198 17 81 296 — — — —
CDOs 691 1,151 21 1,863 85 — — 85
CLOs 239 5 88 332 267 329 —596
Other ABS 148 17 100 265 191 162 345 698
2,456 2,160 307 4,923 867 491 345 1,703
2009
RMBS: prime 120 430 8 558 — 1 — 1
RMBS: non-conforming 253 341 — 594 — 2 — 2
RMBS: sub-prime 339 240 — 579 153 — — 153
CMBS 89 3 55 147 1 — 1 2
CDOs 487 300 62 849 143 119 — 262
CLOs 269 359 8 636 207 523 — 730
Other ABS 78 63 11 152 270 134 395 799
1,635 1,736 144 3,515 774 779 396 1,949
2008
RMBS: G10 government —— — — 9 — — 9
RMBS: prime 59 47 — 106 2 — — 2
RMBS: non-conforming 69 74 3 146 1 1 — 2
RMBS: sub-prime 636 124 30 790 1 — — 1
CMBS 38 — — 38 — — 1 1
CDOs 1,219 869 — 2,088 173 142 66 381
CLOs 80 188 — 268 165 279 5 449
Other ABS 122 49 71 242 115 404 810 1,329
2,223 1,351 104 3,678 466 826 882 2,174
Key point
xNon-investment grade securities increased by £1.4 billion of which £1.0 billion was in CDOs reflecting purchases by GBM’s Mortgage Trading
business as well as credit down grades and rating withdrawals of certain ABS structures in Non-Core during the year.
209RBS Group 2010
Business review
Risk and balance sheet management