See Top-Management Meeting Minutes

https://drive.google.com/file/d/0BzKpYGA_5moJaE1Iclhtbmkxd2c/view

The ABS CDO trading portfolio is marked via a flawed credit model materially above
observable fair market value, despite FASB and SEC accounting rules and the
Sarbanes-Oxley Act.

Carol Mathis (CM) admits that this model (LSD) substantially under-projects the
subprime mortgage defaults ("too low") which are causing ABS CDOs to default and
depreciate. Carol Mathis discusses moving these ABS CDOs from the US trading
book to the London banking book, hence avoiding independent price verification
and VaR back-testing. Top management falsely claims no market data basis for 2007
ABS CDO writedowns and no mis-marks, despite major simultaneous ABS CDO
writedowns at other banks.

In 2016, RBS admitted to Reuters that such information existed in 2007, as "press
reports, research notes and market information relating to the valuation of SS CDOs
held by other institutions".