RBS 2009 Annual Report Download - page 286

RBS Group Annual Report and Accounts 2009284
11 Financial instruments continued
Amounts classified as available-for-sale comprise:
Total Level 1 (1) Level 2 (1) Level 3 (1) Level 3 sensitivity (2)
£bn £bn £bn £bn £m £m
2009
Debt securities 143.3 70.3 71.7 1.3 90 (50)
Equity shares 2.9 0.5 1.7 0.7 100 (90)
146.2 70.8 73.4 2.0 190 (140)
2008
Debt securities 132.8 20.9 108.9 3.0 90 (120)
Equity shares 7.2 4.8 2.1 0.3 60 (110)
140.0 25.7 111.0 3.3 150 (230)
2007
Assets
Loans and advances
– banks 71.6 — 71.5 0.1 — —
– customers 106.9 — 93.8 13.1 160 (120)
Debt securities 292.0 115.2 164.1 12.7 330 (460)
Equity shares 53.0 42.3 9.0 1.7 70 (70)
Derivatives 277.4 1.9 270.3 5.2 50 (50)
Total assets 800.9 159.4 608.7 32.8 610 (700)
Liabilities
Deposits by banks and customers 133.4 — 132.0 1.4 10 (10)
Debt securities in issue 51.3 — 42.1 9.2 30 (30)
Short positions 73.5 63.6 9.9 — — —
Derivatives 272.1 2.1 265.6 4.4 70 (70)
Other financial liabilities (4) 1.1 — 0.9 0.2 10 (10)
Total liabilities 531.4 65.7 450.5 15.2 120 (120)
Notes:
(1) Level 1: valued using unadjusted quoted prices in active markets, examples include G10 government securities, listed equity shares, certain exchange-traded derivatives and certain US agency
securities.
Level 2: includes most government agency securities, investment-grade corporate bonds, certain mortgage products, most bank and bridge loans, repos and reverse repos, less liquid listed
equities, state and municipal obligations, most physical commodities, investment contracts issued by the Group’s life assurance businesses and certain money market securities and loan
commitments and most OTC derivatives.
Level 3: includes cash instruments which trade infrequently, certain syndicated and commercial mortgage loans, unlisted equity shares, certain residual interests in securitisations, super senior
tranches of high grade and mezzanine CDOs, other mortgage-based products and less liquid debt securities, certain structured debt securities in issue, and OTC derivatives where valuation
depends upon unobservable inputs such as certain credit and exotic derivatives. No gain or loss is recognised on the initial recognition of a financial instrument valued using a technique
incorporating significant unobservable data.
(2) Sensitivity represents the reasonably possible favourable and unfavourable effect respectively on the income statement or the statement of comprehensive income due to reasonably possible
changes to valuations using reasonably possible alternative inputs to the Group’s valuation techniques or models. Totals for sensitivities are not indicative of the total potential effect on the income
statement or the statement of comprehensive income.
(3) Primarily includes debt securities issued by banks and building societies.
(4) Comprise subordinated liabilities and write downs relating to undrawn syndicated loan facilities.
Notes on the accounts continued