RBS 2009 Annual Report Download - page 290

Notes on the accounts continued
RBS Group Annual Report and Accounts 2009288
11 Financial instruments continued
Level 3 portfolio movement table Gains or Gains or
losses losses
recognised relating to
At in the income Transfers At 31 instruments
1 January statement or in/out of Reclass- Purchases Sales and Foreign December held at
2009 SOCI (1) Level 3 ification and issues settlements exchange 2009 year end
£m £m £m £m £m £m £m £m £m
Assets
FVTPL(2):
Loans and advances 3,148 130 330 (1,537) 22 (898) (136) 1,059 11
Debt securities 3,846 (49) 104 (157) 378 (1,207) (133) 2,782 (165)
Equity shares 793 (49) 133 — 22 (151) (37) 711 (48)
Derivatives 10,265 (3,672) (211) — 1,811 (1,301) (463) 6,429 (1,079)
FVTPL assets 18,052 (3,640) 356 (1,694) 2,233 (3,557) (769) 10,981 (1,281)
AFS(3):
Debt securities 3,102 (376) (929) — 128 (491) (109) 1,325 (9)
Equity shares 325 (141) 632 — 53 (75) (45) 749 (51)
AFS assets 3,427 (517) (297) — 181 (566) (154) 2,074 (60)
Total assets 21,479 (4,157) 59 (1,694) 2,414 (4,123) (923) 13,055 (1,341)
Liabilities
Deposits 290 43 (217) — 15 (23) (5) 103 —
Debt securities in issue 4,362 57 (1,682) — 493 (638) (247) 2,345 (41)
Short positions 41 (45) 188 — 4 (4) — 184 12
Derivatives 4,035 (215) (978) — 76 (744) (187) 1,987 (244)
Other financial liabilities 257 ————(242) (14) 1 —
Total liabilities 8,985 (160) (2,689) — 588 (1,651) (453) 4,620 (273)
Note:
(1) Net losses recognised in the income statement and statement of comprehensive income were £4,257 million and £60 million respectively. Net losses on FVTPL assets and liabilities of £3,800
million were included in income from trading activities. £457 million net losses relating to AFS assets were recorded within interest income, dividend income and impairment losses as appropriate.
(2) FVTPL: Fair value through profit or loss.
(3) AFS: Available-for-sale.
Assets reduced in the year due to disposals, write downs, transfers and
reclassifications. Decrease in loans and advances to customers of
£2,089 million primarily reflected the reclassification of certain leveraged
and real estate finance loans from held-for-trading to loans and
receivables in first half of the year. The decrease in debt securities of
£2,841 million reflects wind-down of the US fund derivative portfolio,
£929 million of available-for-sale debt securities transferred to level 2
due to increased observability as well as liquidations and write-downs.
Derivative assets included hedges with CDPCs, illiquid credit and
interest rate derivatives.
The decrease in debt securities in issue is due to a transfer to level 2 of
£1,600 million of constant proportion portfolio insurance notes reflecting
the minimal residual equity component within these notes at 31
December 2009.
Sales and settlements include £577 million of derivative assets and
£437 million of derivative liabilities relating to Sempra included in
disposal groups in 2009.
Additionally, £1,533 million of non-G10 government debt securities,
foreign exchange derivatives (assets – £1,846 million, liabilities – £1,836
million) were transferred from level 1 to level 2 reflecting refinements of
hierarchy level classification in 2009.