RBS 2010 Annual Report Download - page 316

12 Financial instruments - valuation continued
Valuation hierarchy
The following tables show financial instruments carried at fair value on the Group’s balance sheet by valuation hierarchy - level 1, level 2 and level 3.
2010
2009 2008
Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total
£bn £bn £bn £bn £bn £bn £bn £bn £bn £bn £bn £bn
Assets
Loans and advances to banks
Reverse repos —38.2 — 38.2 —26.9 — 26.9 — 26.1 — 26.1
Collateral — 25.1 — 25.1 —18.4 — 18.4 — 29.7 — 29.7
Other — 0.6 0.4 1.0 —0.1 — 0.1 — 0.4 — 0.4
— 63.9 0.4 64.3 —45.4 — 45.4 — 56.2 — 56.2
Loans and advances to customers
Reverse repos — 41.1 — 41.1 —26.3 — 26.3 — 22.5 — 22.5
Collateral — 14.4 — 14.4 —9.6 — 9.6 — 14.2 — 14.2
Other — 6.2 0.4 6.6 —7.3 1.1 8.4 — 13.8 3.1 16.9
— 61.7 0.4 62.1 —43.2 1.1 44.3 — 50.5 3.1 53.6
Debt securities
Government 110.2 13.7 — 123.9 130.1 16.7 — 146.8 68.7 37.2 — 105.9
MBS — 49.5 0.7 50.2 —61.2 0.6 61.8 — 75.6 1.1 76.7
CDOs — 1.0 2.4 3.4 —2.6 1.0 3.6 — 6.9 1.7 8.6
CLOs — 3.6 2.1 5.7 —8.0 0.8 8.8 — 7.7 1.0 8.7
Other ABS — 4.0 1.4 5.4 —5.2 0.9 6.1 — 6.6 1.5 8.1
Corporate — 7.7 0.9 8.6 —10.8 0.6 11.4 0.9 15.8 1.3 18.0
Banks and building societies 0.1 12.2 0.7 13.0 0.2 17.5 0.2 17.9 4.0 20.0 0.3 24.3
Other —0.2 — 0.2 —1.0 — 1.0 0.1 4.2 — 4.3
110.3 91.9 8.2 210.4 130.3 123.0 4.1 257.4 73.7 174.0 6.9 254.6
Equity shares 18.4 2.8 1.0 22.2 15.4 2.6 1.5 19.5 15.4 9.8 1.1 26.3
Derivatives
Foreign exchange —83.2 0.1 83.3 —69.2 0.2 69.4 2.2 171.0 0.1 173.3
Interest rate 1.7 308.3 1.7 311.7 0.3 321.8 1.5 323.6 0.4 652.9 1.5 654.8
Credit - APS — — 0.6 0.6 — — 1.4 1.4 — — — —
Credit - other —23.2 3.1 26.3 0.1 37.2 3.0 40.3 0.8 133.6 8.0 142.4
Equities and commodities 0.1 4.9 0.2 5.2 0.4 6.1 0.3 6.8 0.5 20.9 0.7 22.1
1.8 419.6 5.7 427.1 0.8 434.3 6.4 441.5 3.9 978.4 10.3 992.6
Total assets 130.5 639.9 15.7 786.1 146.5 648.5 13.1 808.1 93.0 1,268.9 21.4 1,383.3
Of which:
Core 129.4 617.6 7.2 754.2
Non-Core 1.1 22.3 8.5 31.9
130.5 639.9 15.7 786.1
Of which AFS debt securities:
Government 53.0 6.4 — 59.4 70.1 7.5 — 77.6 16.4 33.6 — 50.0
MBS — 31.1 0.4 31.5 —39.1 0.2 39.3 — 45.6 0.4 46.0
CDOs —0.6 1.4 2.0 —1.2 0.4 1.6 — 3.6 0.6 4.2
CLOs —3.5 1.5 5.0 —5.4 0.1 5.5 — 4.7 0.6 5.3
Other ABS —2.9 1.1 4.0 —4.0 0.6 4.6 — 5.5 1.0 6.5
Corporate —2.0 —2.0 —3.3 — 3.3 0.6 4.4 0.4 5.4
Banks and building societies 0.1 7.1 —7.2 0.2 11.0 — 11.2 3.8 9.3 — 13.1
Other — — ———0.2 — 0.2 0.1 2.2 — 2.3
53.1 53.6 4.4 111.1 70.3 71.7 1.3 143.3 20.9 108.9 3.0 132.8
Equity shares 0.3 1.4 0.3 2.0 0.5 1.7 0.7 2.9 4.8 2.1 0.3 7.2
Total AFS assets 53.4 55.0 4.7 113.1 70.8 73.4 2.0 146.2 25.7 111.0 3.3 140.0
Of which:
Core 52.8 49.2 1.0 103.0
Non-Core 0.6 5.8 3.7 10.1
53.4 55.0 4.7 113.1
RBS Group 2010314
Notes on the accounts continued