RBS 2010 Annual Report Download - page 318

12 Financial instruments - valuation continued
The table below analyses level 3 balances and related valuation sensitivities.
2010 2009
Sensitivity (2)
Sensitivity (2)
Balance Favourable Unfavourable Balance Favourable Unfavourable
£bn £m £m £bn £m £m
Assumptions
Assets
Loans and advances 0.8 70 (60) 1.1 80 (40) Credit spreads, indices
Debt securities
MBS 0.7 120 (80) 0.6 60 (10) Prepayment rates, probability of default, loss
severity and yield
CDOs 2.4 180 (20) 1.0 130 (80) Implied collateral valuation, default rates, housing
prices, correlation
CLOs 2.1 180 (50) 0.8 80 (50) Credit spreads, recovery rates, correlation
Other ABS 1.4 150 (80) 0.9 120 (40) Credit spreads
Corporate 0.9 60 (60) 0.6 70 (20) Credit spreads
Bank and building societies 0.7 60 (60) 0.2 10 (30) Credit spreads
8.2 750 (350) 4.1 470 (230)
Equity shares 1.0 160 (160) 1.5 280 (220) Fund valuation
Derivatives
Foreign exchange 0.1 — — 0.2 10 —
Volatility, correlation
Interest rate 1.7 150 (140) 1.5 80 (100) Volatility, correlation
Credit - APS 0.6 860 (940) 1.4 1,370 (1,540) Credit spreads, correlation, expected losses,
discount rate recoveries, loss credits
Credit - other 3.1 320 (170) 3.0 420 (360) Counterparty credit risk, correlation, volatility
Equities and commodities 0.2 — — 0.3 20 (20) Correlation, dividends
5.7 1,330 (1,250) 6.4 1,900 (2,020)
Total assets 15.7 2,310 (1,820) 13.1 2,730 (2,510)
Total assets - 2008 21.4 1,880 (2,200)
Of which AFS debt securities:
MBS 0.4 10 — 0.2 — —
CDOs 1.4 100 (10) 0.4 40 (20)
CLOs 1.5 110 (10) 0.1 10 (10)
Other ABS 1.1 80 (40) 0.6 40 (20)
4.4 300 (60) 1.3 90 (50)
Equity shares 0.3 60 (60) 0.7 100 (90)
Total AFS assets 4.7 360 (120) 2.0 190 (140)
Total AFS assets - 2008 3.3 150 (230)
For notes relating to this table refer to page 317.
RBS Group 2010316
Notes on the accounts continued