RBS 2011 Annual Report Download - page 248

246 RBS Group 2011
Risk management: Pension risk* continued
The table below shows the sensitivity of the Main scheme’s assets and liabilities (measured according to IAS 19 ‘Employee Benefits’) to changes in
interest rates and equity values at the year end, taking account of the current asset allocation and hedging arrangements.
Change
in value
of assets
£m
Change
in value of
liabilities
£m
Increase in net
pension
obligations
£m
At 31 December 2011
Fall in nominal swap yields of 0.25% at all durations with no change in credit spreads or real swap yields 106 200 (94)
Fall in real swap yields of 0.25% at all durations with no change in credit spreads or nominal swap yields 557 911 (354)
Fall in credit spreads of 0.25% at all durations with no change in nominal or real swap yields 104 1,118 (1,014)
Fall in equity values of 10% (935) — (935)
At 31 December 2010
Fall in nominal swap yields of 0.25% at all durations with no change in credit spreads or real swap yields 67 193 (126)
Fall in real swap yields of 0.25% at all durations with no change in credit spreads or nominal swap yields 355 799 (444)
Fall in credit spreads of 0.25% at all durations with no change in nominal or real swap yields 98 1,005 (907)
Fall in equity values of 10% (1,083) — (1,083)
*unaudited
Business review Risk and balance sheet management continued