RBS 2011 Annual Report Download - page 352

350 RBS Group 2011
11 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.
2011 2010 2009
Level 1
£bn
Level 2
£bn
Level 3
£bn
Total
£bn
Level 1
£bn
Level 2
£bn
Level 3
£bn
Total
£bn Level 1
£bn
Level 2
£bn
Level 3
£bn
Total
£bn
Assets
Loans and advances to banks
Reverse repos — 34.7 — 34.7 —38.2 — 38.2 — 26.9 — 26.9
Collateral — 19.7 — 19.7 —25.1 — 25.1 — 18.4 — 18.4
Other — 0.2 0.4 0.6 —0.6 0.4 1.0 — 0.1 — 0.1
— 54.6 0.4 55.0 —63.9 0.4 64.3 — 45.4 — 45.4
Loans and advances to customers
Reverse repos — 53.6 — 53.6 —41.1 — 41.1 — 26.3 — 26.3
Collateral — 22.0 — 22.0 —14.4 — 14.4 — 9.6 — 9.6
Other — 3.4 0.4 3.8 —6.2 0.4 6.6 — 7.3 1.1 8.4
—
79.0 0.4 79.4
—
61.7 0.4 62.1 — 43.2 1.1 44.3
Debt securities
UK government 22.4 — — 22.4 13.5 — — 13.5 27.3 — — 27.3
US government 35.5 5.0 — 40.5 31.0 7.0 — 38.0 19.2 9.2 — 28.4
Other government 53.9 8.7 — 62.6 62.3 13.6 — 75.9 79.6 16.3 — 95.9
Corporate — 5.0 0.5 5.5 — 6.5 1.2 7.7 — 9.2 1.2 10.4
Financial institutions 3.0 61.6 7.4 72.0 3.5 64.8 7.0 75.3 4.2 88.3 2.9 95.4
114.8 80.3 7.9 203.0 110.3 91.9 8.2 210.4 130.3 123.0 4.1 257.4
Equity shares 12.4 1.8 1.0 15.2 18.4 2.8 1.0 22.2 15.4 2.6 1.5 19.5
Derivatives
Foreign exchange — 72.9 1.6 74.5 —83.2 0.1 83.3 — 69.2 0.2 69.4
Interest rate 0.2 420.8 1.1 422.1 1.7 308.3 1.7 311.7 0.3 321.8 1.5 323.6
Equities and commodities — 5.9 0.2 6.1 0.1 4.9 0.2 5.2 0.4 6.1 0.3 6.8
Credit - APS — — — — — — 0.6 0.6 — — 1.4 1.4
Credit - other — 23.1 3.8 26.9 — 23.2 3.1 26.3 0.1 37.2 3.0 40.3
0.2 522.7 6.7 529.6 1.8 419.6 5.7 427.1 0.8 434.3 6.4 441.5
127.4 738.4 16.4 882.2 130.5 639.9 15.7 786.1 146.5 648.5 13.1 808.1
Of which
Core 126.9 724.5 7.2 858.6 129.4 617.6 7.2 754.2
Non-Core 0.5 13.9 9.2 23.6 1.1 22.3 8.5 31.9
127.4 738.4 16.4 882.2 130.5 639.9 15.7 786.1
Proportion 14.4% 83.7% 1.9% 100.0% 16.6% 81.4% 2.0% 100.0% 18.1% 80.3% 1.6% 100.0%
Of which AFS debt securities
UK government 13.4 — — 13.4 8.4 — — 8.4 19.1 — — 19.1
US government 18.1 2.7 — 20.8 17.8 4.4 — 22.2 12.6 6.4 — 19.0
Other government 21.6 4.0 — 25.6 26.5 6.4 — 32.9 38.4 7.1 — 45.5
Corporate — 2.3 0.2 2.5 — 1.4 0.1 1.5 — 3.3 0.2 3.5
Financial institutions 0.2 39.3 5.5 45.0 0.4 41.4 4.3 46.1 0.2 54.9 1.1 56.2
53.3 48.3 5.7 107.3 53.1 53.6 4.4 111.1 70.3 71.7 1.3 143.3
Equity shares 0.3 1.3 0.4 2.0 0.3 1.4 0.3 2.0 0.5 1.7 0.7 2.9
Total AFS assets 53.6 49.6 6.1 109.3 53.4 55.0 4.7 113.1 70.8 73.4 2.0 146.2
Of which
Core 53.6 46.9 0.6 101.1 52.8 49.2 1.0 103.0
Non-Core — 2.7 5.5 8.2 0.6 5.8 3.7 10.1
53.6 49.6 6.1 109.3 53.4 55.0 4.7 113.1
For notes relating to this table refer to page 351.
Notes on the consolidated accounts continued