RBS 2011 Annual Report Download - page 354

352 RBS Group 2011
11 Financial instruments - valuation continued
The following table analyses level 3 balances and related valuation sensitivities.
2011 2010 2009
Sensitivity (1) Sensitivity (1) Sensitivity (1)
Balance Favourable Unfavourable Balance Favourable Unfavourable Balance Favourable Unfavourable
£bn £m £m £bn £m £m £bn £m £m Assumptions
Assets
Loans and advances 0.8 120 (70) 0.8 70 (60) 1.1 80 (40) c, k
Debt securities
Corporate 0.5 30 (30) 1.2 210 (170) 1.2 180 (60) c
Financial institutions 7.4 560 (180) 7.0 540 (180) 2.9 290 (170) a, c, d, i, j, m, n, o, p
7.9 590 (210) 8.2 750 (350) 4.1 470 (230)
Equity shares 1.0 140 (130) 1.0 160 (160) 1.5 280 (220) h
Derivatives
Foreign exchange 1.6 100 (100) 0.1 — — 0.2 10 — a, q
Interest rate 1.1 80 (80) 1.7 150 (140) 1.5 80 (100) a, q
Equities and commodities 0.2 — — 0.2 — — 0.3 20 (20) a, f
Credit - APS — — — 0.6 860 (940) 1.4 1,370 (1,540) a, c, e, g, l
Credit - other 3.8 680 (400) 3.1 320 (170) 3.0 420 (360) a, b, q
6.7 860 (580) 5.7 1,330 (1,250) 6.4 1,900 (2,020)
16.4 1,710 (990) 15.7 2,310 (1,820) 13.1 2,730 (2,510)
Of which AFS debt securities
Corporate 0.2 10 (10) 0.1 20 (20) 0.2 10 (10)
Financial institutions 5.5 310 (50) 4.3 280 (40) 1.1 80 (40)
5.7 320 (60) 4.4 300 (60) 1.3 90 (50)
Equity shares 0.4 70 (70) 0.3 60 (60) 0.7 100 (90)
Total AFS assets 6.1 390 (130) 4.7 360 (120) 2.0 190 (140)
Liabilities
Customer accounts — 20 (20) 0.1 60 (60) 0.1 — (10) a, c
Debt securities in issue 2.2 80 (60) 2.2 90 (110) 2.3 50 (10) a, q
Short positions 0.3 10 (100) 0.8 20 (50) 0.2 10 (20) a, c
Derivatives
Foreign exchange 0.4 30 (20) — — (10) — — — a, q
Interest rate 1.1 80 (90) 1.0 70 (90) 0.8 40 (60) a, q
Equity and commodities 0.5 10 (10) 0.4 10 — 0.2 20 (70) a, f
Credit - APS 0.2 300 (40) — — — — — — a, c, e, g, l
Credit - other 1.6 80 (130) 0.3 40 (40) 1.0 80 (100) a, b, q
3.8 500 (290) 1.7 120 (140) 2.0 140 (230)
6.3 610 (470) 4.8 290 (360) 4.6 200 (270)
Key to assumptions:
(a) Correlation; (b) counterparty credit risk; (c) credit spreads; (d) default rates; (e) discount rate recoveries; (f) dividends; (g) expected losses; (h) fund valuation; (i) housing prices;
(j) implied collateral valuation; (k) indices; (l) loss credits; (m) prepayment rates; (n) probability of default; (o) loss severity and yield; (p) recovery rates; (q) volatility.
Note:
(1) Sensitivity represents the favourable and unfavourable effect on the income statement or the statement of comprehensive income due to reasonably possible changes to valuations using reasonably
possible alternative inputs to the Group's valuation techniques or models. Totals for sensitivities are not indicative of the total potential effect on the income statement or the statement of
comprehensive income.
Notes on the consolidated accounts continued