RBS 2012 Annual Report Download - page 401

RBS GROUP 2012
399
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.
2012 2011 2010
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 — 33.4 — 33.4 — 34.7 — 34.7 — 38.2 — 38.2
Derivative collateral — 12.8 — 12.8 — 19.7 — 19.7 — 25.1 — 25.1
Other — 0.1 0.4 0.5 — 0.2 0.4 0.6 — 0.6 0.4 1.0
— 46.3 0.4 46.7 — 54.6 0.4 55.0 — 63.9 0.4 64.3
Loans and advances to customers
Reverse repos — 70.0 — 70.0 — 53.6 — 53.6 — 41.1 — 41.1
Derivative collateral — 22.5 — 22.5 — 22.0 — 22.0 — 14.4 — 14.4
Other — 1.9 0.6 2.5 — 3.4 0.4 3.8 — 6.2 0.4 6.6
—
94.4 0.6 95.0
—
79.0 0.4 79.4 — 61.7 0.4 62.1
Debt securities
UK government 15.6 0.1 — 15.7 22.4 — — 22.4 13.5 — — 13.5
US government 31.0 5.4 — 36.4 35.5 5.0 — 40.5 31.0 7.0 — 38.0
Other government 34.4 8.9 — 43.3 53.9 8.7 — 62.6 62.3 13.6 — 75.9
Corporate — 2.2 0.1 2.3 — 5.0 0.5 5.5 — 6.5 1.2 7.7
Financial institutions 2.6 48.0 4.7 55.3 3.0 61.6 7.4 72.0 3.5 64.8 7.0 75.3
83.6 64.6 4.8 153.0 114.8 80.3 7.9 203.0 110.3 91.9 8.2210.4
Of which ABS
RMBS — 38.5 0.9 39.4 — 48.2 0.6 48.8 — 46.1 0.4 46.5
CMBS — 3.7 — 3.7 — 2.1 0.1 2.2 — 3.4 0.3 3.7
CDO — 0.2 0.5 0.7 — 0.2 1.7 1.9 — 0.9 2.4 3.3
CLO — 0.6 2.4 3.0 — 1.5 3.7 5.2 — 3.6 2.1 5.7
Other — 2.1 0.4 2.5 — 3.1 0.9 4.0 — 4.0 1.4 5.4
Equity shares 13.1 1.3 0.8 15.2 12.4 1.8 1.0 15.2 18.4 2.8 1.0 22.2
Derivatives
Foreign exchange — 61.7 1.4 63.1 — 72.9 1.6 74.5 — 83.2 0.1 83.3
Interest rate 0.1 362.7 0.6 363.4 0.2 420.8 1.1 422.1 1.7 308.3 1.7 311.7
Credit — 9.3 1.7 11.0 — 23.1 3.8 26.9 — 23.2 3.7 26.9
Equities and commodities — 4.3 0.1 4.4 — 5.9 0.2 6.1 0.1 4.9 0.2 5.2
0.1 438.0 3.8 441.9 0.2 522.7 6.7 529.6 1.8 419.6 5.7 427.1
96.8 644.6 10.4 751.8 127.4 738.4 16.4 882.2 130.5 639.9 15.7 786.1
Of which
Core 96.4 637.3 5.6 739.3 126.9 724.5 7.2 858.6 129.4 617.6 7.2 754.2
Non-Core 0.4 7.3 4.8 12.5 0.5 13.9 9.2 23.6 1.1 22.3 8.5 31.9
96.8 644.6 10.4 751.8 127.4 738.4 16.4 882.2 130.5 639.9 15.7 786.1
Proportion 12.9% 85.7% 1.4% 100.0% 14.4% 83.7% 1.9% 100.0% 16.6% 81.4% 2.0% 100.0%
AFS debt securities included above
UK government 8.0 — — 8.0 13.4 — — 13.4 8.4 — — 8.4
US government 15.5 3.5 — 19.0 18.1 2.7 — 20.8 17.8 4.4 — 22.2
Other government 10.7 5.3 — 16.0 21.6 4.0 — 25.6 26.5 6.4 — 32.9
Corporate — 0.1 0.1 0.2 — 2.3 0.2 2.5 — 1.4 0.1 1.5
Financial institutions 0.5 27.1 2.9 30.5 0.2 39.3 5.5 45.0 0.4 41.4 4.3 46.1
34.7 36.0 3.0 73.7 53.3 48.3 5.7 107.3 53.1 53.6 4.4 111.1
For the note to this table refer to the following page.