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RBS GROUP 2012

401

The following table analyses level 3 balances and related valuation sensitivities.

2012 2011 2010

Sensitivity (1) Sensitivity (1) Sensitivity (1)

Balance Favourable Unfavourable Balance Favourable Unfavourable Balance Favourable Unfavourable

£bn £m £m £bn £m £m £bn £m £m

Assets

Loans and advances

- banks 0.4 50 (30) 0.4 40 (50) 0.4 40 (40)

- customers 0.6 90 (40) 0.4 80 (20) 0.4 30 (20)

Debt securities

Corporate 0.1 10 (10) 0.5 30 (30) 1.2 210 (170)

Financial institutions 4.7 360 (180) 7.4 560 (180) 7.0 540 (180)

4.8 370 (190) 7.9 590 (210) 8.2 750 (350)

Equity shares 0.8 60 (100) 1.0 140 (130) 1.0 160 (160)

Derivatives

Foreign exchange 1.4 140 (40) 1.6 100 (100) 0.1 — —

Interest rate 0.6 60 (80) 1.1 80 (80) 1.7 150 (140)

Credit 1.7 230 (230) 3.8 680 (400) 3.7 1,180 (1,110)

Equities and commodities 0.1 — — 0.2 — — 0.2 — —

3.8 430 (350) 6.7 860 (580) 5.7 1,330 (1,250)

10.4 1,000 (710) 16.4 1,710 (990) 15.7 2,310 (1,820)

Of which ABS

RMBS 0.9 40 (50) 0.6 60 (40) 0.4 70 (50)

CMBS — — — 0.1 10 — 0.3 50 (30)

CDO 0.5 80 (10) 1.7 210 (20) 2.4 180 (20)

CLO 2.4 120 (50) 3.7 90 (40) 2.1 180 (50)

Other 0.4 50 (10) 0.9 90 (40) 1.4 150 (90)

Of which AFS debt securities

Corporate 0.1 10 — 0.2 10 (10) 0.1 20 (20)

Financial institutions 2.9 170 (40) 5.5 310 (50) 4.3 280 (40)

3.0 180 (40) 5.7 320 (60) 4.4 300 (60)

Of which AFS ABS

RMBS 0.2 10 — 0.2 10 (10) 0.2 — —

CMBS — — — — — — 0.1 10 —

CDO 0.5 70 (10) 1.4 170 (10) 1.4 100 (10)

CLO 1.9 50 (10) 3.3 40 (20) 1.5 110 (10)

Other 0.2 20 (10) 0.7 70 (30) 1.1 80 (40)

Equity shares 0.4 30 (40) 0.4 70 (70) 0.3 60 (60)

Total AFS assets 3.4 210 (80) 6.1 390 (130) 4.7 360 (120)

Liabilities

Deposits by bank 0.1 — (20) — — — — — —

Customer accounts 0.1 30 (30) — 20 (20) 0.1 60 (60)

Debt securities in issue 1.4 60 (70) 2.2 80 (60) 2.2 90 (110)

Short positions — — — 0.3 10 (100) 0.8 20 (50)

Derivatives

Foreign exchange 1.2 70 (30) 0.4 30 (20) — — (10)

Interest rate 0.4 20 (20) 1.1 80 (90) 1.0 70 (90)

Credit 0.8 40 (90) 1.8 380 (170) 0.3 40 (40)

Equities and commodities 0.9 10 (10) 0.5 10 (10) 0.4 10 —

3.3 140 (150) 3.8 500 (290) 1.7 120 (140)

4.9 230 (270) 6.3 610 (470) 4.8 290 (360)

For the notes to this table refer to the following page.