RBS 2013 Annual Report Download - page 422
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Notes on the consolidated accounts
420
11 Financial instruments - valuation continued
The following table analyses level 3 balances and related valuation sensitivities.
2013 2012 2011
Sensitivity (5) Sensitivity (5) Sensitivity (5)
Balance Favourable Unfavourable Balance Favourable Unfavourable Balance Favourable Unfavourable
£bn £m £m £bn £m £m £bn £m £m
A
ssets
Loans and advances
- banks 0.3 30 (10) 0.4 50 (30) 0.4 40 (50)
- customers 0.2 20 (30) 0.6 90 (40) 0.4 80 (20)
Debt securities
Other Government 0.1 — — — — — — — —
Corporate 0.3 20 (10) 0.1 10 (10) 0.5 30 (30)
Financial institutions 1.7 140 (90) 4.7 360 (180) 7.4 560 (180)
2.1 160 (100) 4.8 370 (190) 7.9 590 (210)
Equity shares 0.7 120 (110) 0.8 60 (100) 1.0 140 (130)
Derivatives
Foreign exchange 1.3 150 (20) 1.4 140 (40) 1.6 100 (100)
Interest rate 1.4 160 (120) 0.6 60 (80) 1.1 80 (80)
Credit 0.8 70 (110) 1.7 230 (230) 3.8 680 (400)
Equities and commodities — 10 — 0.1 — — 0.2 — —
3.5 390 (250) 3.8 430 (350) 6.7 860 (580)
6.8 720 (500) 10.4 1,000 (710) 16.4 1,710 (990)
Of which ABS
RMBS 0.3 30 (30) 0.9 40 (50) 0.6 60 (40)
CMBS — — — — — — 0.1 10 —
CDO 0.4 40 (10) 0.5 80 (10) 1.7 210 (20)
CLO 0.7 30 (30) 2.4 120 (50) 3.7 90 (40)
Other 0.3 20 (20) 0.4 50 (10) 0.9 90 (40)
Of which AFS debt securities
Corporate 0.1 10 (10) 0.1 10 — 0.2 10 (10)
Financial institutions 1.1 60 (20) 2.9 170 (40) 5.5 310 (50)
1.2 70 (30) 3.0 180 (40) 5.7 320 (60)
Of which AFS ABS
RMBS 0.1 — — 0.2 10 — 0.2 10 (10)
CDO 0.3 40 — 0.5 70 (10) 1.4 170 (10)
CLO 0.6 — (10) 1.9 50 (10) 3.3 40 (20)
Other 0.1 10 (10) 0.2 20 (10) 0.7 70 (30)
Equity shares 0.4 80 (70) 0.4 30 (40) 0.4 70 (70)
Total AFS assets 1.6 150 (100) 3.4 210 (80) 6.1 390 (130)
Liabilities
Deposits by bank 0.1 10 — 0.1 — (20) — — —
Customer accounts 0.2 — (10) 0.1 30 (30) — 20 (20)
Debt securities in issue 1.3 50 (70) 1.4 60 (70) 2.2 80 (60)
Short positions — — — — — — 0.3 10 (100)
Derivatives
Foreign exchange 0.7 50 (20) 1.2 70 (30) 0.4 30 (20)
Interest rate 0.6 30 (30) 0.4 20 (20) 1.1 80 (90)
Credit - other 0.9 40 (60) 0.8 40 (90) 1.8 380 (170)
Equities and commodities 0.8 10 (10) 0.9 10 (10) 0.5 10 (10)
3.0 130 (120) 3.3 140 (150) 3.8 500 (290)
4.6 190 (200) 4.9 230 (270) 6.3 610 (470)
For the notes to this table refer to the following page.