RBS 2005 Annual Report Download - page 159

section
03
Financial
statements
157
Notes on the accounts
Annual Report and Accounts 2005
Continuing involvement
In certain US securitisations of residential mortgages
substantially all the risks and rewards have been neither
transferred nor retained, but the Group has retained control, of
the assets and continues to recognise the assets to the extent
of its continuing involvement. Securitised assets were £39.8
billion; retained interests £863 million; subordination assets
£609 million and related liabilities £609 million.
Derecognition
Other securitisations of the Group’s financial assets in the US
qualify for derecognition as substantially all the risks and
rewards of the assets have been transferred. The Group
continues to recognise any retained interests in the
securitisation vehicles.
Disclosures are given below about those securitisations of
financial assets undertaken by the Group that resulted in
derecognition or recognition to the extent of continuing
involvement. The Group has classified these securitisations into
three broad categories: US Agency, consumer, and commercial
securitisations. During 2005, the Group received proceeds of
approximately £46.3 billion from securitisation trusts in
connection with new securitisations of Group assets and £9.6
billion in connection with securitisation of third-party assets.
The Group recognised net pre-tax gains of approximately £182
million (2004 – £111 million) relating to these securitisations.
Net pre-tax gains are based on the difference between the
sales prices and previous carrying values of assets prior to
date of sale, are net of transaction costs, and exclude any
results attributable to hedging activities, interest income,
funding costs, and changes in asset values prior to, and in
retained interest values subsequent to, the securitisation date.
At 31 December 2005, the fair value of the Group’s retained
interests was approximately £2.1 billion (2004 – £1.4 billion).
These retained interests comprise approximately £1,179 million
in US Agency based retained interests, £764 million in consumer
based retained interests and £128 million in commercial based
retained interests. These retained interests primarily relate to
mortgage loans and securities and arose from securitisations
that have taken place in current and prior years. Cash flows
received in 2005 from retained interests held at 31 December
2005 in connection with securitisations that took place in
current and prior years amounted to approximately
£481 million (2004 – £383 million).