RBS 2009 Annual Report Download - page 332

RBS Group Annual Report and Accounts 2009330
Notes on the accounts continued
30 Collateral and securitisations
Securities repurchase agreements and lending transactions
The Group enters into securities repurchase agreements and securities
lending transactions under which it receives or transfers collateral in
accordance with normal market practice. Generally, the agreements
require additional collateral to be provided if the value of the securities
falls below a predetermined level.
Under standard terms for repurchase transactions in the UK and US
markets, the recipient of collateral has an unrestricted right to sell or
repledge it, subject to returning equivalent securities on settlement of
the transaction.
The fair value (and carrying value) of securities transferred under
repurchase transactions included within debt securities on the balance
sheet were £66.9 billion (2008 – £80.6 billion; 2007 – £107.7 billion). All
of these securities could be sold or repledged by the holder. Securities
received as collateral under reverse repurchase agreements amounted
to £74.0 billion (2008 – £89.3 billion), of which £73.0 billion (2008 –
£49.0 billion) had been resold or repledged as collateral for the Group’s
own transactions.
Other collateral given 2009 2008*
Group assets pledged against Group liabilities £m £m
Loans and advances to banks 13 13
Loans and advances to customers 147,150 125,463
Debt securities 8,723 15,490
155,886 140,966
2009 2008
Liabilities secured by Group assets £m £m
Deposits by banks 12,724 15,429
Customer accounts 3,362 11,050
Debt securities in issue 35,670 58,689
51,756 85,168
* revised
Note:
(1) The table above includes assets used as collateral for central bank liquidity schemes.
Of the assets above, £137.3 billion (2008 – £111.3 billion) relates to securitisations. Additionally the Group has assets and liabilities collateralised in
respect of derivative collateral arrangements.
Securitisations and other asset transfers
Continued recognition
The table below sets out the asset categories together with the carrying amounts of the assets and associated liabilities for those securitisations (see
pages 201 and 202) and other asset transfers where substantially all the risks and rewards of the asset have been retained by the Group.
2009 2008*
Assets Liabilities Assets Liabilities
Asset type £m £m £m £m
Residential mortgages 69,927 15,937 55,714 20,075
Credit card receivables 2,975 1,592 3,004 3,197
Other loans 36,448 1,010 1,679 1,071
Commercial paper conduits 27,366 25,583 49,857 48,684
Finance lease receivables 597 597 1,077 857
137,313 44,719 111,331 73,884
* revised
Continuing involvement
At 31 December 2009, securitised assets were £3.1 billion (2008 – £1.1 billion); retained interest £101.9 million (2008 – £50 million); subordinated
assets £90.7 million (2008 – £9 million); and related liabilities £32.7 million (2008 – £9 million).