RBS 2011 Annual Report Download - page 398

396 RBS Group 2011
30 Securitisations and asset transfers
Secured funding
The Group has access to secured funding markets through own-asset
securitisation and covered bond funding programmes to complement
existing wholesale funding programmes and access to the repo markets.
The Group monitors and manages encumbrance levels related to these
secured funding programmes. This includes the potential encumbrance of
Group assets that could be used in own-asset securitisations and/or
covered bonds that could be used as contingent liquidity.
Own-asset securitisations
The Group has a programme of own-asset securitisations where assets
are transferred to bankruptcy remote SPEs funded by the issue of debt
securities. The majority of the risks and rewards of the portfolio are
retained by the Group and these SPEs are consolidated and all of the
transferred assets retained on the Group’s balance sheet. In some own-
asset securitisations, the Group may purchase all the issued securities
which are available to be pledged as collateral for repurchase
agreements with major central banks.
Covered bond programme
Certain loans and advances to customers have been assigned to
bankruptcy remote limited liability partnerships to provide security for
issues of covered bonds by the Group. The Group retains all of the risks
and rewards of these loans, the partnerships are consolidated, the loans
retained on the Group’s balance sheet and the related covered bonds
included within debt securities in issue.
The following table shows:
(i) the asset categories that have been pledged to secured funding
structures, including assets backing publicly issued own-asset
securitisations and covered bonds; and
(ii) any currently unencumbered assets that could be substituted into
those portfolios or used to collateralise debt securities which may be
retained by the Group for contingent liquidity purposes.
2011 2010 2009
Debt securities in issue Debt securities in issue Debt securities in issue
Asset type (3) Assets
£m
Held by third
parties (1)
£m
Held by the
Group (2)
£m
Total
£m
Assets
£m
Held by third
parties (1)
£m
Held by the
Group (2)
£m
Total
£m
Assets
£m
Held by third
parties (1)
£m
Held by the
Group (2)
£m
Total
£m
Mortgages
- UK (RMBS) 49,549 10,988 47,324 58,312 53,132 13,047 50,028 63,075 55,387 10,138 53,356 63,494
- UK (covered bonds) 15,441 9,107 — 9,107 8,046 4,100 — 4,100 — — — —
- Irish 12,660 3,472 8,670 12,142 15,034 5,101 11,152 16,253 14,540 5,799 6,905 12,704
UK credit cards 4,037 500 110 610 3,993 34 1,500 1,534 2,975 1,592 1,500 3,092
UK personal loans 5,168 — 4,706 4,706 5,795 — 5,383 5,383 8,411 — 8,160 8,160
Other loans (4) 19,778 4 20,577 20,581
25,193 974 23,186 24,160 28,037 1,010 25,290 26,300
106,633 24,071 81,387 105,458 111,193 23,256 91,249 114,505 109,350 18,539 95,211 113,750
Cash deposits (5) 11,998 13,068 12,016
118,631 124,261 121,366
Notes:
(1) Assets that have been pledged to the SPEs which itself is a subset of the total portfolio of eligible assets within a collateral pool.
(2) Debt securities that have been sold to third party investors and represents a source of external wholesale funding.
(3) Debt securities issued pursuant to own-asset securitisations where the debt securities are retained by the Group as a source of contingent liquidity where those securities can be used in repurchase
agreements with central banks.
(4) Comprises corporate, social housing and student loans.
(5) At 31 December 2011, cash deposits comprised £11.2 billion from mortgage repayments and £0.8 billion from other loan repayments held in the SPEs, to repay debt securities issued by the own-
asset securitisation vehicles (2010 - £12.3 billion and £0.8 billion; 2009 - £11.1 billion and £0.9 billion respectively).
Notes on the consolidated accounts continued