RBS 2012 Annual Report Download - page 450

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Notes on the consolidated accounts continued
29 Securitisation, asset transfers and other collateral given continued
Continuing involvement
In certain securitisations of US 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, as defined by IAS 39,
which takes the form of retaining certain subordinated bonds issued by
the securitisation SPEs.
These interests predominantly relate to mortgage-backed securities
which were re-securitised. Retained interests are generally not held to
maturity and are typically sold after settlement of the securitisation.
Retained interests may be subordinated to other investors' interests.
Third party investors and securitisation trusts have no recourse to the
Group's other assets for failure of debtors to perform on the securitised
loans or securities, effectively transferring the risk of future credit losses
to the purchasers of the securities issued by the trust. The value of
retained interest varies and is subject to credit, interest rate, prepayment,
and other risks of the transferred assets. In the ordinary course of
business, the Group does not provide any other financial support to the
securitisation trusts other than holding these retained interests.
At 31 December 2012, securitised assets were £0.4 billion (2011 - £0.6
billion; 2010 - £2.3 billion); retained interest at fair value £61 million (2011
- £72 million; 2010 - £286 million); subordinated assets £1 million (2011 -
£3 million; 2010 - £4 million); and related liabilities £1 million (2011 - £3
million; 2010 - £4 million).
Securities repurchase agreements and lending transactions
The Group enters into securities repurchase agreements and securities
lending transactions under which it transfers securities 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.
Securities sold under repurchase transactions are not derecognised if the
Group retains substantially all the risks and rewards of ownership. The
fair value (and carrying value) of securities transferred under such
repurchase transactions included on the balance sheet, are set out
below. All of these securities could be sold or repledged by the holder.
Assets subject to securities repurchase agreements or security lending transactions 2012
£m
2011
£m
2010
£m
Debt securities 91,173 79,480 80,104
Equity shares 6,772 6,534 5,148
Other collateral given
This primarily relates to cash collateral relating to derivative contracts as well as assets pledged for bank and other borrowings.
Assets pledged against liabilities 2012
£m
2011
£m
2010
£m
Loans and advances to banks 12,784 19,691 27,271
Loans and advances to customers 25,186 52,225 46,352
Debt securities 24,236 3,713 7,200
62,206 75,629 80,823
Liabilities secured by assets
Deposits by banks 12,309 6,369 10,565
Customer accounts 3,000 2,663 3,599
Derivatives 60,434 82,356 93,570
75,743 91,388 107,734
The Group transferred certain assets resulting in their derecognition, but the Group has continuing involvement as defined in IFRS 7 in these assets
through holdings of debt securities with a carrying value of £398 million (fair value - £339 million) at 31 December 2012. Income for the year was £13
million.