Aviva 2007 Annual Report Download - page 172
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23 – Securitised mortgages and related assets continued
(ii) Netherlands and Belgium
In three subsidiaries, Delta Lloyd Levensverzekering NV (DLL), Amstelhuys NV (AMS), and Delta Lloyd Bank NV/SA (DLB),
the principal benefits of certain portfolios of mortgage loans have been transferred to a number of special purpose
securitisation companies, which were funded primarily through the issue of fixed rate, floating rate and index-linked notes.
All the shares in the securitisation companies are held by independent trustee companies. Although DLL, AMS and DLB do
not own, directly or indirectly, any of the share capital of the securitisation companies or their parent companies, they
retain control of the residual or ownership risks related to them, and these companies have therefore been treated as
subsidiaries in the consolidated financial statements. DLL, AMS and DLB have no right, nor any obligation, to repurchase
the benefit of any of the securitised mortgage loans before the optional call date, other than in certain circumstances
where they are in breach of warranty.
Delta Lloyd companies have purchased notes in the securitisation companies, which have been eliminated on consolidation
through offset against the borrowings of the securitisation companies in the consolidated balance sheet.
(iii) General
In all of the above transactions, the Company and its subsidiaries are not obliged to support any losses that may be suffered
by the noteholders and do not intend to provide such support. Additionally, the notes were issued on the basis that
noteholders are only entitled to obtain payment, of both principal and interest, to the extent that the available resources of
the respective special purpose securitisation companies, including funds due from customers in respect of the securitised
loans, are sufficient and that noteholders have no recourse whatsoever to other companies in the Aviva Group.
(b) Carrying values
The following table summarises the securitisation arrangements:
Securitised Securitised Securitised Securitised
assets borrowings assets borrowings
2007 2007 2006 2006
£m £m £m £m
UK
Securitised mortgage loans
– At fair value 1,777 (1,691) 1,923 (1,856)
1,777 (1,691) 1,923 (1,856)
Other securitisation assets/(liabilities) 23 (109) 121 (188)
1,800 (1,800) 2,044 (2,044)
Netherlands
Securitised mortgage loans
– At fair value 3,699 (3,706) 3,018 (3,329)
– At amortised cost 1,911 (2,283) 1,768 (2,038)
5,610 (5,989) 4,786 (5,367)
Other securitisation assets/(liabilities) 379 – 581 –
5,989 (5,989) 5,367 (5,367)
Loan notes held by third-parties are as follows:
UK Netherlands UK Netherlands
2007 2007 2006 2006
£m £m £m £m
Total loan notes issued, as above 1,691 5,989 1,856 5,367
Less: Loan notes held by Group companies (17) (369) (21) (134)
Loan notes held by third-parties (note 47(c)) 1,674 5,620 1,835 5,233
Aviva plc
Annual Report and
Accounts 2007
168
Financial
statements
Notes to the consolidated financial statements continued