Barclays 2006 Annual Report Download - page 275

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Barclays PLC
Annual Report 2006 271
Financial statements
3
60 Differences between IFRS and US GAAP accounting principles (continued)
(n) Securitisations (continued)
Interest only strip
The movement in fair value of retained interests during the year is as follows:
2006 2005 2006 2005
Mortgage Mortgage Credit card Credit card
loans loans receivables receivables
£m £m £m £m
Value at 1st January 18 171 191 117
Value at inception of new securitisations 55 –498
Transfer to net income ––(84) (24)
Cash flow from interests retained/sold (17) (173) ––
Foreign exchange differences (3) 20 ––
Value at 31st December 53 18 111 191
Key economic assumptions used in measuring the interest only strip at the time of the securitisation were as follows:
2006 2005 2006 2005
Mortgage Mortgage Credit card Credit card
loans loans receivables receivables
Fair value of interest only strip at inception of new securitisations £55m –£4m £98m
Constant prepayment rate per annum 30% –100% 100%
Credit losses per annum(a) 3% –8.5% 6.5%
Discount rate 18% –5.5% 5.0%
Servicing liabilities
The following table shows the servicing liabilities recognised and amortised during the year:
2006 2005
Credit card Credit card
receivables receivables
£m £m
Balance at 1st January 70 45
Additions 137
Amortisation for the year (41) (12)
Balance at 31st December 30 70
The fair value of the servicing liability for credit card receivables is £30m (2005: £70m).
Servicing assets
The following table shows the servicing assets recognised during the year:
2006 2005
Mortgage Mortgage
loans loans
£m £m
Balance at 1st January ––
Additions 33 –
Amortisation for the year ––
Balance at 31st December 33 –
The fair value of the servicing asset for mortgage loans is £33m (2005: £nil).
The cash flows between the Group and the securitisation vehicles were as follows:
2006 2005 2006 2005
Mortgage Mortgage Credit card Credit card
loans loans receivables receivables
£m £m £m £m
Proceeds from new securitisations ––112 3,497
Proceeds from collection reinvested in receivables ––15,709 11,151
Cash inflow from servicing fees ––47 32
Cash inflow on interests retained/sold 17 173 387 291
Cash outflow from redemptions ––(1,228) –
Cash inflow from loan repayments ––5–
Note
(a) Annual percentage credit loss is based only on positions in which expected credit loss is a key assumption in the determination of fair values.