Barclays 2011 Annual Report Download - page 271

43 Securitisations continued
The following table shows the carrying amount of securitised assets, stated at the amount of the Group’s continuing involvement where appropriate,
together with the associated liabilities, for each category of asset on the balance sheet:
2011 2010
Carrying
amount of
assets
£m
Associated
liabilities
£m
Carrying
amount of
assets
£m
Associated
liabilities
£m
Loans and advances to customers
Residential mortgage loans 7,946 (8,085) 9,709 (10,674)
Credit card receivables 4,059 (3,477) 801 (723)
Wholesale and corporate loans and advances 1,391 (1,428) 2,560 (2,878)
Total 13,396 (12,990) 13,070 (14,275)
Assets designated at fair value through profit or loss
Retained interest in residential mortgage loans 1 5
Balances included within loans and advances to customers represent securitisations where substantially all the risks and rewards of the asset have been
retained by the Group. As a result these securitisations represents secured financing, although for regulatory capital purposes they may give rise to a
regulatory capital benefit due to risk sharing with investors.
The excess of total associated liabilities over the carrying amount of assets primarily reflects timing differences in the receipt and payment of cash flows,
and foreign exchange movements where the assets and associated liabilities are denominated in different currencies. Foreign exchange movements
and associated risks are hedged economically through the use of cross currency swap derivative contracts.
Retained interests in residential mortgage loans are securities which represent a continuing exposure to the prepayment and credit risk in the
underlying securitised assets. The total amount of the loans was £2,299m (2010: £15,458m). The retained interest is initially recorded as an allocation
of the original carrying amount based on the relative fair values of the portion derecognised and the portion retained.
44 Off-balance sheet arrangements
In the ordinary course of business and primarily to facilitate client transactions, the Group enters into transactions which may involve the use of
off-balance sheet arrangements and special purpose entities (SPEs). These arrangements include the provision of guarantees, loan commitments,
retained interests in assets which have been transferred to an unconsolidated SPE or obligations arising from the Group’s involvements with such SPEs.
Guarantees
The Group issues guarantees on behalf of its customers. In the majority of cases, the Group will hold collateral against the exposure, have a right of
recourse to the customer or both. In addition, the Group issues guarantees on its own behalf. The main types of guarantees provided are: financial
guarantees given to banks and financial institutions on behalf of customers to secure loans; overdrafts; and other banking facilities, including stock
borrowing indemnities and standby letters of credit. Other guarantees provided include performance guarantees, advance payment guarantees, tender
guarantees, guarantees to Her Majesty’s Revenue and Customs and retention guarantees. The nominal principal amount of contingent liabilities with
off-balance sheet risk is set out in Note 30.
Loan commitments
The Group enters into commitments to lend to its customers subject to certain conditions. Such loan commitments are made either for a fixed period
or are cancellable by the Group subject to notice conditions. Information on loan commitments and similar facilities is set out in Note 30.
Leasing
The Group leases various offices, branches, other premises and equipment under non-cancellable operating lease arrangements. With such operating
lease arrangements, the asset is kept on the lessor’s balance sheet and the Group reports the future minimum lease payments as an expense over the
lease term. Information on leasing can be found in Note 27.
SPEs
SPEs are entities that are created to accomplish a narrow and well defined objective. There are often specific restrictions or limits around their ongoing
activities. The Group’s transactions with SPEs take a number of forms, including:
– the provision of financing to fund asset purchases, or commitments to provide finance for future purchases;
– derivative transactions to provide investors in the SPE with a specified exposure;
– the provision of liquidity or backstop facilities which may be drawn upon if the SPE experiences future funding difficulties; and
– direct investment in the notes issued by SPEs.
Barclays PLC Annual Report 2011 www.barclays.com/annualreport 269
The strategic report Governance Risk management Financial review Financial statements Shareholder information