Barclays 2003 Annual Report Download - page 201

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Barclays PLC Annual Report 2003 199
61 Differences between UK GAAP and US GAAP accounting principles (continued)
(q) Securitisations (continued)
Servicing liabilities
The following table shows the servicing liabilities recognised and amortised during the period:
Credit card
receivables
£m
Balance at inception 31
Amortisation for the year (3)
Balance at 31st December 2003 28
The cash flows between the Group and the securitisation vehicles were as follows during the year ended 31st December 2003:
Credit card
receivables
£m
Proceeds from new securitisations 2,508
Proceeds from collection reinvested in receivables 4,277
Cash inflow from servicing fees 13
Cash inflow on interests retained 149
Interest only strip at year end
At 31 December 2003, key economic assumptions and a sensitivity analysis showing the hypothetical effect on the fair value of those interests of two
unfavourable variations from the expected levels for each key assumption are as follows:
Year ended
31st December
2003
Credit card
receivables
Fair value of interest only strip £97m
Constant prepayment rate per annum 100%
Impact of 33% adverse change £(13)m
Impact of 50% adverse change £(38)m
Credit losses per annum(a) 5.3%
Impact of 10% adverse change £(6)m
Impact of 20% adverse change £(13)m
Discount rate 5.0%
Impact of 10% adverse change £(8)m
Impact of 20% adverse change £(16)m
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.
The sensitivity analysis illustrates the potential magnitude of significant adverse changes in key assumptions used in valuing the interest only strip.
However, changes in fair value based on a variation in assumptions generally cannot be extrapolated because the relationship of the change in
assumption to the change in fair value may not be linear. Furthermore, the sensitivities for each key variable are calculated independently of changes
in the other key variables.
The following table presents information about principal balances of managed and securitised receivables as of and for the year ended
31st December 2003.
Credit card receivables
Total Delinquent Net
loans loans(a) write-offs(b)
£m £m £m
Total receivables managed 11,078 228 438
Less: receivables securitised(c) (2,508) (36) (52)
Assets on US GAAP balance sheet 8,570 192 386
Notes
(a) Delinquent loans are loans 90 days or more past due
(b) Net of recoveries during the year
(c) Securitised and derecognised from the balance sheet under US GAAP