Barclays 2004 Annual Report Download - page 221

Barclays PLC Annual Report 2004
219
52 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:
2004 2003
Credit card Credit card
receivables receivables
£m £m
Balance at 1st January 28 31
Balance at inception of new securitisations 11 –
Amortisation for the year 6(3)
Balance at 31st December 45 28
The fair value of the servicing liability is £45m (2003: £28m).
No servicing assets or liabilities arise on the securitisation of the mortgages, as the originator has retained the right to service these assets.
The cash flows between the Group and the securitisation vehicles were as follows during the year ended 31st December 2004:
2004 2003 2004 2003
Mortgage Mortgage Credit card Credit card
loans loans receivables receivables
£m £m £m £m
Proceeds from new securitisations 4,538 –810 2,508
Proceeds from collection reinvested in receivables ––7,336 4,277
Cash inflow from servicing fees ––22 13
Cash inflow on interests retained 90 –216 149
Interest only strip at year end
At 31st December 2004, 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:
2004 2004
Mortgage Credit card
loans receivables
Fair value of interest only strip £171m £117m
Constant prepayment rate per annum 15%-17% 100%
Impact of 33% adverse change £(69)m £(18)m
Impact of 50% adverse change £(79)m £(50)m
Credit losses per annum(a) 2%-5% 5.5%
Impact of 10% adverse change £(15)m £(8)m
Impact of 20% adverse change £(29)m £(16)m
Discount rate 15%-25% 5.0%
Impact of 10% adverse change £(7)m £(11)m
Impact of 20% adverse change £(25)m £(20)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 tables present information about principal balances of managed and securitised receivables as of and for the year ended
31st December 2004.
2004 2003
Credit card receivables Credit card receivables
Total Delinquent Net Total Delinquent Net
loans loans(a) write-offs(b) loans loans(a) write-offs(b)
£m £m £m £m £m £m
Total receivables managed 14,146 235 515 11,078 228 438
Less: receivables securitised(c) (3,317) (49) (92) (2,508) (36) (52)
Assets on US GAAP balance sheet 10,829 186 423 8,570 192 386