Barclays 2005 Annual Report Download - page 280

Barclays PLC
Annual Report 2005
278
Notes to the accounts
For the year ended 31st December 2005
63 Differences between IFRS and US GAAP accounting principles (continued)
(l) Securitisations (continued)
Interest only strip
The movement in fair value of retained interests during the period is as follows:
2005 2004 2005 2004
Mortgage Mortgage Credit card Credit card
loans loans receivables receivables
£m £m £m £m
Value at 1st January 171 –117 97
Value at inception of new securitisations –270 98 30
Transfer to net income ––(24) (10)
Cash flow from interests retained/sold (173) (90) ––
Foreign exchange differences 20 (9) ––
Value at 31st December 18 171 191 117
Key economic assumptions used in measuring the interest only strip at the time of the securitisation were as follows:
2005 2004 2005 2004
Mortgage Mortgage Credit card Credit card
loans loans receivables receivables
Fair value of interest only strip at inception of new securitisations –£270m £98m £30m
Constant prepayment rate per annum –15%-17% 100% 100%
Credit losses per annum(a) –2%-4.25% 6.5% 5.5%
Discount rate –15%-25% 5.0% 5.0%
Servicing liabilities
The following table shows the servicing liabilities recognised and amortised during the period:
2005 2004
Credit card Credit card
receivables receivables
£m £m
Balance at 1st January 45 28
Balance at inception of new securitisations 37 11
Amortisation for the year (12) 6
Balance at 31st December 70 45
The fair value of the servicing liability for credit card receivables is £70m (2004: £45m).
During 2004, no servicing assets or liabilities arose on the securitisation of the mortgages, as the originator had 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 2005:
2005 2004 2005 2004
Mortgage Mortgage Credit card Credit card
loans loans receivables receivables
£m £m £m £m
Proceeds from new securitisations –4,538 3,497 810
Proceeds from collection reinvested in receivables ––11,151 7,336
Cash inflow from servicing fees ––32 22
Cash inflow on interests retained/sold 173 90 291 216
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.