Barclays 2005 Annual Report Download - page 281

Barclays PLC
Annual Report 2005 279
3.5
63 Differences between IFRS and US GAAP accounting principles (continued)
(l) Securitisations (continued)
Interest only strip at year end
At 31st December 2005, 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:
2005 2005
Mortgage Credit card
loans receivables
Fair value of interest only strip £18m £191m
Constant prepayment rate per annum 42% 100%
Impact of 33% adverse change – £(83)m
Impact of 50% adverse change £1m £(115)m
Credit losses per annum(a) 2% 6.5%
Impact of 10% adverse change £(2)m £(78)m
Impact of 20% adverse change £(3)m £(91)m
Discount rate 11% 5%
Impact of 10% adverse change £(1)m £(17)m
Impact of 20% adverse change £(1)m £(31)m
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 2005.
2005 2004
Credit card receivables Credit card receivables
Total Delinquent Net Total Delinquent Net
loans loans(b) write-offs(c) loans loans(b) write-offs(c)
£m £m £m £m £m £m
Total receivables managed 12,924 349 726 14,146 235 515
Less: receivables securitised(c) (6,815) (149) (184) (3,317) (49) (92)
Assets on US GAAP balance sheet 6,109 200 542 10,829 186 423
2005 2004
Mortgages Mortgages
Total Delinquent Net Total Delinquent Net
loans loans write-offs loans loans write-offs
£m £m £m £m £m £m
Total receivables managed 6,270 – – 8,020 – –
Less: receivables securitised(d) (563) – – (4,538) – –
Assets on US GAAP balance sheet 5,707 – – 3,482 – –
Notes
(a) Annual percentage credit loss is based only on positions in which expected credit loss is a key determination of fair values.
(b) Delinquent loans are loans 90 days or more past due.
(c) Net of recoveries during the year.
(d) Securitised and derecognised from the balance sheet under US GAAP.