Barclays 2006 Annual Report Download - page 206

34 Securitisations
During the year, the Group has engaged in securitisation transactions involving Barclays residential mortgage loans, business loans and credit card
balances. In addition, the Group acts as a conduit for commercial paper, whereby it acquires static pools of residential mortgage loans from other
lending institutions for securitisation transactions.
In these transactions, the assets, or interests in the assets, or beneficial interests in the cash flows arising from the assets, are transferred to a special
purpose entity, or to a trust which then transfers its beneficial interests to a special purpose entity, which then issues floating rate debt securities to
third-party investors.
Securitisations may, depending on the individual arrangement: result in continued recognition of the securitised assets and the recognition of the
debt securities issued in the transaction; partial continued recognition of the assets to the extent of the Group’s continuing involvement in those
assets; or derecognition of the assets and the separate recognition, as assets or liabilities, of any rights and obligations created or retained in the
transfer. Full derecognition only occurs when the Group transfers both its contractual right to receive cash flows from the financial assets and
substantially all the risks and rewards of ownership, including credit risk, prepayment risk and interest rate risk.
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 in the balance sheet:
2006 2005
Carrying Carrying
amount of Associated amount Associated
assets liabilities of assets liabilities
£m £m £m £m
Loans and advances to customers (Note 16)
Residential mortgage loans 12,577 13,271 6,779 6,861
Commercial loans 6,081 5,558 5,000 4,760
Credit card receivables 5,700 5,195 6,815 6,799
Total 24,358 24,024 18,594 18,420
Assets designated at fair value through profit or loss (Note 13)
Retained interest in residential mortgage loans 628 – 175 –
Retained interests in residential mortgage loans include interest only strips which represent a continuing exposure to the prepayment and credit risk
in the underlying securitised assets, the total amount of which was £15,063m (2005: £6,291m). These are initially recorded as an allocation of the
original carrying amount based on the relative fair values of the portion derecognised and the portion retained.
Notes to the accounts
For the year ended 31st December 2006
Barclays PLC
Annual Report 2006
202