Barclays 2007 Annual Report Download - page 207

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Financial statements
Barclays PLC Annual Report 2007 205
29 Securitisations
The Group was party to 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; lead to partial continued recognition of the assets to the extent of the Group’s continuing involvement in those
assets or to 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, or retains the contractual
rights to receive the cash flows, but assumes a contractual obligation to pay the cash flows to another party without material delay or reinvestment, and
also transfers 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:
2007 2006
Carrying Carrying
amount of Associated amount of Associated
assets liabilities assets liabilities
£m £m £m £m
Loans and advances to customers
Residential mortgage loans 16,000 (16,786) 12,577 (13,271)
Credit card receivables 4,217 (3,895) 5,700 (5,195)
Other personal lending 422 (485) 229 (255)
Wholesale and corporate loans and advances 8,493 (8,070) 5,852 (5,303)
Total 29,132 (29,236) 24,358 (24,024)
Assets designated at fair value through profit or loss
Retained interest in residential mortgage loans 895 – 628 –
Retained interests in residential mortgage loans are 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 £23,097m (2006: £15,063m). 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.