Barclays 2010 Annual Report Download - page 241

36 Securitisations
The Group was party to securitisation transactions involving its 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 on the balance sheet:
2010 2009
Carrying
amount of
assets
£m
Associated
liabilities
£m
Carrying
amount of
assets
£m
Associated
liabilities
£m
Loans and advances to customers
Residential mortgage loans 9,709 (10,674) 10,374 (10,738)
Credit card receivables 801 (723) 1,288 (1,288)
Other personal lending – – 94 (124)
Wholesale and corporate loans and advances 2,560 (2,878) 4,835 (5,999)
Total 13,070 (14,275) 16,591 (18,149)
Assets designated at fair value through profit or loss
Retained interest in residential mortgage loans 526
Balances included within loans and advances to customers represent securitisations where substantially all the risks and rewards of the asset have been
retained by the Group.
The excess of total associated liabilities over the carrying amount of assets primarily reflects timing differences in the receipt and payment of cash flows,
and foreign exchange movements where the assets and associated liabilities are denominated in different currencies. Foreign exchange movements and
associated risks are hedged economically through the use of cross currency swap derivative contracts.
Retained interests in residential mortgage loans are securities which represent a continuing exposure to the prepayment and credit risk in the underlying
securitised assets. The total amount of the loans was £15,458m (2009: £14,795m). The retained interest is initially recorded as an allocation of the
original carrying amount based on the relative fair values of the portion derecognised and the portion retained.
Barclays PLC Annual Report 2010 www.barclays.com/annualreport10 239
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