Barclays 2015 Annual Report Download - page 336

334 I Barclays PLC Annual Report 2015 home.barclays/annualreport
Notes to the financial statements
Scope o onsolidation
39 Securitisations continued
A summary of the main transactions, and the assets and liabilities and the financial risks arising from these transactions, is set out below:
Transfers of financial assets that do not result in derecognition
Securitisations
The Group was party to securitisation transactions involving its residential mortgage loans, business loans and credit card balances.
In these transactions, the assets, interests in the assets, or beneficial interests in the cash flows arising from the assets, are transferred to a special
purpose entity, which then issues interest bearing 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 can also occur or derecognition of the assets and the separate recognition, as assets or liabilities, of any rights and obligations created or
retained in the transfer.
The following table shows the carrying amount of securitised assets that have not resulted in full derecognition, together with the associated
liabilities, for each category of asset on the balance sheet:
2015 2014
Assets Liabilities Assets Liabilities
Carrying
amount
£m
Fair value
£m
Carrying
amount
£m
Fair value
£m
Carrying
amount
£m
Fair value
£m
Carrying
amount
£m
Fair value
£m
Loans and advances to customers
Residential mortgage loans 376 362 (168) (170) 2,830 2,619 (2,352) (2,360)
Credit cards, unsecured and other retail lending 5,433 5,472 (4,604) (4,606) 7,060 7,162 (5,160) (5,178)
Corporate loans 8 8 (8) (8) 157 154 (135) (146)
Total 5,817 5,842 (4,780) (4,784) 10,047 9,935 (7,647) (7,684)
Loans and advances to customers
Retained interests in residential mortgage loans – – – – 66 n/a – n/a
Retained interests in corporate loans 42 42 n/a n/a – – – –
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 relationship between the transferred assets and the associated liabilities is that holders of notes may only look to cash flows from the securitised
assets for payments of principal and interest due to them under the terms of their notes, although the contractual terms of their notes may be
different to the maturity and interest of the transferred assets.
Retained interests in transfers of financial assets that resulted in partial derecognition are securities which represent a continuing exposure to the
prepayment and credit risk in the underlying securitised assets. The carrying amount of the loans before transfer was £78m (2014: £120m). 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.
For transfers of assets in relation to repurchase agreements, see Note 22 Reverse repurchase agreements including other similar and secured lending
and borrowing and Note 40 Assets pledged.
Continuing involvement in financial assets that have been derecognised
In some cases, the Group may have transferred a financial asset in its entirety but may have continuing involvement in it. This arises in asset
securitisations where loans and asset backed securities were derecognised as a result of the Group’s involvement with CLOs, CDOs, RMBS and
CMBS. Continuing involvement largely arises from providing financing into these structures in the form of retained notes, which do not bear first
losses.
The table below shows the potential financial implications of such continuing involvement:
Continuing involvement as at
31 December 2015
Gain/(loss) from
continuing involvement
Type of transfer
Carrying
amount
£m
Fair value
£m
Maximum
exposure
to loss
£m
For the year
ended 31
December
2015
£m
Cumulative
to 31
December
2015
£m
CLO and other assets 686 684 686 7 (36)
US sub-prime and Alt-A 38 37 38 – (426)
Commercial mortgage backed securities –––––
Total 724 721 724 7 (462)