13. Debt securities
| Group | |||||||||
| 2006 | UK government £m |
US government, state and federal agency £m |
Other govern- ment £m |
US government spons- ored entity £m |
Bank and building society £m |
Mort- gage backed securities(1) £m |
Corporate £m |
Other £m |
Total £m |
| Held-for-trading | 8,122 | 10,965 | 13,839 | 10,065 | 34 | 28,658 | 23,194 | 315 | 95,192 |
| Designated as | |||||||||
| at fair value through profit or loss |
1,730 | — | 85 | — | 609 | 98 | 2,867 | 600 | 5,989 |
| Available-for-sale | 843 | 6,234 | 1,218 | 6,651 | 4,584 | 3,434 | 2,211 | 334 | 25,509 |
| Loans and receivables | — | — | — | — | — | — | 21 | 540 | 561 |
| At 31 December 2006 | 10,695 | 17,199 | 15,142 | 16,716 | 5,227 | 32,190 | 28,293 | 1,789 | 127,251 |
| Available-for-sale | |||||||||
| Gross unrealised gains | — | 6 | 4 | 1 | 1 | 6 | 12 | — | 30 |
| Gross unrealised losses | (5) | (88) | (20) | (142) | (8) | (47) | (16) | (13) | (339) |
| 2005 | |||||||||
| Held-for-trading | 4,386 | 8,783 | 10,480 | 8,166 | 8 | 28,396 | 19,233 | 1,201 | 80,653 |
| Designated as | |||||||||
| at fair value through profit or loss |
451 | — | 7 | — | 864 | 37 | 1,646 | 986 | 3,991 |
| Available-for-sale | 662 | 7,813 | 1,699 | 8,555 | 9,613 | 3,562 | 2,545 | 1,084 | 35,533 |
| Loans and receivables | — | — | — | — | — | — | — | 788 | 788 |
| At 31 December 2005 | 5,499 | 16,596 | 12,186 | 16,721 | 10,485 | 31,995 | 23,424 | 4,059 | 120,965 |
| Available-for-sale | |||||||||
| Gross unrealised gains | 9 | 3 | 6 | 10 | 7 | 6 | 25 | — | 66 |
| Gross unrealised losses | (7) | (118) | (14) | (147) | (6) | (58) | (3) | (2) | (355) |
Note:
(1) Excludes securities issued by US federal agencies and government sponsored entities.
The following table shows the Group’s available-for-sale debt securities by remaining maturity and the related yield (based on weighted averages) as at 31 December 2006.
| Within 1 year | After 1 but within 5 years | After 5 but within 10 years | After 10 years | Total | ||||||
| Issued by | Amount £m |
Yield % |
Amount £m |
Yield % |
Amount £m |
Yield % |
Amount £m |
Yield % |
Amount £m |
Yield % |
| UK government | 562 | 5.6 | 146 | 5.7 | 97 | 5.0 | 38 | 4.7 | 843 | 5.5 |
| US government, state, and federal agency | 11 | 4.8 | 627 | 4.8 | 22 | 4.7 | 5,574 | 5.1 | 6,234 | 5.1 |
| Other government | 180 | 2.6 | 822 | 3.7 | 213 | 1.1 | 3 | 3.9 | 1,218 | 3.1 |
| US government sponsored entity | — | — | 140 | 5.4 | 368 | 5.6 | 6,143 | 5.0 | 6,651 | 5.0 |
| Bank and building society | 2,427 | 5.1 | 1,368 | 4.8 | 28 | 5.4 | 761 | 6.9 | 4,584 | 5.3 |
| Mortgage-backed securities (1) | 259 | 5.1 | 232 | 5.6 | 294 | 5.5 | 2,649 | 4.9 | 3,434 | 5.0 |
| Corporate | 360 | 3.9 | 1,256 | 4.5 | 413 | 4.7 | 182 | 4.6 | 2,211 | 4.4 |
| Other | 188 | 4.5 | 135 | 4.0 | 11 | 5.3 | — | — | 334 | 4.3 |
| Total fair value | 3,987 | 4.9 | 4,726 | 4.6 | 1,446 | 4.6 | 15,350 | 5.1 | 25,509 | 4.9 |
Note:
(1) Excludes securities issued by US federal agencies and government sponsored entities.
The table below shows the number and fair value of available-for-sale debt securities that were in an unrealised loss position at 31 December 2006.
| Less than 12 months | More than 12 months | Total | |||||
| Issued by | Number of issues |
Fair value £m |
Gross unrealised losses £m |
Fair value £m |
Gross unrealised losses £m |
Fair value £m |
Gross unrealised losses £m |
| UK government | 19 | 263 | 5 | — | — | 263 | 5 |
| US government, state, and federal agency | 249 | 829 | 10 | 4,215 | 78 | 5,044 | 88 |
| Other government | 42 | 63 | 3 | 633 | 17 | 696 | 20 |
| US government sponsored entity | 277 | 1,102 | 17 | 5,149 | 125 | 6,251 | 142 |
| Bank and building society | 101 | 2,245 | 3 | 268 | 5 | 2,513 | 8 |
| Mortgage-backed securities (1) | 60 | 624 | 14 | 1,440 | 33 | 2,064 | 47 |
| Corporate | 278 | 827 | 14 | 62 | 2 | 889 | 16 |
| Other | 7 | 44 | 13 | — | — | 44 | 13 |
| 1,033 | 5,997 | 79 | 11,767 | 260 | 17,764 | 339 | |
Note:
(1) Excludes securities issued by US federal agencies and government sponsored entities.
Gross gains of £34 million (2005 – £65 million) and gross losses of £19 million (2005 – £12 million) were realised on the sale of available-for-sale securities. Gross gains of £197 million and gross losses of £30 million were realised on the sale of investment securities in 2004.
Interest receivable includes £1,559 million (2005 – £1,624 million; 2004 – £1,487 million) in respect of debt securities.
The Group considers that unrealised losses on available-for-sale debt securities are temporary, principally because they reflect changes in benchmark interest rates.
© 2007