Barclays 2009 Annual Report Download - page 284

282 Barclays PLC Annual Report 2009 www.barclays.com/annualreport09
Notes to the accounts
For the year ended 31st December 2009
continued
47 Credit risk continued
Reverse repurchase agreements
Reverse repurchase agreements and securities borrowing arrangements are collateralised loans typically of short maturities.
The loans are fully collateralised with highly liquid securities legally transferred to the Group. The level of collateral is monitored daily and further collateral
called when required.
2009 2008
AAA to BBB- AAA to BBB-
(investment B- and (investment B- and
grade) BB+to B below Total grade) BB+to B below Total
£m £m £m £m £m £m £m £m
Financial assets designated at fair value
held on own account:
Other financial assets 4,749 1,955 1,053 7,757 3,882 3,401 – 7,283
Reverse repurchase agreements 136,366 6,674 391 143,431 122,188 6,101 2,065 130,354
Total reverse repurchase agreements 141,115 8,629 1,444 151,188 126,070 9,502 2,065 137,637
%93.3 5.7 1.0 100.0 91.6 6.9 1.5 100.0
No reverse repurchase agreements held by the Group at 31st December 2009 or 2008 were individually impaired, however during the year, the Group wrote
off £43m of reverse repurchase agreements (2008: 124m).
Other credit risk assets
The Group’s other assets that are subject to credit risk are cash with central banks of £81,483m (2008: £30,019m), items in course of collection from other
Banks £1,593m (2008: £1,695m), other financial assets £3,476m (2008: £3,096m).
Cash and balances at central banks
Substantially all balances are held with central banks. There is limited credit risk in relation to balances at central banks.
Items in the course of collection from other banks
There is limited credit risk in relation to items in the course of collection through the clearing system from other banks.
Other financial assets
Other financial assets comprise £3,476m (2008: £3,096m) of other assets and £344m (2008 £609m) of assets held at fair value.
Off-balance sheet
The Group applies fundamentally the same risk management policies for off-balance sheet risks as it does for its on-balance sheet risks. In the case of
commitments to lend, customers and counterparties will be subject to the same credit management policies as for loans and advances. Collateral may
be sought depending on the strength of the counterparty and the nature of the transaction.
Credit market exposures
Barclays Capital’s credit market exposures primarily relate to US residential mortgages, commercial mortgages and leveraged finance businesses that have
been significantly impacted by the continued deterioration in the global credit markets. The exposures include both significant positions subject to fair value
movements in the profit and loss account and positions that are classified as loans and advances and available for sale.
The exposures are set out by asset class below:
As at As at
31.12.09 31.12.08
£m £m
US residential mortgages
ABS CDO Super Senior 1,931 3,104
Other US sub-prime and Alt-A 1,392 7,729
Monoline wrapped US RMBS 61,639
Commercial mortgages
Commercial real estate loans and properties 7,734 11,578
Commercial mortgage-backed securities 471 735
Monoline wrapped CMBS 30 1,854
Other credit market exposures
Leveraged financea5,507 9,048
SIVs, SIV-Lites and CDPCs 553 1,113
Monoline wrapped CLO and other 2,126 4,939
Total exposures 19,750 41,739
Loan to Protium 7,859 –
On 16th September 2009, Barclays Capital sold assets of £7,454m, including £5,087m in credit market assets, to Protium Finance LP (Protium), a newly
established fund. As part of the transaction, Barclays extended a £7,669m 10-year loan to Protium Finance LP. At 31st December 2009, this loan had a
carrying value of £7,859m (including accrued interest).
Note
aThis is a change in presentation from 31st December 2008, which reflected certain loan facilities originated post 1st July 2007.