Barclays 2011 Annual Report Download - page 108

Risk management
Credit risk continued
Debt securities
Credit quality of debt securities (audited)
Trading portfolio assets, financial assets designated at fair value and available for sale assets are measured on a fair value basis. The fair value will
reflect, among other things, the credit risk of the issuer. Most listed and some unlisted securities are rated by external rating agencies. The Group
mainly uses external credit ratings provided by Standard & Poor’s or Moody’s. Where such ratings are not available or are not current, the Group will
use its own internal ratings for the securities.
Included in the table below are impaired available for sale debt securities with a carrying value at 31 December 2011 of £61m (2010: £358m), after a
write down of £145m (2010: £583m). Collateral is not generally obtained directly from the issuers of debt securities. Certain debt securities may be
collateralised by specifically identified assets that would be obtainable in the event of default.
Debt securities and other bills decreased by £11.7bn, with the most significant decreases relating to investment grade trading portfolio securities,
however the overall mix remained stable. This movement reflects the group reducing its exposure to Eurozone countries as well as in the emerging
markets business.
Securities rated as investment grade amounted to 92.9% of the portfolio (2010: 93.0%). An analysis of the credit quality of the Group’s debt securities
is set out below:
Debt securities (audited) 2011 2010
As at 31 December
AAA to BBB-
(investment
grade)
£m
BB+ to B
£m
B- and
below
£m
Total
£m
AAA to BBB-
(investment
grade)
£m
BB+ to B
£m
B- and
below
£m
Total
£m
Trading portfolio 116,743 4,922 1,699 123,364 130,744 6,663 1,833 139,240
Financial assets designated at fair value 1,163 184 748 2,095 942 644 332 1,918
Available for sale financial investments 57,793 3,253 2,564 63,610 55,107 2,022 2,500 59,629
Total debt securities 175,699 8,359 5,011 189,069 186,793 9,329 4,665 200,787
% of total 92.9% 4.4% 2.7% 100.0% 93.0% 4.7% 2.3% 100.0%
Debt securities 2011 2010
As at 31 December £m % £m %
Of which issued by:
Governments and other public bodies 117,489 62.1% 107,922 53.7%
Corporate and other issuers 40,041 21.2% 47,321 23.6%
US agency 17,249 9.1% 30,048 15.0%
Mortgage and asset-backed securities 13,713 7.3% 13,993 7.0%
Bank and building society certificates of deposit 577 0.3% 1,503 0.7%
Total 189,069 100.0% 200,787 100.0%
Debt securities include government securities held as part of the Group’s treasury management portfolio for asset and liability, liquidity and regulatory
purposes and are for use on a continuing basis in the activities of the Group. The Group held the following government securities which exceeded 10%
of shareholders’ equity in any of the last three years. These securities are held at fair value.
Government securities 2011 2010 2009
As at 31 December Fair value
£m
Fair value
£m
Fair value
£m
United States 45,932 25,553 17,356
United Kingdom 19,722 21,999 6,892
Japan 8,221 7,210 7,609
Germany 6,823 3,008 9,698
Italy 4,432 6,443 6,297
Spain 3,152 6,573 4,948
106 Barclays PLC Annual Report 2011 www.barclays.com/annualreport