Barclays 2011 Annual Report Download - page 149

Currency composition of wholesale debt
As at 31 December 2011 US$
%
EUR
%
GBP
%
Other
%
Deposits from Banks 36 27 27 10
CDs and CP 59 25 15 1
ABCP 85 8 7 –
Senior unsecured MTNs 26 40 13 21
Structured Notes 35 21 22 22
Covered bonds/ABS 31 29 39 1
Subordinated Debt 16 52 32 –
Wholesale debt 37 30 22 11
Currency composition of Liquidity Pool 27 42 17 14
To manage cross-currency refinancing risk Barclays manages to FX cash-flow limits, which limit risk at specific maturities. The Group’s liquidity pool
is also well diversified by major currency and the Group monitors the three LRA stress scenarios for major currencies.
Secured funding against customer loans and advances
Barclays issues asset backed securities (ABS) and covered bonds that are secured primarily over customer loans and advances. As of 31 December
2011, 10% of customer loans and advances were used to secure external sources of funds. This was comprised of external issuances of ABS and
covered bonds and repo financing.
The Group currently manages three primary on balance sheet asset backed funding programmes to obtain term financing. The UK regulated covered
bond and the residential mortgage master trust securitisation programmes both utilise assets originated by the Group’s UK residential mortgage
business. The third programme is a credit card master trust securitisation and uses receivables from the Group’s UK credit card business. The
programmes utilise true sale mechanics to transfer the title of the mortgage loan assets or, as applicable, current and future credit card receivables
from Barclays Bank PLC (BBPLC) to insolvency remote special purpose vehicles.
All programmes initially transfer the respective assets by way of a beneficial transfer of the assets. However, should there be a ‘perfection’ event
(including, amongst other things, the insolvency of BBPLC or BBPLC not maintaining the appropriate credit rating required by the relevant rating
agency), then legal transfer of the assets would occur.
External funding secured against customer loans and advances
As at 31 December 2011 £bn
Externally issued ABS 17,090
Externally issued covered bonds 13,791
Repo financing 12,563
Total 43,444
Balance sheet loans and advances to customers 431,934
Group loans and advances used to secure external funding 10%
As at 31 December 2011, Barclays has an additional £16bn loans and advances within its asset backed funding programmes that can readily be used
to raise additional secured funding and available to support future issuance.
Credit ratings
In addition to monitoring and managing key metrics related to the financial strength of Barclays, we also subscribe to independent credit rating agency
reviews by Standard & Poor’s, Moody’s and Fitch. These ratings assess the credit worthiness of Barclays and are based on reviews of a broad range of
business and financial attributes including risk management processes and procedures, capital strength, earnings, funding, liquidity, accounting and
governance.
A credit rating downgrade could result in contractual outflows to meet collateral requirements on existing contracts. Outflows related to a multiple-
notch credit rating downgrade are included in the LRA stress scenarios and a portion of the Liquidity Pool is held against this risk. Credit ratings
downgrades could also result in increased costs or reduced capacity to raise funding.
Credit Ratings Standard & Poor’s Moody’s Fitch
Barclays PLC
Long Term A(Stable) A1 A(Stable)
Short Term A-1 P-1 F1
Bank Financial Strength Rating N/A N/A N/A
Barclays Bank PLC
Long Term A+(Stable) Aa3 A(Stable)
Short Term A-1 P-1 F1
Bank Financial Strength Rating N/A C(Stable) N/A
Barclays PLC Annual Report 2011 www.barclays.com/annualreport 147
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