Barclays 2011 Annual Report Download - page 273

44 Off-balance sheet arrangements continued
Interests in third party CDOs
The Group has purchased securities in and entered into derivative instruments with third party CDOs. These interests are held as trading assets or
liabilities on the Group’s balance sheet and measured at fair value. The Group has not provided liquidity facilities or similar agreements to third party
CDOs.
Structured investment vehicles (SIVs)
The Group does not structure or manage SIVs. Group exposure to third party SIVs comprised: £nil (2010: £nil) of senior liquidity facilities and derivative
exposures included on the balance sheet at their net fair value of £6m (2010: £46m).
SIV-Lites
The Group has no exposure to a SIV-Lite transaction. The Group is not involved in its ongoing management. Exposures have decreased to £nil (2010:
£345m) representing assets designated at fair value.
Commercial paper (CP) and medium-term note conduits
The Group provided £14bn (2010: £17bn) in undrawn backstop liquidity facilities to its own sponsored CP conduits. The Group fully consolidates these
entities such that the underlying assets are reflected on the Group balance sheet. These consolidated entities in turn provide facilities of £717m (2010:
£740m) to third party conduits containing prime UK buy-to-let Residential Mortgage Backed Securities (RMBS) assets. As at 31 December 2011, the
entire facility had been drawn and is included in available for sale financial investments.
The Group provided backstop facilities to support the paper issued by one third party conduit. This facility totalled £259m (2010: £129m), with
underlying collateral comprising 100% auto loans. There were no drawings on this facility as at 31 December 2011.
The Group provided backstop facilities to five third party SPEs that fund themselves with medium term notes. These notes are sold to investors as a
series of 12 month securities and remarketed to investors annually. If investors decline to renew their holdings at a price below a pre-agreed spread, the
backstop facility requires the Group to purchase the outstanding notes at scheduled maturity. The Group has provided facilities of £0.9bn (2010:
£1.2bn) to SPEs holding prime UK and Australian owner-occupied RMBS assets. As at the balance sheet date these facilities had been drawn and were
included in loans and advances.
45 Assets pledged
Assets are pledged as collateral to secure liabilities under repurchase agreements, securitisations and stock lending agreements or as security deposits
relating to derivatives. The following table summarises the nature and carrying amount of the assets pledged as security against these liabilities:
2011
£m
2010
£m
Trading portfolio assets 86,677 111,703
Loans and advances 40,613 30,584
Available for sale investments 19,974 22,941
Other 2 45
Assets pledged 147,266 165,273
As at 31 December 2011, Barclays has an additional £16bn loans and advances with its asset backed funding programmes that can readily be used to
raise additional secured funding and available to support future issuance.
Collateral held as security for assets
Under certain transactions, including reverse repurchase agreements and stock borrowing transactions, the Group is allowed to resell or repledge the
collateral held. The fair value at the balance sheet date of collateral accepted and repledged to others was as follows:
2011
£m
2010
£m
Fair value of securities accepted as collateral 391,287 422,890
Of which fair value of securities repledged/transferred to others 341,060 347,557
The full disclosure as per IFRS7 has been included in collateral and other credit enhancements (page 80).
Barclays PLC Annual Report 2011 www.barclays.com/annualreport 271
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