Barclays 2014 Annual Report Download - page 333

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37 Structured entities continued
Nature of interest
Structured
credit
portfolio
£m
Multi-seller
conduit
programmes
£m
Lending
£m
Mortgage-
backed
securities
£m
Investment
funds and
trusts
£m
Others
£m
Total
£m
As at December 2014
Trading portfolio assets
– Debt securities 3,590 ––––51 3,641
– Equity securities –––––27 27
Financial assets designated at fair value
– Loans and advances to customers – – 881 – – 11 892
– Debt securities –––––35 35
– Equity securities –––––36 36
Derivative financial instruments – – 80 – – 1,514 1,594
Available for sale investments
– Debt securities 1 575 – 626 – 14 1,216
Loans and advances to customers 3,390 8,236 17,780 – – 661 30,067
Loans and advances to banks – – 4,277 – – – 4,277
Other assets – 5 9 – 21 3 38
Total on balance sheet exposures 6,981 8,816 23,027 626 21 2,352 41,823
Total off balance sheet notional amounts 1,078 8,075 6,359 – – 2,104 17,616
Maximum exposure to loss 8,059 16,891 29,386 626 21 4,456 59,439
Total assets of the entity 50,279 97,298 390,522 147,422 25,556 5,816 716,893
As at December 2013
Trading portfolio assets
– Debt securities 4,944 – 50 – – 106 5,100
– Equity securities – – – – – 11 11
Financial assets designated at fair value
– Loans and advances to customers – – 935 – – 34 969
– Debt securities – – – – – 32 32
– Equity securities – – – – – 34 34
Derivative financial instruments – – 7 – – 1,457 1,464
Available for sale investments
– Debt securities 1 564 2 1,476 – 30 2,073
Loans and advances to customers 3,115 7,927 13,183 – – 746 24,971
Loans and advances to banks – – 4,066 – – 77 4,143
Other assets – 1 1 – 25 8 35
Total on balance sheet exposures 8,060 8,492 18,244 1,476 25 2,535 38,832
Total off balance sheet notional amounts 1,411 8,400 2,186 – – 54 12,051
Maximum exposure to loss 9,471 16,892 20,430 1,476 25 2,589 50,883
Total assets of the entity 80,565 138,199 138,980 246,062 44,679 11,098 659,583
Maximum exposure to loss
Unless specified otherwise below, the Group’s maximum exposure to loss is the total of its on balance sheet positions and its off balance sheet
arrangements, being loan commitments and financial guarantees. Exposure to loss is mitigated through collateral, financial guarantees, the
availability of netting and credit protection held.
Structured Credit Portfolio
This comprises interests in debt securities issued by securitisation vehicles, mainly Collateralised Loan Obligations (CLOs), Collateralised Debt
Obligations (CDOs), Residential and Commercial Mortgage-Backed Securitisation structures (RMBSs and CMBSs), and drawn and undrawn loan
facilities to these entities. In some cases, the securities are ‘wrapped’ with credit protection from a monoline insurer, which transfers the credit risk
to the monoline. The entities are wholly debt financed through the issuance of tranches of debt securities or through direct funding, such as the
loan facilities provided by the Group. As the underlying assets of the entities amortise and pay down, the debt securities issued by the entities are
repaid in order of seniority. Where the entities experience significant credit deterioration, debt securities may be written off or cancelled in reverse
order of seniority.
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