Barclays 2008 Annual Report Download - page 108

Risk management
Credit risk management
Barclays Capital credit market exposures
106 Barclays PLC Annual Report 2008 |Find out more at www.barclays.com/annualreport08
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. None of the exposure
disclosed below has been reclassified to loans and advances under the amendments to IAS 39.
The exposures are set out by asset class in US Dollars and Sterling below:
$m a£m a
As at As at As at As at
US Residential Mortgages Notes 31.12.08 31.12.07 31.12.08 31.12.07
ABS CDO Super Senior A1 4,526 9,356 3,104 4,671
Other US sub-prime A2 5,017 10,089 3,441 5,037
Alt-A A3 6,252 9,847 4,288 4,916
US RMBS exposure wrapped by monoline insurers A4 2,389 1,462 1,639 730
Commercial mortgages
Commercial real estate B1 16,882 22,239 11,578 11,103
Commercial mortgage-backed securities B1 1,072 2,596 735 1,296
CMBS exposure wrapped by monoline insurers B2 2,703 395 1,854 197
Other Credit Market Exposures
Leveraged financebC1 15,152 18,081 10,391 9,027
SIVs and SIV-Lites C2 1,404 1,570 963 784
CDPCs C3 218 39 150 19
CLO and other exposure wrapped by monoline insurers C4 7,202 817 4,939 408
These exposures have been actively managed during the year in an exceptionally challenging market environment and have been reduced by net sales
and paydowns of £6,311m, offset by the 37% appreciation of the US Dollar against Sterling. In January 2009, there was an additional sale of £3,056m of
leveraged finance exposure which was repaid at par. Exposures at 31st December 2008 included £1,060m of securities from the acquisition of Lehman
Brothers North American businesses. Exposures wrapped by monolines have increased during the course of 2008 as a result of declines in the fair value
of the underlying assets.
Analysis of Barclays Capital credit market exposures by asset class
CLO and
other
RMBS Commercial CMBS exposure
ABS CDO wrapped by Commercial mortgage wrapped by wrapped by
Super Other US monoline real estate backed monoline Leveraged SIVs and monoline As at
Senior sub-prime Alt-A insurers loans securities insurers finance SIV-Lites CDPCs insurers 31.12.08
£m £m £m £m £m £m £m £m £m £m £m £m
Debt securities 782 2,532 1,420 11 4,745
Trading portfolio assets 782 2,532 1,420 11 4,745
Loans and advances 1,565 778 11,555 531 14,429
Financial assets designated
at fair value 1,565 778 11,555 531 14,429
Derivative
financial instruments 643 398 1,639 23 (685) 1,854 273 150 4,939 9,234
Loans and advances
to customers 3,104 195 9,361 148 12,808
Debt securities 147 580 727
Available for sale
financial instruments 147 580 727
Other assets 109 109
Exposure on balance sheet 3,104 3,441 4,288 1,639 11,578 735 1,854 9,361 963 150 4,939
Notes
aAs the majority of exposure is held in US Dollars the exposures above are shown in
both US Dollars and Sterling.
bIncluded within the total leveraged finance exposure of £10,391m is £1,030m of
off-balance sheet commitments.