Barclays 2008 Annual Report Download - page 114
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Risk management
Credit risk management
Barclays Capital credit market exposures
112 Barclays PLC Annual Report 2008 |Find out more at www.barclays.com/annualreport08
The notional value of the assets, split by the current rating of the monoline insurer, is shown below.
Rating of Monoline Insurers – As at 31.12.08
Non-
Investment
AAA/AA A/BBB Grade Total
£m £m £m £m
2005 and earlier – 143 – 143
2006 – 1,240 – 1,240
2007 and 2008 – 510 – 510
High Grade – 1,893 – 1,893
Mezzanine – 2005 and earlier – 625 74 699
CDO2– 2005 and earlier – 49 – 49
US RMBS – 2,567 74 2,641
The notional value of the assets, split by the current rating of the underlying asset, is shown below.
Rating of Underlying Asset – As at 31.12.08
Non-
Investment
AAA/AA A/BBB Grade Total
£m £m £m £m
2005 and earlier 143 ––143
2006 ––1,240 1,240
2007 and 2008 ––510 510
High Grade 143 – 1,750 1,893
Mezzanine – 2005 and earlier 31 330 338 699
CDO2– 2005 and earlier ––49 49
US RMBS 174 330 2,137 2,641