Barclays 2008 Annual Report Download - page 118

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Risk management
Credit risk management
Barclays Capital credit market exposures
116 Barclays PLC Annual Report 2008 |Find out more at www.barclays.com/annualreport08
C2. SIVs and SIV-Lites
SIVs/SIV-Lites
As at As at Marks at Marks at
31.12.08 31.12.07 31.12.08 31.12.07
£m £m
Liquidity facilities 679 466 62% 100%
Bond inventory 11 52 7% 37%
Derivatives 273 266
Total 963 784
SIV exposure increased from £784m to £963m during the year. There were £230m of gross losses against SIVs and SIV lites in the year. Weaker Sterling
resulted in an increase in exposure of £281m.
At 31st December 2008 liquidity facilities of £679m (31st December 2007: £466m) include £531m designated at fair value through profit and loss relating
to a SIV-lite which had previously been hedged with Lehman Brothers. Following the Lehman Brothers bankruptcy this facility was reflected as a new
exposure to the underlying assets. The remaining £148m represented drawn liquidity facilities in respect of SIV-lites and other structured investment
vehicles classified as loans and advances stated at cost less impairment.
Bond inventory and derivatives are fair valued through profit and loss.
Movement in derivative exposure primarily related to CDS exposure due to general spread widening. At 31st December 2008 exposure was broadly in line
with the prior year.
C3. CDPC exposure
Credit derivative product companies (‘CDPCs’) are specialist providers of credit protection principally on corporate exposures in the form of credit
derivatives. The Group has purchased protection from CDPCs against a number of securities with a notional value of £1,772m. The fair value of the
exposure to CDPCs at 31st December 2008 was £150m. A fair value loss of £14m has been recognised in the year.
Of the notional exposure, 45% related to AAA/AA rated counterparties, with the remainder rated A/BBB.
Exposure by credit rating of CDPC
As at 31.12.08
Credit
Gross valuation Net
Notional exposure adjustment exposure
£m £m £m £m
AAA/AA 796 77 (14) 63
A/BBB 976 87 – 87
Total 1,772 164 (14) 150
As at 31.12.07
AAA/AA 1,262 19 – 19