Barclays 2012 Annual Report Download - page 308

41 Off-balance sheet arrangements continued
Funding
The CDOs were funded with senior unrated notes and rated notes up to AAA. The capital structure senior to the AAA notes on cash CDOs was
supported by a liquidity facility provided by the Group. The senior portion covered by liquidity facilities is on average 85% (2011: 82%) of the capital
structure. The initial WAL of the notes in issue averaged 6.7 years (2011: 6.7 years). The full contractual maturity is 38.2 years (2011: 38.2 years).
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 (2011: £nil) of senior liquidity facilities and
derivative exposures included on the balance sheet at their net fair value of £nil (2011: £6m).
SIV-Lites
The Group does not have any exposure to SIV-Lite transactions nor is it involved in the ongoing management thereof.
Commercial paper and medium term note conduits
The Group provided £7bn (2011: £14bn) 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 £661m (2011: £717m) to third party conduits containing prime UK buy-to-let Residential Mortgage Backed Securities (RMBS) assets.
As at 31 December 2012, 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 £247m (2011: £259m),
with underlying collateral comprising 100% auto loans. There were no drawings on this facility as at 31 December 2012.
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
£0.5bn (2011: £0.9bn) 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.
42 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:
2012
£m
2011
£m
Trading portfolio assets 85,026 86,677
Loans and advances 72,918 40,613
Other 20,789 19,976
Assets pledged 178,733 147,266
Barclays has an additional £15bn (2011: £16bn) of loans and advances within 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 re-pledge
the collateral held. The fair value at the balance sheet date of collateral accepted and re-pledged to others was as follows:
2012
£m
2011
£m
Fair value of securities accepted as collateral 360,061 391,287
Of which fair value of securities re-pledged/transferred to others 307,950 341,060
The full disclosure as per IFRS7 has been included in collateral and other credit enhancements (page 116).
barclays.com/annualreport306 I Barclays PLC Annual Report 2012
Notes to the financial statements
For the year ended 31 December 2012 continued