Barclays 2015 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 2015
Trading portfolio assets
– Debt securities 1,545 – – – – 40 1,585
– Equity securities – – – – – 63 63
Financial assets designated at fair value
– Loans and advances to customers – – 247 – – 6 253
– Debt securities – – 41 – – 57 98
– Equity securities – – – – – 2 2
Derivative financial instruments – – – – – 1,926 1,926
Available for sale investments
– Debt securities 537 – – 515 – 8 1,060
Loans and advances to customers 1,599 5,029 20,571 – – 501 27,700
Loans and advances to banks – – 4,051 – – 16 4,067
Other assets – 4 7 – 20 – 31
Total on-balance sheet exposures 3,681 5,033 24,917 515 20 2,619 36,785
Total off-balance sheet notional amounts 708 3,042 10,225 – – 1,409 15,384
Maximum exposure to loss 4,389 8,075 35,142 515 20 4,028 52,169
Total assets of the entity 36,290 81,355 376,296 115,351 21,766 5,084 636,142
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
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 CLOs, 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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