Barclays 2015 Annual Report Download - page 337

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39 Securitisations continued
Continuing involvement as at
31 December 2014
Gain/(loss) from
continuing involvement
Type of transfer
Carrying
amount
£m
Fair value
£m
Maximum
exposure
to loss
£m
For the year
ended 31
December
2014
£m
Cumulative
to 31
December
2014
£m
CLO and other assets 1,370 1,354 1,370 14 (720)
US sub-prime and Alt-A 208 195 208 – (1,365)
Commercial mortgage backed securities 200 200 200 15 (8)
Total 1,778 1,749 1,778 29 (2,093)
Assets which represent the Group’s continuing involvement in derecognised assets are recorded in the following line items:
Type of transfer
Loans and
advances
£m
Trading
portfolio
assets
£m
Total
£m
As at 31 December 2015
CLO and other assets 327 359 686
US sub-prime and Alt-A 38 – 38
Commercial mortgage backed securities – – –
Total 365 359 724
As at 31 December 2014
CLO and other assets 829 541 1,370
US sub-prime and Alt-A 200 8 208
Commercial mortgage backed securities – 200 200
Total 1,029 749 1,778
40 Assets pledged
Assets are pledged as collateral to secure liabilities under repurchase agreements, securitisations and stock lending agreements or as collateral
posted against derivative margin requirements. Assets pledged as collateral include all assets categorised as encumbered in the disclosure on page
195, other than those held in commercial paper conduits. In these transactions, Barclays will be required to step in to provide financing itself under a
liquidity facility if the vehicle cannot access the commercial paper market. The following table summarises the nature and carrying amount of the
assets pledged as security against these liabilities:
2015
£m
2014 a
£m
Trading portfolio assets 49,308 50,782
Financial assets designated at fair value 2,534 2,324
Loans and advances to customers 51,038 62,459
Cash collateral 62,599 72,562
Available for sale financial investments 11,666 8,732
Non current assets held for sale 1,930 4,693
Assets pledged 179,075 201,552
Barclays has an additional £13bn (2014: £9bn) of loans and advances within its asset backed funding programmes that can readily be used to raise
additional secured funding and are 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:
2015
£m
2014
£m
Fair value of securities accepted as collateral 308,162 396,480
Of which fair value of securities re-pledged/transferred to others 266,015 313,354
The full disclosure as per IFRS 7 has been included in collateral and other credit enhancements (see pages 145 to 147).
Note
a 2014 has been revised to align balance sheet categories to the asset encumbrance table on page 196.
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