Barclays plc - Annual Report 2008 - Financial statements - The Group

47 Credit risk (continued)
Reverse repurchase agreements
Reverse repurchase agreements and securities borrowing arrangements are collateralised loans typically of short maturities.
The loans are fully collateralised with highly liquid securities legally transferred to the Group. The level of collateral is monitored daily and further collateral
called when required.
2008 2007
AAA to BBB–
AAA to BBB–
(investment B– and (investment B– and
grade) BB+ to B below Total grade) BB+ to B below Total
£m £m £m £m £m £m £m £m
Financial assets designated at fair value
held on own account:
Other financial assets 3,882 3,401 – 7,283 3,056 – – 3,056
Reverse repurchase agreements 122,188 6,101 2,065 130,354 180,637 2,391 47 183,075
Total Reverse repurchase agreements 126,070 9,502 2,065 137,637 183,693 2,391 47 186,131
% 91.6 6.9 1.5 100.0 98.7 1.3 – 100.0
No reverse repurchase agreements held by the Group at 31st December 2008 or 2007 were individually impaired, however during the year, the Group
wrote off £124m of reverse repurchase agreements (2007: £nil).
Other credit risk assets
The Group’s other assets that are subject to credit risk are cash with central banks of £30,019m (2007: £5,801m), items in course of collection from other
Banks £1,695m (2007: £1,836m), other financial assets£3,096m (2007: £3,966m).
Cash and balances at central banks
Substantially all balances are held with central banks. There is limited credit risk in relation to balances at central banks.
Items in the course of collection from other banks
There is limited credit risk in relation to items in the course of collection through the clearing system from other banks.
Other financial assets
Other financial assets comprise £3,096m (2007: £3,966m) of other assets and £609m (2007: £548m) of assets held at fair value.
Off-balance sheet
The Group applies fundamentally the same risk management policies for off-balance sheet risks as it does for its on-balance sheet risks. In the case of
committments to lend, customers and counterparties will be subject to the same credit management policies as for loans and advances. Collateral may
be sought depending on the strength of the counterparty and the nature of the transaction.
Credit market exposures
Barclays Capital’s credit market exposures primarily relate to US residential mortgages, commercial mortgages and leveraged finance businesses that
have been significantly impacted by the continued deterioration in the global credit markets. The exposures include both significant positions subject to
fair value movements in the profit and loss account and positions that are classified as loans and advances and available for sale. None of the exposure
disclosed below has been reclassified to loans and advances under the amendments to IAS 39.
The exposures are set out by asset class below:
As at As at
31.12.08 31.12.07
US Residential Mortgages £m £m
ABS CDO Super Senior 3,104 4,671
Other US sub-prime 3,441 5,037
Alt-A 4,288 4,916
US RMBS exposure wrapped by monoline insurers 1,639 730
3
Financial statements
Commercial mortgages
Commercial real estate 11,578 11,103
Commercial mortgage-backed securities 735 1,296
CMBS exposure wrapped by monoline insurers 1,854 197
Other Credit Market Exposures
Leveraged finance 10,391 9,027
SIVs and SIV-Lites 963 784
CDPCs 150 19
CLO and other exposure wrapped by monoline insurers 4,939 408
Barclays PLC Annual Report 2008 277