Barclays 6-K 2009
REPORT OF FOREIGN PRIVATE ISSUER
Barclays PLC and
1 Churchill Place
Final Results - Part 2 - 09 February
Pursuant to the requirements of the Securities Exchange Act of 1934, each of the
registrants has duly caused this report to be signed on its behalf by the undersigned,
thereunto duly authorized.
Date: February 09, 2009
By: /s/ Patrick Gonsalves
By: /s/ Patrick Gonsalves
On pages 38 to 78 we have
provided an analysis of the key risks faced by the Group across a number of asset classes
and businesses, referencing significant portfolios and including summary measures of asset
quality. Additional information referenced in this section is to be found in the notes to
the financial information.
Analysis of Total Assets
1 Notes start on page 90.
2 Further analysis of loans and advances is on pages 59 to 73.
3 Further analysis of debt securities and other bills is on page 75
4 Reverse repurchase agreements comprise primarily short-term cash lending with assets pledged by counterparties securing the loan.
5 Equity securities comprise primarily equity securities determined by available quoted prices in active markets.
6 Further analysis of Barclays Capital credit market exposures is on pages 42 to 58. Off-balance sheet commitments of £1,030m not included in the table above.
7 Commodities primarily consists of physical inventory positions.
8 These instruments consist primarily of loans with embedded derivatives and reverse repurchase agreements designated at fair value.
9 Financial assets designated at fair value in respect of linked liabilities to customers under investment contracts have not been further analysed as the Group is not exposed to the risks inherent in these assets.
Analysis of Barclays Capital Credit Market Exposures by Asset Class
Barclays Capital 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.
These exposures have been
actively managed during the year in an exceptionally challenging market environment and
have been reduced by net sales and paydowns of £6,311m, offset by the 37%
appreciation of the US Dollar against Sterling. In January 2009, there was an additional
sale of £3,056m of leveraged finance exposure which was repaid at par. Exposures at
31st December 2008 included £1,060m of securities from the acquisition of Lehman
Brothers North American businesses. Exposures wrapped by monolines have increased during
the course of 2008 as a result of declines in the fair value of the underlying assets.
1 As the majority of exposure is held in US Dollars the exposures above are shown in both US Dollars and Sterling.
There were gross losses of
£8,053m (2007: £2,999m) in the year to 31st December 2008. These losses were
partially offset by related income and hedges of £1,433m (2007: £706m), and
gains of £1,663m (2007: £658m) from the general widening of credit spreads on
issued notes measured at fair value through the profit and loss account.
A. US Residential Mortgages
US residential mortgage
exposures have reduced by 41% in US Dollar terms, and 19% in Sterling terms, since
A1. ABS CDO Super Senior
During the year ABS CDO Super
Senior exposures reduced by £1,567m to £3,104m (31st December 2007:
£4,671m). Net exposures are stated after writedowns and charges of £1,461m
incurred in 2008 (2007: £1,816m) and hedges of £nil (31st December 2007:
£1,347m). There were no hedges in place at 31st December 2008 as the corresponding
liquidity facilities had been terminated. There were liquidations and paydowns of
£2,318m in the year; weaker Sterling and a reduction in hedges increased exposure by
£865m and £1,347m respectively.
We have included all ABS CDO Super Senior exposure in the US residential mortgages section as nearly 90% of the underlying collateral relates to US RMBS. The impairment applied to the notional collateral is set out in the table opposite.
A1. ABS CDO Super Senior
1 Marks above reflect the gross exposure after impairment and subordination and do not include the benefit of hedges. The change in marks since 31st December 2007 primarily results from the liquidation during 2008 of the most impaired structures
Consolidated collateral of
£8.4bn relating to the ten CDOs that were liquidated in 2008 has been sold or are
stated at fair value net of hedges within Other US sub-prime, Alt-A and CMBS exposures. The
notional collateral remaining at 31st December 2008 is marked at approximately 12%. The
collateral valuation for all ABS CDO Super Senior deals, including those liquidated and
consolidated in 2008, is approximately 32% (31st December 2007: 62%).
RMBS collateral for the ABS CDO
Super Senior exposures is subject to public ratings. The ratings of sub-prime,
A2. Other US Sub-Prime
The majority of Other US
sub-prime exposures are measured at fair value through profit and loss. US sub-prime
securities held in conduits and a collateralised debt obligation (CDO) are categorised as
available for sale and are recognised in equity.
Alt-A securities, whole loans
and residuals are measured at fair value through profit and loss. Alt-A securities held in
conduits and a collateralised debt obligation (CDO) are categorised as available for sale
and are recognised in equity.
A4. US Residential Mortgage Backed Securities Exposure Wrapped by Monoline Insurers
The deterioration in the US
residential mortgage market has resulted in exposure to monoline insurers and other
financial guarantors that provide credit protection.
Exposure by Credit Rating of Monoline Insurer
The notional value of the assets, split by the current rating of the monoline insurer, is shown below.
The notional value of the assets, split by the current rating of the underlying asset, is shown below.
B. Commercial Mortgages
Commercial mortgages reduced 18% in US Dollar terms. In Sterling terms these have increased by 12%.
B1. Commercial Mortgages
Exposures in Barclays
Capital’s commercial mortgages portfolio, all of which are measured at fair value,
comprised commercial real estate loan exposure of £11,578m (31st December 2007:
£11,103m) and commercial mortgage-backed securities (CMBS) of £735m (31st
December 2007: £1,296m). During the year there were gross losses of £1,148m.
Gross sales and paydowns of £1,034m in the UK and Continental Europe and
£2,167m in the US were partially offset by additional drawdowns. Weaker Sterling
increased exposure by £3,058m.
1 Weighted-average loan- to- value based on the most recent valuation
2 Weighted-average number of years to initial maturity
3 Weighted-average loan age