UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549


FORM 6-K

REPORT OF FOREIGN PRIVATE ISSUER
PURSUANT TO RULE 13A-16 OR 15D-16
UNDER THE SECURITIES EXCHANGE ACT OF 1934

March, 2009
 

Barclays PLC and
Barclays Bank PLC
(Names of Registrants)
 

1 Churchill Place
London E14 5HP
England
(Address of Principal Executive Offices)
 
Indicate by check mark whether the registrant files or will file annual reports
under cover of Form 20-F or Form 40-F.
 
      
Form 20-F x     Form 40-F
 
Indicate by check mark whether the registrant by furnishing the information
contained in this Form is also thereby furnishing the information to the
Commission pursuant to Rule 12g3-2(b) under the Securities Exchange Act of 1934.
 
     
Yes     No x
 
If "Yes" is marked, indicate below the file number assigned to the registrant
in connection with Rule 12g3-2(b):
 

This Report is a joint Report on Form 6-K filed by Barclays PLC and Barclays
Bank PLC. All of the issued ordinary share capital of Barclays Bank PLC is
owned by Barclays PLC.
 
This Report comprises:
 
Information given to The London Stock Exchange and furnished pursuant to
General Instruction B to the General Instructions to Form 6-K.
 
 

EXHIBIT INDEX
 

  Consolidated Basel 2 Pillar 3 Disclosure 2008 - 24 March, 2009      

 

 


 


 


SIGNATURES

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.
 

         
                                                     BARCLAYS PLC
                                                     (Registrant)

 

Date: March 24, 2009
 

       By:   /s/ Patrick Gonsalves
                                                         ----------------------
                                                         Patrick Gonsalves
                                                         Deputy Secretary

                                                     BARCLAYS BANK PLC
                                                     (Registrant)
 

 



 

Date: March 24, 2009

                      By:   /s/ Patrick Gonsalves
                                                         ----------------------
                                                         Patrick Gonsalves
                                                         Joint Secretary

 

 

 
 




Barclays PLC
Consolidated Basel 2 Pillar 3 Disclosure 2008

Table
number
Contents
 
Overview
1.0
Differences between the scope of statutory and regulatory consolidation
 
Capital Resources
2.0
Tier 1 and Tier 2 Capital Resources
 
Capital Requirements
3.0
3.1
3.2
3.3
3.4
Minimum capital requirement for credit risk under the Standardised approach
Minimum capital requirement for credit risk under the IRB approach
Minimum capital requirement for market risk and counterparty risk
Minimum capital requirement for operational risk
Minimum capital requirement and risk weighted assets
 
Credit Risk
4.0
Counterparty credit exposure
4.1
Notionals of credit derivative contracts
4.2
Counterparty credit exposure analysed by financial contract type
4.3
Notional value of credit derivative contracts held for hedging purposes
4.4
The scope of the Standardised and IRB Approaches
4.5
Credit risk exposure under the Standardised approach
4.6
Credit risk exposures under the Advanced and Foundation IRB approaches
4.7
Geographic analysis of credit risk exposures under the Standardised approach
4.8
Geographic analysis of credit risk exposures under the Foundation IRB approach
4.9
Geographic analysis of credit risk exposures under the Advanced IRB approach
4.10
Industry analysis of credit exposure under the Standardised approach
4.11
Industry analysis of credit exposure under the Foundation IRB approach
4.12
Industry analysis of credit exposure under the Advanced IRB approach
4.13
Residual maturity analysis credit exposures under the Standardised approach
4.14
Residual maturity analysis credit exposures under the Foundation IRB approach
4.15
Residual maturity analysis credit exposures under the Advanced IRB approach
4.16
Industry analysis of impaired and past due exposures and allowance for impairment
4.17
Geographic analysis of impaired and past due exposures and allowance for impairment
4.18
Analysis of movement on impairment and amounts taken directly to profit and loss
4.19
Credit rating agencies and credit quality steps under the Standardised approach
4.20
Credit quality steps and risk weights under the Standardised approach
4.21
Credit quality step analysis of pre CRM exposure and capital deductions under the Standardised approach
4.22
Credit quality step analysis of post CRM exposure and capital deductions under the Standardised approach
 
Non Trading Book Information
5.0
5.1
5.2
Risk weighted exposures of equity investments
Fair value of and gains and losses on equity investments
Sensitivity of the Banking Book to interest rate changes

 

Securitisations
6.0
6.1
6.2
6.3
6.4
6.5
Outstanding amount of exposures securitised
Analysis of impaired, past due and losses recognised on exposures securitised
Aggregate amount of securitised positions retained or purchased
Analysis of securitised positions retained or purchased by risk weight
Aggregate amount of securitised revolving exposures
Analysis of securitisation activity in 2008
 
Credit Internal Ratings Based Approach
7.0
7.1
7.2
7.3
7.4
7.5
7.6
7.7
Internal default grade probabilities
External ratings and financial statements description
Advanced IRB Wholesale Obligor Grade Disclosure
Analysis of exposures secured on real estate collateral by expected loss grade
Analysis of unsecured exposures by expected loss grade
Impairment and actual value charges
Analysis of expected loss versus actual losses
Analysis of expected credit model performance versus actual results
 
Credit Risk Mitigation
8.0
8.1
Collateral and guarantees for Standardised approach
Collateral and guarantees for Advanced and Foundation IRB approach


1.
 
    Overview
Barclays PLC (Barclays) operates under the Basel 2 capital adequacy framework. The framework consists of three pillars, each of which focuses on a different aspect of capital adequacy and stability. 
Pillar 1 is a formal set of rules for calculating the minimum capital required by a firm to ensure that it has sufficient capital to cover potential losses arising from its business risks. The capital demand is based on a quantitative measure of the three main risks financial institutions face: credit risk, market risk and operational risk. Capital supply is the measure of the sources of capital available to a firm. 
Pillar 2 complements Pillar 1 by focusing on a firm's internal capital adequacy process. Where necessary, this internal assessment will cover risks beyond the credit, market and operational risks identified within Pillar 1 to create a thorough assessment of the risks specific to that organisation. This assessment forms part of an ongoing dialogue with a firm's regulatory supervisor. 
Pillar 3 is designed to be a public disclosure of a firm's risk and capital profile, building upon Pillar 1 and Pillar 2. The information disclosed is divided into qualitative information (about a bank's risk governance, risk methodologies and risk and capital management processes) and quantitative information (about its risk and capital). The quantitative disclosures provide data on the components of the calculation of risk and capital resources and requirements that form Pillar 1.
Barclays has included the qualitative disclosures required under Pillar 3 in its Annual Report. This Pillar 3 report contains the quantitative disclosures of Pillar 3.
Barclays lead regulator is the UK Financial Services Authority (FSA). The FSA has published its Pillar 3 regulations for firms within its "Prudential Sourcebook for Banks, Building Societies and Investment Firms" ("BIPRU" Section 11). Where the regulations specify the exact exposure classes, Barclays follows these explicit instructions. Where the regulations have not been explicit, such as in industry and geographic analyses, the Group (Barclays) has prepared them on the same basis as its Annual Report. 
For the purposes of this document, credit exposure is defined as the maximum loss the Group estimates it might sustain in the event of a default or through the decline in value of an asset. This is not necessarily the same as the value of an asset in the Group's balance sheet as published in the Annual Report. Most significantly, balance sheet amounts only disclose drawn balances. Contractual commitments over undrawn balances are excluded from the balance sheet but are included in the calculation of exposure under Basel 2.

This document comprises eight chapters including this overview of the disclosure. The subsequent sections show:
Capital Resources
    
A detailed breakdown of the components of the Group Tier 1 and Tier 2 capital resources.
Capital Requirements
Further detail on how the various components of credit, market and operational risk are translated into capital requirements by Pillar 1 calculations. It extends the RWA disclosure provided historically within the Annual Report.
Credit Risk
This section discloses the exposures Barclays measures as part of the calculation of its credit risk capital requirement. Barclays has regulatory approval to apply Advanced and Foundation Internal Ratings Based (IRB) approaches to calculate exposures over many portfolios. The Foundation IRB approach is only used for ABSA's wholesale portfolios. Barclays uses the Standardised approach for the remainder of its calculations. The Standardised approach rules use a very similar methodology to the Basel 1 framework with the addition of external credit ratings into the methodology. The section also contains information about exposures that are past due or impaired, and also the extent to which Barclays relies upon credit rating agencies in the determination of its Pillar 1 capital requirement.
Non Trading Book Information
This section discloses information about the equities held by the Group outside of the trading book, and also the sensitivity of the entire Group portfolios to upward and downward shocks to interest rates.
 
 
Securitisations
This section discloses information about Barclays securitisation activities distinguishing between the various roles Barclays plays in this business. It includes traditional securitisations as well as synthetic transactions effected through the use of derivatives.

Credit Internal Ratings Based Approach
Barclays has regulatory approval to compute its credit capital requirement through the use of its internal credit risk models. This section provides detail of the performance of the models' estimates against actual outcomes and shows some of the intermediate steps in the calculations. 

Credit Risk Mitigation
This section discloses information about credit exposures which are reduced through the application of eligible financial collateral, credit derivatives and guarantees.

Basis of Preparation and Consolidation
All of these disclosures are published for Barclays PLC on a consolidated basis for the year ended 31 December 2008. Where this document discloses credit exposures or capital requirements, Barclays has followed the scope and application of its Pillar 1 capital adequacy calculations. Where figures for impairment or losses are disclosed within this document Barclays has followed the IFRS definitions used in the Barclays Annual Report. Barclays intends to make Pillar 3 disclosures annually but will review the need for more frequent disclosure in the light of market and business conditions. As this is the first year that Barclays is publishing Pillar 3 data Barclays has not provided comparative data, as in 2007 Barclays was still operating under the Basel 1 regime. The consolidation basis used is the same as that used for regulatory capital adequacy. Certain overseas subsidiaries operate under local regulatory capital regimes which are recognised as equivalent by the FSA. In these cases Barclays has used these local capital calculations in its group consolidation. The scope of consolidation is similar to that used for statutory accounting reporting for most of the Group's activities. The following differences do occur between regulatory consolidation and IFRS consolidation;
Table 1.0: Differences between the scope of statutory and regulatory consolidation.

Entity
Statutory accounting treatment
Basel 2 Regulatory treatment

Subsidiaries engaged in non-financial activities such as insurance

Fully consolidated

An investment in an unconsolidated subsidiary deducted from capital as a material holding

Associates, joint ventures and participations in businesses which are financial in nature
Accounted for on an equity basis
Consolidated in proportion to the participation.
Associates, joint ventures and participations in businesses which are not financial in nature
Accounted for on an equity basis
Deducted from capital as a material holding
Private equity investments treated as associates
Accounted for on an equity basis
The underlying investments are individually risk weighted.



Pillar 3 disclosures are at consolidated group level. However, Barclays has a number of subsidiary companies which are also FSA approved firms. The regulations require any such subsidiaries which are significant to disclose limited Pillar 3 information. Barclays has a significant subsidiary in the Absa Bank Limited. Absa Group's primary regulator is the South African Reserve Bank (SARB). Absa has disclosed complete Pillar 3 information in compliance with the SARB's regulations. These disclosures may be found in the Investor Relations section of Absa's website: 
www.Absa.co.za
H


Capital Deficiencies
Barclays had no subsidiaries outside the scope of regulatory consolidation which had capital resources less than their required minimum at 31 December 2008. 
 
 
2 .
     Capital Resources 
The following table represents the Group's capital position at 31 December 2008.
Table 2.0: Tier 1 and Tier 2 Capital Resources


As at

31.12.08
Tier 1 (excluding innovative tier 1)
£m
Called up share capital
 2,093 
Eligible reserves
 31,156 
Minority interests
 8,172 
Tier 1 Notes
 1,086 
Less: Intangible assets
 (9,964)
Less: Deductions from Tier 1 capital - Expected loss in excess of impairment on IRB approach portfolios
 (159)
Less: Deductions from Tier 1 capital - Other
 (877)
Total qualifying tier 1 capital (excluding innovative tier 1)
 31,507 


Innovative Tier 1 One Capital
 7,087 


Tier 2 

Revaluation reserves 
 26 
Available for sale equity gains
 122 
Collectively assessed impairment allowances
 1,654 
Minority interests
 607 
Qualifying subordinated liabilities

  Undated loan capital
 5,401 
  Dated loan capital
 14,215 
Total innovative tier 1 capital and tier 2 capital
 29,112 


Less: Deductions from Tier 2 capital - Expected loss in excess of impairment on IRB approach portfolios
 (159)
Less: Deductions from Tier 2 capital - Other
 (877)
Total innovative tier 1 capital and tier 2 capital after deductions
 28,076 


Less: Regulatory deductions from the total of tier 1 and tier 2 capital

Investments not consolidated for supervisory purposes
 (403)
Other deductions
 (453)
Total deductions from the total of tier 1 and tier 2 capital
 (856)
 

Total net capital resources
 58,727 


The Capital Requirements Directive requires Tier 1 capital to be calculated excluding innovative capital. This is the basis on which we have disclosed the Group's Tier 1 capital above. The FSA's capital requirements permit the inclusion of innovative Tier 1 capital subject to a limit of 15% of the total Tier 1 capital. Innovative capital in excess of the 15% limit can be included in Tier 2 capital.
 
 
3.
     Capital Requirements
The following table represents the Group's credit risk capital requirement for exposures measured under the Standardised approach method. More details on the calculation of exposure and risk weighting under the Standardised approach may be found in the Credit Risk section of this document.
Table 3.0: Minimum capital requirements for credit risk under the Standardised approach


 Minimum Capital

 As at 31.12.08
Standardised Approach Credit Risk Exposure Class
£m
Central governments or central banks
 129 
Regional government or local authorities
 1 
Administrative bodies and non-commercial undertakings
 5 
Multilateral development banks
 - 
International organisations
 - 
Institutions 
 80 
Corporates  
 3,837 
Retail 
 1,791 
Secured on real estate property
 1,367 
Past due items
 295 
Private equity
1
 635 
Covered bonds 
 - 
Securitisation positions
2
 - 
Short term claims on institutions and corporates 
 538 
Collective investment undertakings
 48 
Other items
 151 
Total Standardised Approach Requirement
8,877



1
    
A strict interpretation of the regulations would require the Group to describe its private equity positions as "Items belonging to regulatory high risk categories". Barclays believes it is more useful to provide an objective description of these assets and their exposures and capital requirements within these disclosures.
2 
Securitisation positions under the Standardised approach are treated as capital deductions and are therefore not included in the table above.
 
 
The Internal Ratings Based (IRB) approach allows firms to compute their regulatory capital requirement through the use of their own proprietary credit models. These models generate the inputs - Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD) - required to populate the AIRB regulatory capital calculation. As well as meeting the minimum requirements for IRB models laid down by regulators, banks are required to prove the appropriateness of IRB metrics by using them for a variety of business-as-usual purposes such as credit approval, limit setting and internal capital allocation. This is known as the "Use Test". 
The models are then recalibrated to operate with assumptions set by regulators which simulate downturn conditions including increased correlations between assets. Finally, the models' operating parameters are adjusted to capture an unexpected loss. 

Table 3.1: Minimum capital requirement for credit risk under the IRB approach

IRB Approach Exposure Class
 
Minimum 

Capital

As at 31.12.08

£m
Central governments or central banks 
 
 44 
Institutions
 
 692 
Corporates  
 
 5,671 
Retail
 
 
-
 Small and medium enterprises (SME)

 689 
- Secured by real estate collateral 

 1,238 
- Qualifying revolving retail 

 813 
- Other retail

 835 
Equity - Simple Risk Weight Approach 

 
- Exchange traded exposures

 48 
- Private equity exposures

 171 
- Other exposures

 - 
Securitisation positions
 
 1,273 
Non-credit obligation assets
 
 1,001 
Total IRB Approach Requirement
 
12,475



In addition to the securitisation positions above there are also Advanced approach positions which are treated as deductions from capital and included within Table 2.0.

Market Risk and Counterparty Credit Risk
The following table represents Barclays market risk capital requirements, which comprise three elements;
1)
    Trading book positions where the market risk is measured under an FSA approved Daily Value at Risk (DVaR) model. A detailed description of the DVaR model and its controls may be found on page 120 of Barclays 2008 Annual Report.
2)
    Trading book positions within overseas subsidiaries which operate under the capital requirements of their local regulators and are recognised as equivalent regimes by the FSA. In such cases the FSA requires that the local capital requirement is aggregated with the Group total.  
3)
    Trading book positions which have not yet met the conditions for inclusion within the approved DVaR model. Their capital requirement is calculated using Standardised rules.
Table 3.2: Minimum capital requirement for market risk and counterparty risk


 Minimum Capital

As at 31.12.08
Market Risk
£m
DVaR Model Based PRR
 1,778 
Interest rate PRR
1
 1,790 
Equity PRR
 84 
Option PRR
 2 
Collective investment schemes PRR
 162 
Commodity PRR
 75 
Foreign exchange PRR
 1 
Local Regulatory Aggregated PRR
 1,338 
Total Market Risk Capital Requirement
5,230


Concentration risk capital requirement
 - 
Counterparty credit risk capital requirement
 5,672 



1
  PRR, Position Risk Requirement

 
 
O perational Risk
The following table shows the Group's operational risk capital requirement. Barclays has approval from the FSA to calculate its operational risk capital requirement using a Basel 2 Advanced Measurement Approach (AMA). Recently acquired businesses are excluded from the approval. Barclays uses the Basic Indicator Approach or the Standardised approach while it transitions these areas to the Advanced Measurement Approach. More information about Barclays operational risk modelling may be found on page 131 of Barclays 2008 Annual Report.
Table 3.3: Minimum capital requirement for operational risk


 
 Minimum Capital

As at 31.12.08
Operational Risk
£m
Operational Risk - Basic Indicator Approach
 125 
Operational Risk - Standardised Approach
 22 
Operational Risk - Advanced Measurement Approach
 2,262 
Total Operational Risk Capital Requirement
2,409





Minimum Capital Requirements and Risk Weighted Assets (RWA) analysis
Capital requirements may be converted into RWAs by multiplying them by 12.5. The following table shows a breakdown of the Group's RWAs by risk type.
Table 3.4: Minimum capital requirement and risk weighted assets


Capital Requirement

as at 31.12.08
RWA

as at 31.12.08
Risk Type
£m
£m
Standardised Approach Credit Risk

Advanced and Foundation IRB Approach Credit Risk

Counterparty Credit Risk
8,877

12,475

5,672
110,975

155,937

70,902
Total Credit Risk

Market Risk

Operational Risk
27,024

5,230

2,409
337,814

65,372

30,116
Total
34,663
433,302



 
 
4. Credit Risk

Counterparty Credit Exposures
Counterparty credit exposure arises from the risk that parties are unable to meet their payment obligations under financial contracts including derivatives, securities financing transactions, such as repurchase agreements, reverse repurchase agreements and stock borrow loan transactions, and also long settlement transactions. At 31 December 2008 Barclays had posted collateral of £63,232 million to cover its liabilities over derivative contracts in line with general market practice. Barclays Bank PLC's long term debt was rated AA- by Standard and Poors and Aa2 by Moodys as at 31 December 2008. In the event that these ratings were downgraded one increment the Group would be required to provide a further £2,115 million and £267 million in collateral respectively. On 1 February 2009 Moodys downgraded Barclays Bank PLC to Aa3.
The following table shows Barclays counterparty credit exposure including the impact of netting contracts and the offset of collateral held. Where the Group calculates the exposure under the Standardised approach and the Internal Model Method the impact of both netting and collateral is integral to the calculation of the exposure. These contract exposures are therefore only available on a net basis. Where the Group uses the mark to market approach it is possible to identify the impact of netting and collateral.
Table 4.0: Counterparty credit exposure




 Gross Positive Fair Value of Contracts 
 Potential Future Credit Exposure 
 Netting Benefits
 Netted Current Credit Exposure 
 Collateral Held 
 Net Derivatives Credit Exposure 
As at 31.12.08
 £m 
 £m 
 £m 
 £m 
 £m 
 £m 
Mark to Market Method
 32,872 
 26,279 
 (39,258)
 19,893 
 - 
19,893
Standardised Approach
N/a
N/a
N/a
N/a
N/a
2,122
Internal Model Method
N/a
N/a
N/a
N/a
N/a
108,130
Total
N/a
N/a
N/a
N/a
N/a
130,145



In line with industry practice Barclays normally deducts collateral received from the loss given default or risk weight rather than from the exposure in calculating the expected loss.
Credit Derivative Notionals 
The following table shows the notional of the credit derivative transactions purchased and sold by the Group during 2008.
Table 4.1: Notionals of credit derivative contracts


Notional Credit Derivative Transactions

Own Credit Portfolio
Intermediation Activities

 Purchased 
 Sold 
 Purchased 
 Sold 
Credit Derivative Product Type as at 31.12.08
 £m 
 £m 
 £m 
 £m 
Credit Default Swaps
 16,516 
 13,120 
 1,490,211 
 1,410,249 
Total Return Swaps
 - 
 - 
 42,902 
 2,820 
Total
16,516
13,120
1,533,113
1,413,069



Barclays internal counterparty credit risk models calculate expected exposure as the first stage in the preparation of the regulatory capital requirement. The model is calibrated to simulate an economic downturn through the use of a scaling factor (known generically as alpha) to arrive at the exposure at default. Barclays models have set this factor at 1.4.
 
 
C urrent Counterparty Credit Exposure
The following table shows the Group's exposure at default (EAD) to counterparty credit risk after credit risk mitigation (CRM) analysed by the type of financial contract.
Table 4.2: Counterparty credit exposure analysed by financial contract type


As at 31.12.08

 EAD Post CRM under Standardised Approach  
 EAD Post CRM under Mark to Market Approach 
 EAD Post CRM under Internal Model Method 
Financial Contract Type
 £m 
 £m 
 £m 
Interest Rate Contracts
 - 
 1,485 
N/A
Foreign Currency Contracts
 - 
 1,741 
N/A
Gold Contracts
 - 
 224 
N/A
Equities Contracts
 - 
 1,277 
N/A
Precious Metal other than Gold Contracts
 - 
 - 
N/A
Commodities other than Precious Metal Contracts
 - 
 14,090 
N/A
Securities financing transactions
 4,171 
 3,672 
N/A
Credit Derivatives
 - 
 208 
N/A
Other
 2,122 
 868 
N/A
Total
6,293
23,565
157,542



The nature of the calculation of credit exposure under the internal model method precludes the identification of individual product exposures. Only a total for each counterparty is calculated. 

Risk Methodology
The following table sets out the notional value of the Group credit derivative contracts held for hedging purposes.
Table 4.3: Notional value of credit derivative contracts held for hedging purposes



As at 31.12.08
Risk Methodology
£m
Notional value of credit derivative hedges under the Standardised Approach Method
 - 
Notional value of credit derivative hedges under the Mark to Market Method
 - 
Notional value of credit derivative hedges under the Internal Model Method
 5,047 
Total
5,047









 
 
The following table summarises the principal portfolios within Barclays that use the Standardised, Foundation IRB and Advanced IRB approaches:


Table 4.4: The scope of the Standardised and IRB Approaches

Business
Standardised 

Approach
Foundation IRB Approach
Advanced IRB Approach
Barclays Capital

Emerging markets, fund of funds, insurance

None
Most portfolios
Barclays Global Investors

Most portfolios
None
None
Barclays Wealth

All portfolios
None
None
UK Retail Banking

Certain minor portfolios within personal accounts, mortgages and consumer loans

None
Most portfolios
Barclays Commercial Bank

Non UK portfolios and asset and trade financing and sales portfolios

None
Larger and Medium business portfolios
Barclaycard
Corporate credit cards and non UK portfolios

None
UK retail credit cards
Global Retail & Commercial Banking - Western Europe

All portfolios
None
None
Global Retail & Commercial Banking - Emerging Markets

All portfolios
None
None
Global Retail & Commercial Banking - Absa

Certain minor portfolios
Wholesale portfolios 
Retail portfolios
Head office Functions and other operations
None
None
All portfolios



 
 
S tandardised Approach Credit Exposure
The following table shows Barclays credit exposure for its portfolios under the Standardised approach before the use of credit risk mitigation (CRM).
Table 4.5: Credit risk exposure under the Standardised approach


As at 31.12.08

 EAD Pre CRM  
 Average EAD Pre CRM over the year  
Standardised Approach Credit Risk Exposure Class
 £m 
 £m 
Central governments or central banks
 5,228 
 4,292 
Regional government or local authorities
 87 
 73 
Administrative bodies and non-commercial undertakings
 418 
 327 
Institutions 
 2,857 
 2,617 
Corporates  
 52,550 
 48,525 
Retail 
 30,272 
 23,975 
Secured on real estate property
 40,619 
 33,260 
Past due items
 2,602 
 1,491 
Private equity
 3,215 
 2,569 
Short term claims on institutions and corporates 
 11,423 
 13,503 
Collective investment undertakings
 780 
 293 
Other items
 2,453 
 2,054 
Total Standardised Approach Credit Risk Exposure
152,504
132,979



 
 
Advanced and Foundation IRB Approach Credit Exposure 
The following table shows the Group's credit exposures measured under the Advanced Internal Ratings Based approach and the Foundation Internal Ratings Based approach before the application of credit risk mitigation. The Advanced IRB approach uses proprietary estimates of probability of default (PD), loss given default (LGD) and conversion factor to model the exposure while the Foundation IRB approach uses proprietary PD and regulatory standard parameters for LGD and conversion factor. The Foundation IRB approach may only be used for wholesale credit exposures and is not applicable to retail, equity, securitisation position and non-credit obligation asset exposures.
Table 4.6: Credit risk exposures under the Advanced and Foundation IRB approaches


EAD Pre CRM

Average EAD Pre CRM over the year
As at 31.12.08
 Advanced IRB 
Foundation IRB 

 Advanced IRB 
 Foundation IRB 
Advanced IRB Exposure Class
 £m 
 £m 

 £m 
 £m 
Central governments or central banks 
 35,753 
 3 

 18,147 
 6 
Institutions
 67,616 
 1,308 

 61,636 
 3,036 
Corporates  
 147,902 
 11,769 

 138,488 
 9,910 
Retail





- SME
 13,611 
N/A 

 11,639 
 N/A
- Secured by real estate collateral 
 106,954 
N/A 

 107,087 
 N/A
- Qualifying revolving retail 
 26,289 
N/A 

 26,648 
 N/A
- Other retail
 13,991 
N/A 

 13,173 
 N/A
Equity
 734 
N/A 

 498 
 N/A
Securitisation positions
 85,132 
N/A 

 52,386 
 N/A
Non-credit obligation assets 
 17,742 
N/A 

 14,317 
 N/A
Total Advanced IRB Credit Risk Exposure
515,724
13,080

444,019
12,952


The securitisation positions above include all of the securitisations detailed in section 6 below and also certain securitisations which follow the treatment of the asset securitised when calculating the capital requirement


This document discloses exposures and capital requirements for Barclays assets. Generally a particular asset will be disclosed within the same category when showing its exposure or its capital requirement. However, within the above exposure table are assets which are the underlyings for synthetic securitisations. The asset exposure disclosed is that of the underlying asset. However, as they are part of a securitisation their capital requirement is calculated and disclosed as a securitisation position in those tables which show Barclays capital requirements.  


Geographic Analysis
The following tables represent Barclays credit exposure by geographic region. Exposures are allocated to the region in which the customer is located and are disclosed before the application of credit risk mitigation.

Table 4.7: Geographic analysis of credit risk exposures under the Standardised approach

Standardised Approach Credit Risk Exposure
United Kingdom
Other European Union
United States
Africa
Rest of the World
Total
Class
£m
£m
£m
£m
£m
£m
Central governments or central banks
 81 
 2,690 
 - 
 1,910 
 547 
 5,228 
Regional government or local authorities
 2 
 74 
 11 
 - 
 - 
 87 
Administrative bodies and non-commercial undertakings
 208 
 209 
 1 
 - 
 - 
 418 
Institutions 
 1,421 
 550 
 43 
 367 
 476 
 2,857 
Corporates  
 14,055 
 20,548 
 3,882 
 4,059 
 10,006 
 52,550 
Retail 
 8,084 
 10,364 
 7,430 
 2,354 
 2,040 
 30,272 
Secured on real estate property
 8,896 
 27,077 
 3,050 
 280 
 1,316 
 40,619 
Past due items
 747 
 1,361 
 356 
 119 
 19 
 2,602 
Private equity positions
 1,094 
 479 
 1,526 
 35 
 81 
 3,215 
Short term claims on institutions and corporates 
 1,053 
 5,189 
 1,053 
 3,236 
 892 
 11,423 
Collective investment undertakings
 - 
 219 
 561 
 - 
 - 
 780 
Other items
 831 
 492 
 86 
 513 
 531 
 2,453 
Total Standardised Approach Credit Risk Exposure
 36,472 
 69,252 
 17,999 
 12,873 
 15,908 
 152,504 










 
 
Table 4.8: Geographic analysis of credit risk exposures under the Foundation IRB approach

Foundation IRB Approach Credit Risk Exposure
United Kingdom
Other European Union
United States
Africa
Rest of the World
Total
Class
£m
£m
£m
£m
£m
£m
Central governments or central banks
 - 
 - 
 - 
 3 
 - 
 3 
Institutions 
 - 
 - 
 - 
 1,308 
 - 
 1,308 
Corporates  
 - 
 - 
 - 
 11,769 
 - 
 11,769 
Total Foundation Approach Credit Risk Exposure
 - 
 - 
 - 
 13,080 
 - 
 13,080 











Table 4.9: Geographic analysis of credit risk exposures under the Advanced IRB approach

Advanced IRB Approach Credit Risk Exposure
United Kingdom
Other European Union
United States
Africa
Rest of the World
Total
Class
£m
£m
£m
£m
£m
£m
Central governments or central banks 
 11,914 
 5,013 
 10,265 
 1,595 
 6,966 
 35,753 
Institutions
 18,330 
 21,356 
 14,546 
 62 
 13,322 
 67,616 
Corporates  
 83,005 
 25,994 
 29,652 
 449 
 8,802 
 147,902 
Retail
 127,897 
 9 
 5 
 32,924 
 10 
 160,845 
Equity
 - 
 - 
 - 
 734 
 - 
 734 
Securitisation positions
 24,299 
 11,756 
 38,841 
 1,209 
 9,027 
 85,132 
Non-credit obligation assets
 8,958 
 1,804 
 3,028 
 3,438 
 514 
 17,742 
Total Advanced IRB Credit Risk Exposure
 274,403 
 65,932 
 96,337 
 40,411 
 38,641 
 515,724 











Industry Analysis under Standardised Approach
The following table represents the Group's credit exposures split by industry and counterparty type. Exposure includes drawn as well as undrawn amounts and is Barclays calculation of the expected maximum amount which may be drawn at the time of default. It cannot be directly compared to the balance sheet industry analysis contained within the Barclays Annual Report. However, Barclays has used the same industry classification of its customers in this document and the Annual Report.
Table 4.10: Industry analysis of credit exposure under the Standardised approach

 Credit Exposure Pre CRM
Financial institutions/ services
Agriculture, forestry and fishing
Manufacturing
Construction
Property
Energy and water
Wholesale and retail, distribution and leisure
Transport
Postal and communication
Business and other services
Home loans
Other personal
Non Customer Assets
Total
 As at 31.12.08
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Central governments or central banks
 3,318 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 1,910 
 - 
 - 
 - 
 5,228 
Regional government or local authorities
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 87 
 - 
 - 
 - 
 87 
Administrative bodies and non-commercial undertakings
 - 
 - 
 25 
 25 
 - 
 52 
 37 
 48 
 - 
 231 
 - 
 - 
 - 
 418 
Institutions 
 2,857 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 2,857 
Corporates  
 10,244 
 434 
 5,658 
 2,101 
 5,635 
 1,553 
 7,595 
 1,929 
 696 
 14,940 
 52 
 1,713 
 - 
 52,550 
Retail
 93 
 120 
 776 
 262 
 146 
 223 
 466 
 282 
 16 
 2,896 
 - 
 24,992 
 - 
 30,272 
Secured on real estate property
 387 
 66 
 244 
 160 
 944 
 15 
 261 
 96 
 31 
 2,440 
 32,878 
 3,097 
 - 
 40,619 
Past due items
 57 
 4 
 47 
 39 
 301 
 49 
 48 
 28 
 6 
 275 
 602 
 1,146 
 - 
 2,602 
Private equity positions
 1,586 
 - 
 256 
 49 
 60 
 43 
 381 
 20 
 109 
 711 
 - 
 - 
 - 
 3,215 
Short term claims on institutions and corporates 
 5,034 
 44 
 1,208 
 894 
 804 
 216 
 726 
 455 
 77 
 1,965 
 - 
 - 
 - 
 11,423 
Collective investment undertakings
 780 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 780 
Other items
 125 
 8 
 8 
 33 
 15 
 13 
 2 
 1 
 - 
 732 
 - 
 1,516 
 - 
 2,453 
Total Standardised Approach Credit Exposure
 24,481 
 676 
 8,222 
 3,563 
 7,905 
 2,164 
 9,516 
 2,859 
 935 
 26,187 
 33,532 
 32,464 
 - 
 152,504 




The industry classifications above within the retail category represent the Group exposure to small businesses.
 
 
Table 4.11: Industry analysis of credit exposure under the Foundation IRB approach



 Credit Exposure Pre CRM
Financial institutions/ services
Agriculture, forestry and fishing
Manufacturing
Construction
Property
Energy and water
Wholesale and retail, distribution and leisure
Transport
Postal and communication
Business and other services
Home loans
Other personal
Non Customer Assets
Total
 As at 31.12.08
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Central governments or central banks
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 3 
 - 
 - 
 - 
 3 
Institutions 
 1,308 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 1,308 
Corporates  
 3,372 
 561 
 1,130 
 401 
 1,768 
 229 
 - 
 87 
 1,238 
 2,154 
 - 
 829 
 - 
 11,769 
Total Foundation IRB Approach Credit Exposure
 4,680 
 561 
 1,130 
 401 
 1,768 
 229 
 - 
 87 
 1,238 
 2,157 
 - 
 829 
 - 
 13,080 



 
 
Table 4.12: Industry analysis of credit exposure under the Advanced IRB approach

 Credit Exposure Pre CRM
Financial institutions/ services
Agriculture, forestry and fishing
Manufacturing
Construction
Property
Energy and water
Wholesale and retail, distribution and leisure
Transport
Postal and communication
Business and other services
Home loans
Other personal
Non Customer Assets
Total
 As at 31.12.08
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
 Central governments or central banks 
 21,003 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 14,750 
 - 
 - 
 - 
 35,753 
 Institutions 
 67,263 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 353 
 - 
 - 
 - 
 67,616 
 Corporates 
 6,472 
 1,268 
 24,767 
 5,061 
 30,434 
 20,401 
 17,452 
 5,137 
 8,991 
 27,265 
 - 
 654 
 - 
 147,902 
 Retail 
 417 
 2,038 
 1,041 
 949 
 1,831 
 18 
 2,937 
 369 
 253 
 3,676 
 106,956 
 40,360 
 - 
 160,845 
 Equity 
 167 
 - 
 360 
 - 
 175 
 - 
 32 
 - 
 - 
 - 
 - 
 - 
 - 
 734 
 Securitisation positions 
 84,676 
 - 
 210 
 - 
 221 
 - 
 - 
 2 
 - 
 23 
 - 
 - 
 - 
 85,132 
 Non-credit obligation assets 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 - 
 17,742 
 17,742 
Total Advanced IRB Approach Credit Exposure
 179,998 
 3,306 
 26,378 
 6,010 
 32,661 
 20,419 
 20,421 
 5,508 
 9,244 
 46,067 
 106,956 
 41,014 
 17,742 
 515,724 




Residual maturity analysis
The maturity analysis below discloses all of the Group's credit exposure by contractual maturity date. This is the basis upon which capital adequacy calculations are performed. This differs from the treatment required by IFRS, under which firms disclose drawn balances rather than exposures and apportion maturity according to their repayment schedule.
Table 4.13: Residual maturity analysis credit exposures under the Standardised approach


EAD Pre CRM by Standardised Approach Credit Risk Exposure Class
Credit exposure pre CRM
On demand and qualifying revolving 
Under one year
Over one year but not more than three years
Over three years but not more than five years
Over five years but not more than ten years
Over ten years or undated
Total
As at 31.12.08
£m
£m
£m
£m
£m
£m
£m
Central governments or central banks
 28 
 4,035 
 562 
 390 
 213 
 - 
 5,228 
Regional government or local authorities
 - 
 63 
 9 
 - 
 12 
 3 
 87 
Administrative bodies and non-commercial undertakings
 - 
 187 
 51 
 72 
 57 
 51 
 418 
Institutions 
 1 
 1,138 
 1,241 
 307 
 144 
 26 
 2,857 
Corporates  
 520 
 24,438 
 6,407 
 5,979 
 9,834 
 5,372 
 52,550 
Retail 
 14,029 
 4,650 
 3,629 
 4,215 
 2,610 
 1,139 
 30,272 
Secured on real estate property
 - 
 1,490 
 931 
 1,920 
 5,100 
 31,178 
 40,619 
Past due items
 778 
 516 
 185 
 153 
 259 
 711 
 2,602 
Private equity
 - 
 3 
 30 
 122 
 59 
 3,001 
 3,215 
Short term claims on institutions and corporates 
 3,147 
 8,276 
 - 
 - 
 - 
 - 
 11,423 
Collective investment undertakings
 - 
 585 
 97 
 2 
 96 
 - 
 780 
Other items
 153 
 1,572 
 286 
 14 
 302 
 126 
 2,453 
Total Standardised Approach Credit Risk Exposure
 18,656 
 46,953 
 13,428 
 13,174 
 18,686 
 41,607 
 152,504 




 
 
Table 4.14: Residual maturity analysis credit exposures under the Foundation IRB approach


EAD Pre CRM by Foundation Approach Credit Risk Exposure Class
Credit exposure pre CRM
On demand and qualifying revolving 
Under one year
Over one year but not more than three years
Over three years but not more than five years
Over five years but not more than ten years
Over ten years or undated
Total
As at 31.12.08
£m
£m
£m
£m
£m
£m
£m
Central governments or central banks 
 3 
 - 
 - 
 - 
 - 
 - 
 3 
Institutions
 711 
 - 
 575 
 - 
 22 
 - 
 1,308 
Corporates  
 6,326 
 1,698 
 1,800 
 160 
 1,289 
 496 
 11,769 
Total Foundation IRB Approach Credit Risk Exposure
 7,040 
 1,698 
 2,375 
 160 
 1,311 
 496 
 13,080 



 
 
Table 4.15: Residual maturity analysis credit exposures under the Advanced IRB approach


EAD Pre CRM by Advanced Approach Credit Risk Exposure Class
Credit exposure pre CRM

as at 31.12.08
On demand and qualifying revolving 
Under one year
Over one year but not more than three years
Over three years but not more than five years
Over five years but not more than ten years
Over ten years or undated
Total
Advanced IRB Exposure Class
£m
£m
£m
£m
£m
£m
£m
Central governments or central banks 
 16,773 
 6,133 
 4,715 
 1,691 
 3,287 
 3,154 
 35,753 
Institutions
 5,235 
 35,354 
 9,308 
 11,320 
 4,311 
 2,088 
 67,616 
Corporates  
 13,067 
 26,100 
 31,079 
 33,128 
 18,334 
 26,194 
 147,902 
Retail
 34,518 
 1,933 
 6,630 
 9,062 
 17,625 
 91,077 
 160,845 
Equity
 734 
 - 
 - 
 - 
 - 
 - 
 734 
Securitisation positions
 - 
 31,264 
 5,318 
 2,443 
 46,107 
 - 
 85,132 
Non-credit obligation assets
 - 
 - 
 - 
 - 
 - 
 17,742 
 17,742 
Total Advanced IRB Credit Risk Exposure
 70,327 
 100,784 
 57,050 
 57,644 
 89,664 
 140,255 
 515,724 




Impaired Exposures

Table 4.16: Industry analysis of impaired and past due exposures and allowance for impairment


 Impaired Exposures 
 Past Due Exposures
 Allowance for Impairment 
As at 31.12.08
 
 £m 
 £m 
 £m 
Financial services
 5,281 
 6,229 
 1,511 
Agriculture, forestry and fishing
 95 
 60 
 40 
Manufacturing
 481 
 320 
 402 
Construction
 265 
 311 
 153 
Property
 736 
 1,031 
 253 
Energy and water
 7 
 254 
 23 
Wholesale and retail, distribution and leisure
 259 
 208 
 353 
Transport
 127 
 65 
 98 
Postal and communication
 44 
 31 
 48 
Business and other services
 1,049 
 768 
 865 
Home loans
 1,183 
 8,415 
 356 
Other personal
 3,106 
 2,721 
 2,303 
Finance lease receivables
 114 
 280 
 169 
Total
 12,747 
 20,693 
 6,574 



The exposures in the above table are drawn balances as at 31 December 2008 and are consistent with the balances reported within the Annual Report.

The following table gives the same information analysed by geographic region.
Table 4.17: Geographic analysis of impaired and past due exposures and allowance for impairment


 Impaired Exposures 
 Past Due Exposures 
 Allowance for Impairment 
As at 31.12.08
 
 £m 
 £m 
 £m 
UK
 4,160 
 10,888 
 2,947 
Other European Union
 1,742 
 3,634 
 963 
United States
 4,479 
 3,627 
 1,561 
Africa
 1,996 
 252 
 857 
Rest of the World
 370 
 2,292 
 246 
Total
 12,747 
 20,693 
 6,574 



 
 
The following table shows the movement of impairment during 2008 as well as amounts directly written off or recovered to profit and loss.
Table 4.18 Analysis of movement on impairment and amounts taken directly to profit and loss 

Impairment Movement
Allowance for Impairment

£m
As at 31.12.07
 3,772 
Acquisitions & Disposals
 307 
Exchange and other adjustments
 791 
Unwind of discount
 (135)
Amounts written off
 (2,919)
Recoveries
 174 
Amounts charged against profit
 4,584 
As at 31.12.08
 
 6,574 




Direct P&L Impacts
 P&L Impact 
Year ended 31.12.08
 £m 
Direct write-offs
 1,934 
Direct recoveries 
 - 




Credit rating agencies
Under the Standardised approach the Group makes limited use of credit ratings assigned by credit rating agencies in its calculation of credit risk weighted assets. The FSA determines which agencies may be relied upon in the determination of this risk weight.  
Barclays uses ratings assigned by the following agencies:
Standard & Poors

Moodys

Fitch
These ratings are used in the calculation of the following exposure classes:
Central governments and central banks

I
nstitutions

Corporates

Short term claims on institutions and corporates


 
 
Unrated and Rated Counterparties

Where a rating is not available Barclays follows the provisions of the regulations that cover this state. The following is a summary of the rules governing the Standardised approach. Each exposure must be assigned to one of six credit quality steps if a rating is available as defined in the table below
Table 4.19: Credit rating agencies and credit quality steps under the Standardised approach 

Standard and Poors
Moodys
Fitch
Credit Quality Step
AAA to AA-

Aaa to Aa3
AAA to AA-
Credit Quality Step 1
A+ to A-

A1 to A3
A+ to A-
Credit Quality Step 2
BBB+ to BBB-

Baa1 to Baa3
BBB+ to BBB-
Credit Quality Step 3
BB+ to BB-

Ba1 to Ba3
BB+ to BB-
Credit Quality Step 4
B+ to B-

B1 to B3
B+ to B-
Credit Quality Step 5
CCC+ and below

Caa1 and below
CCC+ and below
Credit Quality Step 6


The credit quality step, exposure class and maturity are then used to determine the risk weight percentage. Exposures cannot be assigned a risk weight that is lower to that of the sovereign risk of the country in which the asset is located. Where a rating is not available in most cases the treatment is approximately equivalent to that which is applied to credit quality step 3. The following table is a simplified version of the risk weight allocation process.

Table 4.20: Credit quality steps and risk weights under the Standardised approach

Credit quality Step
Central governments and central banks
Corporates
Institutions greater than 3 months maturity
Credit quality Step 1
0%
20%
20%
Credit quality Step 2
20%
50%
50%
Credit quality Step 3 
50%
100%
50%
Credit quality Step 4
100%
100%
100%
Credit quality Step 5
100%
150%
100%
Credit quality Step 6
150%
150%
150%


Retail exposures are generally assigned a risk weight of 75%. More detailed criteria are applied for exposures secured on residential or commercial property to include the credit risk mitigation




Credit Quality Assessment Scale
 
The following table shows the exposures calculated under the Standardised approach broken down by credit quality step as specified by the Standardised approach rules (further detail on this may be obtained from the FSA's BIPRU regulations, Section 3).
Table 4.21: Credit quality step analysis of pre CRM exposure and capital deductions under the Standardised approach


Credit Exposure

Capital
Credit Exposure / Capital pre CRM
Credit Quality 

Step 1
Credit Quality 

Step 2
Credit Quality

 Step 3
Credit Quality Step 4
Credit Quality Step 5
Credit Quality Step 6
Unrated
Total

Deducted from Capital Resources
As at 31.12.08
£m
£m
£m
£m
£m
£m
£m
£m

£m
Central governments or central banks
 2,223 
 436 
 203 
 778 
 208 
 - 
 1,380 
 5,228 

-
Regional government or local authorities
 - 
 - 
 - 
 - 
 - 
 - 
 87 
 87 

-
Administrative bodies and non-commercial undertakings
 - 
 - 
 - 
 - 
 - 
 - 
 418 
 418 

-
Institutions 
 1,764 
 507 
 72 
 64 
 - 
 - 
 450 
 2,857 

-
Corporates  
 171 
 1,801 
 634 
 753 
 297 
 91 
 48,803 
 52,550 

-
Retail 
N/A
N/A
N/A
N/A
N/A
N/A
 30,272 
 30,272 

-
Secured on real estate property
N/A
N/A
N/A
N/A
N/A
N/A
 40,619 
 40,619 

-
Past due items
N/A
N/A
N/A
N/A
N/A
N/A
 2,602 
 2,602 

-
Private Equity
N/A
N/A
N/A
N/A
N/A
N/A
 3,215 
 3,215 

-
Short term claims on institutions and corporates 
 183 
 - 
 - 
 4 
 - 
 - 
 11,236 
 11,423 

-
Collective investment undertakings
 - 
 - 
 - 
 - 
 - 
 - 
 780 
 780 

-
Other items
N/A
N/A
N/A
N/A
N/A
N/A
 2,453 
 2,453 

-
Securitisation positions
-
-
-
-
-
-
-
-

113
Total Standardised Approach Credit Exposure/ Capital
 4,341 
 2,744 
 909 
 1,599 
 505 
 91 
 142,315 
 152,504 

113



 
 
Table 4.22: Credit quality step analysis of Post CRM exposure and capital deductions under the Standardised approach



Credit Exposure

Capital
Credit Exposure / Capital post CRM
Credit Quality Step 1
Credit Quality Step 2
Credit Quality Step 3
Credit Quality Step 4
Credit Quality Step 5
Credit Quality Step 6
Unrated
Total

Deducted from Capital Resources
As at 31.12.08
£m
£m
£m
£m
£m
£m
£m
£m

£m
Central governments or central banks
 2,223 
 436 
 203 
 778 
 208 
 - 
 1,380 
 5,228 

-
Regional government or local authorities
 - 
 - 
 - 
 - 
 - 
 - 
 87 
 87 

-
Administrative bodies and non-commercial undertakings
 - 
 - 
 - 
 - 
 - 
 - 
 418 
 418 

-
Institutions 
 1,764 
 507 
 72 
 64 
 - 
 - 
 441 
 2,848 

-
Corporates  
 171 
 1,801 
 634 
 753 
 297 
 91 
 47,358 
 51,105 

-
Retail 
N/A
N/A
N/A
N/A
N/A
N/A
 30,065 
 30,065 

-
Secured on real estate property
N/A
N/A
N/A
N/A
N/A
N/A
 40,286 
 40,286 

-
Past due items
N/A
N/A
N/A
N/A
N/A
N/A
 2,602 
 2,602 

-
Private Equity
N/A
N/A
N/A
N/A
N/A
N/A
 3,215 
 3,215 

-
Short term claims on institutions and corporates 
 183 
 - 
 - 
 4 
 - 
 - 
 10,855 
 11,042 

-
Collective investment undertakings
 - 
 - 
 - 
 - 
 - 
 - 
 573 
 573 

-
Other items
N/A
N/A
N/A
N/A
N/A
N/A
 2,094 
 2,094 

-
Securitisation positions
-
-
-
-
-
-
-
-

113
Total Standardised Approach Credit Exposure / Capital
 4,341 
 2,744 
 909 
 1,599 
 505 
 91 
 139,374 
 149,563 

113




5.
    Non Trading Book Information
Equity Investments
Within these disclosures the Group has adopted a definition of equity that is consistent with the IFRS definition used within the Annual Report. Barclays reports non trading book equities under the Advanced IRB approach and the Standardised approach. (The Advanced IRB approach is only available where regulatory approval has been given.) The following table shows the Group's exposure to equities where it uses the Simple Risk Weight approach under the Advanced IRB approach to determine the credit exposure;

Table 5.0: Risk weighted exposures of equity investments


 Risk Weighted Exposure Amount for Equities Exposures using Simple Risk Weight Approach 

As at 31.12.08
Risk Weight Category
 £m 
Exchange Traded Equity 
 602 
Private Equity 
 2,133 
Other equity
 - 
Total Risk Weighted Exposure Amount for Equities
 2,735 



Barclays also has non trading book equity investments which are risk weighted under the Standardised approach.  

The following table shows the Group exposure to equities not held in the trading book. All equities are held at fair value. Page 290 of Barclays 2008 Annual Report provides more information on the methodologies Barclays follows in the determination of fair value. The market price is deemed to be the fair value for exchange traded equities.
Table 5.1: Fair value of and gains and losses on equity investments

Non Trading Book Equity Investments
 
As at 31.12.08
Fair Value
 
 £m
Exchange Traded
 
 738
Private Equity
 
 3,644
Other
 
 1,570
Total
 
 5,952
 
 
 
Cumulative Realised Gains / Losses from Sale and Liquidations of equity investments
 
 194
 
 
 
Unrealised gains/(losses)
 
 
Total Gains or Losses
 
122
 
Amount included in Tier 1, 2 or 3 Capital
 122
 
 
 
 
Latent Revaluation gains/(losses)
 
 
Total Gains or Losses
 
-
 
Amount included in Tier 1, 2 or 3 Capital
 -
 



Interest Rate Risk Sensitivity
The following table shows the Group's sensitivity to 200 basis point shock to interest rates across all maturities for positions outside of its trading book. Where current interest rates are lower than 2% the analysis has calculated the sensitivity to rates that are negative. Whilst such conditions are extremely rare they are not unknown and this interpretation is in line with regulatory guidance.
Table 5.2: Sensitivity of the Banking Book to interest rate changes


Change in Economic Value of Equity

£m

As at 31.12.08
Currency
+ 200 basis points
- 200 basis points
GBP
 (1,373)
 1,509 
USD
 (324)
 269 
Euro
 (323)
 380 
Rand
 (136)
 143 
Other
 (92)
 24 
Total Economic Value of Equity (EVE)
 (2,248)
 2,325 
Percentage of EVE to Tier 1 and Tier 2 Capital
-3.77%
3.90%


A basis point is 1/100 of 1%.
Economic Value of Equity (EVE) quantifies the change in value of the balance sheet for a 200bp interest rate shock. Balance sheet growth will necessarily increase the level of EVE. Comparison of this metric to Barclays total Tier 1 and Tier 2 capital provides a number that is independent of the size of the balance sheet and therefore better represents the potential impact on shareholder value.
 
 
6.
    Securitisations
Barclays arranges securitisations in two prin
cipal capacities, according to the definitions set out in FSA regulations: as originator where it has directly, or through related entities, been involved in the original agreement which created the exposures securitised or if it purchases third party exposures and securitises them, and as sponsor for its asset backed commercial paper (ABCP) 
conduit programmes. Within the securitisation market it is possible that asset backed notes created by a previous securitisation are subsequently re-securitised. Barclays activity in these structures is separately analysed below.


The securitisations disclosed below are those position whose capital requirement has been calculated by reference to securitisation framework under FSA regulations. The amounts reported are typically higher than those shown in the Annual Report as disclosure guidance requires all underlying exposures to be shown where a securitisation position has been created during the year regardless of any accounting de-recognition treatment. De-recognition in subsequent years is only permitted if the entire exposure has been moved to another party.

Table 6.0: Outstanding amount of exposures securitised



Outstanding Amount of Exposures Securitised 
 
Traditional Transactions 

Synthetic Transactions 
Exposure Type 
Originator
Sponsor

Originator
Sponsor
As at 31.12.08 
£m
£m

£m
£m
Residential Mortgages
 24,885 
 - 

 - 
 - 
Commercial Mortgages
 15,410 
 - 

 812 
 - 
Credit Card Receivables
 8,330 
 - 

 - 
 - 
Leasing
 213 
 - 

 - 
 - 
Loans to Corporates or SMEs
 7,693 
 512 

 26,279 
 - 
Consumer Loans
 - 
 14,240 

 - 
 - 
Trade Receivables
 - 
 - 

 - 
 - 
Re-securitisation
 2,057 
 - 

 1,500 
 - 
Other Assets
-
 - 

 - 
 - 
Total
 58,588 
 14,752 

 28,591 
 - 




Table 6.1: Analysis of impaired, past due and losses recognised on exposures securitised


Outstanding Amount of Exposures Securitised 
 
Impaired 

Past Due 

  Recognised Losses 
Exposure Type 
Originator
Sponsor
Originator
Sponsor
Originator
Sponsor
As at 31.12.08 
 
£m
£m
£m
£m
£m
£m
Residential Mortgages
 9 
 - 
 5,515 
 - 
 549 
 - 
Commercial Mortgages
 - 
 - 
 0 
 - 
 - 
 - 
Credit Card Receivables
 277 
 - 
 124 
 - 
 - 
 - 
Leasing
 3 
 - 
 2 
 - 
 - 
 - 
Loans to Corporates or SMEs
 34 
 - 
 129 
 - 
 8 
 - 
Consumer Loans
 - 
 - 
 - 
 638 
 - 
 - 
Trade Receivables
 - 
 - 
 - 
 - 
 - 
 - 
Securitisations/ Re-securitisations
 406 
 - 
 105 
 - 
 303 
 - 
Other Assets
 - 
 - 
 - 
 - 
 - 
 - 
Total
 729 
 - 
 5,875 
 638 
 860 
 - 





 
 
Table 6.2: Aggregate Amount of Securitised Positions Retained or Purchased


Aggregate Amount of Securitised Positions Retained or Purchased 
Exposure Type 
Retained
Purchased 
Total
As at 31.12.08 
 
£m
£m
£m
Residential Mortgages
 1,489 
 38,041 
 39,530 
Commercial Mortgages
 99 
 535 
 634 
Credit Card Receivables
 13 
 147 
 160 
Leasing
 3 
 16 
 19 
Loans to Corporates or SMEs
 18,024 
 640 
 18,664 
Consumer Loans
 13,512 
 617 
 14,129 
Trade Receivables
 - 
 - 
 - 
Securitisations/ Re-securitisations
 2,706 
 1,289 
 3,995 
Other Assets
 3 
 1,680 
 1,683 
Total
 35,849 
 42,965 
 78,814 




Table 6.3: Analysis of securitised positions retained or purchased by risk weight


Aggregate Amount of Securitised Positions Retained or Purchased 
 
 
 Risk Weight Band
Retained
Purchased
Guidance for Risk Weight Bands 
 
As at 31.12.08 
£m
£m
IRB S&P Equiv Rating
STD S&P Equiv Rating
≤ 10%

 31,857 

 32,721

 
AAA to A+ (Senior Positions Only)

N/A

> 10% ≤ 20%
 2,602 
 6,272 
A to A- (Senior Positions Only) / AAA to A+ (Base Case)

N/A
> 20% ≤ 50%
 63 
 920 
A to A- (Base Case)

AAA to AA-
> 50% ≤ 100%
 19 
 832 
BBB+ to BBB (Base Case)
A+ to A-
>100% ≤ 650%
 990 
 961 
BBB- (Base Case) to BB (Base Case)
BBB+ to BB-
> 650% ≤ 1250%
 14 
 97 
BB- (Base Case)

N/A
> 1250% / Deducted
 304 
 1,162 
B+ & Below (Base Case)
B+ & Below
Total
 35,849 
 42,965 
 
 




The amounts disclosed in Table 6.2 and 6.3 above are the IFRS values net of any mark to market adjustments.
The following table shows the aggregate amount of securitised revolving exposures.
Table 6.4: Aggregate amount of securitised revolving exposures


Outstanding Amount of Securitised Revolving Exposures
 Underlying Asset Type

Originator's Amount

Investor's Interest
As at 31.12.08 
 

£m

£m
Retail 

 7,031 

 1,299 
Non-retail 

 - 

 - 
Total

 7,031 

 1,299 



 
 
Table 6.5: Analysis of securitisation activity in 2008


Securitisation Activity in 2008 (exposures securitised) 
 
Traditional 

Synthetic 
Exposure Type 
Originator
Sponsor
Recognised Gain / Loss on Traditional Securitisation

Originator
Sponsor
As at 31.12.08 
 
£m
£m
£m

£m
£m
Residential Mortgages
 647 
 - 
 - 

 - 
 - 
Commercial Mortgages
 - 
 - 
 - 

 - 
 - 
Credit Card Receivables
 - 
 - 
 - 

 - 
 - 
Leasing
 - 
 - 
 - 

 - 
 - 
Loans to Corporates or SMEs
 1,575 
 - 
 4 

 17,559 
 - 
Consumer Loans
 - 
 1,761 
 - 

 - 
 - 
Trade Receivables
 - 
 - 
 - 

 - 
 - 
Securitisations/ Re-securitisations
 - 
 - 
 - 

 1,500 
 - 
Other Assets
 - 
 - 
 - 

 - 
 - 
Total
 2,222 
 1,761 
 4 

 19,059 
 - 


 
 
7. 
    Credit Internal Ratings Based Approach
Advanced IRB Wholesale Obligor Grade Disclosures
Barclays has regulatory approval to use its internal credit models in the calculation of the majority of its credit risk and counterparty credit risk (OTC derivatives, repurchase, and reverse repurchase and stock borrow loan transactions) exposures.  
Calculation of internal ratings
To calculate probability of default (PD), Barclays assesses the credit quality of borrowers and other counterparties and assigns them an internal risk rating. Multiple rating methodologies may be used to inform the rating decision on individual large credits, such as internal and external models, rating agency ratings, and for wholesale assets market information such as credit spreads. For smaller credits, a single source may suffice such as the result from an internal rating model. For retail clients PD models use application and behavioural scorecards which are derived from historically observed performance of new clients. 
They are built utilising customer demographic and financial information, supplemented by credit bureau information where available. Through statistical techniques the relationship between these candidate variables and the default marker is quantified to produce output scores reflecting a PD.

Barclays internal credit grading differentiates credit risk into 21 grades as well as a category of "in default".  

Table 7.0: Internal Default Grade Probabilities

DG/TTC
Default Probability
Financial statements 
Band
>=Min
Mid
<Max
description
1
0.00%
0.010%
0.02%
Strong
2
0.02%
0.025%
0.03%

3
0.03%
0.040%
0.05%

4
0.05%
0.075%
0.10%

5
0.10%
0.125%
0.15%

6
0.15%
0.175%
0.20%

7
0.20%
0.225%
0.25%

8
0.25%
0.275%
0.30%

9
0.30%
0.350%
0.40%

10
0.40%
0.450%
0.50%

11
0.50%
0.550%
0.60%

12
0.60%
0.900%
1.20%
Satisfactory
13
1.20%
1.375%
1.55%

14
1.55%
1.850%
2.15%

15
2.15%
2.600%
3.05%

16
3.05%
3.750%
4.45%

17
4.45%
5.400%
6.35%

18
6.35%
7.500%
8.65%

19
8.65%
10.000%
11.35%

20
11.35%
15.000%
18.65%
Weak/ Substandard
21
18.65%
30.000
%
100.00%





The following table shows the relationship between the financial statements description and external ratings on listed or unlisted debt securities.

Table 7.1 External ratings and financial statements description

External Ratings
Financial Statements Description
AAA, AA+, AA, AA-, A+, A, A-, BBB+, BBB, BBB-
Strong
BB+, BB, BB-, B+, B
Satisfactory
B-, CCC+, CCC and lower
Weak / Substandard




Exposure at default (EAD) represents the expected level of usage of the credit facility when default occurs. At default the customer may not have drawn the loan fully or may already have repaid some of the principal, so that exposure is typically less than the approved loan limit. When the Group evaluates loans, it takes exposure at default into consideration, using its extensive historical experience. It recognises that customers may make heavier than average usage of their facilities as they approach default. The lower bound of EAD is the actual outstanding balance at calculation of EAD. For derivative instruments, exposure in the event of default is the estimated cost of replacing contracts with a positive value should counterparties fail to perform their obligations. When a customer defaults, some part of the amount outstanding on their loans is usually recovered. The part that is not recovered, the actual loss, together with the economic costs associated with the recovery process comprise the loss given default (LGD) figure, which is expressed as a percentage of EAD. Using historical information, the Group estimates how much is likely to be lost, on average, for various types of loans in the event of default. The level of LGD depends principally on: the type of collateral; the seniority or subordination of the exposure; the industry in which the customer operates (if a business); the length of time taken for the recovery process and the timing of all associated cash flows; and the jurisdiction applicable and work-out expenses. The outcome is also dependent on economic conditions that may determine, for example, the prices that can be realised for assets, whether a business can readily be refinanced or the availability of a repayment source for personal customers.

Expected loss amount is the product of PD, exposure value and LGD. For defaulted assets where the PD is 1.0 the expected loss is Barclays best estimate of the expected loss for the defaulted exposure.


The following table shows the Group's exposure for Advanced IRB approach and Foundation IRB approach portfolios in its wholesale business in both the Trading and Banking books;
Table 7.2: Advanced IRB Wholesale Obligor Grade Disclosures


Central Governments & Central Banks

Advanced IRB

Foundation IRB
 
Obligor Grade
 EAD Post CRM 
Exposure Weighted Average LGD 
Exposure-weighted Average Risk Weight 
 Undrawn Commitments  
Average Exposure Value  

 EAD Post CRM 
Exposure-weighted Average Risk Weight 
 As at 31.12.08
 £m 
%
%
 £m 
 £m 

 £m 
%
Default Grade 1-3
 80,831 
9.96
0.75
 1,484 
 34,418 

 - 
0.00
Default Grade 4-5
 2,653 
8.88
5.45
 263 
 2,405 

 - 
0.00
Default Grade 6-8
 10 
26.13
34.20
 - 
 33 

 - 
0.00
Default Grade 9-11
 56 
58.60
119.21
 - 
 76 

 - 
0.00
Default Grade 12-14
 90 
42.30
124.92
 - 
 97 

 - 
0.00
Default Grade 15-19
 13 
74.39
279.34
 - 
 4 

 3 
145.12
Default Grade 20-21
 - 
0.00
0.00
 - 
 - 

 - 
0.00
In default
 - 
0.00
0.00
 - 
 - 

 - 
0.00
Total
83,653
10.01
1.16
 1,747 
 37,033 

 3 
145.1



Institutions

Advanced IRB

Foundation IRB
Obligor Grade
EAD Post CRM
Exposure Weighted Average LGD
Exposure-weighted Average Risk Weight
Undrawn Commitments 
Average Exposure Value

EAD Post CRM
Exposure-weighted Average Risk Weight
As at 31.12.08
£m
%
%
£m
£m

£m
%
Default Grade 1-3
 120,065 
40.98
13.17
 8,693 
 94,935 

 533 
15.35
Default Grade 4-5
 13,595 
43.67
29.33
 1,295 
 12,651 

 184 
30.05
Default Grade 6-8
 3,701 
43.26
39.99
 481 
 5,612 

 216 
12.24
Default Grade 9-11
 6,449 
57.74
72.54
 98 
 7,929 

 1 
77.01
Default Grade 12-14
 1,803 
40.74
83.31
 139 
 2,548 

 18 
104.70
Default Grade 15-19
 2,255 
22.67
87.71
 121 
 1,625 

 1 
154.22
Default Grade 20-21
 1,009 
26.53
152.39
 29 
 522 

 - 
0.00
In default
 1,570 
50.79
0.01
 - 
 385 

 3 
0.00
Total
 150,447 
41.73
20.59
 10,856 
 126,207 

 956 
19.32



 
 


Corporates

Advanced IRB

Foundation IRB
Obligor Grade
EAD Post CRM
Exposure Weighted Average LGD
Exposure-weighted Average Risk Weight
Undrawn Commitments 
Average Exposure Value

EAD Post CRM
Exposure-weighted Average Risk Weight
As at 31.12.08
£m
%
%
£m
£m

£m
%
Default Grade 1-3
 52,558 
35.84
13.60
 24,341 
 30,964 

 1,048 
15.90
Default Grade 4-5
 46,007 
32.33
21.38
 24,830 
 40,335 

 2,478 
28.33
Default Grade 6-8
 23,564 
39.66
42.46
 10,766 
 27,151 

 1,444 
46.04
Default Grade 9-11
 17,274 
40.01
57.66
 6,985 
 20,775 

 1,665 
61.86
Default Grade 12-14
 24,545 
42.20
90.71
 8,472 
 24,153 

 4,056 
95.56
Default Grade 15-19
 16,048 
41.24
131.69
 4,135 
 16,561 

 1,482 
126.54
Default Grade 20-21
 3,322 
43.35
206.36
 669 
 2,519 

 62 
196.33
In default
 1,832 
35.70
46.96
 161 
 1,142 

 223 
0.00
Total
 185,150 
37.29
47.56
 80,359 
 163,600 

 12,458 
67.72






Total Advanced IRB Central Governments & Central Banks, Institutions and Corporates

Advanced IRB

Foundation IRB
Obligor Grade
EAD Post CRM
Exposure Weighted Average LGD
Exposure-weighted Average Risk Weight
Undrawn Commitments 
Average Exposure Value

EAD Post CRM
Exposure-weighted Average Risk Weight
As at 31.12.08
£m
%
%
£m
£m

£m
%
Default Grade 1-3
 253,454 
29.93
10.35
 34,518 
 160,317 

 1,581 
15.40
Default Grade 4-5
 62,255 
33.81
22.44
 26,388 
 55,391 

 2,662 
27.49
Default Grade 6-8
 27,275 
40.14
42.12
 11,247 
 32,796 

 1,660 
40.21
Default Grade 9-11
 23,779 
44.86
61.84
 7,083 
 28,780 

 1,666 
65.87
Default Grade 12-14
 26,438 
42.10
90.32
 8,611 
 26,798 

 4,074 
96.46
Default Grade 15-19
 18,316 
38.98
126.38
 4,256 
 18,190 

 1,486 
129.02
Default Grade 20-21
 4,331 
39.43
193.78
 698 
 3,041 

 62 
162.63
In default
 3,402 
42.66
25.33
 161 
 1,527 

 226 
0.00
Total
 419,250 
33.44
28.62
 92,962 
 326,840 

 13,417 
64.75



 
 
Advanced IRB Retail Expected Loss Grade Disclosures
The following table shows the Group's retail exposures under the Advanced IRB approach by Expected Loss (EL) Grade for exposures secured by real estate collateral;
Table 7.3 Analysis of exposures secured on real estate collateral by expected loss grade


EAD Post CRM
EL Grade
 Retail exposures secured on real estate collateral 
As at 31.12.08
 £m 
EL Grade => 0 - < 0.15%
 84,070 
EL Grade => 0.15 - < 0.3%
 10,356 
EL Grade => 0.3 - < 0.8%
 6,867 
EL Grade => 0.8 - < 2.15%
 2,596 
EL Grade => 2.15 - < 4.45%
 1,103 
EL Grade => 4.45 - < 8.65% 
 477 
EL Grade => 8.65 - < 18.65%
 1,391 
EL Grade => 18.65 - < 100%
 94 
Total
106,954



The impact of real estate security on the expected loss is significant. These assets have much lower LGDs as are shown in our credit model performance disclosure in Table 7.7. Accordingly Barclays has expanded the EL grade disclosure for secured exposures to show more detail at the lower EL grades.
The following table shows the Group EAD for unsecured exposures.
Table 7.4 Analysis of unsecured exposures by expected loss grade


EAD Post CRM
EL Grade
 Retail SME 
 Qualifying revolving retail 
 Other retail 
 Total Unsecured Retail 
As at 31.12.08
 £m 
 £m 
 £m 
 £m 
EL Grade => 0 - < 0.8%
 8,032 
 16,698 
 5,405 
30,135
EL Grade => 0.8 - < 2.15%
 2,248 
 3,987 
 3,896 
10,131
EL Grade => 2.15 - < 3.05%
 711 
 1,002 
 1,098 
2,811
EL Grade => 3.05 - < 4.45%
 564 
 1,015 
 818 
2,397
EL Grade => 4.45 - < 6.35%
 569 
 673 
 469 
1711
EL Grade => 6.35 - < 8.65%
 394 
 940 
 337 
1671
EL Grade => 8.65 - < 18.65%
 487 
 806 
 584 
1877
EL Grade => 18.65 - < 100%
 606 
 1,168 
 1,384 
3,158
Total
13,611
26,289
13,991
53,891



Impairment and Actual Value Charges
The following table shows the impairment and actual value adjustments taken by the Group in the portfolios to which the IRB approaches apply. The figures include actual value adjustments taken on portfolios within the trading book and banking book where the Advanced IRB approach is used to determine the counterparty credit exposure. These charges are included within the net trading income and net investment income within Barclays Annual Report. This is one reason why the figures below are different from the Impairment roll-forward analysis in Table 4.18. Additionally, the figures below are only for portfolios which use the IRB approaches; in contrast the analysis in Table 4.18 shows impairment and actual value charges for both IRB and Standardised approach portfolios.
Whilst the figures below are higher than charges experienced in recent years Barclays believes they are consistent with past experience of impairment during more challenging economic conditions. Rates of default have risen but at this time the loss given default levels have remained stable.
Table 7.5: Impairment and actual value charges


 Actual Value Adjustments and Individual Impairment Charges 

Year ended
 
31.12.08
IRB Exposure Class
 £m 
Central governments or central banks 
 - 
Institutions
 925 
Corporates  
1,063
Retail

- Retail SME
 78 
- Retail exposures secured by real estate collateral 
 126 
- Qualifying revolving retail 
 23 
- Other retail
 86 
Equity
 - 
Securitisation positions
-
Non-credit obligation assets
 - 
Total
2,301



 
 
Loss Analysis - Regulatory Expected Loss versus Actual Losses


The following table shows Barclays Regulatory Expected Loss measure compared to an actual loss measure in 2008 for those portfolios where credit risk is calculated using the Internal Ratings Based approach.

The excess of cumulative Actual Loss to 31 December 2008 over the Regulatory Expected Loss calculated at the start of 2008 is consistent with the credit market deterioration experienced in 2008.

Regulatory Expected Loss
Regulatory Expected Loss is a Basel 2 measure based upon Pillar 1 metrics which is an input to the Capital Adequacy process. Regulatory Expected Loss can be taken as a view of underlying credit quality and expectation of average future loss as derived from our IRB models, and is not a prediction of future impairment. 

For non-defaulted assets, Regulatory Expected Loss is calculated using probability of default
1
 and downturn loss given default estimates. For the calculation of Regulatory Expected Loss for defaulted assets, the probability of default is 100% and loss given default is based upon an estimate of likely recovery levels for each asset.

Actual Loss
Cumulative Actual Loss is made up of two parts: the existing impairment stock at 31 December 2007 plus the net impairment charge recorded through the income statement in 2008. 

Cumulative Actual Loss includes a degree of impairment allowance on assets not identified as being in default at the balance sheet date and can also include charges against assets that were originated during the year and which were therefore outside of the scope of the Regulatory Expected Loss calculated at the beginning of the year. Actual Loss does not include the effects on impairment stock of amounts written off in the year.

Table 7.6 Analysis of expected loss versus actual losses


Cumulative Total 

Expected Loss
 to 31.12.08
Cumulative Total

Actual Loss

 to 31.12.08
 
IRB Exposure Class 
£m
£m
Central governments or central banks 
 2 
 2 
Institutions
 168 
 987 
Corporates  
 881 
 1,609 
Retail


- SME
 399 
 346 
- Secured by real estate collateral 
 304 
 298 
- Qualifying revolving retail  
 1,117 
 1,503 
- Other retail
 1,033 
 1,351 
Equity 
 4 
 - 
Securitisation positions
 - 
-
Non-credit obligation assets
N/A
 - 
Total IRB
 3,908 
 6,096 




1 
Probability of default estimates can be calculated on a through-the-cycle (TTC) basis, reflecting the predicted default frequency in an average 12 month period across the credit cycle, or on a point-in-time (PIT) basis, reflecting the predicted default frequency in the next 12 months
 
 
C redit Model Performance - Estimated versus Actual 
The following table shows the forecast and actual probability of default, loss given default and exposure at default ratio for the assets under the IRB approach. In each case the forecasts are based on Barclays operational model calibrations at the start of the period. This may differ from the models' applications in regulatory capital calculations where the probability of default is generally estimated on a "through the cycle" basis and the loss given default on a downturn basis. Additionally regulatory capital calculations set minimum values for certain parameters which are typically more conservative than Barclays modelled and observed values. In particular retail loans secured by real estate collateral have a regulatory minimum LGD of 10%.
Table 7.7: Analysis of expected credit model performance versus actual results

IRB Exposure Class
PD

of Total Portfolio

LGD

of Defaulted Assets
1

Exposure at Default

of Defaulted Assets
1
2008 
Estimated
Actual


Estimate
Actual


Estimate to

 Actual Ratio
2
Wholesale 
%
%


%
%



Central Governments or central banks
0.28%
0.00%


20.31%
0.00%


N/A
Institutions
0.22%
0.31%


40.96%
49.30%


1.08
Corporates
0.95%
0.73%


33.57%
22.77%


1.02










Retail









SME
3.79%
3.76%


54.73%
44.27%


0.98
  Secured by real estate collateral 

  UK
3
0.32%
0.39%


6.00%
5.10%


1.04
  Secured by real estate collateral  

  South Africa
3
5.03%
4.04%


7.70%
5.50%


0.87
Qualifying revolving retail
2.33%
2.30%


87.26%
87.40%


1.04
Other retail
6.20%
5.51%


70.93%
75.13%


1.01



The PDs above are based on the total portfolio of Advanced and Foundation assets managed by the Group. Individual portfolio PDs within an exposure class have been weighted in proportion to the expected monetary loss of the portfolio to arrive at the class PD. The LGD percentages and EAD ratios are based on analysis of defaulted assets only, under the Advanced approach (the Foundation approach does not estimate these figures but uses parameters stipulated by FSA regulations).  

1
    Where default rates are typically low Barclays carries out multi-year analysis to improve the sample data and as such the estimates and outcomes above do not represent the results for a single year. The LGD results for different portfolios have been weighted in proportion to the expected EAD of the defaulted assets. Where individual portfolio EAD results are based on multi-year analysis they have been annualised for consolidation by dividing them by the period of years the sample portfolio covers. Barclays does not use PD, EAD, LGD and expected loss models to calculate the credit risk of its equity, securitisation, non-credit obligation asset portfolios. Accordingly there is no model analysis to disclose for these exposure classes.

2
    FSA regulations require the disclosure of appropriate components of the credit models' expected loss such as PD, LGD and Conversion Factor. The Conversion factor is the models' estimation of the utilisation of undrawn commitments at the time of default. Barclays believes that it is more useful and appropriate to disclose the ratio of the pre default estimated EAD to the actual EAD of defaulted assets at the time of default. Where the estimate exceeds the actual exposure the ratio is greater than 1.

3
    Barclays has shown the model performance information for UK and South African retail exposures secured on real estate collateral separately because the total portfolio does not give homogeneous results.  



 
 
8
    Credit Risk Mitigation
Collateral and Guarantees
The following table shows the Group's exposure for assets in standardised approach portfolios after eligible collateral and guarantees.

Table 8.0: Collateral and Guarantees for Standardised Approach

Standardised Approach Credit Risk Exposure Class
Total Exposure after netting and volatility adjustments covered by Eligible Financial Collateral


As at 31.12.08
£m


Central governments or central banks
 - 


Regional government or local authorities
 - 


Administrative bodies and non-commercial undertakings
 - 


Institutions 
 9 


Corporates  
 1,445 


Retail 
 207 


Secured on real estate property
 333 


Past due items
 - 


Private equity positions
 - 


Short term claims on institutions and corporates 
 381 


Collective investment undertakings
 207 


Other items
 359 


Total
 2,941 






Barclays has no credit exposure in its Standardised approach portfolios which has been reduced through the application of other (non-financial) collateral or by guarantees or credit derivatives. 
 
 
T he following table shows the Group's exposure for assets in its advanced and foundation portfolios covered by collateral, guarantees and credit derivatives.

Table 8.1: Collateral and guarantees for Advanced and Foundation IRB approach


Advanced IRB

Foundation IRB
 
IRB Exposure Class
 
Total Exposure - after netting covered by Guarantees and Credit Derivatives

Total Exposure - after netting and volatility adjustments covered by Eligible Financial Collateral
Total Exposure - after netting and volatility adjustments covered by Other Eligible Collateral
Total Exposure - after netting covered by Guarantees and Credit Derivatives
 
As at 31.12.08
£m

£m
£m
£m
Central governments or central banks 
 - 

 - 
 - 
 - 
Institutions
 - 

 2,278 
 - 
 - 
Corporates
 - 

 99 
 - 
 - 
Retail
 - 

N/A
N/A
N/A
Equity





- Exchange traded exposures
 - 

N/A
N/A
N/A
- Private equity exposures
 - 

N/A
N/A
N/A
- Private equity exposures
 - 

N/A
N/A
N/A
Securitisation positions
 - 

 - 
 - 
 - 
Non-credit obligation assets
N/A

N/A
N/A
N/A
Total
 - 

 2,377 
 - 
 - 




The above table includes collateral applied against exposures and does not include collateral which has been applied against loss given default or risk weights. Collateral balances within the Annual Report generally refer to securities financing transactions which are not part of the credit exposures above.
 
 
Forward-looking statements
This document contains certain forward-looking statements within the meaning of Section 21E of the US Securities Exchange Act of 1934, as amended, and Section 27A of the US Securities Act of 1933, as amended, with respect to certain of the Group's plans and its current goals and expectations relating to its future financial condition and performance. Barclays cautions readers that no forward-looking statement is a guarantee of future performance and that actual results could differ materially from those contained in the forward-looking statements. These forward-looking statements can be identified by the fact that they do not relate only to historical or current facts. Forward-looking statements sometimes use words such as "may", "will", "seek", "continue", "aim", "anticipate", "target", "expect", "estimate", "intend", "plan", "goal", "believe" or other words of similar meaning. Examples of forward-looking statements include, among others, statements regarding the Group's future financial position, income growth, assets, impairment charges, business strategy, capital ratios, leverage, payment of dividends, projected levels of growth in the banking and financial markets, projected costs, estimates of capital expenditures, and plans and objectives for future operations and other statements that are not historical fact. By their nature, forward-looking statements involve risk and uncertainty because they relate to future events and circumstances, including, but not limited to, UK domestic and global economic and business conditions, the effects of continued volatility in credit markets, market related risks such as changes in interest rates and exchange rates, effects of changes in valuation of credit market exposures, changes in valuation of issued notes, the policies and actions of governmental and regulatory authorities, changes in legislation, the further development of standards and interpretations under International Financial Reporting Standards (IFRS) applicable to past, current and future periods, evolving practices with regard to the interpretation and application of standards under IFRS, progress in the integration of the Lehman Brothers North American businesses into the Group's business and the quantification of the benefits resulting from such acquisition, the outcome of pending and future litigation, the success of future acquisitions and other strategic transactions and the impact of competition - a number of which factors are beyond the Group's control. As a result, the Group's actual future results may differ materially from the plans, goals, and expectations set forth in the Group's forward-looking statements. Any forward-looking statements made herein speak only as of the date they are made. Except as required by the UK Financial Services Authority FSA, the London Stock Exchange or applicable law, Barclays expressly disclaims any obligation or undertaking to release publicly any updates or revisions to any forward-looking statements contained in this announcement to reflect any change in Barclays expectations with regard thereto or any change in events, conditions or circumstances on which any such statement is based. The reader should, however, consult any additional disclosures that Barclays has made or may make in documents it has filed or may file with the SEC.