Barclays 2009 Annual Report Download - page 114

112 Barclays PLC Annual Report 2009 www.barclays.com/annualreport09
Risk management
Credit risk management
continued
A2. Other US Sub-Prime and Alt-A
Other US Sub-prime As at As at Marks at Marks at
31.12.09 31.12.08 31.12.09 31.12.08
£m £m % %
Whole loans –1,565 –72
Sub-prime securities (net of hedges) 212 929 38 25
Other positions with underlying sub-prime collateral:
– Derivatives 244 643 96 87
– Loans 76 195 22 70
– Real Estate –109 –46
Total Other US Sub-Prime 532 3,441
Alt-A
Whole Loans –776 –67
Alt-A Securities 649 3,112 40 16
Residuals –2–6
Derivative positions with underlying Alt-A collateral 211 398 99 100
Total 860 4,288
Total Other US Sub-Prime and Alt-A 1,392 7,729
The majority of Other US sub-prime and Alt-A positions are measured at fair value through profit and loss. The balance reduced by £6,337m to £1,392m
(31st December 2008: £7,729m), driven by the Protium sale of £2,319m, other net sales, paydowns and other movements of £2,398m and gross losses
of £1,086m. Depreciation of the US Dollar against Sterling resulted in a decline of £534m.
Counterparty derivative positions relating to vehicles which hold sub-prime collateral was £455m (31st December 2008: £1,041m). These positions
largely comprise the most senior obligation of the vehicles.
A3. US Residential Mortgage Backed Securities Wrapped by Monoline Insurers
The table below shows RMBS assets where Barclays Capital held protection from monoline insurers at 31st December 2009. These are measured at fair
value through profit or loss.
By rating of the monoline Fair Value Credit
of Underlying Fair Value Valuation Net
Notional Asset Exposure Adjustment Exposure
£m £m £m £m £m
As at 31.12.09
Non-investment grade 56 6 50 (44) 6
Total 56 6 50 (44) 6
As at 31.12.08
A/BBB 2,567 492 2,075 (473) 1,602
Non-investment grade 74 8 66 (29) 37
Total 2,641 500 2,141 (502) 1,639