Barclays 2009 Annual Report Download - page 115

www.barclays.com/annualreport09 Barclays PLC Annual Report 2009 113
A3. US Residential Mortgage Backed Securities Wrapped by Monoline Insurers continued
The balance reduced by £1,633m to £6m (31st December 2008: £1,639m), reflecting the Protium sale of £1,164m, a credit valuation adjustment of
£282m, and currency and other movements of £187m.
Barclays would review claims in the event of default of the underlying assets. There have been no claims under the monoline insurance contracts as
none of the underlying assets defaulted in the year.
The notional value of the assets split by the rating of the underlying asset is shown below.
By rating of underlying asset As at 31.12.09 As at 31.12.08
Non- Non-
investment investment
A/BBB Grade Total AAA/AA A/BBB Grade Total
£m £m £m £m £m £m £m
2005 and earlier –––143 – – 143
2006 –––– – 1,240 1,240
2007 and 2008 –––– – 510 510
High Grade – – – 143 – 1,750 1,893
Mezzanine – 2005 and earlier –565631 330 338 699
CDO2– 2005 and earlier –––– – 49 49
US RMBS – 56 56 174 330 2,137 2,641
B. Commercial Mortgages
B1. Commercial Real Estate and Mortgage-Backed Securities
Commercial mortgages held at fair value include commercial real estate loans of £6,534m (31st December 2008: £11,578m), commercial real estate
properties of £1,200m (31st December 2008: £nil), and commercial mortgage-backed securities of £471m (31st December 2008: £735m).
Commercial Real Estate Loans and Properties
In the year ended 31st December 2009, the commercial real estate loans and properties balance reduced by £3,844m to £7,734m (31st December 2008:
£11,578m). There were gross losses of £2,466m, of which £1,541m related to the US, £843m to UK and Europe, and £82m to Asia. There were gross sales
and paydowns of £661m comprising £345m in the UK and Europe, £307m in the US, and £9m in Asia, and currency and other movements of £717m.
The commercial real estate loan balances comprised 51% UK and Europe, 44% US and 5% Asia.
One large transaction comprises 25% of the total US commercial real estate loan balance. The remaining 75% of the US balance comprises 64
transactions. The remaining weighted average number of years to initial maturity of the US portfolio is 1.2 years (31st December 2008: 1.4 years).
The UK and Europe portfolio is well diversified with 56 transactions at 31st December 2009. In Europe protection is provided by loan covenants
and periodic LTV retests, which cover 83% of the portfolio. 50% of the German balance relates to one transaction secured on residential assets.
Commercial Real Estate Loans by Region As at As at Marks at Marks at
31.12.09 31.12.08 31.12.09 31.12.08
£m £m %%
US 2,852 6,329 62 88
Germany 1,959 2,467 84 95
Sweden 201 265 81 96
France 189 270 70 94
Switzerland 141 176 85 97
Spain 72 106 56 92
Other Europe 370 677 57 90
UK 429 831 61 89
Asia 321 457 77 97
Total 6,534 11,578