Barclays 2009 Annual Report Download - page 117

www.barclays.com/annualreport09 Barclays PLC Annual Report 2009 115
B2. CMBS Wrapped by Monoline Insurers
The table below shows commercial mortgage backed security assets where Barclays Capital held protection from monoline insurers at 31st December 2009.
These are measured at fair value through profit and 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
AAA/AA 54 21 33 (3) 30
Non-investment grade 383 160 223 (223) –
Total 437 181 256 (226) 30
As at 31.12.08
AAA/AA 69 27 42 (4) 38
A/BBB 3,258 1,301 1,957 (320) 1,637
Non-investment grade 425 181 244 (65) 179
Total 3,752 1,509 2,243 (389) 1,854
The balance reduced by £1,824m to £30m (31st December 2008: £1,854m), reflecting the Protium sale of £1,208m, a credit valuation adjustment of
£497m, and currency and other movements of £119m.
Claims would become due 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 current rating of the underlying asset is shown below.
By rating of the underlying asset As at 31.12.09 As at 31.12.08
AAA/AA A/BBB Total AAA/AA Total
£m £m £m £m £m
2005 and earlier –––437 437
2006 54 – 54 613 613
2007 and 2008 – 383 383 2,702 2,702
CMBS 54 383 437 3,752 3,752