Barclays 2009 Annual Report Download - page 119

www.barclays.com/annualreport09 Barclays PLC Annual Report 2009 117
The notional value of the assets split by the current rating of the underlying asset is shown below.
By rating of underlying asset As at 31.12.09 As at 31.12.08
Non-
investment
AAA/AA A/BBB grade AAA/AA A/BBB
Fair Loans and Fair Loans and fair Fair Fair
value receivables value receivables value Total value value Total
£m £m £m £m £m £m £m £m £m
2005 and earlier 1,518 2,209 294 815 – 4,836 6,037 – 6,037
2006 1,972 2,952 – 458 – 5,382 5,894 – 5,894
2007 and 2008 2,452 2,199 548 483 – 5,682 6,295 – 6,295
CLOs 5,942 7,360 842 1,756 – 15,900 18,226 – 18,226
2005 and earlier – – 55 – 55 110 862 – 862
2006 118 – 90 – 125 333 535 – 535
2007 and 2008 441 – – – 720 1,161 785 467 1,252
Other 559 – 145 – 900 1,604 2,182 467 2,649
Total 6,501 7,360 987 1,756 900 17,504 20,408 467 20,875
D. Protium
On 16th September 2009, Barclays Capital sold assets of £7,454m, including £5,087m in credit market assets, to Protium Finance LP (Protium), a newly
established fund. The impact of the sale on each class of credit market asset is detailed in each relevant category in sections A to C.
As part of the transaction, Barclays extended a £7,669m 10-year loan to Protium, which will be repaid during the term from cash generated by the fund.
The principal terms of the loan are as follows:
– The loan has a final maturity of ten years, with a rate of return fixed at USD LIBOR plus 2.75%.
– Protium is obliged to pay principal and interest equal to the amount of available cash generated by the fund after payment of fund expenses and certain
payments to the fund’s partners.
– The loan is secured by a charge over the assets of Protium.
The loan is classified as loans and receivables. The difference between the size of the loan and assets sold relates to cash and US Treasuries held by Protium.
The increase in the loan balance between 16th September 2009 and 31st December 2009 reflects accrued interest which was received from Protium in
January 2010.
The fair value of assets sold to Protium is set out below. The balances at 31st December 2009 include cash realised from subsequent sales and paydowns.
Protium assets As at As at As at As at As at As at
31.12.09 16.09.09 30.06.09 31.12.09 16.09.09 30.06.09
$m $m $m £m £m £m
US Residential Mortgages
Other US sub-prime whole loans and real estate 1,038 1,124 1,256 641 682 764
Other US sub-prime securities 578 513 508 357 311 309
Total other US sub-prime 1,616 1,637 1,764 998 993 1,073
Alt-A 2,112 2,185 2,342 1,304 1,326 1,424
Monoline wrapped US RMBS 1,447 1,919 2,081 893 1,164 1,266
Commercial Mortgages
Monoline wrapped CMBS 1,378 1,991 2,450 851 1,208 1,490
Other Credit market
Monoline wrapped CLO and other 475 652 752 294 396 457
Credit market related exposure 7,028 8,384 9,389 4,340 5,087 5,710
Fair value of underlying assets wrapped by monoline insurers 4,095 3,592 2,728 2,529 2,179 1,659
Other assets 1,230 309 285 759 188 173
Total 12,353 12,285 12,402 7,628 7,454 7,542
Loan to Protium 12,727 12,641 – 7,859 7,669 –