Barclays 2011 Annual Report Download - page 112

Risk management
Credit risk continued
Barclays Capital credit market exposures (audited)
Barclays Capital credit market exposuresa2011
As at 31 December 2011
$m
2010
$m
2011
£m
2010
£m
Fair value
(losses)/
gains and
net funding
Impairment
release/
(charge)
Total
(losses)/
gains
Protium assetsb3,508 10,884 2,272 7,028 (555) 223 (332)
US Residential Mortgages
ABS CDO Super Senior 2,844 3,085 1,842 1,992 (29) (6) (35)
US sub-prime and Alt-A 644 1,025 416 662 (4) 35 31
Commercial Mortgages
Commercial real estate loans and properties 8,228 11,006 5,329 7,106 486 – 486
Commercial Mortgaged-Backed Securities 156 184 101 119 – – –
Monoline protection on CMBS 14 18 9 12 32 – 32
Other Credit Market
Leveraged Financec6,278 7,636 4,066 4,930 43 (203) (160)
SIVs, SIV-Lites and CDPCs 9 618 6 399 (32) – (32)
Monoline protection on CLO and other 1,729 2,541 1,120 1,641 (13) – (13)
Total 23,410 36,997 15,161 23,889 (72) 49 (23)
Barclays Capital’s credit market exposures primarily relate to commercial real estate, leveraged finance, and collateral previously securing the loan to
Protium. These exposures arose before the market dislocation in mid-2007.
During 2011, credit market exposures decreased by £8,728m to £15,161m, reflecting net sales and paydowns and other movements of £8,442m,
foreign exchange rate movements of £263m and fair value losses and impairment of £23m. The net sales, paydowns and other movements of
£8,442m included:
– £4,218m relating to assets formerly held as collateral for the loan to Protium Finance LP, comprising £2,697m net sales, £959m loan and interest
repayments and £562m paydowns and other movements;
– £2,141m of commercial real estate loans and properties sales and paydowns; and
– £820m reduction in leveraged loans primarily relating to five counterparties.
In January 2012, Barclays completed the sale of £405m ($628m) of a commercial real estate equity security at fair value representing 50% of its
stake in Archstone.
Notes
a As the majority of exposure is held in US Dollars, the exposures above are shown in both US Dollars and Sterling.
b Prior to 27 April 2011 when Protium was acquired by the Group the exposure was a loan. This was carried at the amount equivalent to the fair value of the underlying collateral from
31 December 2010.
c Includes undrawn commitments of £180m (31 December 2010: £264m).
110 Barclays PLC Annual Report 2011 www.barclays.com/annualreport