Barclays 2012 Annual Report Download - page 144

Barclays Credit Market Exposures (audited)a
During 2012, credit market exposures decreased by £5,851m to £9,310m, reflecting net sales and paydowns and other movements of £5,436m,
foreign exchange movements of £459m, offset by net fair value gains and impairment charges of £44m.
Barclays credit market exposures
2012
As at 31 December 2012
$m
2011
$m
2012
£m
2011
£m
Fair value
(losses)/
gains and net
funding
£m
Impairment
(charge)/
release
£m
Total
(losses)/
gains
£m
US residential mortgages
ABS CDO Super Senior 2,243 2,844 1,387 1,842 (33) (232) (265)
US sub-prime and Alt-Ab1,129 2,134 698 1,381 83 (22) 61
Commercial mortgages
Commercial real estate loans and properties 4,411 8,228 2,727 5,329 115 – 115
Commercial mortgage backed securitiesb411 1,578 254 1,022 154 – 154
Monoline protection on CMBS –14 –9 – – –
Other credit market
Leveraged Financec5,732 6,278 3,544 4,066 (54) 11 (43)
SIVs, SIV-Lites and CDPCs –9 –6 (1) – (1)
Monoline protection on CLO and other 956 1,729 591 1,120 (29) – (29)
CLO and other assetsb176 596 109 386 52 – 52
Total 15,058 23,410 9,310 15,161 287 (243) 44
 Net sales, paydowns and other movements of £5,436m included:
− £2,497m of commercial real estate loans and properties including sale of BauBeCon for £898m (€1,131m) in August, 100% stake in Archstone
for £857m ($1,338m) and sale of Calwest for £341m ($550m) in September;
− £885m commercial mortgage backed securities;
− £693m US sub-prime and Alt-A;
− £470m leveraged finance primarily relating to three counterparties;
− £449m monoline protection on CLO and other; and
− £317m CLO and other assets.
 ABS CDO Super Senior and leveraged finance exposures are accounted for at amortised cost less impairment. The fair values of these exposures
as at 31 December 2012 were £922m and £3,059m respectively (31 December 2011: £917m and £3,350m). Materially, all other credit market
exposures are accounted for on a fair value basis.
Notes
a As the majority of exposure is held in US Dollars, the exposures above are shown in both US Dollars and Sterling.
b Collateral assets of £719m (31 December 2011: £2,272m) previously underlying the Protium loan are now included within the relevant asset classes as the assets are
now managed alongside similar credit market exposures. These assets comprised: US sub-prime and Alt-A £352m (31 December 2011: £965m), commercial
mortgage backed securities £258m (31 December 2011: £921m), CLO and other assets £109m (31 December 2011: £386m).
c Includes undrawn commitments of £202m (31 December 2011: £180m).
barclays.com/annualreport142 I Barclays PLC Annual Report 2012
Risk review
Credit risk continued