Barclays 2009 Annual Report Download - page 118

116 Barclays PLC Annual Report 2009 www.barclays.com/annualreport09
Risk management
Credit risk management
continued
C. Other Credit Market
C1. Leveraged Finance
Leveraged Finance Loans by Region As at As at
31.12.09 31.12.08
£m £m
UK 4,530 4,519
Europe 1,051 1,291
Asia 165 140
US 35 3,213
Total lending and commitments 5,781 9,163
Impairment (274) (115)
Net lending and commitments at period enda5,507 9,048
Leveraged finance loans are classified within loans and advances and are stated at amortised cost less impairment. The table above includes certain loan
facilities originated prior to 1st July 2007, the start of the dislocation in the credit market b.
At 31st December 2009, net lending and commitments reduced £3,541m to £5,507m (31st December 2008: £9,048m), following a repayment of
£3,056m at par in January 2009, impairment of £396m, and other movements of £89m.
The overall credit performance of the assets remained satisfactory with the majority of the portfolio performing to plan or in line with original stress
tolerances. There were a small number of deteriorating positions on which higher impairment was charged.
C2. SIVs, SIV-Lites and CDPCs
SIV and SIV-lite positions comprise liquidity facilities and derivatives. At 31st December 2009 SIVs and SIV-Lites positions reduced by £433m to £530m
(31st December 2008: £963m) with a reduced number of counterparties. There were £72m of gross writedowns in the year.
Credit Derivative Product Companies (CDPCs) positions at 31st December 2009 reduced by £127m to £23m (31st December 2008: £150m).
C3. CLO and Other Assets Wrapped by Monoline Insurers
The table below shows Collateralised Loan Obligations (CLOs) and other assets where we held protection from monoline insurers at 31st December 2009.
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 7,336 5,731 1,605 (91) 1,514
A/BBB –––––
Non-investment grade:
– Fair value through profit and loss 1,052 824 228 (175) 53
– Loans and receivables 9,116 7,994 1,122 (563) 559
Total 17,504 14,549 2,955 (829) 2,126
As at 31.12.08
AAA/AA 8,281 5,854 2,427 (55) 2,372
A/BBB 6,446 4,808 1,638 (204) 1,434
Non-investment grade 6,148 4,441 1,707 (574) 1,133
Total 20,875 15,103 5,772 (833) 4,939
The balance reduced by £2,813m to £2,126m (31st December 2008: £4,939m), reflecting increases in the fair value of the underlying assets of £1,321m,
credit valuation adjustments of £528m, the Protium sale of £396m, and currency and other movements of £568m.
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.
On 25th November 2009, £8,027m of the CLO assets wrapped by non-investment grade rated monolines were reclassified to loans and receivables
(as discussed in Note 51). At 31st December 2009, the fair value of the transferred assets was £7,994m and the net exposure to monoline insurers was
£559m. The remaining non-investment grade exposure continues to be measured at fair value through profit and loss.
Notes
aIncludes undrawn commitments of £257m (2008: £531m).
bThis is a change of presentation from 31st December 2008, which reflected certain loan
facilities originated post 1st July 2007.