Barclays 2010 Annual Report Download - page 114

Risk management
Credit risk management continued
Notes
a As the majority of exposure is held in US Dollars, the exposures above are shown
in both US Dollars and Sterling.
b 31st December 2009 comparatives have been adjusted to exclude actively traded
positions relating to other US sub-prime and Alt-A of £498m and commercial
mortgage-backed securities of £253m.
c Includes undrawn commitments of £264m (2009: £257m).
Risk Features in the Portfolio
Risk features in the portfolio are asset classes that are considered to be higher risk than the Group’s normal activities and are subject to a higher level
of scrutiny in our management of credit risk. The main exposures at 31st December 2010 to which significant management attention is given are:
– Barclays Capital credit market exposures; and
– Exposures to selected Eurozone and other countries.
These are described in more detail below.
Barclays Capital Credit Market Exposures
Barclays Capital’s credit market exposures primarily relate to commercial real estate, leveraged finance and a loan to Protium Finance LP. These include
positions subject to fair value movements in the income statement and positions that are classified as loans and advances and as available for sale.
The balances and write downs presented below represent credit market exposures held at the time of the market dislocation in mid-2007. Similar assets
acquired subsequent to the market dislocation are actively traded in secondary markets and are therefore excluded from this disclosure.
The balances and write downs to 31st December 2010 are set out by asset class below:
Barclays Capital Credit Market Exposuresa (audited) As at 31st December Year ended 31st December 2010
2010
$m
2009
$m
2010
£m
2009
£m
Fair value
(losses)/
gains
£m
Impairment
(charge)/
release
£m
Total
(losses)/
gains
£m
US Residential Mortgages
ABS CDO Super Senior 3,085 3,127 1,992 1,931 – 137 137
Other US sub-prime and Alt-Ab1,025 1,447 662 894 (43) (11) (54)
Monoline protection on US RMBS – 9 – 6 (1) – (1)
Commercial Mortgages
Commercial real estate loans and properties owned 11,006 12,525 7,106 7,734 (110) – (110)
Commercial mortgage-backed securitiesb184 352 119 218 (5) – (5)
Monoline protection on CMBS 18 49 12 30 40 – 40
Other Credit Market
Leveraged Financec7,636 8,919 4,930 5,507 – (242) (242)
SIVs, SIV-Lites and CDPCs 618 896 399 553 50 27 77
Monoline protection on CLO and other 2,541 3,443 1,641 2,126 (55) – (55)
Loan to Protium 10,884 12,727 7,028 7,859 – (532) (532)
Total 36,997 43,494 23,889 26,858 (124) (621) (745)
During the year ended 31st December 2010, these credit market exposures decreased £2,969m to £23,889m (2009: £26,858m). The decrease reflected
net sales and paydowns and other movements of £3,000m and total write downs of £745m, offset by foreign exchange rate movements of £776m,
primarily relating to the appreciation of the US Dollar against Sterling.
In the year ended 31st December 2010, write downs comprised £621m (2009: £1,669m) of impairment charges and £124m (2009: £4,417m) of net
fair value losses through income. Total write downs included an impairment charge of £532m (2009: £nil) relating to the Protium loan, losses of £75m
(2009: £3,007m) against commercial mortgage positions and losses of £220m (2009: £997m) against other credit market positions, partially offset by
a gain of £82m (2009: loss of £2,082m) against US residential mortgage positions.
A. US Residential Mortgages
A1. ABS CDO Super Senior
ABS CDO Super Senior positions at 31st December 2010 comprised five high grade liquidity facilities which were fully drawn and classified within loans
and receivables. The positions increased £61m to £1,992m (2009: £1,931m). Net exposures are stated after impairment charges, of which £137m was
written back in the current year (2009: charge of £714m). There was also an increase of £87m resulting from appreciation in the value of the US Dollar
against Sterling, offset by amortisation of £163m in the year. These balances equated to a 50% mark after impairment and subordination (2009: 49%).
A2. Other US Sub-Prime and Alt-A
Other US sub-prime and Alt-A positions at 31st December 2010 were £662m (2009: £894m). The decrease reflects net sales and paydowns and other
movement of £214m and total write downs of £54m, partially offset by appreciation of the US Dollar against Sterling of £36m.
112 Barclays PLC Annual Report 2010 www.barclays.com/annualreport10