Barclays 2010 Annual Report Download - page 117

The loan decreased in local currency between 31st December 2009 and 31st December 2010 primarily due to principal repayments of $993m,
the impairment charge of $824m and accrued interest decreases of $26m. Interest payments of $407m were received during the year.
Protium assets As at
31.12.10
$m
As at
31.12.09
$m
As at
16.09.09
$m
As at
31.12.10
£m
As at
31.12.09
£m
As at
16.09.09
£m
Other US sub-prime whole loans and real estate 817 1,038 1,124 528 641 682
Other US sub-prime securities 631 578 513 407 357 311
Total other US sub-prime 1,448 1,616 1,637 935 998 993
Alt-A 2,230 2,112 2,185 1,440 1,304 1,326
Monoline protection 225 3,300 4,562 145 2,038 2,768
Credit market related assets 3,903 7,028 8,384 2,520 4,340 5,087
Fair value of underlying US RMBS 519 723 655 335 447 397
Fair value of underlying CMBS 3,257 2,350 1,897 2,103 1,451 1,151
Fair value of underlying CLO and other 1,030 1,022 1,040 665 631 631
Fair value of underlying assets wrapped by monoline insurers 4,806 4,095 3,592 3,103 2,529 2,179
Cash and cash equivalents 1,364 688 250 881 425 152
Other assets 811 567 309 524 350 187
Total assets 10,884 12,378 12,535 7,028 7,644 7,605
Loan to Protium 10,884 12,727 12,641 7,028 7,859 7,669
Protium Assets
The ongoing review of Barclays financial statements by regulators includes consideration of the non-consolidation of Protium. Barclays continues to
conclude that it is appropriate not to consolidate Protium within the Group financial statements. It should be noted that the Group’s results would not be
materially different if Protium were to be consolidated.
Fair value disclosures equivalent to those made for Barclays own financial assets have been provided below in respect of Protium’s financial assets
totalling £7,028m (2009: £7,644m), which are used to collateralise the loan from Barclays. The analysis below excludes cash and cash equivalents of
£881m (2009: £425m) that are also used to collateralise the loan. The valuation techniques that would be used to measure these assets are described
on pages 256 to 260. The valuations have been subject to Barclays valuation control framework, which is described on page 263.
The following table shows Protium’s financial assets measured at fair value disaggregated by valuation technique within the fair value hierarchy and by
product type.
Financial assets measured at fair value 2010 2009
As at 31st December
Quoted
market
prices
(Level 1)
£m
Observable
inputs
(Level 2)
£m
Significant
unobservable
inputs
(Level 3)
£m
Total
£m
Quoted
market
prices
(Level 1)
£m
Observable
inputs
(Level 2)
£m
Significant
unobservable
inputs
(Level 3)
£m
Total
£m
Trading portfolio assets
Other US sub-prime whole loans and real
estate – – 528 528 – – 641 641
Other US sub-prime securities – 35 372 407 – 51 306 357
Alt-A – 41 1,399 1,440 – 70 1,234 1,304
Other trading portfolio assets 106 110 308 524 8 220 122 350
Fair value of underlying assets wrapped
by monoline insurers – 323 2,780 3,103 – 316 2,213 2,529
Derivative financial assets
Monoline protection – 145 – 145 – – 2,038 2,038
Total 106 654 5,387 6,147 8 657 6,554 7,219
Barclays PLC Annual Report 2010 www.barclays.com/annualreport10 115
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