Barclays 2011 Annual Report Download - page 232

Notes to the financial statements
20 Fair value of financial instruments continued
Level 3 movement analysis
The following table summarises the movements in the Level 3 balance during the year. The table shows gains and losses and includes amounts for all
financial assets and liabilities transferred to and from Level 3 during the year. Transfers have been reflected as if they had taken place at the beginning
of the year.
Analysis of movements in Level 3 financial assets and
liabilities Trading
portfolio
assets
£m
Financial
assets
designated at
fair value
£m
Available for
sale assets
£m
Trading
portfolio
liabilities
£m
Financial
liabilities
designated at
fair value
£m
Net derivative
financial
instrumentsa
£m
Total
£m
As at 1 January 2011 5,741 10,904 3,290 (101) (3,637) 2,828 19,025
Purchases 6,863 1,659 74 2 – 420 9,018
Sales (5,390) (2,210) (317) 5 223 (144) (7,833)
Issues – 57 – – (647) (389) (979)
Settlements (190) (2,157) (39) – 523 60 (1,803)
Total gains and losses in the period recognised in the income
statement
– trading income (355) 117 – 2 982 (686) 60
– other income – (12) 90 – 150 – 228
Total gains or losses recognised in other comprehensive
income
– – (26) – – – (26)
Transfers in/(transfers out) 2,535 321 (199) 86 (730) 597 2,610
As at 31 December 2011 9,204 8,679 2,873 (6) (3,136) 2,686 20,300
As at 1 January 2010 6,078 10,700 1,277 (78) (3,828) 3,087 17,236
Purchases 2,830 890 234 (96) (12) 762 4,608
Sales (3,334) (1,117) (121) – 39 147 (4,386)
Issues ––––(243) (555) (798)
Settlements (455) (924) (206) 63 601 (94) (1,015)
Total gains and losses in the period recognised in the income
statement –––––– –
– trading income 683 203 – – (730) (5) 151
– other income – 173 (94) – – – 79
Total gains or losses recognised in other comprehensive
income
– – 208 – – – 208
Transfers in/(transfers out) (61) 979 1,992 10 536 (514) 2,942
As at 31 December 2010 5,741 10,904 3,290 (101) (3,637) 2,828 19,025
The significant movements in the Level 3 positions during the year ended 31 December 2011 are as follows:
– Purchases of £9.0bn, primarily comprising £5.1bn of assets acquired as part of the acquisition of Protium, £2.1bn of other non-asset backed debt
instruments, £0.6bn of asset backed products and £0.4bn of derivative products;
– Sales of £7.8bn including the sale of £2.8bn Protium assets post acquisition, the sale of £1.9bn of non-asset backed debt instruments, £1.0bn of
asset backed products, £1.0bn of legacy commercial real estate loans and £0.3bn of private equity investments;
– Settlements of £1.8bn including the £0.8bn Baubecon debt restructuring and repayments received on other legacy commercial real estate loans. For
further details, on Baubecon, refer to Note 41;
– Net transfers into Level 3 of £2.6bn primarily comprised transfers of inflation linked bond trading portfolio assets, for which fair values have become
less observable in the market; and
– Issuances of £1.0bn, comprising £0.4bn of derivatives products, £0.3bn of structured notes and £0.3bn of non-asset backed products.
Movements on the fair value of Level 3 assets recognised in the income statement totalled £0.3bn (2010: £0.2bn).
For the year ended 31 December 2011 continued
Note
a The derivative financial instruments in the tables above are represented on a net basis. On a gross basis derivative financial assets as at 31 December 2011 totalled £11,267m (2010:
£9,082m) and derivative financial liabilities totalled £8,581m (2010: £6,254m).
230 Barclays PLC Annual Report 2011 www.barclays.com/annualreport