Barclays 2008 Annual Report Download - page 110

108 Barclays PLC Annual Report 2008 |Find out more at www.barclays.com/annualreport08
Risk management
Credit risk management
Barclays Capital credit market exposures
A. US Residential Mortgages
US residential mortgage exposures have reduced by 41% in US Dollar terms, and 19% in Sterling terms, since 31st December 2007.
A1. ABS CDO Super Senior
During the year ABS CDO Super Senior exposures reduced by £1,567m to £3,104m (31st December 2007: £4,671m). Net exposures are stated after
write-downs and charges of £1,461m incurred in 2008 (2007: £1,816m) and hedges of £nil (31st December 2007: £1,347m). There were no hedges in
place at 31st December 2008 as the corresponding liquidity facilities had been terminated. There were liquidations and paydowns of £2,318m in the year;
weaker Sterling and a reduction in hedges increased exposure by £865m and £1,347m respectively.
The remaining ABS CDO Super Senior exposure at 31st December 2008 comprised five high grade liquidity facilities which were fully drawn and classified
within loans and receivables, and no remaining mezzanine exposure. At 31st December 2007 there were 15 facilities of which nine were high grade and
six mezzanine.
The impairment assessment of remaining super senior positions is based on cash flow methodology using standard market assumptions such as default
curves and remittance data to calculate the net present value of the future losses for the collateral pool over time. As a result, future potential impairment
charges depend on changes in these assumptions.
We have included all ABS CDO Super Senior exposure in the US residential mortgages section as nearly 90% of the underlying collateral relates to US
RMBS. The impairment applied to the notional collateral is set out in the table below.
As at As at As at As at
31.12.08 31.12.07 31.12.08 31.12.07
High Grade Total High Grade Mezzanine Total Marks aMarks a
£m £m £m £m £m
2005 and earlier 1,226 1,226 1,458 1,152 2,610 90% 69%
2006 471 471 1,654 314 1,968 37% 47%
2007 and 2008 25 25 176 87 263 69% 53%
Sub-prime 1,722 1,722 3,288 1,553 4,841 75% 60%
2005 and earlier 891 891 714 102 816 77% 96%
2006 269 269 594 68 662 75% 90%
2007 and 2008 62 62 163 13 176 37% 80%
Alt-A 1,222 1,222 1,471 183 1,654 74% 92%
Prime 520 520 662 123 785 100% 100%
RMBS CDO 402 402 842 445 1,287 –19%
Sub-prime second lien 127 127 158 – 158 –32%
Total RMBS 3,993 3,993 6,421 2,304 8,725 68% 63%
CMBS 44 44 189 110 299 100% 96%
Non-RMBS CDO 453 453 429 80 509 56% 49%
CLOs 35 35 26 – 26 100% 100%
Other ABS 51 51 136 4 140 100% 100%
Total other ABS 583 583 780 194 974 66% 72%
Total notional collateral 4,576 4,576 7,201 2,498 9,699 68% 64%
Subordination (459) (459) (1,001) (864) (1,865)
Gross exposure pre impairment 4,117 4,117 6,200 1,634 7,834
Impairment allowances (1,013) (1,013) (290) (432) (722)
Trading losses gross of Hedges ––(1,041) (53) (1,094)
Hedges ––(960) (387) (1,347)
Net exposure 3,104 3,104 3,909 762 4,671
Collateral marks including liquidated structures 32% 62%
Note
aMarks above reflect the gross exposure after the impairment and subordination and do
not include the benefit of hedges. The change in marks since 31st December 2007
primarily results from the liquidation during 2008 of the most impaired structures.