Barclays 2009 Annual Report Download - page 120

118 Barclays PLC Annual Report 2009 www.barclays.com/annualreport09
Risk management
Credit risk management
continued
DBRS Inc. (DBRS), a nationally recognised statistical rating organisation, was engaged to provide a private, point-in-time rating reflecting the specific terms
and conditions of the Protium loan as a whole. In addition point-in-time ratings with respect to gross cumulative cash flows due to Barclays under the loan
to Protium, considered in sequential instalments, were also sought (Tranched Ratings).
On the transaction date, the loan fair value was assessed as equal to its notional amount. Subsequently, the obtained ratings were incorporated into an
updated transaction date valuation. This valuation discounted the cash flows at appropriate discount rates determined by Barclays based on the Tranched
Ratings. The calculation produced a value of £7,651m ($12,611m). The difference to the original valuation was £18m ($30m), which has been recorded as
a loss on sale in the period. The Tranched Ratings and loan valuation are summarised in the table below:
Tranched Rating Cash Weighted Spread to Net present
flows average life LIBOR value
£m (years) (bps) £m
AAA 2,092 3.8 52 2,015
AA+ 1,464 4.3 80 1,385
AA/AA- 354 4.3 108/128 330
A642 2.6 169 606
BBB/BBB- 1,098 4.7 260/355 955
BB+/BB 1,021 2.1 451/546 915
B/B-/CCC 1,886 3.4 700/785/870 1,445
Total 8,557 282 7,651
The loan valuation was performed by Barclays and, of the information disclosed above, only the Tranched Ratings were provided by DBRS. The Tranched
Ratings are as of 15th September 2009 and are based on a scenario in which the portfolio of assets sold to Protium is static, with no subsequent sales or
additional purchases.
A single rating of CCC (low), being the Tranched Rating for the lowest rated cash flows, has been assigned to the loan as a whole by DBRS. This rating
addresses the ultimate payment of cumulative principal and interest under the terms and conditions of the Protium loan and it being advanced as a single
loan, as opposed to being structurally tranched. The single rating of CCC (low) is also as of 15th September 2009 and is based on a scenario in which the
portfolio of assets sold to Protium is static, with no subsequent sales or additional purchases.
The loan to Protium was assessed for impairment by the Group as at 31st December 2009 in line with its impairment policy. This analysis found that
there was no impairment as at 31st December 2009.