consolidated statement of financial condition - Barclays Capital

The following table sets forth the weighted average keyeconomic assumptions used in measuring the fair valueof the Company’s retained interests and the sensitivityof this fair value to immediate adverse changes of 10%and 20% in those assumptions (in millions):Mortgage-backed securitiesFair value of retained interests $ 525Weighted Average Life (years) 2.91Constant prepayment rate 8.07%Impact of 10% adverse change (11.02)Impact of 20% adverse change (13.70)Discount rate 7.81%Impact of 10% adverse change (19.76)Impact of 20% adverse change (30.80)Loss severity 54.26%Impact of 10% adverse change (19.62)Impact of 20% adverse change (27.99)Loss severity is the percentage of the defaulted balancewhich is not covered by liquidation proceeds (recoveries)and therefore passed through as a loss to thesecuritization trust. It does not consider the probabilityof default as changes in the probability of default are notexpected to have a significant adverse effect on thesecurities held by the Company. Additionally, thepreceding table does not give effect to the offsettingbenefit of other financial instruments that are held tomitigate risks inherent in these retained interests. Theimpact of a change in a particular assumption iscalculated independently of changes in any otherassumption. Changes in fair value of the retainedinterests based on an adverse variation in assumptionsgenerally cannot be extrapolated because therelationship of the change in assumptions to the changein fair value is not usually linear. In practice,simultaneous changes in assumptions might magnify orcounteract the sensitivities disclosed above.Agency securitizationsAs part of the ordinary course of business, the Companyowns interests in agency securitizations and othersecuritization vehicles established by third parties that itdoes not consolidate as it does not have the power todirect the significant activities of those entities underASU 2009-17. During the year ended December 31, 2010,the Company sold $51,541 million of U.S. governmentagency-issued securities to the agencies that wereplaced into their securitization vehicles. The Company23