Citigroup Sub Prime Exposure- An Update

Citigroup detailed its remaining "sub-prime related direct exposures in securities and banking, comprised of CDO super senior exposures and lending and structuring exposures" in its first quarter of 2008 earnings release.

CDO Super Senior Exposures

Gross ABS CDO Super Senior Exposures - $33.2 billion.
Hedged Exposures - $10.5 billion.
Net Exposure - $22.7 billion.

The net exposure is broken down as follows:

Asset backed commercial paper - $16.8 billion.
High Grade - $3.8 billion.
Mezzanine - $2.0 billion.
ABS CDO Squared - $0.1 billion.

Lending and Structuring Exposure

CDO warehousing/unsold tranches of ABS CDOs - $0.2 billion.
Sub-prime loans purchased for sale or securitization - $3.6 billion.
Financing transactions secured by sub-prime - $2.6 billion.

Total Lending and Structuring Exposures - $6.4 billion.

A couple of comments:

1) There is still risk in the $10.5 billion in hedges on the portfolio. Counterparty risk is the main problem here.

2) Is the phrase "High Grade" an oxymoron when the securities are valued at 41 cents on the dollar? I mean WTF? (page 19 of the first quarter of 2008 presentation.)

3) I guess the good news is that Citigroup can only write down $22.7 billion more until they are at zero.