team spirit - Bankier.pl

Risk structure and problem loans at the BA-CA Group in 2005
BA-CA’s overall risk exposure is classified using a 10-point rating
scale which is further divided into 28 rating categories for
detailed classification and fine tuning. The rating classes 1 to 5
are classified as not showing any identifiable default risk. At
year-end 2005 almost 90 % of the total risk exposure was
assigned to this category.
The rating classes 6 and 7 are classified as substandard and
contain exposures with a noticeably higher risk factor, which
are subject to continual monitoring and assigned to the watch
list process. € 10.8 bn or 6.5 % of the total risk exposure is
assigned to these categories.
Problem loans (rating classes 8, 9 and 10)
The rating categories 8+ and 8 (doubtful loans) comprise those
companies with no specific provisions, for which, however,
measures have been taken by Special Accounts Management
to restructure the exposure or reduce loans. At year-end 2005,
0.3 % of risk exposures was assigned to these categories. The
volume was reduced by 38 % to € 0.5 bn, 30 % of this
amount is secured.
The rating categories 8 –, 9 and 10 are described as non-performing/uncollectible.
While the rating system automatically
assigns a rating of 9 or 10 to loans to customers for whom a
provision exists, a rating of 8 – is assigned if they correspond to
the Basel II event-of-default definitions and, for example, show
a payment delay of 90 days. The volume of non-performing
loans fell by a further 2 % in 2005 to € 5.6 bn (3.4 % of the
total risk exposure), 25 % were secured (2004: 24 %).
As described above, loans classified as non-performing/uncollectible
comprise those in the rating categories 8 –, 9 and 10.
If only the unsecured portion of the loans is considered, we
were able to reduce the volume from € 4.8 bn (year-end 2003)
to € 4.4 bn (2004) and then to € 4.2 bn at year-end 2005
(2.5 % of total risk exposure). Compared with 2004, we
increased the loan loss provisions by € 0.1 bn. The coverage
ratio (loan loss provisions as a percentage of risk exposure)
thus increased by 5 percentage points from 77 % to 82 % at
year-end 2005.
94 Risk Management
Risk structure of the BA-CA Group
as at 31 Dec. 2005 in %
Non-performing 3.4%
Doubtful 0.3%
Substandard 6.5%
No identifiable
risk of default 89.8%
Problem loans *)
in € bn
6.1
1.3
(21%)
– 6%
0.9
4.8 0.5 (56%)
(79%) 0.4 (44%)
31 Dec. 2003
Non-performing
(ratings 8 –, 9 and 10)
Of which secured …
Of which unsecured …
5.7
1.4
(24%)
–13%
4.4
(76%)
–2%
0.8
0.4 (50%)
0.4 (50%)
Total volume:
€ 165.0 bn
5.6
1.4
(25%)
–38%
0.5
4.2 0.2 (30%)
(75%) 0.3 (70%)
31 Dec. 2004 31 Dec. 2005
Doubtful (ratings 8+ and 8)
Of which secured …
Of which unsecured …
*) Problem loans are exposures in rating categories 8 + and 8 (doubtful) and in
rating categories 8 –, 9 and 10 (non-performing loans)
Improvement of coverage ratio of unsecured non-performing loans
Loan loss provisions in % of NPLs (unsecured)
in € bn
75%
4.8
3.6
31 Dec. 2003
NPLs – non-performing
(ratings 8 –, 9 and 10),
unsecured
Coverage ratio
77% 82%
4.4
3.3
4.2
3.4
31 Dec. 2004 31 Dec. 2005
Loan loss provisions
(incl. provisions for
off-balance sheet items)