ANNUAL REPORT 2009 - GAM Holding AG

The following table provides an analysis of the Group’s exposure to credit risk by credit quality.
Exposure to credit risk by credit quality
31.12.2009 31.12.2008 31.12.2009 31.12.2008
COLLATERALISED COLLATERALISED UNSECURED UNSECURED
CHF M CHF M CHF M CHF M
Neither past due nor impaired - 12 182.1 1 008.1 20 306.2
Past due but not impaired - 1.3 0.9 -
Impaired - 65.6 - 3.5
Balance sheet carrying amount - 12 249.0 1 009.0 20 309.7
Neither past due nor impaired
R1 to R3 - 9 091.8 - 19 920.1
R4 to R6 (including temporarily unrated) - 3 090.3 - 386.1
Total - 12 182.1 - 20 306.2
Past due but not impaired
R7 - 1.3 - -
Total - 1.3 - -
Collateral held or credit enhancement available - 1.3 - -
Impaired
R8 - 55.5 - -
R9 to R10 - 10.1 - 3.5
Total - 65.6 - 3.5
Collateral held or credit enhancement available - 30.3 - -
Allowances
Specific valuation allowances - 37.3 - 3.5
Collective valuation allowances - 17.1 - 2.7
Total - 54.4 - 6.2
As of 31 December 2009, the internal credit ratings R1-R10 are no longer in use as the Group is no longer carrying, or has any intention of
carrying, those assets that require rating in such way. In 2008 the internal credit ratings R1–R10 formed the basis for calculating allowances
for credit losses. Loans, receivables and other exposures were allocated to one of the ten rating classes. In the case of balances in rating classes
R1–R6, the balances were being serviced, the advance rate of collateral was appropriate, and the repayment of the balance was not doubtful.
For these exposures, no specific allowances for credit losses were established. Balances in rating class R7 were past due, but the exposure was
still covered by collateral and allowances were only established for past due interests. For balances in rating class R8, specific allowances for
credit losses were established provided that it is more likely than not that a loss could arise. The credit risks of rating classes R9 and R10 were
very high, and specific allowances for credit losses were established for balances in these rating classes.
GAM Holding Ltd. Annual Report 2009
51
GROUP FINANCIAL REPORT