GENERAL MEETING DRAFT - Bankier.pl

The Group is also an investor, sponsor and lead manager, mainly through its Markets and Investment
Banking Division; when it has the lead-manager role it concentrates on deals where it is bookrunner,
since in this case information on the transaction is more complete and accessible.
Starting from H2 2007 market conditions influenced sponsor and investor transactions, in that stricter
monitoring of exposures was required.
In particular, in its role as sponsor the Group purchased Asset-Backed Commercial Paper issued by
sponsored conduits. This meant that these vehicles were consolidated as from 2007.
With regard to investment in other parties’ securitizations, i.e. structured credit products, these
instruments were ring-fenced in a separate portfolio managed with a view to maximizing future cash
flow.
Given the asset quality of the underlyings, the best business strategy was considered to be retention in
the bank’s books.
In this regard, in H2 2008 it is noted that managerial strategy was transposed for accounting purposes
by reclassifying structured credit products from Held for trading financial assets to Loans and
receivables with customers (See also Part A.3.1 Transfers between portfolios).
In line with the above management principles, risk monitoring and maximizing profit on securitization
transactions is achieved by:
analyzing the monthly or quarterly investor reports produced by the Trustee, paying special attention to
the performance of the collateral
monitoring similar transactions' collateral performance and issues of similar paper
watching the market fundamentals of the underlying credit and
staying in constant contact with the investors and, where collateral is managed, with the managers and
analysts of the Collateral Manager.
Furthermore each portfolio is assigned a VaR limit by Risk Management. This is monitored bearing in
mind the correlations. The Group has spread curves for each rating and product (asset backed
securities, mortgage backed securities, etc.) and uses them to calculate risk, in the same way as other
instruments in its portfolio. The method used is in line with other sources of market risk, and enables us
to estimate the possible effects of diversification and to aggregate the VaR with other sections of the
trading portfolio.
Further details are given in the following section “Information on structured credit products and trading
derivatives with customers”.
2009 CONSOLIDATED REPORTS AND ACCOUNTS
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