GENERAL MEETING DRAFT - Bankier.pl

Loans and guarantees
407
>> Consolidated Financial Statements
Part E – Information on risks and related risk management policies
Amounts as at 12.31.2009
On Balance Sheet Exposures Off balance sheet Exposures
Exposure type Senior Mezzanine Junior Total Senior Mezzanine Junior Total
(� thousands)
Loans 199,151 213,763 10,546 423,460 368,707 76,431 445,138
- Residential mortgages - 195,543 8,914 204,457 - - - -
- Commercial mortgages - - - - - - - -
-CDO - - - - - - - -
-CLO - - - - - - - -
- Credit Cards - - - - - - - -
- Consumer loans 149,151 - - 149,151 - - - -
- Student Loans - - - - - 76,431 - 76,431
-Others 50,000 18,220 1,632 69,852 368,707 - - 368,707
Guarantees given - - - - - - -
Credit facilities - - - - 11,156.00 - - 11,156
The above table presents the Group’s exposure to SPEs, including guarantees given and lines of credit.
This support is generally given when structuring securitizations for third parties as manager or arranger
of the transactions. .
At December 31, 2009 the Group’s exposure in structured credit products was �8,670,996 thousand, a
reduction of over 27% from December 31, 2008 when the figure was �12,021,653 thousand.
The exposure in ABSs fell from �10,965,470 thousand at December 31, 2008 to �8,247,536 thousand.
Also exposure in the form of loans to vehicles fell from �1,056,183 thousand at December 31 to
�423,460 thousand. Unutilized portion of credit lines and guarantees given amounts to �456,294
thousand.
In addition to reported exposures, the Group is exposed to Credit Default Swaps having structured credit
products as underlyings. These instruments have a negative fair value of � 270,446 thousand and a
notional amount of � 1,615,676 thousand.
The good credit quality of this portfolio is borne out by the fact that over 89% of these instruments are
rated A or better and over 50% of the portfolio is triple-A rated.
At December 31, 2009 over 95% of these exposures were rated A and 78% of the portfolio was rated
triple-A. The change was due to the general worsening of market conditions in the first 9 months of
2009.
Over 82% of the exposure is toward countries belonging to European Union.
Exposure to Greece, Ireland, Portugal and Spain accounts for 20.68%, most of which concerns
exposures to Spanish underlying assets (13%).
The following tables give a breakdown of the net exposure at December 31 2009, by instrument,
rating and region.
Structured credit product exposures broken down by rating class
Exposure type AAA AA A BBB BB B CCC CC C NR
RMBS 72.55% 18.91% 2.60% 2.29% 1.56% 0.75% 1.09% 0.12% 0.13% 0.00%
CMBS 29.56% 35.37% 21.57% 11.21% 2.29% 0.00% 0.00% 0.00% 0.00% 0.00%
CDO 10.38% 51.26% 5.37% 16.70% 6.16% 0.28% 6.48% 2.45% 0.86% 0.06%
CLO/CBO 16.33% 55.27% 14.43% 7.85% 3.75% 1.87% 0.07% 0.04% 0.00% 0.39%
Other ABS 66.47% 19.47% 3.78% 5.11% 0.25% 0.28% 0.00% 0.00% 0.00% 4.64%
Total 50.81% 29.91% 8.41% 6.11% 2.11% 0.70% 0.84% 0.19% 0.11% 0.81%