GENERAL MEETING DRAFT - Bankier.pl

Structured credit product exposures broken down by geographical area
Exposure type Italy Other UE Countries
2009 CONSOLIDATED REPORTS AND ACCOUNTS
Other European
Countries (non UE)
Asia USA Rest of the world
RMBS 9.15% 79.81% 0.00% 1.01% 1.93% 8.10%
CMBS 6.54% 80.10% 0.00% 6.49% 5.93% 0.94%
CDO 0.00% 25.95% 0.00% 11.00% 55.68% 7.37%
CLO/CBO 0.08% 76.14% 2.79% 0.08% 19.47% 1.44%
Other ABS 40.89% 45.22% 0.06% 1.63% 10.29% 1.91%
Total 11.70% 70.75% 0.48% 2.51% 9.92% 4.64%
The Group’s portfolio includes the following:
RMBSs: Residential mortgage backed securities are notes issued by SPVs whose redemption depends
on the performance of residential mortgages securitized by a non-Group originator.
An insignificant portion of these instruments has US Subprime or Alt-A mortgages as underlyings.
The following table shows the main characteristics of these instruments as at December 31, 2009 and
December 31, 2008.
RMBS
12.31.2009 12.31.2008
Gross Exposure 3,760,849 4,814,821
Net Exposure 3,579,329 4,485,457
%AAA 72.55% 86.42%
%Investment grade 23.80% 12.58%
% Sub Investment grade 3.65% 1.00%
% USA 1.93% 1.79%
% Europe 88.96% 88.52%
% Rest of the world 9.11% 9.69%
thereof US Subprime 20,173 30,294
there of US Alt-A 48,328 49,579
CMBSs: Commercial mortgage backed securities are notes issued by SPVs whose redemption depends
on the performance of commercial mortgages securitized by a non-Group originator.
The following table shows the main characteristics of these instruments as at December 31, 2009 and
December 31, 2008.
CMBS
12.31.2009 12.31.2008
Gross Exposure 1,671,790 1,877,932
Net Exposure 1,513,899 1,689,688
%AAA 29.56% 74.50%
%Investment grade 68.15% 25.50%
% Sub Investment grade 2.29% 0.00%
% USA 5.93% 5.71%
% Europe 86.64% 84.26%
% Rest of the world 7.43% 10.03%
thereof US Subprime 0 0
there of US Alt-A 0 0
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