GENERAL MEETING DRAFT - Bankier.pl

Where it is impossible to identify similar instruments, the spread is anyway determined by considering
instruments which are similar to that being valued, adjusted (through interpolation and extrapolation
processes) to take into account the differences noted.
The value resulting from the described valuation models is based on inputs and prices which are not
necessarily executable on the market.
The value is therefore subject to further fair value adjustments to consider the risks associated to the use
of non-executable inputs and prices.
This adjustment, which is proportionate to the observability of prices/inputs used in the valuation, is
determined according to the economic effects of a one notch downgrade of the instrument being valued,
i.e. the use of a spread which is appropriate to a level of rating immediately lower than that used.
The fair value determined by using these valuation techniques is classified as level-2 or level-3 according
to the degree of similarity between the spread and the instrument being valued, and the consequent
significance of the calculated value adjustments.
71.58% of the portfolio is priced using level 2 methods and the remaining 28.42% according to level 3
methods.
Structured credit product exposures: fair value hierarchy
Exposure type Level 2 Level 3
RMBS 99.17% 0.83%
CMBS 54.46% 45.54%
CDO 8.36% 91.64%
CLO 90.87% 9.13%
Other ABS 46.34% 53.66%
Total 71.58% 28.42%
1.6 Group Exposure to Monoline Insurers
The Group has limited exposure to monoline insurers.
It is not the usual practice of the Group to manage credit risk arising from ABS exposures through credit
derivatives, or other guarantees with monoliners.
The Group has direct exposure to certain baskets of names which include monoliners.
2009 CONSOLIDATED REPORTS AND ACCOUNTS
412