GENERAL MEETING DRAFT - Bankier.pl

Credit Spread Sensitivity
437
>> Consolidated Financial Statements
Part E – Information on risks and related risk management policies
Credit spread sensitivity is calculated by assuming a worsening of creditworthiness seen in a parallel shift
of +1bp/+10bps/+100bps in the credit spread curves.
These sensitivities are calculated both inclusively, assuming a parallel shift of all the credit spread
curves, and in respect of specific rating classes and economic sectors.
In addition to the foregoing, the sensitivity resulting from a deterioration of creditworthiness (i.e. a change
of relative +50%) or an improvement (i.e. a change of relative -50%) is calculated; in this case the shape
of the credit spread curves is also changed, since the change in bps of higher spreads will be greater
than that of lower spreads.
In this regard, the most serious impact of the deterioration of the creditworthiness scenario (i.e. by
relative +50%) observed in the last three months, according to which the hypothetical loss grew by -
�1,321 million (September 2009) to -�1,135 million (December 2009), was largely due to the general
widening of spreads. Consequently, in absolute terms, this scenario is characterized by a smaller
assumed widening of the credit spreads.
+1 BP
less than
+1 BP
6 months
+1 BP
2 years
+1 BP
over 7
� million
+10 BPS +100 BPS -50% +50%
6monthsto
2 years to 7 years years
Total
Total
Rating
-0.1 -1.2 -3.2 -2.3 -6.7 -66.3 -669.1 1,458.8 -1,135.4
AAA -0.1 -0.5 -1.9 -1.5 -4.0 -39.5 -382.8 783.9 -632.3
AA -0.1 -0.2 -0.8 -0.1 -1.2 -10.7 -102.8 126.0 -97.7
A 0.0 -0.1 -0.6 -0.4 -1.2 -9.8 -94.8 347.9 -251.1
BBB 0.0 -0.2 0.2 -0.4 -0.4 -5.2 -47.0 116.8 -97.5
BB 0.0 -0.0 -0.1 0.1 -0.0 -0.3 -1.7 76.2 -46.0
B -0.0 -0.0 -0.1 0.1 -0.0 -0.1 -0.2 8.8 -5.1
CCC and NR 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.4 0.1 -0.1
Sector
Non Dev. Sovereigns & Related -0.0 -0.0 -0.2 -0.1 -0.4 22.0 -22.4
ABS and MBS -0.0 -0.2 -1.1 -0.6 -2.0 884.0 -645.1
Jumbo and Pfandbriefe -0.0 -0.3 -0.7 -0.8 -1.8 118.3 -110.9
Financial Services -0.1 -0.4 -1.3 -0.5 -2.3 345.5 -287.7
All Corporates 0.1 -0.2 0.2 -0.3 -0.2 91.0 -64.0
-Automotive 0.1 -0.1 0.0 -0.0 -0.0 7.1 -4.7
-Consumer Goods 0.0 0.0 -0.0 -0.0 -0.0 20.2 -11.8
-Pharmaceutical 0.0 0.0 -0.0 -0.0 -0.0 6.6 -4.5
-Industries 0.0 -0.0 -0.0 -0.0 -0.1 16.4 -13.3
-Telecommunications 0.0 -0.0 0.1 -0.1 -0.0 6.5 -5.9
-Utilities and Energy Sources 0.0 -0.1 0.2 -0.2 -0.1 10.6 -6.3
-All other Corporates 0.0 0.0 0.0 -0.0 0.0 23.5 -17.5
+1BP
Total Developed Soveriegn -7.1 -70.8
Developed Sovereigns -1.2 -12.0
Developed Sovereigns related -5.9 -58.7