Prospectus - Notowania
Prospectus - Notowania Prospectus - Notowania
The Group’s portfolio includes the following: CDOs: Collateralized debt obligations are notes with varying seniority issued by SPVs in respect of loans (CLOs), corporate bonds (CBOs) or structured credit instruments (CDOs of ABS). As with all asset-backed securities, redemption of these notes depends on the performance of the underlying assets and any additional security. The purpose of these instruments is to benefit from the spread between the notes’ yield and that of the assets. At September 30, 2009 CDOs held by the Group (i.e., CLOs, CBOs and CDOs of ABS) amounted to €1,936,165 thousand, i.e. a reduction from December 31, 2008, when the figure was €2,616,034 thousand. 86.5% of these instruments are rated A or better. A small number of the CDOs held in the Group’s portfolio are CDOs of ABS, some with US sub-prime exposure. At September 30, 2009 the exposure to CDOs of ABS was €64,721 thousand, of which €16,329 thousand with US subprime mortgages as underlyings. All CDOs of ABS with US subprime mortgages as underlyings were classified as such regardless of the weight of these risks. The following table details exposure to these instruments. These instruments, 30.4% of which are rated A or better, were written down as to 76.2% of face value at September 30, 2009. CDO of ABS (€ thousand) Exposure type Net exposure as at 30.9.2009 Non Subprime exposures 48,392 High grade 48,392 Mezzanine - CDO Squared - Subprime exposures 16,329 High grade - Mezzanine 16,329 CDO Squared - Total CDO of ABS 64,721 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. At September 30, 2009 the CMBSs held in the Group’s portfolio amounted to €1,569,162 thousand. At December 31, 2008 this figure was €1,689,688 thousand. Approximately 91.6% of these instruments are rated A or better. Coverage ratio is 9.90%. 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. At September 30, 2009 the RMBSs held in the Group’s portfolio amounted to €3,909,417 thousand. At December 31, 2008 this figure was €4,485,457 thousand. Over 94% of these instruments are rated A or better. A small number of the RMBSs, worth €70,244 thousand, have US sub-prime or Alt-A mortgages as underlyings. All RMBSs with US sub-prime or Alt-A mortgages as underlyings were classified as such regardless of the weight of this exposure. Over 23% of these instruments are rated A or better. The coverage ratio was over 21%. CONSOLIDATED INTERIM REPORT AS AT SEPTEMBER 30, 2009 188
Exposure to US Subprime and Alt-A Mortgages 189 >> Condensed Consolidated Financial Statements Part E) – Information on risks and related risk management policies The Group’s exposure to US Subprime and Alt-A mortgages was restricted to the above RMBSs and CDOs with these underlyings. The Group has no mortgages classified as sub-prime in its loan book nor guarantees of such exposure. The following table summarizes exposure to US Subprime and Alt-A mortgages, which was €90,438 thousand at September 30, 2009, i.e. a reduction from both December 31, 2008 when this figure was €105,752 thousand. US Subprime and Alt-A exposures (€ thousand) Underlying / exposure type Amounts as at 30.9.2009 CDO of ABS RMBS Total US Alt-A 3,865 48,161 52,026 US Subprime 16,329 22,083 38,412 Total 20,194 70,244 90,438 Over 27% of instruments with US subprime underlyings were rated A or better. Over 20% of instruments with Alt-A mortgage underlyings were rated A or better. Their respective coverage ratios were 60.5% and 28.3%. Percentage composition of the vintage of US Subprime and Alt-A exposures is reported in the following tables. US Subprime and Alt-A percentage of exposures broken down by vintage Underlying / vintage Before 2005 2005 2006 2007 US Alt-A 6.46% 30.32% 53.18% 10.04% US Subprime 21.65% 58.00% 8.04% 12.31% Total 12.91% 42.08% 34.01% 11.00% 1.4 The Fair Value of Structured Credit Products As noted above the Group has reclassified almost all its structured credit products from HfT financial assets to loans and receivables – customers, which has made it possible to align their class with the manner in which they are managed. On 30 September, 2009 reclassified ABS had a face value of €8,667,560 thousand, a carrying value of €7,934,337 thousand against a fair value at the same date of €6,320,230 thousand. Reclassification meant that capital losses of €155,122 thousand were not recognized during the period. Recognition of these assets at amortized cost caused a €146,660 thousand increase in interest and impairment losses of €44,458 thousand. The remaining structured credit products were Hft financial assets, assets at fair value or AfS financial assets and were valued consistently with the Group’s Accounting policies. According to the Group’s accounting policies the fair value of financial instruments listed in active markets is determined starting from the official prices of the most advantageous market to which the Group has access (Mark to Market).
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The Group’s portfolio includes the following:<br />
CDOs: Collateralized debt obligations are notes with varying seniority issued by SPVs in respect of loans (CLOs), corporate<br />
bonds (CBOs) or structured credit instruments (CDOs of ABS).<br />
As with all asset-backed securities, redemption of these notes depends on the performance of the underlying assets and any<br />
additional security.<br />
The purpose of these instruments is to benefit from the spread between the notes’ yield and that of the assets.<br />
At September 30, 2009 CDOs held by the Group (i.e., CLOs, CBOs and CDOs of ABS) amounted to €1,936,165 thousand,<br />
i.e. a reduction from December 31, 2008, when the figure was €2,616,034 thousand.<br />
86.5% of these instruments are rated A or better.<br />
A small number of the CDOs held in the Group’s portfolio are CDOs of ABS, some with US sub-prime exposure. At<br />
September 30, 2009 the exposure to CDOs of ABS was €64,721 thousand, of which €16,329 thousand with US subprime<br />
mortgages as underlyings.<br />
All CDOs of ABS with US subprime mortgages as underlyings were classified as such regardless of the weight of these risks.<br />
The following table details exposure to these instruments. These instruments, 30.4% of which are rated A or better, were<br />
written down as to 76.2% of face value at September 30, 2009.<br />
CDO of ABS (€ thousand)<br />
Exposure type<br />
Net exposure as at<br />
30.9.2009<br />
Non Subprime exposures 48,392<br />
High grade 48,392<br />
Mezzanine -<br />
CDO Squared -<br />
Subprime exposures 16,329<br />
High grade -<br />
Mezzanine 16,329<br />
CDO Squared -<br />
Total CDO of ABS 64,721<br />
CMBSs: Commercial mortgage backed securities are notes issued by SPVs whose redemption depends on the performance<br />
of commercial mortgages securitized by a non-Group originator.<br />
At September 30, 2009 the CMBSs held in the Group’s portfolio amounted to €1,569,162 thousand. At December 31, 2008<br />
this figure was €1,689,688 thousand.<br />
Approximately 91.6% of these instruments are rated A or better. Coverage ratio is 9.90%.<br />
RMBSs: Residential mortgage backed securities are notes issued by SPVs whose redemption depends on the performance<br />
of residential mortgages securitized by a non-Group originator.<br />
At September 30, 2009 the RMBSs held in the Group’s portfolio amounted to €3,909,417 thousand. At December 31, 2008<br />
this figure was €4,485,457 thousand.<br />
Over 94% of these instruments are rated A or better.<br />
A small number of the RMBSs, worth €70,244 thousand, have US sub-prime or Alt-A mortgages as underlyings.<br />
All RMBSs with US sub-prime or Alt-A mortgages as underlyings were classified as such regardless of the weight of this<br />
exposure.<br />
Over 23% of these instruments are rated A or better. The coverage ratio was over 21%.<br />
CONSOLIDATED INTERIM REPORT<br />
AS AT SEPTEMBER 30, 2009<br />
188
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