Prospectus - Notowania

Exposure to US Subprime and Alt-A Mortgages
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>> 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).