Portfolio overview
Table 1 shows a breakdown of the book value of risk exposures (on- and off-balance) of NIBC, together with the types of risk present in these portfolios. Off-balance sheet amounts consist of loan commitments and guarantees to corporate entities, Investment Management loan commitments and Credit Default Swaps (CDS) where NIBC is a protection seller. Sold protection creates an off-balance sheet exposure to the reference entity, in addition to the counterparty risk on the CDS counterparty for the CDS premium payments.
The on-balance sheet credit risk exposures are not directly comparable to the numbers in the balance sheet. The exposure amounts shown are broadly aligned with the regulatory capital view of Basel II capital calculations, except for derivatives, which show the positive replacement values only, without netting and without any potential future exposure add-on. Note 54 to the consolidated financial statements presents a more detailed comparison between risk figures and balance sheet amounts.
Definitions of NIBC’s main risk types are given in the respective sections that follow.
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Table 1 Overview of risk exposures |
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in EUR millions |
Main risk types |
31 December |
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2009 |
2008 |
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Corporate loans |
Credit risk |
8,572 |
8,090 |
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Residential mortgages |
Credit risk |
10,601 |
11,451 |
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Investment Management loans |
Credit risk |
245 |
257 |
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Equity investments |
Investment risk |
345 |
336 |
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Debt investments |
Issuer risk/Market risk |
2,295 |
2,392 |
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Cash management |
Credit risk |
3,411 |
1,616 |
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Derivatives 1 |
Credit risk/Market risk |
2,825 |
3,110 |
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