Page 95 - Annual Report 2010

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Financial Statements

3.5.3.2.B. Portfolio Guarantees & Securitisation

As of end 2010, 78.4% of exposure at risk (70.4% of expected loss) was in EUR. The GBP and DKK are the two main foreign currency exposures representing 8.6% and 5.7% of exposure at risk, respectively (10.4% and 19.1% of expected loss, respectively).

EIF is monitoring its non-euro exposure and performs regular stress tests with regard to currency risk and the impact on unexpected loss. Additional capital charges on non-euro exposures are assumed and the outcome is compared with the available margin.

3.5.3.2.C. Treasury

Foreign currency risk is deemed negligible regarding EIF’s debt securities portfolio, as all investments in debt securities and other fixed income securities are denominated in EUR.

GBP: 10.4%

DKK: 19.1%

Others: 0.1%

EUR: 70.4%

Expected loss breakdown

GBP: 8.6%

SEK: 5.2%

PLN: 2.1%

DKK: 5.7%

EUR: 78.4%

Exposure at risk breakdown

Own Risk Portfolio breakdowns by currency and Assets Fair Value at 31 December 2010: