Our investment portfolio includes a bond from counterparty E. The bond is guaranteed up to an amount of 100. The guarantee has been given by counterparty F. We will see that the exposure to counterparty E is reduced, while a new exposure is created vis à vis counterparty F. In case counterparties E and F belong to the same group, the effect of the guarantee would be cancelled out in the group risk report.

The value of the exposure can be observed in the market risk NPV report. The exposure is reduced by the amount of the guarantee:

160.99 Bond

100.00 Guarantee

60.99 Net Exposure

As with the other credit enhancements this can be viewed in detail in the reports.