Commonwealth Bank of Australia
Counterparty and other exposures
On 15 May 2008 Commonwealth Bank of Australia provided the market with an update of its exposure to CDOs and Asset Backed Commercial Paper Conduits. An updated copy of that disclosure is attached.
US Sub-prime
�� No direct exposures
�� Country-Wide exposure repaid in full in June 2008
CDOs
�� No direct exposure to unhedged CDO or CLO transactions
�� Small number of low $ value exposures which are fully hedged
�� One contingent exposure of USD30 million
Asset Backed Commercial Paper (ABCP) Conduits
�� Two Bank sponsored ABCP conduits with standby facilities drawn to $1.4bn
�� Highly rated assets – predominantly AAA, some AA -
�� Standby facilities to other conduits of $890m, currently drawn to $282m
Stock Lending
�� No material exposure to stock-lending sector
Lenders Mortgage Insurance
�� Mortgage insurance is outsourced to Genworth (98%) and PMI (2%)
�� Under “extreme stress” conditions, insured loan expected loss would be ~$360m.
Hedge Funds
�� No direct lending exposure to hedge funds
�� Limited exposure to hedge funds via FX and interest rate swap products
�� Fund of hedge funds – exposure to diversified funds that invest in hedge funds of ~$160m
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