Since the original portfolio was transferred from the HRE Group, its nominal value has been reduced from EUR 175.7 billion to EUR 83.6 billion as at the end of 2016. The cumulative wind-up of 52.4% as at the end of 2016 means that more than half of the portfolio transferred on 1 October 2010 has now been unwound.
The portfolio was reduced by EUR 11.1 billion in fiscal year 2016, with active sales accounting for a total of EUR 2.9 billion of the reduction in the portfolio. Contractual and extraordinary redemptions amounted to a total of approximately EUR 8.2 billion in 2016. Compared with the portfolio of EUR 94.7 billion as at the end of 2015, this represents a reduction of 11.7%.
In autumn 2016, FMS-WM acquired DEPFA assets worth a nominal EUR 5.2 billion in connection with the sale of DEPFA liabilities to DEPFA. Including those assets, the portfolio amounted to EUR 88.9 billion at the end of 2016. In total, 188 exposures were transferred from DEPFA to FMS-WM at the beginning of November, 75 of them (amounting to EUR 3.4 billion) exposures to debtors in the USA and a further 92 (amounting to EUR 1.5 billion) exposures to borrowers in European Union member states. They consist exclusively of receivables and securities attributable to the Public Sector and Structured Products segments.
The portfolio data include the additions from the acquisition of DEPFA Group assets. The number of counterparties in the portfolio as a whole showed a sharp decline of almost 26% in 2016 to 986. Originally, there were 3,191 counterparties in the portfolio. The number of remaining exposures dropped by almost 21% in 2016 to 2,097. The individual exposures are located in 54 countries (see chart on page 10 and 11), with clear concentrations in Italy, the United Kingdom and the USA. These three countries make up around 70% of the total portfolio.
The high proportion of illiquid exposures with extremely long maturities continues to pose an enormous challenge. The bonds and securities are usually part of an asset swap package in which they are attached to derivatives, most of which are being used to hedge interest rate risk. If exposures were sold ahead of schedule, those derivatives would have to be closed ahead of the original maturity date and would cause heavy losses in the current market environment.