UBI Banca Group

The collateral pool also benefited in the last quarter from new investments in securities eligible for
refinancing issued by banks for a total of €1.1 billion net of haircuts (€1.35 billion nominal).
The significant increase in the liquidity reserve obtained in the first few months of 2012
(+€12.9 billion) was the result of the following:
• new government backed UBI Banca issuances for a total nominal amount of €6 billion
(€5.65 billion net of haircuts);
• new covered bond issuances not placed on the market (“self-retained”) amounting to €0.75
billion nominal (€0.69 billion, net of haircuts);
• an increase in unencumbered government securities not refinanced with the Cassa di
Compensazione e Garanzia to reach a total of €11.8 billion net of haircuts, of which €3.3
billion contributed to the pool of assets eligible for refinancing with the ECB and €8.5
billion available non-pool.
The above action offset the effects of the grace period on the UBI Leasing UBI securitisation (-
€0.64 billion net of haircuts), the reduction in the contribution from investments in eligible
securities issued by banks (-€0.55 billion net of haircuts) and the absence of securities
acquired through reverse repurchase agreements (-€0.28 billion).
***
The downgrade’s by Moody's and Fitch, performed in the last quarter of 2011 in the wake of the lowering of
Italy’s credit rating, had the consequence, amongst other things, of making it necessary for UBI Banca –
and also several other national banking groups – to restructure the securitisations it had originated and
held on its books as owned by the Group, in order to ensure continuity to the investments of the special
purpose entities without compromising the eligibility of the senior securities issued.
More specifically, on the one hand the ratings on the financial instruments invested in by the special
purpose entities had to be redefined and on the other hand collateral had to be lodged on behalf of those
entities for the swaps which back those securitisations, where UBI Banca is a direct counterparty. The
main action taken was as follows:
‐ 24-7 Finance Srl (B@nca 24-7 residential mortgages): redefinition of “eligible investments” bringing the
minimum up to the rating levels of UBI Banca in order to enable the entity to continue to invest in ECP
and French CDs issued by UBI Banca International Lux. As a consequence of that redefinition Moody’s
downgraded from “Aaa” to “Aa3”. DBRS’s A (high) rating , on the other hand, was confirmed;
‐ 24-7 Finance Srl (B@nca 24-7 consumer loans): redefinition of “eligible investments” to bring the
minimum up to the current rating levels of UBI Banca and to thereby enable the entity to continue to
invest in ECP and French CDs issued by UBI Banca International Lux. Action on the swaps with
accounts opened to lodge collateral with a third party counterparty. As a consequence of that
redefinition Moody’s downgraded from “Aaa” to “Aa2”.
The early winding up of the securitisation is currently being considered, following the new downgrade of
UBI Banca by Fitch in February 2012 and also in consideration of the significant amortisation of the
senior tranche scheduled for the end of May 2012;
‐ 24-7 Finance Srl (B@nca 24-7 salary backed loans): the procedure for obtaining a second rating was not
commenced for this securitisation, in consideration of the advanced state of amortisation and the
consequent minimum notional nominal amount reached by the senior tranche. On 11 th October 2011, the
Management Board of UBI Banca decided on early redemption. On 20 th December 2011 the
securitisation was wound up in advance by returning the loan portfolio to the originator with early
redemption of the securities issued and the early termination of all the contracts;
‐ UBI Lease Finance 5 Srl (UBI Leasing performing assets): redefinition of “eligible investments” to bring
the minimum up to the current rating levels of UBI Banca and to thereby enable the entity to continue to
invest in ECP and French CDs issued by UBI Banca International Lux. Action on the swaps with
accounts opened to lodge collateral with a third party counterparty. As a consequence of that
redefinition Moody’s downgraded from “Aaa” to “Aa2” and Fitch from “A” to “A-“;
‐ UBI Finance 2 Srl (Banco di Brescia performing loans to SMEs): redefinition of “eligible investments” to
bring the minimum up to the current rating levels of UBI Banca and to thereby enable the entity to
continue to invest in ECP and French CDs issued by UBI Banca International Lux. Action on the swaps
with accounts opened to lodge collateral with a third party counterparty. As a consequence of that
redefinition Moody’s downgraded from “Aaa” to “Aa2” and Fitch from “Aaa” to “A-“;
‐ UBI Finance 3 Srl (Banca Popolare di Bergamo performing loans mainly to SMEs): redefinition of “eligible
investments” to bring the minimum up to the current rating levels of UBI Banca and to thereby enable
the entity to continue to invest in ECP and French CDs issued by UBI Banca International Lux. Action on
the swaps with accounts opened to lodge collateral with a third party counterparty. As a consequence of
that redefinition Moody’s downgraded from “Aaa” to “Aa2” and Fitch from “Aaa” to “A-“;
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