UBI Banca Group

As concerns, on the other hand, portfolio investments in securities, these consisted of fairly
modest exposures and mainly regarded core Eurpean Union countries: Germany (€9 million)
and France (-€2.9 million).
Positions existing as at 30 th June 2011, relating to Finland (€5 million nominal) and Spain
(€2.5 million nominal), both consisting of securities with ten-year maturities, were disposed of
in July.
UBI Banca Group: exposures to sovereign debt risk
Country / portfolio of classification
31.12.2011 30.6.2011
Nominal amount Carrying amount Fair value Nominal amount Carrying amount Fair value
figures in thousands of euro
- Italy 9,201,954 8,512,083 8,512,083 8,757,285 8,816,455 8,816,455
financial assets and liabilities held for trading (net exposure) 1,674,474 1,664,216 1,664,216 31,773 32,935 32,935
available-for-sale financial assets 6,649,895 5,964,173 5,964,173 7,740,276 7,789,305 7,789,305
loans 877,585 883,694 883,694 985,236 994,215 994,215
- Spain 117,470 117,470 117,470 118,429 118,468 118,468
financial assets and liabilities held for trading (net exposure) - - - 2,519 2,558 2,558
loans 117,470 117,470 117,470 115,910 115,910 115,910
- Germany 15,150 9,189 9,189 97 97 97
financial assets and liabilities held for trading (net exposure) 15,005 9,044 9,044 7 7 7
loans 145 145 145 90 90 90
- France -1,999 -2,909 -2,909 -4,989 -5,170 -5,170
financial assets and liabilities held for trading (net exposure) -1,999 -2,909 -2,909 -4,989 -5,170 -5,170
- Luxembourg 92,712 92,712 92,712 129,010 129,010 129,010
loans 92,712 92,712 92,712 129,010 129,010 129,010
- Holland 10 10 10 10 10 10
loans 10 10 10 10 10 10
- Argentina 2,941 705 705 1,528 673 673
financial assets and liabilities held for trading (net exposure) 2,941 705 705 1,528 673 673
- Finland - - - 5,000 5,132 5,132
financial assets and liabilities held for trading (net exposure) - - - 5,000 5,132 5,132
Total on-balance sheet exposures 9,428,238 8,729,260 8,729,260 9,006,370 9,064,675 9,064,675
The table below shows the distribution by maturity of Italian government securities held in
portfolio.
The average maturity of the AFS portfolio is 10/11 years, while the average residual maturity
of Italian government securities in the HFT portfolio is 1.12 years.
M aturities of Italian government securities
31.12.2011
30.6.2011
figures in thousands of euro
Financial assets
held for trading (*)
Available-for-sale
financial assets
Total %
Financial assets Available-for-sale
held for trading (*) financial assets
Total %
Up to 6 months 385,154 107,971 493,125 6.5% -200,033 2,352,909 2,152,876 27.5%
Six months to one year 750,458 - 750,458 9.8% 178,513 107,549 286,062 3.7%
One year to three years 451,206 1,409,166 1,860,372 24.4% 68,526 49,872 118,398 1.5%
Three years to five years 77,171 711,089 788,260 10.3% - 884,250 884,250 11.3%
Five years to ten years 216 1,786,281 1,786,497 23.4% 9,524 2,100,108 2,109,632 27.0%
Over ten years 3 1,949,666 1,949,669 25.6% -23,596 2,294,612 2,271,015 29.0%
Total 1,664,208 5,964,173 7,628,381 100.0% 32,935 7,789,299 7,822,234 100.0%
(*) Net of the relative uncovered short positions.
Due to the significant amounts for securities maturing in the third quarter (€2.2 billion), a
comparison with the comparative figures as at 30 th June 2011 shows a reduction in exposure
on the shorter term segment of the yield curve (down from 27.5% to 6.5% at the end of year),
with a repositioning at the same time towards maturities from “six months to one year” and
from “one year to three years” (which together account for a percentage of the portfolio which
rose from 5.2% to 34.2%), consistent with the policy to purchase securities with maturities of
up to three years pursued by the Parent in the last part of the year.
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