UBI Banca Group

portfolio of assets eligible as collateral for refinancing with the European Central Bank,
consistent with Group policy for the management of liquidity risk.
They were carried out on performing residential mortgages, salary backed loans (redeemed in
advance on 20 th December 2011) and consumer loans of B@nca 24-7 (24-7 Finance Srl), on
lease contracts of UBI Leasing (UBI Lease Finance 5 Srl), on performing loans to small to
medium-sized enterprises of Banco di Brescia (UBI Finance 2 Srl) and on performing loans to
SMEs of Banca Popolare di Bergamo (UBI Finance 3 Srl).
In the securitisations in question, the senior securities issued by the entities – assigned a
rating – are listed and can be used for refinancing operations with the ECB, with the sole
exception of the 24-7 Finance Srl securitisation of consumer loans for which early winding up
of the operation is currently being considered.
A securitisation commenced in December 2010 through the transfer of performing loans to
businesses held by Banca Popolare di Bergamo to the SPE UBI Finance 3 Srl was completed in
July 2011 when UBI Finance 3 issued securities (the transfer of the loans by the originator
took place with effect from 1 st December 2010 for approximately €2.8 billion).
The issue of covered bonds is designed to diversify sources of funding for the Group and also
to contain the cost of it. As at 31 st December 2011, UBI Banca had performed placements of
covered bonds for a total nominal amount of €5.75 billion (€2 billion issued in 2011) as part of
a programme for a maximum issuance of €10 billion euro. The originator banks issued a
subordinated loan to the SPE, UBI Finance Srl, equal to the value of the loans sold, in order to
fund the purchase. At the end of December, these loans amounted to approximately €9.72
billion (€9.11 billion in June 2011; €7.83 billion in December 2010).
In this respect, exposures are present in the Group which relate solely to the special purpose
entities formed for the securitisations mentioned and they all fall within the consolidation
scope.
Ordinary lines of liquidity existed as at 31 st December 2011 granted by the Parent to the
special purpose entity Orio Finance Nr.3 Plc for a total of €5 million euro, but not drawn on
(also not drawn on as at 31 st December 2010). Ordinary lines of liquidity were also granted by
B@nca 24-7 to the entity 24-7 Finance Srl for a total of €227.4 million, fully drawn on (€37.3
million, also fully drawn on, at the end of 2010).
Following downgrades by the rating agencies Moody’s and Fitch on 5 th and 11 th October 2011
respectively, UBI Banca made a liquidity facility available for UBI Finance 2 amounting to
€16.3 million and for UBI Finance 3 amounting to €28 million.
The programme to issue covered bonds and all the securitisations are hedged by swap
contracts where the main objective is to normalise the flow of interest generated by the
transferred or securitised portfolio and to concretely protect the special purpose entity from
interest rate risk. As a consequence of the downgradings of UBI Banca’s ratings in October
2011, it became necessary to provide margins for the swap contracts entered into between the
Parent or other Group member companies and the SPEs for the securitisations and the
covered bond programme.
The accounts used for the margins were opened with an eligible institution which was Bank of
New York Mellon (ratings: Moody’s, Aa2 negative; S&P, AA- stable; Fitch, AA- stable). The
margins were paid from 26 th October 2011 for an initial total amount of a little more than
€1,015 million, of which €717 million for the covered bond programme and €298 million for
the securitisations.
The total balance at the end of 2011 amounted to €785 million, of which €632 million for the
covered bond programme and €153 million for internal securitisations.
No exposures exist to special purpose entities or other conduit operations with underlying
securities or investments linked to United States subprime and Alt-A loans.
The total assets of SPEs relating to securitisations and to covered bonds amounted to €21.6
billion (€21.9 billion at the end of 2010).
Details by asset class are given in the table below:
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