UBI Banca Group

Description of the hedging policies adopted to mitigate risks connected with securitisations,
including the strategies and processes adopted to continuously monitor the effectiveness of these
policies.
All the securitisations are hedged by swap derivative contracts where the main objective is to
stabilise the flow of interest generated by the securitised portfolios and to protect the special
purpose entity from interest rate risk.
Swap contracts were entered into for each securitisation between the special purpose entities
and the respective swap counterparties who, in order to be able to “close” the risk with the
originators, signed contracts identical in form but opposite in their effects with UBI Banca
which in turn renegotiated further “mirror swaps” with the respective originators. The
following constituted exceptions to that practice: the UBI Lease Finance 5, UBI Finance 2 and
UBI Finance 3 transactions, where the special purpose entity entered into swap contracts
directly with UBI Banca (which then renegotiated mirror swaps with the originators UBI
Leasing, UBI Banco Brescia and Banca Popolare Bergamo).
Further information on Group activities concerning securitisation transactions is given in the
Management Report which may be consulted.
Quantitative information
C.1.1 Exposures resulting from securitisation transactions by quality of the underlying assets
No exposures resulting from securitisation transactions by quality of the underlying assets to
report. la 5: 190060O|1 - NOTA
C.1.2 Exposures resulting from the principal “own” securitisation transactions by type of
securitised assets and by type of exposure
No exposures resulting from “own” securitisation transactions to report.
C.1.3 Exposures resulting from the principal “third party” securitisation transactions by type of
securitised assets and by type of exposure
No exposures resulting from “third party” securitisation transactions to report.
C.1.4 Exposures to securitisations by financial asset portfolio and by type
Exposure/portfolio Trading At fair value
Available-forsale
Held-tomaturity
Loans 31/12/2011 31/12/2010
1. On-statement of financial
position exposures - - - - - - 89,051
- Senior - - - - - - 89,051
- Mezzanine - - - - - - -
- Junior - - - - - - -
2. Off-statement of financial
position exposures - - - - - - -
- Senior - - - - - - -
- Mezzanine - - - - - - -
- Junior - - - - - - -
Tabella 6: 190080O|1 - NOTA
C.1.5 Total amount of the securitised assets underlying the junior securities or other forms of
lending support
No securitised assets underlying the junior securities or other forms of lending support to
report.
401