Prospectus - Notowania

of Capitalia in the scope of consolidation. As can be seen in the table above, if
Capitalia Group was excluded from the situation at the end of 2007, impaired loans
would have shown a reduction of more than €2.5 billion in the carrying value and of
0.80% of total loans, with improvements in every category except past-due loans. The
decline is especially significant in restructured and doubtful loans, due to recovery
activities undertaken by HVB Group.
The following table summarises the time breakdown of financial assets in 2008.
(millions of €) 12.31.2008
Time breakdown by contractual
residual maturity
On
Demand
Up to 3
months
- 206 -
3 months
to 1 year 1 to 5 years Over 5 years
Unspecified
maturity Total
Non-derivative financial assets 3,730 17,944 23,302 51,441 37,543 4,471 138,431
Other Loans to banks 7,600 37,554 9,274 5,894 2,321 17,775 80,418
Other Loans to customers 86,045 72,437 59,792 129,945 153,709 23,567 525,495
Total loan portfolio 97,375 127,935 92,368 187,280 193,573 45,813 744,344
Activities in the structured loan products sector are described below, based on the role
performed by the Group as either originator, sponsor, or investor, according to the
definitions established by Basel II and acknowledged in the Bank of Italy Circular no.
263. These figures were prepared based on indications from the Financial Stability
Board (an international group that unites Finance Ministries and Central Banks to
guarantee financial stability in the markets), also regulated by specific CONSOB
provisions.
For assets not derecognised from the financial statements, the exposures shown can
refer to “Loans to banks” and “Loans to customers”.
The Group as originator
The Group’s origination activities consist of the sale of on-balance sheet loan
portfolios or the summary loan risk underlying said portfolios, to special purpose
vehicles (SPVs) specifically set up, which then finance the portfolio acquisition by
issuing bonds of varying seniority.
These transactions free up economic/regulatory capital by reducing the credit risk
incurred, reducing funding costs and/or transforming illiquid instruments into
securities that can be used to secure repos with the Bank of Italy and the European
Central Bank.
Use of these types of transactions is, however, limited. The amount of loans
securitised but not derecognised from cash assets is 17.10% of the Group's loan
portfolio as at September 30, 2009.
In addition, during 2008, a Covered Bond Programme (OBG) was initiated in
accordance with Law no. 130 of April 30, 1999, in which residential mortgages in
guarantee of the programme were sold to an SPV, specifically set up and included in
the banking group. Until September 30, 2009 seven tranches of OBGs were issued for
a total of €7.5 billion, of which €5.0 billion was held within the Group.