Prospectus - Notowania

As at September 30, 2009, similar covered bonds in accordance with German law
(pfandbriefe) were issued for a carrying value of €37,338 million, of which €30,150
billion guaranteed by mortgages of €7,188 million guaranteed by public sector loans.
Under traditional securitisations, the Group retains the first loss in the form of junior
bonds or similar exposure, and in some cases provides further credit enhancement.
This means that the most of the risk and return on the sold portfolio is retained.
Consequently, these transactions are recognised in the accounts as financing
transactions and no profits arising out of the transfer of the assets are recognised and
the sold loans are not derecognised.
Synthetic securitisations also entail retention of the loans subject to credit protection
default on the balance sheet. The hedging derivative is recognised in the accounts, as
well as a financial guarantee for any other retained interest.
The following table shows the Group’s retained gross and net cash exposure under
securitisations in which it was the originator, subdivided according to whether or not
the loans were derecognised in the accounts.
The amounts shown are mostly interest retained by the originator.
ABS securities arising from securitisations and held in the CIB portfolio are also
shown.
(millions of €) Cash exposure
09.30.2009 12.31.2008
Exposure deriving from the securitisation
of own assets Gross exposure Net exposure* Net exposure*
- Assets sold and derecognised 1,063 644 1,015
- Assets sold but not derecognised 44,048 44,697 37,645
- Synthetic transactions 37,148 36,886 40,781
Total 82,259 82,227 79,441
* Net exposure includes the sold loans' yield amount due but not received in excess of amounts paid on securities placed with third
counterparties.
Retained tranches broken down according to the level of subordination is as follows:
( millions of €) 09.30.2009 12.31.2008
Exposures deriving from the securitisation of
own assets broken down by subordination degree
Senior* Mezzanine* Junior* Total Total
Cash exposure 73,813 1,964 6,450 82,227 79,441
- Assets sold and derecognised 116 278 250 644 1,015
- Assets sold but not derecognised 38,212 468 6,018 44,698 37,645
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