Prospectus - Notowania

The table below shows the asset quality of the consolidated SPVs, primarily
mortgages and consumer credit, the assessment of which is carried out by specific
units using a look-through approach aimed at analysing the performance of the
underlying loan portfolios. Impaired positions are the result of the consolidation of
Redstone Mortgage Plc, whose assets mainly consist of the warehousing portfolio of
British mortgages and were recorded under “Loans to customers” for a carrying
amount of €1,461 million.
(millions of €) 09.30.2009
Consolidated conduits: breakdown by
asset quality
- Residential mortgages
- Commercial mortgages
- Leasing
- Credit cards
- Consumer credit
- SME loans
- Loans to public entities
- Other
- RMBS
- CMBS
- CDO
- CLO / CBO
- Corporate bonds
Total
Other assets
(performing)
1,491
595
492
-
829
-
-
806
2
107
4
63
402
4,790
Impaired assets
177
-
-
-
-
-
-
-
-
-
-
-
-
177
Total
1,668
595
492
-
829
-
-
806
2
107
4
63
402
4,967
As a result of Arabella’s restructuring process and the improvement in portfolio mix,
the asset-backed commercial paper of the conduits were underwritten by investors
outside the Group.
The Group intends to contain the size of the Arabella portfolio so as to guarantee a
constant improvement in the quality of the underlying portfolio by an additional issue
of asset-backed commercial paper for investors outside the Group.
The Group continues to hold 100% of the commercial paper outstanding issued by
Salomè e Bavaria Universal Funding Corp.
Generally, the financial instruments underlying the conduits continue to guarantee
adequate performance despite the financial crisis.
The Group as investor
As well as originator and sponsor, the Group is also an investor in structured credit
instruments.
The exposures are mainly held on the books of CIB and UCI Ireland.
These instruments are those most affected by the current turmoil in financial markets,
with the greatest impact in the fourth quarter of 2008.
The credit sector crisis had a series of repercussions on the mark-to-market of the
securities held for trading. The difference between the asset swap spread implicit in
the senior debt security price and the negotiated premium for credit default swaps
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