Prospectus - Notowania

Since the beginning of 2009, the portfolio under analysis underwent some measures
aimed at de-leveraging/de-risking the Group’s assets in the investment banking, which
declined in the first nine months of 2009 from €40.8 billion to a notional value of
€31.5 billion.
At Group level, exposures in structured credit products amount to €9,450 million as at
September 30, 2009 and represent 1.08% of total financial assets. As at December 31,
2008, these exposures amounted to €12,022 million, 1.25% of total financial assets.
(millions of €)
Structured credit product
exposures broken down by
financial asset portfolio Held for trading
financial assets
- 212 -
Financial
assets
designated
at fair value
Loans and
Receivable
s
Financial
assets held to
maturity
Available-forsale
financial
assets Total
09.30.2009
Carrying value 524 120 8,348 158 300 9,450
% of portfolio to which it
belongs 0.36% 0.83% 1.26% 1.12% 0.86% 1.08%
12.31.2008
Carrying value 619 177 10,462 174 590 12,022
% of portfolio to which it
belongs 0.30% 1.13% 1.51% 1.03% 2.06% 1.25%
The following table shows the Group's gross and net exposure to structured credit
products.
The Group is pursuing a policy of continual and selective reduction in positions in the
ring-fenced portfolio and constantly monitors the risk dynamics both in terms of
value-at-risk as well as changes in the main sensitivity indicators. The credit quality,
however, remains high (95% investment grade, 85% with a rating greater than or
equal to AA).
(millions of €) 09.30.2009 12.31.2008
Exposures in structured
credit products
RMBS
CMBS
CDO
CLO / CBO
Other ABS
Loans
Total
Gross exposure
(notional value)
4,127
1,742
880
1,869
1,728
522
10,868
Net exposure
3,909
1,569
516
1,420
1,514
522
9,450
Gross exposure
(notional value)
4,815
1878
1,206
2,162
2,461
1,056
13,578
Net exposure
4,486
1,690
850
1,766
2,174
1,056
12,022
Note that the table does not include structured credit products resulting from Group
securitisation transactions, whether synthetic or traditional, as they were included in
the table of “The Group as originator” section.
The exposures above were 79.3% senior and 20.0% mezzanine. The junior exposures
were negligible at 0.7%.
Exposures to subprime and ALT-A mortgages
The Group’s exposure to US subprime and ALT-A mortgages is limited to RMBS and
CDO with this type of underlying asset, and has already been reported in the data
above.