Prospectus - Notowania

Retention by the Group of the first loss risk and the corresponding yield means that most of the risk and return on the portfolio
is retained. Consequently these transactions are recognized in the accounts as loans and no profits arising out of the transfer
of the assets are recognized and the sold receivables are not derecognized.
Synthetic securitizations also entail retention of the receivables subject to credit default protection on the balance sheet. The
swap is recognized in the accounts, as well as any other retained interest.
The following table shows the Group’s retained gross and net cash exposure under securitizations in which it was the
originator, subdivided according to whether or not the receivables were derecognized in the accounts.
The amounts given are mainly interests retained by the originator. ABSs arising out of securitizations and held in the
Corporate & Investment Banking Division’s portfolio are also shown.
Exposures deriving from the securitization of own assets (€ thousand)
Balance sheet exposure as at
CONSOLIDATED INTERIM REPORT
AS AT SEPTEMBER 30, 2009
Gross exposure
(nominal amount)
30.9.2009
31.12.2008
Net exposure (*) Net exposure (*)
- Assets sold totally derecognized 1,062,940 643,628 1,014,794
- Assets sold but not derecognized 44,048,375 44,697,494 37,645,488
- Synthetic transactions 37,148,058 36,885,718 40,780,970
Total 82,259,373 82,226,840 79,441,252
(*) The net exposure includes the sold loans’ amount of yield due but not received in excess of amounts paid on securities places at third
counterparties.
The increase in exposure in the first nine months of 2009 was due to three new securitizations of performing loans having
respectively leasing contracts and residential mortgages originated in Italy and euro loans as underlyings. The Group has
underwritten all the securities issued by the vehicle companies.
Retained tranches break down according to the level of subordination as follows:
Exposures deriving from the securitization of own assets broken down by subordination degree (€ thousand)
Amounts as at
30.9.2009
Senior Mezzanine Junior Total
Balance sheet exposure 73,812,707 1,963,591 6,450,541 82,226,839
- Assets sold totally derecognized 116,060 277,435 250,133 643,628
- Assets sold but not derecognized 38,211,525 467,759 6,018,209 44,697,493
- Synthetic transactions 35,485,122 1,218,397 182,199 36,885,718
Guarantees given - 89,042 65,560 154,602
- Assets sold totally derecognized - 89,042 - 89,042
- Assets sold but not derecognized - - - -
- Synthetic transactions - - 65,560 65,560
Credit facilities - 605,692 30,220 635,912
- Assets sold totally derecognized - 605,692 - 605,692
- Assets sold but not derecognized - - 30,220 30,220
- Synthetic transactions - - - -
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