Prospectus - Notowania

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>> Condensed Consolidated Financial Statements
Part E) – Information on risks and related risk management policies
As mentioned above, in the first nine months of 2009 three new traditional securitizations of performing loans, having as
underlyings leasing contracts originated in Italy concerning the use of motor vehicles, capital equipment and property for a
nominal amount of €1,705,231 thousand, residential mortgages originated in Italy for a nominal amount of €3,499,601
thousand and euro loans for a nominal amount of €1,012,000 thousand, were issued.
The Group is not an originator of securitizations having as underlying US residential mortgages, neither prime nor subprime
nor Alt-A.
The fair value of assets sold and not derecognized exceeds the carrying amount by over €4,400 million.
1.2 The Group as Sponsor
The Group is a sponsor of asset-backed commercial paper SPVs (i.e., conduits issuing commercial paper) set up both as
multi-seller customer conduits to give clients access to the securitization market, and as arbitrage conduits.
These SPVs are not part of the banking group, but have been consolidated since December 2007.
Customer conduits require the formation and management of a bankruptcy-remote company (i.e., one that would be immune
from any financial difficulties of the originator) which directly or indirectly buys receivables created by companies outside the
Group.
The receivables underlying these transactions are not bought directly by the conduit set up by the Group, but by a purchase
company which in turn is wholly funded by the conduit by means of commercial paper or medium term notes.
In some circumstances purchase companies fund further SPVs which buy loan portfolio.
The main purpose of these transactions is to give corporate clients access to the securitization market and thus to lower
funding costs than would be borne with direct funding.
Arbitrage conduits require the formation and management of an SPV that buys highly rated corporate bonds, asset-backed
securities and loans.
The purpose is to achieve a profit on the spread between the yield on the assets held, usually medium/long-term, and the
short/medium-term securities issued to fund the purchase.
The conduits’ purchase of assets is financed by short-term commercial paper and medium-term note issues.
Payment of interest and redemption of the securities issued by the conduit therefore depends on cash flow from the
receivables purchased (credit risk) and the ability of the conduit to roll over or replace its market funding on maturity (liquidity
risk).
To guarantee prompt redemption of the securities issued by the conduit, these transactions are guaranteed by a standby
letter of credit covering the risk of default both of specific assets and of the whole program.
The underwriters of issued securities also benefit from security provided by specific liquidity lines which the conduit may use if
it unable to place new commercial paper to repay maturing paper, e.g. during market turmoil.
These liquidity lines may not however be used to guarantee redemption of securities issued by the conduit in the event of
default by the underlying assets.
In its role as sponsor, the Group selects the asset portfolios purchased by conduits or purchase companies, provides
administration of the assets and both standby letters of credit and liquidity lines.
For these services the Group receives fees and also benefits from the spread between the return on the assets purchased by
the SPV and the securities issued.
The persistent market turmoil has created a significant contraction in investor demand for the securities issued by these
conduits. The Group has consequently purchased directly all their outstanding commercial paper.