Prospectus - Notowania
Prospectus - Notowania Prospectus - Notowania
The following table shows exposure to the conduits of which the Group is sponsor, viz. Arabella Finance Ltd., Salome Funding Ltd., Black Forest Funding Corp. (customer conduits) and Bavarian Universal Funding Corp. (arbitrage conduits). Exposures sponsored by the Group CONSOLIDATED INTERIM REPORT AS AT SEPTEMBER 30, 2009 Amounts as at (€ thousand) 09.30.2009 31.12.2008 Balance sheet exposures 4,053,221 5,268,124 - Conduits consolidated 4,053,221 5,268,124 Credit facilities 1,840,173 1,775,512 - Conduits consolidated 1,840,173 1,775,512 The lines of credit shown are the difference between total credit lines granted and the amount of commercial paper underwritten by the Group. This figure is the additional risk exposure incurred by the Group and arising from commercial paper purchased by third parties and commitments to purchase further assets under the program. Cash exposures are commercial paper purchased by the Group. These exposures are fully consolidated and therefore not visible in the consolidated accounts. Due to the activity performed, the Group bears most of the risk and receives most of the return on conduit business and also has control of the conduits. Consequently, as required by IAS 27 and SIC 12, we have consolidated the above-listed SPVs. The ABCP conduits are consolidated as are some of the second or further level vehicles that IFRS consolidation standards. The following are recognized in the consolidated Accounts: - loans by the ABCP conduits to the underlying purchase companies, where there are non-consolidated subordinated- level vehicles, and - the assets held by the subordinated purchase companies, where these are consolidated. Redstone Mortgages Plc was consolidated during the financial year on fulfillment of the conditions prescribed by the above- mentioned SIC 12 (see also Section 3 – Consolidation Procedures and Scope). This vehicle is funded by a second-level purchase company of Salome Funding Ltd., consolidated at 31 December 2008. Line-by-line consolidation of Redstone Mortgages Plc’s assets meant that they were recognized directly in the consolidated financial statements, in place of the funding previously provided to it by the above subsidiaries, now eliminated on consolidation. Redstone Mortgages Plc’s assets mostly comprise a warehousing portfolio of UK mortgages and are recognized under Loans and receivables with customers, with a carrying amount of €1,460,826 thousand. Valuations performed in the financial year, inter alia for the purposes of first consolidation, which were complicated by the difficult economic situation, led to charges amounting to €122,116 thousand of which €72,427 thousand were write-downs due to impairment. 182
183 >> Condensed Consolidated Financial Statements Part E) – Information on risks and related risk management policies The consolidated Accounts include the substance of the assets in the books of the non-consolidated purchase companies because they are wholly financed by the consolidated conduits. The following table gives the amount of the purchase companies’ assets by region. Purchase companies' assets broken down by geographical area (€ thousand) Italy Germany Austria Other UE Countries Amounts as at 09.30.2009 Consolidated conduits Other European Countries (non UE) America Asia Rest of the world Total - Residential mortgage loans - - - - 1,455,841 - - 212,255 1,668,096 - Commercial mortgage loans - - - - 594,804 - - - 594,804 - Leasing - 492,431 - - - - - - 492,431 - Credit cards - - - - - - - - - - Consumer loans 828,500 - - - - - - - 828,500 - SME loans - - - - - - - - - - State related entities - - - - - - - - - - Others - 346,315 - - 207,177 252,845 - - 806,337 - RMBS 1,532 1,532 - CMBS 106,574 106,574 - CDO 4,279 4,279 - CLO / CBO 63,254 63,254 - Corporate bonds 52,850 10,244 338,566 401,660 Total 828,500 891,596 10,244 - 2,257,822 767,050 - 212,255 4,967,467 The item “Others” comprises corporate loans and short-term commercial loans. About 56% of the structured credit products (i.e. RMBS, CMBS, CDO and CLO/CBO) held by the conduits were rated A or better and 41% were rated triple-A. The underlyings were almost entirely of US origin. The table below shows the quality of assets held by consolidated vehicles, which are mainly mortgage loans and consumer loans. The assessment of the credit risk of these assets is carried out by specific units using a look-through approach with the aim of analyzing the performance of the underlying receivables portfolios. Impaired positions derive from the consolidation of Redstone Mortgages Plc. Consolidated conduits assets broken down by asset quality (€ thousand) Amounts as at 09.30.2009 Other assets (performing) Impaired assets Total - Residential mortgage loans 1,490,655 177,441 1,668,096 - Commercial mortgage loans 594,804 - 594,804 - Leasing 492,431 - 492,431 - Credit cards - - - - Consumer loans 828,500 - 828,500 - SME loans - - - - State related entities - - - - Others 806,337 - 806,337 - RMBS 1,532 - 1,532 - CMBS 106,574 - 106,574 - CDO 4,279 - 4,279 - CLO / CBO 63,254 - 63,254 - Corporate bonds 401,660 - 401,660 Total 4,790,026 177,441 4,967,467
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183<br />
>> Condensed Consolidated Financial Statements<br />
Part E) – Information on risks and related risk management policies<br />
The consolidated Accounts include the substance of the assets in the books of the non-consolidated purchase companies<br />
because they are wholly financed by the consolidated conduits.<br />
The following table gives the amount of the purchase companies’ assets by region.<br />
Purchase companies' assets broken down by geographical area (€ thousand)<br />
Italy Germany Austria Other UE Countries<br />
Amounts as at 09.30.2009<br />
Consolidated conduits<br />
Other European Countries<br />
(non UE)<br />
America Asia Rest of the world Total<br />
- Residential mortgage loans - - - - 1,455,841 - - 212,255 1,668,096<br />
- Commercial mortgage loans - - - - 594,804 - - - 594,804<br />
- Leasing - 492,431 - - - - - - 492,431<br />
- Credit cards - - - - - - - - -<br />
- Consumer loans 828,500 - - - - - - - 828,500<br />
- SME loans - - - - - - - - -<br />
- State related entities - - - - - - - - -<br />
- Others - 346,315 - - 207,177 252,845 - - 806,337<br />
- RMBS 1,532 1,532<br />
- CMBS 106,574 106,574<br />
- CDO 4,279 4,279<br />
- CLO / CBO 63,254 63,254<br />
- Corporate bonds 52,850 10,244 338,566 401,660<br />
Total 828,500 891,596 10,244 - 2,257,822 767,050 - 212,255 4,967,467<br />
The item “Others” comprises corporate loans and short-term commercial loans.<br />
About 56% of the structured credit products (i.e. RMBS, CMBS, CDO and CLO/CBO) held by the conduits were rated A or<br />
better and 41% were rated triple-A.<br />
The underlyings were almost entirely of US origin.<br />
The table below shows the quality of assets held by consolidated vehicles, which are mainly mortgage loans and consumer<br />
loans. The assessment of the credit risk of these assets is carried out by specific units using a look-through approach with the<br />
aim of analyzing the performance of the underlying receivables portfolios. Impaired positions derive from the consolidation of<br />
Redstone Mortgages Plc.<br />
Consolidated conduits assets broken down by asset quality (€ thousand)<br />
Amounts as at 09.30.2009<br />
Other assets (performing) Impaired assets Total<br />
- Residential mortgage loans 1,490,655 177,441 1,668,096<br />
- Commercial mortgage loans 594,804 - 594,804<br />
- Leasing 492,431 - 492,431<br />
- Credit cards - - -<br />
- Consumer loans 828,500 - 828,500<br />
- SME loans - - -<br />
- State related entities - - -<br />
- Others 806,337 - 806,337<br />
- RMBS 1,532 - 1,532<br />
- CMBS 106,574 - 106,574<br />
- CDO 4,279 - 4,279<br />
- CLO / CBO 63,254 - 63,254<br />
- Corporate bonds 401,660 - 401,660<br />
Total 4,790,026 177,441 4,967,467
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