Prospectus - Notowania
Prospectus - Notowania Prospectus - Notowania
Structured credit product exposures broken down by subordination degree (€ thousand) CONSOLIDATED INTERIM REPORT AS AT SEPTEMBER 30, 2009 Amounts as at 30.9.2009 Exposure type Senior Mezzanine Junior Total - RMBS 3,389,237 511,081 9,099 3,909,417 - Prime 3,152,337 380,874 - 3,533,211 - Subprime 6,736 10,620 4,727 22,083 - Nonconforming 230,164 119,587 4,372 354,123 - CMBS 1,172,120 397,042 - 1,569,162 - CDO 303,050 212,661 239 515,950 - CDO of ABS / CDO of CDO 4,067 60,654 - 64,721 - CDO Balance Sheet 178,933 6,766 - 185,699 - CDO Market Value - - - - - CDO Preferred Stock - 60,184 - 60,184 - CDO Synthetic Arbitrage 15,449 5,693 192 21,334 - CRE CDO 19,613 8,929 - 28,542 - CDO others 84,988 70,435 47 155,470 - CLO/CBO 1,084,431 328,767 7,017 1,420,215 - CLO SME 236,473 129,380 126 365,979 - CLO arbitrage/balance sheet 351,041 76,384 44 427,469 - CLO / CBO altri 496,917 123,003 6,847 626,767 - Consumer loans 392,150 62,112 - 454,262 - Credit cards 110,146 13,222 - 123,368 - Student loans 69,471 46,348 - 115,819 - Leasing 244,565 54,249 - 298,814 - Others 448,975 32,511 38,838 520,324 Total balance sheet exposures 7,214,145 1,657,993 55,193 8,927,331 Loans and guarantees (€ thousand) Amounts as at 30.9.2009 On Balance Sheet Exposures Off balance sheet Exposures Exposure type Senior Mezzanine Junior Total Senior Mezzanine Junior Total Loans 275,356 231,312 15,598 522,266 - 89,719 - 89,719 - Residential mortgages - 201,833 8,635 210,468 - - - - - Commercial mortgages - - - - - - - - - CDO - - - - - - - - - CLO - 10,000 5,288 15,288 - - - - - Credit Cards - - - - - - - - - Consumer loans 225,356 - - 225,356 - - - - - Student Loans - - - - - 74,649 - 74,649 - Others 50,000 19,479 1,675 71,154 - 15,070 - 15,070 Guarantees given - - - - - - - - Credit facilities 68 - - 68 21,356 - - 21,356 The above table presents the Group’s exposure to SPEs, including guarantees given and lines of credit. This support is generally given when structuring securitizations for third parties as manager or arranger of the transactions. . At September 30, 2009 the Group’s exposure in structured credit products was €9,449,665 thousand, a reduction of over 21.3% from December 31, 2008 when the figure was €12,021,652 thousand. The exposure in ABSs fell from €10,965,470 thousand at December 31, 2008 to €8,927,331 thousand Also exposure in the form of loans to vehicles fell from €1,056,183 thousand at December 31 to €522,334 thousand. Unutilized portion of credit lines and guarantees given amounts to €111,075 thousand. 186
187 >> Condensed Consolidated Financial Statements Part E) – Information on risks and related risk management policies In addition to reported exposures, the Group is exposed to Credit Default Swaps having structured credit products as underlyings. These instruments have a negative fair value of €399,139 thousand and a notional amount of €2,076,120 thousand. The good credit quality of this portfolio is borne out by the fact that 91.5% of these instruments are rated A or better and over 55% of the portfolio is triple-A rated. At December 31, 2008 over 95% of these exposures were rated A and 78% of the portfolio was rated triple-A. The change was due to the general worsening of market conditions in the first 9 months of 2009. Over 82.3% of the exposure is toward countries belonging to European Union. The following tables give a breakdown of the net exposure at September 30 2009, by instrument, rating and region. Structured credit product exposures broken down by rating class Exposure type AAA AA A BBB BB B CCC CC C NR RMBS Prime 82.59% 13.48% 1.59% 1.93% 0.41% 0.00% 0.00% 0.00% 0.00% 0.00% RMBS Subprime 14.25% 10.63% 0.00% 5.63% 0.00% 0.00% 48.09% 0.00% 21.40% 0.00% RMBS Non conforming 40.76% 22.38% 4.28% 5.06% 12.37% 5.96% 7.95% 1.24% 0.00% 0.00% CMBS 31.65% 50.66% 9.30% 6.89% 1.50% 0.00% 0.00% 0.00% 0.00% 0.00% CDO of ABS/CDO di CDO 0.00% 68.18% 7.68% 5.86% 5.92% 1.95% 1.73% 8.58% 0.05% 0.05% CDO - Balance Sheet 7.18% 16.70% 69.17% 5.95% 0.97% 0.03% 0.00% 0.00% 0.00% 0.00% CDO - Market Value 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% CDO - Preferred Stock 0.00% 0.00% 20.27% 26.68% 47.91% 5.14% 0.00% 0.00% 0.00% 0.00% CDO - Synthetic Arbitrage 0.00% 88.88% 10.22% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.90% CRE CDO 0.00% 68.72% 0.00% 31.28% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% CDO Other 41.80% 15.29% 25.42% 12.28% 0.00% 0.60% 4.59% 0.02% 0.00% 0.00% CLO SME 25.90% 50.59% 3.98% 13.24% 5.65% 0.61% 0.00% 0.00% 0.00% 0.03% CLO Arbitrage/balance sheet 3.95% 82.98% 6.41% 1.76% 4.71% 0.18% 0.00% 0.00% 0.00% 0.01% CLO/CBO others 13.42% 72.62% 6.44% 1.90% 3.88% 0.44% 0.00% 0.21% 0.00% 1.09% Consumer loans 75.95% 15.31% 3.22% 4.92% 0.00% 0.00% 0.00% 0.00% 0.00% 0.60% Credit cards 42.19% 47.09% 0.00% 4.60% 6.12% 0.00% 0.00% 0.00% 0.00% 0.00% Student loans 52.61% 47.39% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% Leasing 75.95% 15.24% 0.00% 7.56% 1.25% 0.00% 0.00% 0.00% 0.00% 0.00% Others 79.76% 2.28% 0.94% 4.23% 0.00% 0.02% 0.00% 0.00% 0.00% 12.77% Total 55.30% 30.53% 5.67% 4.42% 2.16% 0.36% 0.53% 0.13% 0.05% 0.85% Structured credit product exposures broken down by geographical area Exposure type Italy Other UE Countries Other European Countries (non UE) Asia USA Rest of the world RMBS Prime 10.25% 79.95% 0.00% 1.04% 0.00% 8.76% RMBS Subprime 0.00% 0.00% 0.00% 0.00% 100.00% 0.00% RMBS Non conforming 0.00% 84.80% 0.00% 0.00% 13.71% 1.49% CMBS 6.57% 79.97% 0.00% 6.98% 5.60% 0.88% CDO of ABS/CDO di CDO 0.00% 68.18% 0.00% 0.00% 31.82% 0.00% CDO - Balance Sheet 0.00% 10.48% 0.00% 0.00% 89.52% 0.00% CDO - Market Value 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% CDO - Preferred Stock 0.00% 0.00% 0.00% 0.00% 100.00% 0.00% CDO - Synthetic Arbitrage 0.00% 72.41% 0.00% 0.00% 27.59% 0.00% CRE CDO 0.00% 0.00% 0.00% 0.00% 100.00% 0.00% CDO Other 0.00% 27.43% 0.00% 39.42% 11.82% 21.33% CLO SME 0.33% 98.24% 0.85% 0.55% 0.03% 0.00% CLO Arbitrage/balance sheet 0.00% 50.93% 0.00% 0.00% 49.07% 0.00% CLO/CBO others 0.00% 81.28% 5.48% 0.00% 10.01% 3.23% Consumer loans 33.20% 60.39% 3.21% 0.85% 1.43% 0.92% Credit cards 0.00% 82.88% 0.00% 17.12% 0.00% 0.00% Student loans 0.00% 35.25% 0.00% 0.00% 64.75% 0.00% Leasing 59.46% 19.43% 0.00% 0.00% 11.94% 9.17% Others 62.17% 32.63% 0.00% 0.00% 0.68% 4.52% Total 12.53% 69.83% 0.58% 2.63% 9.54% 4.90%
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Structured credit product exposures broken down by subordination degree (€ thousand)<br />
CONSOLIDATED INTERIM REPORT<br />
AS AT SEPTEMBER 30, 2009<br />
Amounts as at 30.9.2009<br />
Exposure type Senior Mezzanine Junior Total<br />
- RMBS 3,389,237 511,081 9,099 3,909,417<br />
- Prime 3,152,337 380,874 - 3,533,211<br />
- Subprime 6,736 10,620 4,727 22,083<br />
- Nonconforming 230,164 119,587 4,372 354,123<br />
- CMBS 1,172,120 397,042 - 1,569,162<br />
- CDO 303,050 212,661 239 515,950<br />
- CDO of ABS / CDO of CDO 4,067 60,654 - 64,721<br />
- CDO Balance Sheet 178,933 6,766 - 185,699<br />
- CDO Market Value - - - -<br />
- CDO Preferred Stock - 60,184 - 60,184<br />
- CDO Synthetic Arbitrage 15,449 5,693 192 21,334<br />
- CRE CDO 19,613 8,929 - 28,542<br />
- CDO others 84,988 70,435 47 155,470<br />
- CLO/CBO 1,084,431 328,767 7,017 1,420,215<br />
- CLO SME 236,473 129,380 126 365,979<br />
- CLO arbitrage/balance sheet 351,041 76,384 44 427,469<br />
- CLO / CBO altri 496,917 123,003 6,847 626,767<br />
- Consumer loans 392,150 62,112 - 454,262<br />
- Credit cards 110,146 13,222 - 123,368<br />
- Student loans 69,471 46,348 - 115,819<br />
- Leasing 244,565 54,249 - 298,814<br />
- Others 448,975 32,511 38,838 520,324<br />
Total balance sheet exposures 7,214,145 1,657,993 55,193 8,927,331<br />
Loans and guarantees (€ thousand)<br />
Amounts as at 30.9.2009<br />
On Balance Sheet Exposures Off balance sheet Exposures<br />
Exposure type Senior Mezzanine Junior Total Senior Mezzanine Junior Total<br />
Loans 275,356 231,312 15,598 522,266 - 89,719 - 89,719<br />
- Residential mortgages - 201,833 8,635 210,468 - - - -<br />
- Commercial mortgages - - - - - - - -<br />
- CDO - - - - - - - -<br />
- CLO - 10,000 5,288 15,288 - - - -<br />
- Credit Cards - - - - - - - -<br />
- Consumer loans 225,356 - - 225,356 - - - -<br />
- Student Loans - - - - - 74,649 - 74,649<br />
- Others 50,000 19,479 1,675 71,154 - 15,070 - 15,070<br />
Guarantees given - - - - - - - -<br />
Credit facilities 68 - - 68 21,356 - - 21,356<br />
The above table presents the Group’s exposure to SPEs, including guarantees given and lines of credit.<br />
This support is generally given when structuring securitizations for third parties as manager or arranger of the transactions. .<br />
At September 30, 2009 the Group’s exposure in structured credit products was €9,449,665 thousand, a reduction of over<br />
21.3% from December 31, 2008 when the figure was €12,021,652 thousand.<br />
The exposure in ABSs fell from €10,965,470 thousand at December 31, 2008 to €8,927,331 thousand<br />
Also exposure in the form of loans to vehicles fell from €1,056,183 thousand at December 31 to €522,334 thousand.<br />
Unutilized portion of credit lines and guarantees given amounts to €111,075 thousand.<br />
186
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