996 - Banca Antonveneta

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C. SECURITISATIONS AND TRANSFER OF ASSETSC.1 SECURITISATIONSQUALITATIVE INFORMATIONBanca Antonveneta is the originator and servicer of two performing securitisations: the Bank has underwritten in fullthe subordinated part of the securities (Junior Notes) and granted credit lines to cover the loss in revenues collectedand/or greater disbursements compared to the budget.In addition, Banca Antonveneta guarantees the liquidity for the facilitation of the special purpose company'sobligations arising from the commitments assumed in its role as the custodian bank.The two performing transactions involved performing mortgage loans granted to private customers.The twofold objective was to achieve a more profitable management of such loan assets in view of the fact that, withthe same amount of credit risk, the profitability generated by the sale of these loans combined with the re-investmentof this liquidity produced greater returns than other similar financial investments, while reinvesting the liquiditygenerated from these transactions in new loans with similar technical features.The transfer of the loans was carried out according to the provisions of Law 130 of 30 th April 1999.The performance of the transactions is monitored constantly through the comparison of the revenues achieved andthose which were budgeted and checking of the trigger limits that have been established contractually.The office responsible for these controls sends a monthly report to the Board of Directors of the Special PurposeCompany, indicating total amounts collected and trigger levels reached.Being true sales transactions, securitised assets are no longer booked as assets in the financial statements of BancaAntonveneta. However, we note that as a result of this transaction, the values of Junior Notes (which areunderwritten in their entirety), the credit lines and guarantees granted and the interest rate swap contracts aresignificant. The latter were stipulated to mitigate securitisation risk.Risks faced by the Bank are periodically measured using specific models to evaluate Junior Notes and Interest RateSwaps. These models consider estimated amounts that will be recovered on outstanding loans and payments duethrough the year from the special purpose entity, according to the relative seniority of the agreement.The rating for the Senior Notes, Class A and Class B securities was expressed by the three main Agencies, Moody’s,Fitch Ratings and Standard & Poor’s. No rating is expressed for Junior (Class C) securities.During this operation, these Agencies improved the ratings of Senior Notes compared to those originally assigned:specifically, in 2007 Fitch Ratings Limited confirmed to Giotto Finance that the rating for Class A securities was AAAand revised upwards the rating of Class B, bringing it from AA to AAA.As for the two non-performing securitisations in existence as at 31 December 2006 and still in existence as at 30 June2007 connected with the sale without recourse of loans classified as “non-performing” at the transfer date, theoutstanding loans were transferred in their entirety during the second half of 2007. Subsequently, the seniorsecurities still outstanding as well as the junior securities were fully repaid.In 2007 Banca Antonveneta received total coupons on Junior Notes amounting to 25.0 million euro (taking bothperforming and non performing securitisations into account) and services commissions for 6.4 million euro.329
QUANTITATIVE INFORMATIONC.1.1 Exposures deriving from securitisation operations classified by quality of underlying assetsCash Exposures Guarantees provided Credit linesSenior Mezzanine Junior Senior Mezzanine Junior Senior Mezzanine JuniorQuality of underlying asset/ExposureGrossExposureNet ExposureGrossExposureNet ExposureGrossExposureNet ExposureGrossExposureNet ExposureGrossExposureNet ExposureGrossExposureNet ExposureGrossExposureNet ExposureGrossExposureNet ExposureGrossExposureNet ExposureA. With own underlying assets: - - - - 143,300 133,539 - - - - - - 70,000 70,000 - - - -a) Impaired - - - - - - - - - - - - 50,000 50,000 - - - -b) Other - - - - 143,300 133,539 - - - - - - 20,000 20,000 - - - -B. With third-party underlying assets: - - - - - - - - - - - - - - - - - -a) Impaired - - - - - - - - - - - - - - - - - -b) Other - - - - - - - - - - - - - - - - - -330
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\\ItAntonvenetaAnnualReport2007XII
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Board of DirectorsChairman * France
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GROUPSTRUCTUREANTONVENETAANTONVENET
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The Macroeconomic ScenarioDear Shar
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• Santander: Business unit in Lat
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Performance in 2007Comparability wi
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As at 31 December 2007, loans to cu
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In detail, 19 new issues of unit-li
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The economic and financial performa
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Impaired and performingloansNET POS
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Income StatementThe 2007 income sta
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Performance of the main Antonveneta
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Antenore Finance Società dicartola
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Relevant events occurred after clos
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CONSOLIDATED FINANCIAL STATEMENTSCo
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Consolidated Income Statement€/th
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Statement of changes in consolidate
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A.1 - GENERAL PARTSection 1 - PREPA
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investments are originally recognis
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loans past due for over 180 days ac
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Valuation criteria and recognition
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Financial liabilities held for trad
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Prepaid tax assets and deferred tax
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ASSETSSection 1Cash and cash equiva
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2.2 Financial assets held for tradi
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Section 3Financial assets designate
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Section 4Financial assets available
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4.5.1 Financial assets available fo
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Section 7Loans to customers - Entry
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Section 8Hedging derivative contrac
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Section 12Tangible fixed assets - E
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12.3.3 Fixed assets for functional
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Section 14Tax assets and liabilitie
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14.5 Changes in prepaid taxes (offs
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Section 16Other assets - Entry 1601
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Section 2Due to customers - Entry 2
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3.3 Securities issued: securities u
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4.4.1 Trading financial liabilities
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Section 8Tax liabilities - Entry 80
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The actuarial assumptions used in t
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• discount rate. The financial ba
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12.3.2 Personnel pension fund (ex-B
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15.5 Income reserves: other informa
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Section 16Minority interests - Entr
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OTHER INFORMATION1. Guarantees and
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Section 1Interest - Entries 10 and
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Section 2Commissions - Entries 40 a
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Section 3Dividends and similar inco
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Section 5Net profit on hedging - En
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Section 7Net change in value of fin
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Section 11Administrative expenses -
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Section 12Net allowances for risks
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Section 14Net value adjustments to
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Section 16Profits (Losses) from inv
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Section 20Taxes on income from cont
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Section 22Third party profit (loss)
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A. PRIMARY REPORTINGA.1. Distributi
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This section provides information w
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Section 1CREDIT RISKQUANTITATIVE IN
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A.1.5 Cash Exposures to Banks: Tren
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A.3 DISTRIBUTION OF GUARANTEED EXPO
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A.3.4 Impaired "off balance sheet"
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B.1 By-sector distribution of cash
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C. SECURITISATIONS AND TRANSFER OF
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THEANO FINANCE SPASUMMARY STATEMENT
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GIOTTO FINANCE 2 SPASUMMARY STATEME
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2.3 PRICE RISKREGULATORY TRADING PO
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2.5 EXCHANGE RATE RISKQUANTITATIVE
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2.6 DERIVATIVE FINANCIAL INSTRUMENT
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A.2 Bank Portfolio: notional values
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A.4 "Over the counter" financial de
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A.6 Residual duration of "over the
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Currency: STERLINGEntry/Time bandOn
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2. Distribution of financial liabil
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Section 1Shareholders' equityA. QUA
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B. QUANTITATIVE INFORMATIONExposure
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1 - Information on directors' and e
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INDIVIDUAL FINANCIAL STATEMENTS DAT
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Dear Shareholders,In addition to il
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Banca Antonveneta in 2007, a new se
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Distribution ChannelsDuring 2007, B
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The Economic and Financial TrendsDe
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INDIRECT DEPOSITS(in millions of Eu
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Financial Assets(€/thousand)31.12
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Income StatementThe Income Statemen
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Relevant events occurred after the
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4. During the fiscal year 2007, the
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Balance Sheet - Liabilities and sha
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Statement of changes in consolidate
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CASH FLOW STATEMENT (Direct method)
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A.1 - GENERALSection 1 - Statement
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the accumulated profit or loss are
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Recognition and derecognition crite
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Intangible fixed assets include goo
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Valuation criteria and recognition
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ASSETSSection 1Cash and cash equiva
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2.2 Financial assets held for tradi
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Section 3Financial assets designate
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Section 4Financial assets available
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4.5 Financial assets available for
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Section 7Loans to customers - Entry
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Section 8Hedging derivative contrac
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10.3 Investments: annual changes31.
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11.3 Fixed assets for functional us
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Section 12Intangible fixed assets -
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13.2 Deferred tax liabilities: brea
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13.5 Changes in prepaid taxes (offs
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Section 15Other assets - Entry 1501
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Section 2Due to customers - Entry 2
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3.3 Securities issued: securities u
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Page 282 and 283: Section 8Tax liabilities - Entry 80
Page 284 and 285: The actuarial assumptions used in t
Page 286 and 287: • discount rate. The financial ba
Page 288 and 289: 12.3.2 Personnel pension fund (ex-B
Page 290 and 291: 14.5 Income reserves: other informa
Page 292 and 293: Other information1. Guarantees and
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Page 296 and 297: Section 1Interest - Entries 10 and
Page 298 and 299: Section 2Commissions - Entries 40 a
Page 300 and 301: Section 3Dividends and similar inco
Page 302 and 303: Section 5Net profit on hedging - En
Page 304 and 305: Section 7Net profit/(loss) from fin
Page 306 and 307: Section 9Administrative expenses -
Page 308 and 309: Section 10Net allowances for risks
Page 310 and 311: Section 14Profits (Losses) from inv
Page 312 and 313: Section 19Income (loss) after tax f
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Page 316 and 317: Section 1CREDIT RISKQUALITATIVE INF
Page 318 and 319: As a final measure, specific regula
Page 320 and 321: In this type of control, typical cr
Page 322 and 323: A.1.3 Exposure to Cash and Off-Bala
Page 324 and 325: A.2 CLASSIFICATION OF EXPOSURES BY
Page 326 and 327: A.3.3 Impaired cash exposures towar
Page 328 and 329: B. DISTRIBUTION AND CONCENTRATION O
Page 332 and 333: C.1.2 Exposures deriving from princ
Page 334 and 335: C.1.7 Service activities - revenue
Page 336 and 337: Section 2MARKET RISK2.1 INTEREST RA
Page 338 and 339: Risk controlRisk control is carried
Page 340 and 341: 2.2 INTEREST RATE RISKBANK PORTFOLI
Page 342 and 343: QUANTITATIVE INFORMATIONSensitivity
Page 344 and 345: 2. Regulatory trading portfolio: di
Page 346 and 347: transactions, (iii) comparable tran
Page 348 and 349: 2.5 EXCHANGE RATE RISKQUALITATIVE I
Page 350 and 351: 2.6 DERIVATIVE FINANCIAL INSTRUMENT
Page 352 and 353: A.3 Derivatives: Purchase and Sale
Page 354 and 355: A.5 "Over the counter" financial de
Page 356 and 357: SECTION 3LIQUIDITY RISKQUALITATIVE
Page 358 and 359: Currency: SterlingEntry/Time bandOn
Page 360 and 361: 2. Distribution of financial liabil
Page 362 and 363: • attributing the regular segment
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Page 366 and 367: Section 1Company assetsA. QUALITATI
Page 368 and 369: B. QUANTITATIVE INFORMATIONExposure
Page 370 and 371: Breakdown of net shareholders' equi
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Page 374 and 375: Fees to directors, board of auditor
Page 376 and 377: Information required by art. 2497 b
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EQUITY INVESTMENTS Situation at 31
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INTERNATIONAL ACCOUNTING STANDARDS
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996 - Banca Antonveneta

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