996 - Banca Antonveneta

2.2 INTEREST RATE RISKBANK PORTFOLIO0.543 billion euro at a fixed rate (of which 0.234 ZeroCoupon Issues);2.498 billion euro at a floating rate;QUALITATIVE INFORMATIONA. General factors, interest rate riskmanagement processes and measurementmethodsPrimary sources of interest rate riskAs regards, the portfolio of the bank’ own securities,with the classification introduced by the IAS effectivefrom 2005, which had a significant effect onmanagement and organisation, we note the following:• The AFS portfolio is mainly composed ofsecurities issued by governments or banks andincludes fixed rate securities acquired with theoverall management of the Bank’s ALM in mind.The management of these securities aims tomaximise the carry over the medium term, whileconcentrating on some necessary and specificareas (e.g. the need to provide securities withvarying types of guarantees) that affect theircomposition;• The FVTPL portfolio is composed of the juniortranches of the remaining securitisations carriedout in the past by BAPV (Giotto I and II), themain activity for which is mainly the carefulmonitoring and control in agreement with theCompany offices involved;• The LR portfolio is of a residual nature and iscurrently used for certain securities the featuresof which are appropriate for this area;• The HTM portfolio is not currently in use.Regarding the management objectives driving thebanking portfolio instruments we note:• optimising the cost of funding for bond issues;• minimising the variation in exposure in terms offair value.During 2007, bonds were issued of an overall notionalamount of 0.277 billion euro the issue were directedtowards the Bank’s retail customers.At the end of 2007, the total outstanding issues equalleda notional 4.927 billion euro, of which the followingnotional amounts:0.812 billion euro structured (including equity linked andrate structures);1.074 billion euro subordinated (of which 0.045 billioneuro at a fixed rate, 1.029 billion euro at a floating rate).During 2007, the notional values of the types of issueswere represented as follows:0.054 billion euro at a fixed rate;0.223 billion euro at a floating rate;There were no structured issues.During the year, no bonds were issued as part of theBank’s EMTN programme; the notional amount of suchissues, all floating rate and of a senior as well assubordinated nature, therefore remains at 2.750 billioneuro.The EMTN programme was not renewed in 2007; thesynergies with ABN AMRO NV insofar as fundingculminated in a 12 billion euro MLT Credit Facilityagreement. In the context of this framework agreement,Banca Antonveneta received financing in the amount of7.5 billion euro, all of which at a floating rate of interest,of which 2.5 billion euro in the year broken down asfollows:in mid-May:• 1 billion euro maturing in 2008at the end of June:• 0.5 billion euro maturing in 2008at the end of August:• 1 billion euro maturing in 2008Organisational structureThe Portfolio Management & Funding Office oversees,within the financial process, the management of theBank's portfolios that are relative to the AFS and HFTaccounting categories; furthermore, it is responsible forany operations involving the HTM, L&R e FVTPLportfolios, based on indications received from thecompetent company bodies.It also manages funding operations, including themanagement of the MLT Credit Facility, for which itdefines and proposes timelines for the Bank's issuesand/or financing, coordinating with the competentcompany units and organs when bond issues areconcerned.339