GENERAL MEETING DRAFT - Bankier.pl

ORIGINATOR: UniCredit S.p.A. (ex Capitalia S.p.A., ex Banca di Roma S.p.A.)
STRATEGIES, PROCESSES AND GOALS:
INTERNAL MEASUREMENT AND RISK
MONITORING SYSTEMS:
ORGANISATIONAL STRUCTURE AND SYSTEM
FOR REPORTING TO SENIOR MANAGEMENT:
HEDGING POLICIES:
OPERATING RESULTS:
Transactions previous periods
351
>> Consolidated Financial Statements
Part E – Information on risks and related risk management policies
The goal of the transactions was largely to finance non-performing loan portfolios, diversify sources of funding, improve asset
quality and enhance the portfolio with management focused on recovery transactions.
The securitization portfolio is monitored on an ongoing basis as a part of servicing activities and is recorded in quarterly
reports with a breakdown of loan status and the trend of recoveries.
Reporting related to the monitoring of portfolio collections takes the form of a report to senior management and the Board of
Directors.
Special purpose vehicles enter into IRS and interest rate cap contracts in order to hedge structure-related risk and risk due to
the difference between the variable-rate return for the securities issued and the return anticipated from recoveries from the
portfolio acquired.
At year-end 2009 profits from existing transactions largely reflected the impact of cash flows from collections for the original
defaulting loan portfolio. To be specific, collections for the year totaled � 165.374 million (� 62.817 million for Trevi Finance,
� 51.085 million for Trevi 2 and � 51.472 million for Trevi 3).
NAME
TREVI FINANCE
TREVI FINANCE 2
Type of securitisation:
traditional
traditional
Originator:
BancadiRomaS.p.A
Banca di Roma SpA 89%,
Mediocredito di Roma SpA 11%
Issuer:
Trevi Finance S.p.A.
Trevi Finance N. 2 S.p.A.
Servicer:
UniCredit S.p.A.
UniCredit S.p.A.
Finanziaria Internazionale securitization Group S.p.A., Finanziaria Internazionale securitization Group S.p.A., BNP
Arranger:
PARIBAS
Paribas Group, Banca di Roma S.p.A.
Target transaction :
Funding
Funding
Type of asset:
ordinary loans – mortgage loans
ordinary loans – mortgage loans
Quality of asset: non performing special purpose loan non performing special purpose loan
Closing date:
21/07/1999
20/04/2000
Nominal Value of disposal portfolio : � 2,689,000,000 � 94,000,000 � 2,425,000,000 � 98,000,000
Guarantees issued by the Bank:
Redemption of mezzanine securities C1 and C2 in issue
Redemption of mezzanine securities in issue
Guarantees issued by Third Parties :
-
-
Bank Lines of Credit :
� 438,189,898 to the vehicle to support its liquidity
� 380,000,000 to the vehicle to support its liquidity
Third Parties Lines of Credit :
-
-
Other Credit Enhancements :
-
-
Other relevant information :
All securities issued outstanding as at 12.31.2009 are retained All securities issued outstanding as at 12.31.2009 are
by UniCredit S.p.A..
retained by UniCredit S.p.A..
Rating Agencies:
Moody's / Duff & Phelps / Fitch
Amount of CDS or other supersenior risk transferred
:
Amount and Conditions of tranching:
-
-
. ISIN XS0099839887 XS0099847633 XS0110624409 XS0110624151
. Type of security Senior Mezzanine Senior Senior
. Class A B A B
. Rating - Aaa/A-/AAA - -
.Nominalvalueissued � 620,000,000 � 155,000,000 � 650,000,000 � 200,000,000
.Nominalvalueattheendofaccountingperiod - - - -
. ISIN XS0099850934 XS0099856899 XS0110774808 XS0110770483
. Type of security Mezzanine Mezzanine Mezzanine Junior
.Class C1 C2 C D
. Rating n.r. n.r. n.r. n.r.
.Nominalvalueissued � 206,500,000 � 210,700,000 � 355,000,000 � 414,378,178
.Nominalvalueattheendofaccountingperiod - � 378,215,922 � 683,773,500 � 414,378,178
. ISIN IT0003364228
.Typeofsecurity Junior
.Class D
.Rating n.r.
.Nominalvalueissued � 343,200,000
.Nominalvalueattheendofaccountingperiod
� 343,200,000