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:
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>> Consolidated Financial Statements
Part E – Information on risks and related risk management policies
The goal of the transactions was largely to finance portfolios, diversify sources of funding and improve asset quality.
The securitization portfolio is monitored on an ongoing basis by the servicing company and is recorded in quarterly reports
with a breakdown of security status and the trend of repayments.
Reporting produced by servicing companies on the monitoring of portfolio collections is forwarded to senior management and
theBoardofDirectors.
Special purpose vehicles enter into IRS contracts in order to hedge rate risk related to the structure of underlying securities.
OPERATING RESULTS: The results achieved up to the present are broadly in line with expectations; payments received from the portfolio acquired
ensured punctual and full payment to security holders and other parties to the transaction.
NAME
Type of securitisation:
Originator:
Issuer:
Servicer:
Arranger:
Target transaction :
Type of asset:
Quality of asset:
Closing date:
Nominal Value of disposal portfolio :
Guarantees issued by the Bank:
Guarantees issued by Third Parties :
Bank Lines of Credit :
Third Parties Lines of Credit :
Other Credit Enhancements :
Other relevant information :
Rating Agencies:
Amount of CDS or other supersenior risk transferred
:
CAESAR FINANCE
traditional
Banca di Roma S.p.A
Caesar Finance S.A.
Bank of New York
Donaldson, Lufkin & Jenrette
Funding
Collateralised bond obligation
performing
5/11/1999
360,329,000 �
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Fitch / Moody's
Amount and Conditions of tranching:
. ISIN XS0103928452 XS0103929773
. Type of security Senior Junior
.Class A B
. Rating AAA/Aaa n.r.
. Nominal value issued � 270,000,000 � 90,329,000
. Nominal value at the end of accounting period - � 70,186,536
ORIGINATOR: UniCredit Family Financing Bank S.p.A.
STRATEGIES, PROCESSES AND GOALS:
The main goals of the Strategic Instructions are competitive rate funding and for large amounts
the development of long term loans, with structured freeing up of capital for new investments.
The main benefits are:
- better matching of maturities;
- diversification of funding sources;
- freeing up capital under current rules;
- widening of investor base with lower funding costs.
INTERNAL MEASUREMENT AND RISK MONITORING SYSTEMS: All accounting matters and repayments are monitored on an ongoing basis as part of the Servicer
Activity of UniCredit Family Financing Bank SpA or through Unicredit Banca SpA with the help of
other companies of Group (specially for collecting impared loans UniCredit Credit Management
Bank SpA, and defaulting loans Cu.Re. division of UniCredit Banca SpA. Both oh them are
Subsidiary Servicer provided for specific contract).
ORGANISATIONAL STRUCTURE AND SYSTEM FOR
REPORTING TO SENIOR MANAGEMENT:
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UniCredit Family Financing Bank SpA set up a Coordination Structure (Staff Securitisation) in its
Accounts Department which manages, with help of Specific staff, all accounting matters,
repayments and loans. It also draws up quarterly reports, as required by the agreements with the
SPV and transaction counterparties. The Board of UniCredit Family Financing Bank SpA is
provided with a report with a break down of repayments and the status of loans.
HEDGING POLICIES: The Special Purpose Vehicle bought IRSs as a fair value hedge and Basis Swaps as a cash flow
hedge (and related back to back between Originator and Counterparty).
OPERATING RESULTS: At end-2009 the operating results of securitization transactions reflect the underlying collateral's
cash flow. They depend on the amount of defaults and prepayments, which were in line with nonsecuritized
mortgages.