GENERAL MEETING DRAFT - Bankier.pl

Securitized assets broken down by asset quality
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>> Consolidated Financial Statements
Part E – Information on risks and related risk management policies
Funded securitization structures originated by the Group mainly have as underlyings residential
mortgages originated in Italy corporate loans originated in Germany and leasing granted to Italian
counterparties.
Synthetic securitization structures have mainly residential mortgages and loans to Corporate and Small
Medium Entities originated in UE countries as underlyings.
Performing assets account for 96.99% of traditional securitizations’ portfolio and 97.4% of synthetic
transactions’ portfolio.
The Group is not an originator of securitizations having as underlying US residential mortgages, neither
prime nor subprime nor Alt-A.
The fair value of assets sold and not derecognized exceeds the carrying amount by over �1,200 million.
1.2 Other Consolidated SPVs
Amounts as at 12.31.2009
(� thousands)
Other assets
(performing)
Impaired assets Total
Synthetic transactions
- Residential mortgage loans 12,258,773 224,291 12,483,064
- Commercial mortgage loans 3,119,466 25,003 3,144,469
- SME loans 8,117,644 268,099 8,385,743
- Corporate loans 23,954,291 748,633 24,702,924
-Others 22,861 200 23,061
Total 47,473,035 1,266,226 48,739,261
SPVs which do not perform securitization transactions of Group assets, but whose risks are mainly borne
by the Group, which also receives their returns, are consolidated as well, even if they do not belong to
the Banking Group.
Consolidation of these vehicles is required by IAS 27, and by the related interpretation SIC 12.
Starting from 2007, the consolidation perimeter includes vehicle companies sponsored by the Group and
issuing commercial papers (so-called Asset Backed Commercial Paper Conduits) and set up both as
multi-seller customer conduits to give clients access to the securitization market, and as arbitrage
conduits.
In particular, Arabella Finance Ltd., Salome Funding Ltd. and Black Forest Funding Corp. are Customer
Conduits, while Bavaria Universal Funding Corp. falls within the category of Arbitrage conduits.
Additionally, also the following vehicles are now included in consolidation, as they now meet the
requirements provided by the above mentioned SIC 12 and the consolidation requirements under IFRS
(see Part A, Section 3 – Consolidation Procedures and Scope): Altus Alpha Plc, Grand Central Funding
Corp., Redstone Mortgages Plc and a further 11 vehicles operating in Tender Option Bond (TOB).
Customer conduits require the formation and management of a bankruptcy-remote company (i.e., one
that would be immune from any financial difficulties of the originator) which directly or indirectly buys
receivables created by companies outside the Group.
The receivables underlying these transactions are not bought directly by the conduit set up by the Group,
but by a purchase company which in turn is wholly funded by the conduit by means of commercial paper
or medium term notes.