GENERAL MEETING DRAFT - Bankier.pl

1.3 Other non-consolidated SPVs
405
>> Consolidated Financial Statements
Part E – Information on risks and related risk management policies
The Group is also an investor in structured credit instruments issued by vehicles which are not
consolidated, as these instruments do not bear most of the risk and do not receive most of the return on
the operations carried out by SPVs.
These exposures are mainly held on the books of the Corporate and Investment Banking Division (CIB)
and Unicredit Bank Ireland.
This business was particularly affected by the difficult situation on the financial markets, which began in
2007 and determined a transformation of the structured credit product market into an illiquid market.
Against this background, in 2008 the Group ring-fenced these products in a specific Global ABS Portfolio
managed with the aim of maintaining the holdings, also in view of the fact that the underlyings have good
fundamentals. This portfolio is subject to monitoring and reporting of both credit risk and market risk.
This new strategy has been reflected in the accounts through the reclassification of most of these
positions in the item “loans and receivables to customers” occurred for the most part in the second half of
2008 and, for the remaining, in the first half 2009. See Section 1.4 for information about the effects of this
reclassification.
This portfolio shows the following characteristics:
- high seniority with an insignificant percentage of junior positions;
- predominance of residential mortgage-backed securities and commercial mortgage-backed
securities;
- an insignificant portion of products has US Subprime or Alt-A mortgages as underlyings;
- high rating (over 95% of the positions is classified as “investment grade”)
- mainly concentrated in EU Countries.
Main features of structured credit portfolio
(� thousand)
12.31.2009 12.31.2008
Measurement FV/P&L FV/Equity Amortised cost Total FV/CE FV/Equity Amortised cost Total
Net exposure 557,590 214,650 7,898,756 795,309 589,988 10,636,356
Seniority Senior Mezzanine Junior Senior Mezzanine Junior
Net exposure 6,808,256 1,806,876 55,864 9,151,017 2,767,460 103,176
Asset class RMBS/CMBS CDO/CLO Other ABS and Loans
8,670,996
RMBS/CMBS CDO/CLO Other ABS and Loans
12,021,653
Net exposure 5,093,228 1,840,737 1,737,031 6,175,145 2,616,034 3,230,474
Underlying US Subprime US Alt-A Other US Subprime US Alt-A Other
Net exposure 35,678 52,117 8,583,201 50,973 54,779 11,915,901
Other investment Non investment
Other investment Non investment
Rating % AAA
grade
grade AAA
grade
grade
% on net exposure 50.81% 44.43% 4.76% 100%
78.40% 19.63% 1.97%
100%
Country % US European Other US European Other
% on net exposure 9.92% 82.93% 7.15% 8.17% 82.17% 9.66%
The following table gives Group’s exposure to these instruments, which is limited, viz. 1.04% of total
financial instruments.
Structured credit product exposures broken down by type of financial assets portfolio (� thousand)
Balance sheet exposure as at
12.31.2009
31.12.2008
Financial assets held for
trading
Financial assets measured at
Fair Value
Loans and receivables
Financial assets held to
maturity
Financial assets available for
sale
Total Total
Balance sheet amount 460,307 97,283 7,739,099 159,657 214,650 8,670,996 12,021,653
% IAS portfolio 0.34% 0.65% 1.20% 1.50% 0.62% 0.98% 1.25%