GENERAL MEETING DRAFT - Bankier.pl

A breakdown of the Group’s gross and net exposure to structured credit products
Structured credit product exposures
Exposure type
2009 CONSOLIDATED REPORTS AND ACCOUNTS
Amounts as at 12.31.2009
Gross exposure
(nominal amount)
(� thousands)
Net exposure
(carrying amount)
RMBS 3,760,849 3,579,329
CMBS 1,671,790 1,513,899
CDO 810,964 457,409
CLO/CBO 1,803,078 1,383,328
ABS others 1,512,854 1,313,571
Loans 423,460 423,460
Total 9,982,995 8,670,996
Cash exposure, as mentioned, consists almost entirely of asset backed securities amounting to �
8,247,536 thousand mainly held in the Global ABS portfolio in the books of the CIB and UniCredit Bank
Ireland.
Following tables reports, respectively for ABS, loans and guarantees, the exposure amount together with
their seniority.
The tables do not show the ABSs originated by UniCredit securitizations, whether synthetic or traditional.
These are shown in the table given in the ‘Group as Originator’ section above.
Structured credit product exposures broken down by subordination degree
(� thousands)
Amounts as at 12.31.2009
Exposure type Senior Mezzanine Junior Total
-RMBS 3,063,312 506,954 9,063 3,579,329
-Prime 2,820,945 375,302 - 3,196,247
- Subprime 5,463 9,905 4,805 20,173
- Nonconforming 236,904 121,747 4,258 362,909
-CMBS 1,145,857 368,042 - 1,513,899
- CDO 250,403 206,762 244 457,409
- CDO of ABS / CDO of CDO 3,745 57,312 - 61,057
- CDO Balance Sheet 144,596 1,837 - 146,433
- CDO Market Value - - -
- CDO Preferred Stock - 61,662 - 61,662
- CDO Synthetic Arbitrage 16,041 6,470 196 22,707
- CRE CDO 20,049 8,503 - 28,552
- CDO others 65,972 70,978 48 136,998
-CLO/CBO 1,047,987 329,810 5,531 1,383,328
-CLOSME 197,384 124,637 130 322,151
- CLO arbitrage/balance sheet 415,210 80,307 251 495,768
- CLO / CBO altri 435,393 124,866 5,150 565,409
- Consumer loans 422,021 40,882 - 462,903
- Credit cards 108,232 9,302 - 117,534
- Student loans 70,683 47,590 - 118,273
- Leasing 223,367 50,974 - 274,341
- Others 277,243 32,797 30,480 340,520
Total balance sheet exposures 6,609,105 1,593,113 45,318 8,247,536
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