High risk products
As at 31 December 2008, exposure of the Group to certain instruments that the market place considers to be high-risk regards:
- securities resulting from securitisationi transactions (with the exclusion of CDOs - Collateralised Debt Obligations), allocated to both the trading portfolio and to the portfolio of assets available for sale, for a total book value of approximately € 90 million, (1.9% of the securities portfolio). It should be noted that such securitisationi transactions do not include any exposure to subprime mortgagesi, and that 59% of said transactions is comprised of Juniori and Mezzaninei tranches of the securitisations of mortgages granted by the banks of the Group and originating from proprietary vehicles;
- CDOs portfolio, for a book value of approximately € 16 million (0.3% of the aggregate portfolio), comprised of synthetic securitisations which include CDS (Credit Defaulti Swaps), and by securitisations of securitisations with exposures to RMBS (Residential Mortgage-Backed Securities), CMBS (Commercial Mortgage-Backed Securities, ABS (Asset-Backed Securities), and by sub-prime positions with a book value of € 1.6 million (less than 1 thousandth of the aggregate portfolio). It should be noted that 65.6% of the CDOs in the portfolio is above investment gradei, while 51.8% of the total (determined at book value) has a ratingi equal or above "AA";
- securities and derivatives related to leveraged finance transactions comprised of funded and unfunded securities. The former have a book value of € 156 million (equal to 3.2% of the aggregate portfolio) and 89% of these (equal to a nominal value of € 138 million) is structured in a protected/guaranteed format, with the hedging of the specific risk or, in any case, with the provision for the repayment at par at maturity. Unfunded securities are subdivided in credit and interest rate instruments; credit instruments have a notional amount of € 20 million and have a negative economic impact, net of value write-backs, of € 2 million. Interest rate structured derivatives, on the other hand, against a notional amount of € 40 million have a negative impact of roughly € 16 million.
It should be noted that the exposures towards Special Purpose Entities (SPE) are limited to vehicle companies in the securitisationi transactions carried out directly by the Group and included in the consolidation perimeter.
With regard to relations with Lehman Brothers, it should be pointed out that as at 31 December 2008, the Group, was exposed for a nominal amount of € 20 million, written down by € 18 million.