C. SECURITISATION AND SALE OF ASSET TRANSACTIONS
C.1 SECURITISATION TRANSACTIONS Qualitative information (current legislation)
Between 2000 and 2004 the banks of the Banca Carige Group performed four securitisation transactions:
- the first at the end of 2000 relating to non performing loans;
- the second and third, respectively at the end of 2001 and in the first half of 2004, relating to performing credits;
- the fourth at the end of 2002 relating to non performing credits.
Banca Carige undertook the first three transactions, whilst C.R. Savona performed the fourth. Banca Carige undertook the role of service for all four transactions.
The transactions are coordinated and monitored by a dedicated operating unit created within the General Secretariat whose aim is to maintain a unitary perspective of the various aspects of the four transactions.
In particular, the measurement and control of risks arising from the transactions are carried out within the confines of the Group’s Credit Risk Management system with monitoring of the performing components assigned to the Credit Control Division. The performance of each transaction is constantly reviewed by General Management, which provides the Board of Directors with a half-yearly update. An overview of the four transactions is provided below:
a) Banca Carige: securitisation of non performing credits- 2000
Banca Carige sold without recourse to the special purpose entity (SPE) Argo Finance One Srl (company belonging to the Banca Carige Group) non performing loans backed fully or in part by voluntarily or legally imposed guarantees for euro 292.5 million (book value: euro 227.6 million). The sale price agreed was euro 165.3 million.
To finance the acquisition, Argo Finance One Srl issued the following securities: - Senior (class A) securities for euro 40 million;
- Mezzanine (class B) securities for euro 70 million; - Junior (class C) securities for euro 56.5 million.
By the end of 2005, the class A and B issues had been fully repaid.
Class C securities were entirely underwritten by Banca Carige. In January 2006 accumulated interest on these securities had been repaid along with euro 5.6 million in principal. The outstanding consequently amounts to euro 50.9 million.
Following the full reimbursement of the class B securities, Banca Carige received full repayment of the limited recourse mortgage previously granted to the SPE. The extinction of the mortgage meant an advance facility of euro 15 million was no longer necessary and ended potential exposure to risks relating to an interest rate cap. Consequently, the outstanding amounts referring to class C securities represent the Bank’s sole transaction risk.
Banca Carige is servicer for the transaction. Collections in 2005 amounted to euro 28.7 million and servicing commissions totalled euro 1.1 million.
The transaction is proceeding according to the schedule fixed at inception. b) Banca Carige: securitisation of performing loans- 2001
Banca Carige sold without recourse to the SPE Argo Mortgage Srl (in which Carige has a 5 per cent indirect holding through its subsidiary Columbus Carige Immobiliare Srl) 13,858 real estate mortgage loans principally destined for the acquisition of residential property of an overall value at year-end 2001 of euro 511.5 million at a sale price of euro 535.5 million (of which euro 24 million in deferred price via profit extraction, which took into account in particular the excess spread after transaction costs borne at each payment date, intrinsic risk levels of the credits sold, and the risk of early extinction).
To finance the acquisition, Argo Mortgage Srl issued the following securities: - Class A securities for euro 478 million;
- Class C securities for euro 11.5 million; - Class D securities for euro 9.2 million.
The class A, B and C securities are listed on the Luxemburg bond market and were underwritten exclusively by European institutional investors. Class D securities were underwritten by Banca Carige. At 31/12/05, repayments relating to class A securities amounted to euro 258.3 million out of an initial amount of euro 478 million.
Banca Carige provided the SPE with cash collateral amounting to euro 10.4 million.
Banca Carige is servicer for the transaction. Collections in 2005 amounted to euro 66.4 million and servicing commissions totalled euro 0.3 million.
The transaction is proceeding according to the schedule fixed at inception. c) Banca Carige: securitisation of performing loans- 2004
Banca Carige sold without recourse to the SPE Argo Mortgage 2 Srl (in which Carige has a 5 per cent indirect holding through its subsidiary Columbus Carige Immobiliare Srl) 13,272 real estate mortgage loans principally destined for the acquisition of residential property of an overall value at 30th June 2004
of euro 864.5 million at a sale price of euro 925.6 million (of which euro 61.1 million in deferred price via profit extraction, which took into account in particular the excess spread after transaction costs borne at each payment date, intrinsic risk levels of the credits sold, and the risk of early extinction).
To finance the acquisition, Argo Mortgage 2 Srl issued the following A< anc C securities, all listed on the Luxemburg bond market:
- Class A securities for euro 808.3 million; - Class B securities for euro 26.8 million; - Class C securities for euro 29.4 million; - Class D securities for euro 9.2 million.
In January 2006, repayments relating to class A securities amounted to euro 128.4 million out of an initial amount of euro 808.3 million.
Banca Carige provided the SPE with a subordinated loan of euro 22.8 million, which by January 2006 had decreased to euro 16.4 million.
Banca Carige is servicer for the transaction. Collections in 2005 amounted to euro 116.2 million and servicing commissions totalled euro 0.5 million.
The transaction is proceeding according to the schedule fixed at inception.
d) Cassa di Risparmio di Savona: securitisation of non performing loans – 2002
At the end of 2002, C.R. Savona sold without recourse to the SPE Priamar Finance Srl (in which at 14th
January 2004 Carige has a 60 per cent and part of the Carige Group) non performing loans with and without guarantees amounting to euro 68.8 million, with a book value of euro 33.7 million, at a sale price of euro 28 million.
To finance the acquisition, Priamar Finance Srl issued the following securities: - Class A securities for euro 18 million (listed on the Luxemburg bond market); - Class B securities for euro 10.2 million (fully underwritten by C.R. Savona);
In January 2006, repayments relating to class A securities amounted to euro 18 million with euro 6.3 million remaining.
Banca Carige provided the SPE with an advance facility of euro 2.5 million, whilst C.R Savona granted a limited reimbursement loan of euro 22 million.
Banca Carige is servicer for the transaction. Collections in 2005 amounted to euro 5.2 million and servicing commissions totalled euro 0.2 million.
Quantitative information
C.1.1 Exposures arising from securitisation by underlying assets quality (current legislation)
Gross exposure Net
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Gross exposure Net
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Gross exposure Net
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Gross exposure Net
exposu
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Gross exposure Net
exposu
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Gross exposure Net
exposu
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Gross exposure Net
exposu
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Gross exposure Net
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Gross exposure Net
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A. With own underlying
assets 105,520 99,977 22,000 22,000 2,500
a) Impaired 75,195 77,327 22,000 22,000 2,500
b) Others 30,325 22,650
B. With underlying assets of third parties a) Impaired b) Others
Junior
Cash exposures Guarantees given Credit lines
Underlying assets quality / Exposures
Mezzanine Senior Mezzanine Junior Senior Mezzanine Junior Senior
The figures shown in the following tables were calculated on the basis of the following criteria:
1) with regards to the securitisation of non performing loans carried out in 2000 via the SPE Argo Finance One Srl, the carrying value of the Junior securities underwritten by Banca Carige (euro 56,500,000) was inserted inclusive of accrued interest (euro 5,759,000). No related writedowns were recognised. In January 2006, accrued interest was fully paid and reimbursements on Junior securities totalled euro 5.6 million;
2) with regards to the securitisation of performing loans carried out in 2001 via the SPE Argo Mortgage Srl, the carrying value of the Junior securities underwritten by Banca Carige (euro 9,190,000) was inserted inclusive of accrued interest (euro 68,000). In addition to the exposures shown in the table, at 31/12/05 a deferred price credit of euro 15,038,000 was recognised in equity;
3) with regards to the securitisation of performing credits in 2004 via the SPE Argo Mortgage 2 Srl, the assets of which have been fully recognised in equity, the carrying value of the subordinated loans granted by Banca Carige at the sale date of 30/6/06 of euro 22,753,000 was recognised as a gross exposure in accordance with reporting provisions, whilst at 31/12/05 it was recognised as a net exposure (euro 17,278,000). The table also contains, in addition to the exposures referred to above, a deferred price credit amounting to euro 15,443,000; the initial carrying value of this item (euro 61 million) was fully written down as a corresponding entry in shareholders’ equity at 1st
January 2005 in compliance with IAS 39.
4) with regards to the securitisation of non performing credits carried out by the subsidiary C.R. Savona via the SPE Priamar Finance, the carrying value of the Junior securities held by Banca Carige (euro 10,178,000) was inserted inclusive of accrued interest (euro 1,072,000) in addition to the mortgage loan in securities of euro 22,000 granted by Banca Carige as collateral for the class A securities.
C.1.2 Exposures arising from the most important “own” securitisation by type of assets subject to securitisation and exposures (current legilation)
Book value
Value adjustments
Book value
Value adjustments
Book value
Value adjustments Net ex
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Value adjustments Net ex
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Value adjustments Net ex
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Value adjustments Net ex
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Value adjustments Net ex
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Value adjustments Net ex
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Value adjustments
82,767 22,000 2,500
A.1 Argo Finance One Srl
- non performing loans 62,259
A.2 Argo Mortgage Srl
- performing loans 9,258
A.3 Priamar Finance Srl
- non performing loans 11,250 22,000 2,500
C. Not cancelled from the balance sheet 17,210 C.1 Argo Mortgage 2 Srl
- performing loans 17,210
Credit lines Junior
Cash exposures Guarantees given
Mezzanine Junior Senior
Senior Mezzanine Senior
B. Partially cancelled from the balance sheet
Mezzanine Junior
Type of assets subject to securitization / Exposures
A. Fully cancelled from the balance sheet
C.1.4. Exposures towards securitisations by financial assets portfolio and type Exposure/ Portfolio Trading Designated at fair value Available for sale Held Held to maturity Loans 31/12/05 31/12/04 1. Cash exposures 82,767 82,767 85,343 - Senior - Mezzanine - Junior 82,767 82,767 85,343 2. Off-balance exposures - Senior - Mezzanine - Junior
C.1.5 Total amount of assets subject to securitisation underlying to junior securities or other forms of credit support (current legislation)
Assets/Values
Traditional securitisations Synthetic securitisations
A. Own underlying assets: 1,087,353
A.1 Fully cancelled 344,037
1. Non performing 84,565
2. Watchlists
3. Restructured exposures 4. Expired exposures
5. Other assets 259,472
A.2 Partially cancelled 1. Non performing 2. Watchlists
3. Restructured exposures 4. Expired exposures 5. Other assets
A.3 Not cancelled 743,316
1. Non performing 2,133
2. Watchlists
3. Restructured exposures 4. Expired exposures
5. Other assets 741,183
B. Underlying assets attributable to third parties 1. Non performing
2. Watchlists
3. Restructured exposures 4. Expired exposures 5. Other assets
C.1.6 Interests in vehicle companies (current legislation)
Name Registered Head Office
Argo Finance One Srl Genova 60%
Priamar Finance One Srl Genova 60%
Argo Mortgage Srl Genova 5% (1)
Argo Mortgage 2 Srl Genova 5% (1)
Interest %
C.1.7 Servicer activity – revenues on the credits subject to securitisation and repayments of the securities issued by the vehicle companies (current legislation)
Impaired Performing Impaired Performing Impaired Performing
Banca Carige Argo Finance One Srl 64,394 28,735 100% 100%
Banca Carige Priamar Finance Srl 18,485 5,193 50%
Banca Carige Argo Mortgage Srl 261,158 66,426 49%
Banca Carige Argo Mortgage 2 Srl 743,316 116,178
Junior Securitised credits collected during the yearAmounts of loans % of securities reimbursed
Performing Impaired Performing Impaired SPE Servicer Senior Mezzanine