1. Financial assets and liabilities broken down by contractual residual duration – Currency Euro

Items/Duration

on demand

over 1 day up to 7 days

over 7 days up to 15 days

over 15 days up 1 month

over 1 month up to 3 months

over 3 months up to 6 months

over 6 months up to 1 year

over 1 year up to 5 years

over 5 years

Indefinite

duration

Cash assets

737,074

56,081

58,713

111,817

441,856

450,413

200,207

525,743

22,925

106

A.1 Government securities

-

-

-

-

9,972

298,040

70,450

147,067

-

-

A.2 Other debt securities

-

-

-

-

9,006

9,985

42,080

315,251

-

-

A.3 O.E.I.C. units

-

-

-

-

-

-

-

-

-

-

A.4 Loans to

737,074

56,081

58,713

111,817

422,878

142,388

87,677

63,425

22,925

106

- banks

101,366

17,000

10,000

3,021

-

-

-

-

-

106

- customers

635,708

39,081

48,713

108,796

422,878

142,388

87,677

63,425

22,925

-

Cash liabilities

645,232

534,328

158,717

585,240

282,454

189,086

159,411

-

-

-

B.1 Deposits and current accounts

645,232

108,402

92,395

259,629

282,454

189,086

159,411

-

-

-

- banks

72,079

72,000

35,000

170,471

33,072

20,000

-

-

-

-

- customers

573,153

36,402

57,395

89,158

249,382

169,086

159,411

-

-

-

B.2 Debt securities

-

-

-

-

-

-

-

-

-

-

B.3 Other liabilities

-

425,926

66,322

325,611

-

-

-

-

-

-

Off-balance-sheet transactions

 

 

 

 

 

 

 

227

 

 

C.1 Financial derivatives with exchange of underlying assets

 

 

 

 

 

 

 

 

 

 

- long positions

 

 

 

 

 

 

 

 

 

 

- short positions

 

 

 

 

 

 

 

 

 

 

C.2 Financial derivatives with exchange of underlying assets

 

 

 

 

 

 

 

 

 

 

- long positions

 

 

 

 

 

 

 

 

 

 

- short positions

 

 

 

 

 

 

 

 

 

 

C.2 Deposits and loans to be received

 

 

 

 

 

 

 

 

 

 

- long positions

 

 

 

 

 

 

 

 

 

 

- short positions

 

 

 

 

 

 

 

 

 

 

C.3 Irrevocable commitment to grant funds

 

 

 

 

 

 

 

 

 

 

- long positions

 

 

 

 

 

 

 

 

 

 

- short positions

 

 

 

 

 

 

 

 

 

 

C.5 Financial guarantees granted

 

 

 

 

 

 

 

227

 

 

Self-securitisation transaction

On 13 October 2008, Banca IFIS, together with Securitisation Services S.p.A. as the Arranger, BNP Paribas S.p.A. as the Co-arranger and IFIS Collection Services S.r.l., the vehicle company set up deliberately for the transaction, initiated a revolving securitisation programme involving Banca IFIS transferring, non-recourse and as per Law 130/99, a portfolio of performing trade receivables due from assigned debtors, previously purchased by the Bank from its customers as part of its factoring activities.

The program has a five-year duration and involves the transfer of a trade receivables portfolio due from blocks of assigned debtors, according to particularly strict and rigorous contractually defined eligibility criteria, in order to guarantee the positive performance of the transferred portfolio.

The transfer price of the receivables portfolio is equal to the nominal amount less a discount of 0.80%. Payment by the vehicle to Banca IFIS is made partly on the transfer date (initial purchase price) and is partly deferred (deferred purchase price). The deferred purchase price is paid by the special purpose vehicle once funds from the receipt of receivables are effectively available and is actively updated at each disposal date, on the basis of the criteria envisaged by the securitisation program.

With regard to the securitisation program, the special purpose vehicle IFIS Collection Services S.r.l. issued limited-recourse, asset-backed securities for an initial amount of 280 million Euro. In consideration of the further significant growth in the securitised receivables portfolio, in May 2009 a further tranche of Class A2 securities was issued for 48 million Euro, which increased the overall nominal amount of the securities to 328 million Euro. This tranche too was fully underwritten by Banca IFIS.

The securities may be used in full for refinancing operations at the European Central Bank, also in light of the regulatory developments introduced by Guideline no. 1 of the European Central Bank of 4 March 2010.

In compliance with IFRS, the securitisation transaction, as is, does not involve the substantial transfer of all risks and rewards and hence does not satisfy the IAS 39 requirements for derecognition.

Exposure to high risk instruments

In consideration of the goals which it pursues and the technical structure of transactions for the revolving securitisation of performing trade receivables as described above, the Banca IFIS Group has no exposure or risks arising from the trading or the holding of structured credit products, whether these are carried out directly or through special purpose vehicles or bodies which are not consolidated. In particular, it is important to highlight that the securitisation transactions have not caused the removal of any risk from the Group’s balance sheet assets, since the prerequisites envisaged by IAS 39 on so-called derecognition have not been satisfied. In the same way, the underwriting of the securities arising from the securitisation has not added any risk or changed the presentation of the financial statements compared to that prior to the above securitisation transactions. In reference to the Recommendation set out in the Report of the Financial Stability Forum of 7 April 2008, Appendix B, it is thus possible to state that there are no positions held with instruments which the market considers high risk or which imply a greater risk than was considered previously.