1.1 Credit risk

Qualitative information

General aspects.

The banking group currently operates in the following fields:

Acquisition and management of trade receivables in Italy and abroad; business abroad is undertaken through both the internal structures of the Parent Company (International Area) and the subsidiary IFIS Finance; the offer of financial and credit management support is mainly aimed at the segment of Small- and Medium-sized Enterprises;

  • acquisition and management of non-performing loans;
  • acquisition and management of tax receivables.

The Treasury Department's operations complement such activities, and although they are particularly significant on certain occasions, they do not change the mission of the banking Group, which continues to be focused on providing financial and credit management support to Small and Medium-sized Enterprises.

The factoring activity is characterised by the direct assumption of risks related to granting advances and loans, as well as guarantees, if any, on trade receivables of mainly small- and medium-sized enterprises, according to expansion strategies defined and pursued by the Group. With the inclusion in the Banca IFIS Group’s scope of the former Toscana Finanza Group, the traditional factoring business has been complemented with the business of acquiring non-performing financial, trade and tax receivables with different risk profiles. The sellers are typically banks, financial institutes, insolvency proceedings and businesses.

The companies of the former Toscana Finanza Group do not grant financial guarantees or take on commitments other than those connected to the acquisition of the aforementioned receivables.

Given the particular business of the Group’s companies, credit risk is the most important element to consider as far as the general risks assumed by the Group are concerned. The maintenance of effective credit risk management is a strategic objective for the Banca IFIS Group, pursued through the adoption of integrated tools and processes that ensure correct credit risk management in all its phases (preparation, lending, monitoring and management, intervening on troubled loans).

Vis-à-vis surplus liquidity, if any, the Banca IFIS Group carries out operations involving very short-term deposits with highly creditworthy banking counterparties. Given the counterparties, the short time frames and the modest amounts involved, the credit risk associated with this activity is particularly low.

During 2012 the Group continued to purchase bonds classified under available for sale and held to maturity financial assets and, to a lesser extent, loans and receivables due from banks. These financial assets, which due to their classification are included in the banking book’s scope even though they are not involved in the Bank's traditional lending activity, give rise to credit risk. The risk lies in the issuer’s inability to repay in part or in full its obligations on maturity. However, bonds held by the Banca IFIS Group consist almost entirely of Italian Government bonds and, to a lesser extent, bank bonds. The bond portfolio average maturity is approximately twenty-one months and the maximum maturity per individual asset is higher than five years.

The further growth in bond purchases does not represent a change in the Group’s strategic direction. The nature of the securities portfolio, originally held to hedge the liquidity risk arising from the potential volatility of online funding introduced with the rendimax account and the potential instability seen on the traditional interbank market in recent years, has gradually changed over time. This was the result of both the size and composition of online funding, which has grown remarkably in size and rests on a growing fixed-term element, and the greater funding possibilities arising from the extraordinary interventions decided by the monetary authorities in recent years which, without subtracting financial resources from the main area of business lending, offer interesting profit opportunities. The establishment of a cash-equivalents portfolio also meets the need to act ahead of the increasingly strict prudential regulation in relation to the governance and management of liquidity risk (Basel 3).

The Banca IFIS Group does not carry out any activity involving credit derivatives.

Credit risk management policies. Organisational aspects

Credit risks in the factoring activity directly arise from financing the business customers and guaranteeing them, when requested, against the account debtor’s default. Credit risk management takes place during two specific phases of the credit process: the initial credit assessment phase and, in case of positive outcome, during the entire relationship with the seller/debtor counterparties. In order to increase the quality of its credit portfolio, Banca IFIS deemed it appropriate to concentrate the main phases related to risk assumption and control within the factoring activity in the Bank's Head Office, allowing for a high degree of homogeneity in lending and to strictly monitor individual positions through the specialisation of resources and separation of functions at all decision-making levels. This is also true for the subsidiary IFIS Finance, whose decisions are taken within the operational and organisational limits defined by the Parent Company, Banca IFIS.

In the first phase of the risk management process, the organisational structure responsible for such activities shall assess the creditworthiness of the seller and debtor counterparties, the nature of the commercial relationship between them and the quality of the receivables factored. A multi-level system of delegations and decision-making powers allows the most senior analysts to assume increasingly growing, but still modest, risks. Greater risks can be taken on by service and area managers. As for higher amounts, powers are attributed solely to the General Manager, the Chief Executive Officer, the Credit Committee, and the Board of Directors.

The Bank’s branches do not have decision-making powers as for the assumption of credit risk. Rather, they have the responsibility of doing business in the local area and managing relationships with customers. Therefore, within the limits and formalities established by the Head Office’s competent bodies, branches manage ordinary operations with customers under the constant monitoring of the Head Office.

Qualified and specialised staff follow all stages of a relationship: from sale of the receivables to the granting of advances, from the administrative management of the receivables to their collection, from the identification of anomalies, if any, to the verification and definition of the most appropriate initiatives to recover the debt, also with support from the Legal Department, if necessary.

  • The integration of the former Toscana Finanza Group led the Banca IFIS Group to operate also in the acquisition of non-performing loans in the following business areas:
  • tax receivables usually acquired from insolvency proceedings and due from tax authorities;
  • financial receivables acquired from consumer credit companies, banks and leasing companies;
  • trade receivables acquired from insolvency proceedings and companies.

Acquiring the different types of receivables is a fundamental aspect of the credit process and is carried out in various ways, designed and implemented based on the experience gained over the years. In this stage, the Group sets the terms and conditions for the acquisition of the receivables portfolio and how to manage it (analytical or aggregate method), assessing the relevant impact on operating structures.

In order to collect non-performing loans relating to the scope of the former Toscana Finanza Group, the Banca IFIS Group can count on not only an in-house legal office, but also a widespread and proven network of credit collection companies operating throughout Italy. This structure, together with numerous lawyers located near the courts, ensures the utmost flexibility and effective and timely action to recover all types of debt.

With the acquisition of the former Toscana Finanza Group, also the subsidiary TF SeC S.r.l. joined the Banca IFIS Group. TF SeC S.r.l. carried out ancillary activities of corporate consultancy and professional assessment of non-performing loans. The procedure to liquidate TF SeC S.r.l is about to start.

The Banca IFIS Group is particularly concerned to concentrate credit risk for all the Group’s companies both at an individual and consolidated level. Banca IFIS’s Board of Directors has delegated the Top Management to take action to contain large risks. In line with the Board of Directors’ instructions, all positions at risk which significantly expose the Group, even if amounting to less than 10% of regulatory capital, are systematically monitored.

Management, measurement and control systems

The operational procedure governing Banca IFIS Group’s credit process within the traditional factoring activity is audited during the year and expressly requires a thorough and analytical assessment of all the counterparties (both the seller and the account debtor) involved in the factoring relationship.

These operations do not include statistics-based assumption of credit risks.

Within the factoring activity, credit risk is constantly monitored by means of procedures and instruments allowing to rapidly detect particularly anomalous positions.

Banca IFIS Group’s main instrument of assessment and control is the Internal Rating System (IRS). During the assessment stage, the IRS allows the analysts to:

  • define the credit standing and counterparty rating of the seller and the debtor
  • immediately identify the risk in each individual cash advance or financing operation;
  • define adequate pricing for each class of risk right from the initial feasibility study.

Following a positive assessment, the IRS, which constantly draws on selected databases, allows to monitor the credit risk associated with the acquired counterparties.

Protests, prejudicial events or signs of non-performing loans automatically lead to suspension of operations. The ensuing analysis aims to assess the seriousness of the anomalies and whether the problems are permanent or temporary, so as to decide whether to maintain the relationship or reduce the exposures.

At present, due to the type of databases used (Central Credit Register, protests and prejudicial events, etc.), the IRS is fully operational in both the assessment and monitoring phases for domestic counterparties or those with Italian offices. Other counterparties are assessed only by using the financial statement analysis form and, should they maintain relationships with other Italian banks, the Central Credit Register form.

As for the activities carried out by Banca IFIS following the merger of the companies in the former Toscana Finanza Group, in order to ensure increasingly efficient control over the operations undertaken, investments have been made in information systems, with the adoption of solutions and procedures to manage the various business sectors. To manage its credit risk Banca IFIS has implemented a system to monitor the cash flows generated by the collection of receivables and to analyse the profitability of the receivables portfolio. This work is followed by a periodic review of the technical foundations underpinning the projections of expected cash flows.

Among the activities related to the former Toscana Finanza Group, the purchases of non-performing loans are particularly significant. Those loans are classified as from their purchase under impaired

assets. Since these are financial receivables (purchased from consumer credit companies, banks and leasing companies) and, to a lesser extent, trade receivables (acquired from insolvency proceedings and companies) which, in light of the characteristics of the receivable and the invoice seller, are duly classified in portfolios homogeneous in terms of management and collection methods (judicial and non-judicial). In particular, the Bank implements the following methods:

- mass management, characterised by non-judicial collection operations carried out mainly by specialist collection agencies;

- analytical management, characterised by judicial collection operations carried out mainly with the help of specialist external law firms.

As for the credit risk associated with the bond portfolio, reminding that it is made up mainly of Italian government bonds and to a lower extent of short-term bank bonds, the Banca IFIS Group constantly monitors the credit quality of the bond issuers. The Risk Management Department periodically reports to the bank's Board of Directors and Top Management on the composition of the bond portfolio.

As for Basel 2 principles for calculating capital requirements against first-pillar credit risks, the Bank chose to adopt the Standardised Approach.

Credit risk mitigation techniques

Within the factoring activity, when the type and/or quality of factored receivables do not fully satisfy requirements or, more generally, the invoice seller is not sufficiently creditworthy, the bank’s established practice is to hedge the credit risk assumed by the Group by obtaining additional surety bonds from the shareholders or directors of the invoice seller.

As for the account debtors in factoring relationships, wherever the Bank believes that the elements available to assess the account debtor do not allow to properly measure/assume the related credit risk, or the proposed amount of risk exceeds the limits identified during the debtor’s assessment, the Bank shall properly hedge the risk of default of the account debtor. Guarantees issued by correspondent factors and/or insurance policies underwritten with specialised operators are the main hedge against non-domestic account debtors in non-recourse operations.

As for the former Toscana Finanza Group’s non-performing loans business and the relevant business model, generally no action is taken to hedge credit risks.

Impaired assets

With reference to factoring activities, relationships with customers are constantly monitored by the competent Head Office’s department, based both on detected trends and monitoring instruments implemented for counterparties at risk (Central Credit Register, protests and prejudicial events, etc.). Should anomalous trends and/or prejudicial elements arise on the part of the counterparty, the situation is placed under watch and the Head Office’s Credit Management Area directly supervises the branch’s management of the relationship until the anomalies have been overcome.

Should the situation deteriorate or become critical, the Troubled Loans Area – Monitored Positions Department takes over the management of the relationship. Following appropriate evaluation, it decides whether to maintain the position until the problems have been overcome or reduce the exposure. Based on available information, it also considers whether or not to classify the counterparty under non-performing loans or subjective substandard loans.

Managing impaired positions, either substandard or non-performing loans, normally falls under the responsibility of the Troubled Loans Area – Disputes Department, which takes the most appropriate actions to hedge and recover debts, periodically reporting to the Top Management and the Board of Directors on the issue. If it is believed that the problems encountered by the seller and/or the debtor could be successfully overcome with the Bank adequately hedging the credit risk, the position may be restructured and placed, once again, under the management and monitoring of the Monitored Positions Department or, if appropriate, to the Customer Area.  

Impairment losses, upon proposal by the Disputes Department, are assessed by the Top Management and subject to resolution by the Board of Directors.

A similar process is formally in place also for IFIS Finance Sp. Z o.o. Nonetheless, it should be noted that the subsidiary has only marginal exposure to deteriorated assets.

The activities undertaken by Banca IFIS following the merger of the companies in the former Toscana Finanza Group concern the acquisition, management and collection of non-performing loans. Excluding tax receivables due from the Public Administration, a significant proportion of the remaining receivables are classified under impaired assets. The purchase of receivables at amounts well below their par value and cash flows generally higher than the price paid minimise the risk of losses.

As for impaired loans acquired and not yet collected, the total par value of the portfolio is around 3.592,7 million Euro, acquired for approximately 104,6 million Euro, i.e. an average price equal to 2,9% of the par value. The average price of the loans acquired after the business combination (30 June 2011), nonetheless, stood at much lower values (average price paid equal to 1,9% related to a 59,2% share of the total nominal portfolio outstanding at the end of the year). The overall portfolio of impaired loans acquired and not yet collected has an overall weighted average life of around 28 months compared to their purchase date. Amounts collected during the year fell short of the cash flows expected from the simulation model for mass management by 16,7% on average and outperformed the estimates for the analytically-valued receivables portfolio by 5,4% on average.

Nonetheless, it should be noted that during 2012 new bills of exchange were collected for 35.3 million Euro compared to initial low expectations for this form of debt repayment.

Should the loans be classified as non-performing, or should they become objectively impaired, the changes in the amortised cost calculated by discounting the new cash flows at the original effective interest rate compared to the prior-year amortised cost are recognised under item 130 Net impairment losses/reversals on receivables.

Non-performing loans are valued at amortised cost; the cash flows used for calculating the amortised cost are estimated with a statistical model based on the historical time series on collection activities undertaken by Toscana Finanza in the period 2005-2010

In the first half of the year the statistical model was calibrated; indeed, both Italy’s economic situation and the Bank’s operations have changed since the time the statistical model was implemented. The calibration was aimed in the first place at finding out whether the statistical model was still generating simulations close to reality; then, based on the outcome of this review, the Bank adjusted the parameters necessary for the cash flow simulation. The model was calibrated using the historical time series for 2009-2012.

The effects of the calibration resulted in changes both in the estimate of expected cash flows (which grew from 150 million Euro to 167 million Euro approximately) and collection times (from 248 months to 285 months approximately)

The calibration’s impact on the income statement and the statement of financial position was negligible.  

 

Quantitative information

A. Quality of credit

A.1 Impaired and performing loans: amounts, impairment losses/reversals of impairment losses, trend, economic and geographical distribution

A.1.1 Distribution of financial assets by portfolio and credit quality (carrying amounts)

Portfolio/quality Banking group Other companies Total
Non performing loans Substandard loans Rescheduled loans Overdue loans Other Impaired Other
1. Financial assets held for trading - - - - - - - -
2. Available for sale financial assets - - - - 1.961.556 - - 1.961.556
3. Financial assets held to maturity - - - - 3.120.428 - - 3.120.428
4. Due from banks - - - - 545.527 - - 545.527
5. Due from customers 115.252 204.193 7.910 112.820 1.852.139 - - 2.292.314
6. Financial assets measured at fair value - - - - - - - -
7. Financial assets under disposal - - - - - - - -
8. Hedging derivatives - - - - - - - -
Total 31.12.2012 115.252 204.193 7.910 112.820 7.479.650 - - 7.919.825
Total 31.12.2011 74.021 158.097 3.897 41.685 3.431.761 - - 3.709.461
 

Equity securities and OEIC units are not included in the following table. 

A.1.2 Distribution of exposures by portfolio and credit quality (gross and net amounts)

Portfolio/quality Impaired loans Performing Total (net exposure)
Gross exposure Specific impairment losses Net exposure Gross exposure Specific impairment losses Net exposure
A. Banking group              
1. Financial assets held for trading - - - X X - -
2. Available for sale financial assets - - - 1.961.556 - 1.961.556 1.961.556
3. Financial assets held to maturity - - - 3.120.428 - 3.120.428 3.120.428
4. Due from banks - - - 545.527 - 545.527 545.527
5. Due from customers 586.653 146.478 440.175 1.861.138 8.999 1.852.139 2.292.314
6. Financial assets measured at fair value - - - X X - -
7. Financial assets under disposal - - - - - - -
8. Hedging derivatives - - - X X - -
Total A 586.653 146.478 440.175 7.488.649 8.999 7.479.650 7.919.825
B. Other companies included in the consolidation scope              
1. Financial assets held for trading - - - X X - -
2. Available for sale financial assets - - - - - - -
3. Financial assets held to maturity - - - - - - -
4. Due from banks - - - - - - -
5. Due from customers - - - - - - -
6. Financial assets measured at fair value - - - X X - -
7. Financial assets under disposal - - - - - - -
8. Hedging derivatives - - - X X - -
Total B - - - - - - -
Total 31.12.2012 586.653 146.478 440.175 7.488.649 8.999 7.479.650 7.919.825
Total 31.12.2011 376.190 98.490 277.700 3.437.187 5.614 3.431.761 3.709.461
 

Equity securities and OEIC units are not included in the following table.

In compliance with paragraph 37, letter a) of IFRS 7 “Financial Instruments: Disclosures”, here below is the maturity analysis for past due amounts relating to performing loans – Other loans.

 

(in thousand of Euros) 31.12.2012 31.12.2011
Overdue up to 3 months 207.043 170.142
Overdue > 3 months 6 months 1 year 232.855 161.398
Total 678.170 611.905

A.1.3 Banking group - Cash and off-balance-sheet exposure with banks: gross and net amounts

Types of loans/values
Gross exposure
Specific net impairment
losses
Portfolio
impairment losses
Net exposure
A. CASH EXPOSURE        
a) Non-performing loans - - X -
b) Substandard loans - - X -
c) Rescheduled loans - - X -
d) Overdue loans - - X -
f) Other 619.336 X - 619.336
Total A 619.336 - - 619.336
B. OFF-BALANCE-SHEET EXPOSURES        
a) Impaired - - X -
b) Other 196.693 X - 196.693
Total B 196.693 - - 196.693
TOTAL A+B 816.029 - - 816.029
 

Cash exposures include all cash financial assets due from banks, regardless of their portfolio category (held for trading, available for sale, held to maturity, loans and receivables etc.).

The Banca IFIS Group does not hold impaired loans due from banks: therefore, tables A.1.4 and A.1.5 are not included.

A.1.6 Banking group – Cash and off-balance-sheet exposures with customers: gross and net amounts 

Types of loans/values Gross exposure Specific net impairment losses Portfolio impairment losses Net exposure
A. CASH EXPOSURE        
a) Non-performing loans 238.071 122.820 X 115.251
b) Substandard loans 226.285 22.091 X 204.194
c) Rescheduled loans 9.048 1.138 X 7.910
d) Overdue loans 113.249 429 X 112.820
f) Other 6.869.313 X 5.469 6.860.314
TOTAL A 7.459.495 150.007 5.469 7.300.489
B. OFF-BALANCE-SHEET EXPOSURES        
a) Impaired 1.829 - - 1.829
b) Other 73.636 X X 73.636
TOTAL B 75.465 - - 75.465
TOTAL (A+B) 7.534.960 150.007 5.469 7.375.954
   

Cash exposures include all cash financial assets due from customers, regardless of their portfolio category (available for sale, held to maturity, loans and receivables).

A.1.7 Banking group – Cash exposures with customers: trends in gross impaired loans

Type/Categories Non-performing loans Substandard loans Rescheduled loans Overdue loans
A. Opening gross exposure 169.507 160.508 4.423 41.762
- of which: transferred and not derecognised - - - -
B. Increases 93.167 315.967 13.138 520.047
B.1 inflows from performing loans 1.011 121.281 3.742 413.030
B.2 transfers from other impaired loan categories 64.404 55.377 1.307 6.226
B.3 other increases 27.752 139.309 8.089 100.791
C. Reductions 24.603 250.190 8.513 448.560
C.1 outflows to performing loans - 23.915 - 231.735
C.2 derecognitions 3.405 520 - 30
C.3 collections 11.192 57.097 8.513 134.497
C.4 collections from transfers - - - -
C.5 transfers to other impaired loan categories - 71.131 - 56.183
C.6 other reductions 10.006 97.527 - 26.115
D. Closing gross exposure 238.071 226.285 9.048 113.249
- of which: transferred and not derecognised - - - -
 

Total net impaired assets for the year totalled 440,2 million Euro, against 277,7 million Euro at the end of 2011 (+58,5%). This increase was largely due to the rise in past due loans; indeed, as from 1 January 2012 the prudential law in force for the purposes of identifying past due loans sets the limit at 90 days, instead of 180 days as up to 31 December 2011. In particular, the rise in past due loans is largely attributable to receivables from the Public Administration and recourse loans. By way of comparison, it is noted that by applying the new limit of 90 days to the loans outstanding at 31 December 2011, net impaired assets at that date would have totalled 353.544 thousand Euro, and therefore the increase would amount to 24,5% rather than 58,5%.

The increase is also due to receivables in the NPL sector, rising from 86.735 thousand Euro to 104.044 thousand Euro (+20%). The Toscana Finanza division’s business is by nature closely associated with recovering impaired assets. Therefore, loans in the NPL sector are recognised under non-performing or substandard loans. In particular, those loans maintain the same classification as that assigned by the invoice seller, provided the latter is subject to the same law as Banca IFIS: otherwise, if the Bank has not ascertained the debtor's state of insolvency, those loans are classified as substandard.

Total non-performing loans due from customers, net of impairment, were 115,3 million Euro at 31 December 2012, compared to 74 million Euro, with 36 million Euro in the NPL sector, compared to 7,8 million Euro.

At December 2012 substandard loans totalled 204,2 million Euro, compared to 158,1 million Euro in 2011, of which 68,1 million Euro relating to the NPL segment (compared to 78,9 million Euro). In 2012 part of the exposure to a real estate group was recognised under non-performing or substandard loans (31,5 million Euro gross of impairment losses, equal to 17,6 million Euro recognised in the second half of 2012, based on the group's recent corporate results and the reference market trends. The residual net exposure is 14 million Euro, broken down into 1,7 million Euro in non-performing loans and 12,3 million Euro in substandard loans. It should be noted that the Bank has no further significant exposure to the real estate industry.

As envisaged by the instructions of Bank of Italy, the item “substandard loans” also includes the so-called “objective substandard loans with recourse” which, due to the particular business undertaken by the Bank, are not deemed to represent particular problems. Specifically, “objective substandard loans with recourse” relate to loans to invoice sellers, whose account debtors show strong delays in

payments. The Bank believes these positions are not objectively problematic, as payment delays on the part of the account debtor do not necessarily correspond to an objective financial difficulty of the invoice seller. If the Bank finds out that the invoice seller is also facing difficulties in fulfilling its commitments, the position is already automatically recorded under subjective substandard loans.

Past due loans totalled 112,8 million Euro, compared with 41,7 million Euro for the previous financial year. This increase was due to the reasons set out in the comment on impaired assets.

Lastly, it should be noted that net past due loans refer for 44,5 million Euro to receivables due from the Public Administration purchased outright within the factoring activity. Given the debtors and the quality of credit, we believe these positions are not subject to impairment. Furthermore, those positions, based on current regulations and contract law, bear interest on arrears that, in line with the market best practices, was conservatively recognised in the financial statements subsequent to the definition of judicial and non-judicial collection actions brought by the Bank.

A.1.8 Banking group – Cash credit exposures to customers: trends in total impairment losses/reversals of impairment losses

 

Type/Categories Non-performing loans Substandard loans Rescheduled loans Overdue loans
A. Opening balance of total impairment losses/ reversals of impairment losses 95.476 2.411 526 77
- of which: transferred and not derecognised - - - -
B. Increases 33.022 24.754 680 352
B.1 Impairment losses 29.345 24.754 680 -
B.1 Bis perdite da cessione - - - -
B.2 Transfers from other impaired loan categories 3.667 - - -
B.3 Other increases 10 - - 352
C. Reductions 5.678 5.074 68 -
C.1 Impairment reversals from measurement 4.436 1.188 60 -
C.2 Impairment reversals from collection 817 1 - -
C. 2 Bis utili da cessione - - - -
C.3 Derecognitions 425 - - -
C.4 Transfers to other impaired loan categories - 3.667 - -
C.5 Other reductions - 218 8 -
D. Closing balance of total impairment losses/ reversals of impairment losses 122.820 22.091 1.138 429
- of which: transferred and not derecognised
       

A.3 Distribution of guaranteed credit exposures by guarantee type

A.3.1 Banking group – Guaranteed credit exposures to banks

  Net exposure Collateral(1) Personal guarantees (2) Total (1) (2)
Credit derivatives Unsecured loans
CLN Other derivatives
Property mortgages Property finance leases Securities Other collateral Governments and central banks Other public bodies Banks Other subjects Governments and central banks Other public bodies Banks Other subjects
1. Cash exposures: 4.728 - - 5.001 - - - - - - - - - - 5.001
1.1 wholly guaranteed 4.728 - - 5.001 - - - - - - - - - - 5.001
- of which impaired - - - - - - - - - - - - - - -
1.2 partially guaranteed - - - - - - - - - - - - - - -
- of which impaired - - - - - - - - - - - - - - -
2. Guaranteed off-balance sheet exposures: - - - - - - - - - - - - - - -
2.1 wholly guaranteed - - - - - - - - - - - - - - -
- of which impaired - - - - - - - - - - - - - - -
2.2 partially guaranteed - - - - - - - - - - - - - - -
- of which impaired - - - - - - - - - - - - - - -
     

A.3.2 Banking group – Guaranteed credit exposures to customers

  Net exposure Collateral guarantees (1) Personal guarantees (2)
Credit derivatives Endorsement credits
CLN Other derivatives Total (1) (2)
Property mortgages Property finance leases Securities Other collateral guarantees Governments and central banks Other public entities Banks Other subjects Governments and central banks Other public entities Banks Other entities
1. Guaranteed cash exposure: 500.572 42.390 - 138.351 - - - - - - - - 9.500 955.062 1.145.303
1.1 totally guaranteed 430.381 28.298 - 138.351 - - - - - - - - 9.500 914.869 1.091.018
- of which impaired 86.926 22.298 - - - - - - - - - - - 361.036 383.334
1.2 partially guaranteed 70.191 14.092 - - - - - - - - - - - 40.193 54.285
- of which impaired 31.341 14.092 - - - - - - - - - - - 11.194 25.286
2. Guaranteed off-balance-sheet exposure: - - - - - - - - - - - - - - -
2.1 totally guaranteed - - - - - - - - - - - - - - -
- of which impaired - - - - - - - - - - - - - - -
2.2 partially guaranteed - - - - - - - - - - - - - - -
- of which impaired - - - - - - - - - - - - - - -
       

B. Concentration and distribution of loans and receivables

B.1 Gruppo bancario - Distribuzione settoriale delle esposizioni creditizie per cassa e "fuori bilancio" verso clientela (valore di bilancio)

Exposures/ counterparties Governments and Central Banks Other public entities Financial institutions Insurance companies Non-financial companies Other entities
Net exposure Specific impairment losses/reversal Portfolio impairment losses/reversal Net exposure Specific impairment losses/reversal Portfolio impairment losses/reversal Net exposure Specific impairment losses/reversal Portfolio impairment losses/reversal Net exposure Specific impairment losses/reversal Portfolio impairment losses/reversal Net exposure Specific impairment losses/reversal Portfolio impairment losses/reversal Net exposure Specific impairment losses/reversal Portfolio impairment losses/reversal
A. Cash exposure                                    
A.1 Non-performing loans - - X 9.329 2.883 X 24 - X - - X 68.452 113.693 X 37.446 6.244 X
A.2 Substandard loans - - X 5.401 3.040 X 3.410 145 X - - X 131.825 18.853 X 63.558 53 X
A.3 Rescheduled loans - - X - - X - - X - - X 7.910 1.138 X - - X
A.4 Overdue loans 583 - X 43.881 - X - - X - - X 68.356 429 X - - X
A.5 Other 5.053.121 X - 549.917 X 14 351.508 X 144 - X - 899.462 X 8.801 6.306 X 39
Total A 5.053.704 - - 608.528 5.923 14 354.942 145 144 - - - 1.176.005 134.113 8.801 107.310 6.297 39
B. Off-balance-sheet exposures                                    
B.1 Non-performing loans - - X - - X - - X - - X - - X - - X
B.2 Substandard loans - - X - - X - - X - - X 264 - X - - X
B.3 Other impaired loans - - X - - X - - X - - X 1.565 - X - - X
B.4 Other - X - 40 X - 496 X - - X - 73.100 X - - X -
Total B - - - 40 - - 496 - - - - - 74.929 - - - - -
Total (A+B) 31.12.2012 5.053.704 - - 608.568 5.923 14 355.438 145 144 - - - 1.250.934 134.113 8.801 107.310 6.297 39
Total (A+B) 31.12.2011 1.572.827 - - 392.549 2.329 - 56.927 18 130 - - - 1.204.441 91.368 5.338 114.009 4.775 146
       

B.2 Banking group - Geographical distribution of cash and off-balance-sheet credit exposures to customers (carrying amounts)

Exposures/Geographic areas Italy Other European countries America Asia Rest of the World
Net exposure Overall impairment losses/ reversals Net exposure Overall impairment losses/ reversals Net exposure Overall impairment losses/ reversals Net exposure Overall impairment losses/ reversals Net exposure Overall impairment losses/ reversals
A. Cash exposure                    
A.1 Non-performing loans 114.741 119.558 501 3.262 9 - - - - -
A.2 Substandard loans 201.872 21.980 2.299 111 13 - 3 - 7 -
A.3 Rescheduled loans 7.910 1.138 - - - - - - - -
A.4 Overdue loans 112.453 427 367 2 - - - - - -
A.5 Other 6.825.908 8.911 34.392 87 - - 14 - - -
Total A 7.262.884 152.014 37.559 3.462 22 - 17 - 7 -
B. Off-balance-sheet exposure                    
B.1 Non-performing loans - - - - - - - - - -
B.2 Substandard loans 264 - - - - - - - - -
B.3 Other impaired loans 1.565 - - - - - - - - -
B.4 Other 62.570 - 9.984 - - - 1.082 - - -
Total B 64.399 - 9.984 - - - 1.082 - - -
Total at 31.12.2012 7.327.283 152.014 47.543 3.462 22 - 1.099 - 7 -
Total at 31.12.2011 3.283.173 101.487 52.118 2.614 644 3 3.361 - 68 -
       

B.3 Banking group – Geographical distribution of cash and off-balance-sheet credit exposures to banks (carrying amounts)

Exposures/Geographic areas Italy Other European countries America Asia Rest of the World
Net exposure Impairment losses/reversal Net exposure Impairment losses/reversal Net exposure Impairment losses/reversal Net exposure Impairment losses/reversal Net exposure Impairment losses/reversal
A. Cash exposure                    
A.1 Non-performing loans - - - - - - - - - -
A.2 Substandard loans - - - - - - - - - -
A.3 Rescheduled loans - - - - - - - - - -
A.4 Overdue loans - - - - - - - - - -
A.5 Other 579.779 - 39.507 - 50 - - - - -
Total A 579.779 - 39.507 - 50 - - - - -
B. Off-balance-sheetexposure                    
B.1 Non-performing loans - - - - - - - - - -
B.2 Substandard loans - - - - - - - - - -
B.3 Other impaired loans - - - - - - - - - -
B.4 Other loans 196.693 - - - - - - - - -
Total B 196.693 - - - - - - - - -
Total (A+B) 31.12.2012 776.472 - 39.507 - 50 - - - - -
Total (A+B) 31.12.2011 398.796 - 54.321 - 19 - - - - -
 

B.4 Big risks

    31.12.2012 31.12.2011
a)Number1012
b) Carrying amount 5.662.493 1.962.820
c) Weighted value 341.512 258.374
 

The overall weighted amount of major risks at 31 December 2012 consisted of 302.267 thousand Euro in receivables due from banks and 39.245 thousand Euro in securities.

Disclosure regarding sovereign debt 

On 5 August 2011 CONSOB (drawing on ESMA document no. 2011/266 of 28 July 2011) issued Communication no. DEM/11070007 on disclosure in financial reports of positions held by listed companies in sovereign bonds and market performance, the management of sovereign debt positions and the income and equity effects also subsequent to 31 December 2012.

In compliance with the provisions of the aforementioned Communication, it should be noted that at 31 December 2012 the carrying amount of the sovereign debt(1) positions represented by debt securities was 5.008,2 million Euro, and consisted entirely of Italian government bonds; these securities, with a par value of 5.111 million Euro, are classified under Available for sale financial assets or Held-to-maturity financial assets and included in the banking book; the weighted residual average life of these securities is approximately twenty-one months.

The fair values used to measure the sovereign bond exposures at 31 December 2012 are considered level 1, and the exposures set out above were not impaired at that date. For further details on the measurement method applied and the classification, please refer to the sections on Accounting policies and Information on the consolidated statement of financial position.

Pursuant to the CONSOB Communication, besides the exposure to sovereign bonds, it is also necessary to consider receivables due from the Italian State Administration, which at 31 December 2012 totalled 654,1 million Euro, divided into 45,5 million Euro due from the “central Government” (of which 41,7 million Euro relating to tax receivables) and 608,6 million Euro due from “other public bodies”.

Operations undertaken after 31 December 2012 increased the Group’s exposure to sovereign risk. The par value of the portfolio of Italian government bonds went from 5.111 million Euro at 31 December 2012 to 7.073,5 million Euro at 6 March 2013.

The change from the end of 2012 in the fair value of government bonds classified under available for sale financial assets, although it has no effect in terms of the income statement, caused the valuation reserve to rise, with a consequent increase in the Group’s equity.

The valuation reserve, gross of the tax effect related to the overall position in Italian government bonds, went from a positive value of 8,1 million Euro (5,3 million net of the tax effect) to a positive value of approximately 20,8 million Euro at 6 March 2013 (13,9 million net of the tax effect). The latent gain relating to Government bonds recognised in the HTM portfolio and valued at amortised cost (74,5 million Euro gross of the relevant tax effect at the end of 2012) amounts to 38,9 million Euro, gross of taxes, at the date of preparation of these Notes.

(1) As indicated in the ESMA document, ‘sovereign debt positions’ means bonds issued by central and local governments and by government bodies, as well as loans provided to them.     

C. Asset sale and securitisation transactions

C.2 Sale transactions

C.2.1 Financial assets sold and not derecognised: carrying amount and full value

 

Banking products/portfolio Financial assets held for trading Financial assets measured at fair value Available for sale financial assets Financial assets held to maturity Due from banks Due from customers Total
A B C A B C A B C A B C A B C A B C 31.12.12 31.12.11
A. Cash assets - - - - - - 1.186.985 - - 2.798.570 - - - - - - - - -
1. Debt securities - - - - - - 1.186.985 - - 2.798.570 - - - - - - - - 49.197
2. Equity securities - - - - - - - - - X X X X X X X X X - -
3. O.E.I.C. - - - - - - - - - X X X X X X X X X - -
4. Loans - - - - - - - - - - - - - - - - - - - -
B. Derivative instruments - - - X X X X X X X X X X X X X X X - -
Total 31.12.2012 - - - - - - 1.186.985 - - 2.798.570 - - - - - - - - -
of which impaired - - - - - - - - - - - - - - - - - - - -
Total 31.12.2011 - - - - - - 49.197 - - - - - - - - - - - 49.197
of which impaired - - - - - - - - - - - - - - - - - - - -
Key: A= Financial assets sold and fully recognised (carrying amount) B= Financial assets sold and partly recognised (carrying amount) C= Financial assets sold and partly recognised (full value)

Key:

A= Financial assets sold and fully recognised (carrying amount)

B= Financial assets sold and partly recognised (carrying amount)

C= Financial assets sold and partly recognised (full value)

Available for sale financial assets that have been transferred and not cancelled refer to the carrying amount of securities underlying repurchase agreements.

Gruppo Banca IFIS
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