Milano, 22 November 2002




IntesaBci launches its third synthetic securitisation on a portfolio of the Bank’s loans



IntesaBci launched a new synthetic securitisation on a portfolio of the Bank’s loans for a total nominal amount of 4 billion euro, named Verdi Synthetic (“Verdi”).


Verdi is the third public synthetic securitisation on the Bank’s balance sheet launched by IntesaBci after Scala 1 in November 1999  and Leonardo in May 2001.


Synthetic securitisations are third-generation securitisation structures which, through the use of credit derivatives, do not entail the physical transfer of the underlying portfolio, but transfer solely credit risk thus liberating economic and supervisory capital and expanding operating margins.


The securitised portfolio in this new operation is made up of 170 senior, secured and unsecured term loans, revolving credit facilities and credit letters, relative to international companies in Western Europe (53.6%), United States and Canada (46.4%) all endowed with an investment-grade rating assigned by Moody’s and/or Standard & Poor’s. The portfolio’s credit quality is extremely high: weighted average rating using Moody’s criteria is A3.


The objectives of IntesaBci are:

-         liberating economic and supervisory capital, for the purpose of reinvesting it according to the profitability objectives set out in the 2003-2005 Business Plan;

-         liberating credit lines given to the Bank’s main customers;

-         decreasing Risk Weighted Assets by 1 billion euro (taking into account the simultaneous expiration of Scala 1). This has already led to achieve the objective contained in the Business Plan of a 12.7 billion euro reduction in the exposure to Large Corporates within the end of December 2002.


With this operation IntesaBci buys from Merrill Lynch protection on the entire portfolio of 4 billion euro, through credit derivatives.


As concerns the portfolio’s mezzanine risk, Merrill Lynch, in turn, buys protection from Verdi Synthetic Plc, a Special Purpose Vehicle (“SPV”) domiciled in Ireland.


In turn, the SPV securitises such credit risks by issuing Notes and Credit Default Swaps for a total value of approximately 310 million euro. The notes issued by the vehicle are sold to institutional investors based on the following tranches:


-         Class A Notes (AAA/Aaa/AAA): 136 million €/$ (3.4%) with a return of Euribor + 65 basis points p.a.

-         Class B Notes (AA+/Aa1/AA): 76 million €/$ (1.9%) with a return of Euribor + 110 basis points p.a.

-         Class C Notes (A+/A1/A+): 36 million €/$ (0.9%) with a return of Euribor + 200 basis points p.a.

-         Class D Notes (BBB+/Baa1/BBB+): 40 million €/$ (1.0%) with a return of Euribor + 375 basis points p.a.

-         Class E Notes (BB+/Ba1/BBB-): 12 million €/$ (0.3%) with a return of Euribor + 800 basis points p.a.

-         Class E Credit Default Swap (BB+/Ba1/BBB-): 10 million €/$ (0.25%). Return is not disclosed.



In the operation IntesaBci acted as Originator and Sole Arranger, Caboto IntesaBci was Joint Bookrunner and  Merrill Lynch was both Joint Bookrunner and Intermediary Bank.