FACTBOX-European firms' exposure to U.S. subprime market

Aug 21 (Reuters) - Concerns over potential losses linked to the U.S. subprime mortgage market have prompted a number of European companies to state the extent of their exposure to it.

Following is a list of companies that made statements between Aug. 11 and 21 to indicate the extent of their exposure, together with details from analysts' research notes.

For a factbox covering companies' statements from Aug. 1 to 10 click on [ID:nL10897159]

Aug 21

DNB NOR (DNBNOR.OL) said its portfolio of foreign bonds is sound, with underlying exposure to European and Australian mortgages and without direct exposure to the U.S. subprime mortgage market [nL12241607]

UNICREDIT (CRDI.MI): According to Morgan Stanley, UniCredit has $200 million of RMBS with U.S. subprime collateral, all AAA securities and mostly 2002-03 vintages, and $220 million of CDOs with some subprime collateral, 70 percent rated AA or above and 90 percent investment grade. The Morgan Stanley note also mentions five off-balance sheet conduits. The three customer conduits -- Arabella (2.4 billion euros), Salome (1.7 billion euros) and Black Forest ($0.6 billion) - would represent only 1 percent of risk-weighted assets if UniCredit had to reconsolidate them. Of the two remaining credit arbitrage conduits, Conduit Busfko ($800 million, reduced since Q1 2007) invests in U.S. subprime CDOs, but 90 percent are old vintage.

INTESASANPAOLO (ISP.MI): According to Morgan Stanley the group has no direct subprime activity and its exposure to U.S. RMBS CDOs is minimal. The bank acts as a sponsor of only one vehicle, Romulus ($1.5 billion total assets), which has been consolidated since 2005 and is already included in the group's risk-weighted assets. Romulus has zero exposure to U.S. subprime mortgages.

Aug 20

HISCOX LTD (HSX.L)

The UK-listed insurer said it had almost no exposure to subprime mortgage-backed products. [ID:nWLB0750]

Aug 17

SACHSENLB

A group of German state banks extended a credit line of 17.3 billion euros ($23.3) billion) to keep the state bank's Ormond Quay investment vehicle afloat, SachsenLB said. [ID:nL17597787]

SPARKASSE KOELN-BONN