Prospectus - Notowania

showed a great deal of volatility, falling from a positive balance of more than 100
basis points in March 2008 to particularly low levels in December 2008 and
equivalent to 200-250 basis points in February and March 2009.
Specifically, the changes seen at the end of 2008 and the beginning of 2009 were due
to the extraordinary deterioration in financial institutions’ liquidity (mostly banks)
which then generated a severe, prolonged illiquidity in bond securities held in the
portfolios of these institutions, thereby invalidating the concept of fair value of these
assets.
The crisis triggered a general de-leveraging process of the financial system that
resulted in a downward price spiral as a result of the urgency of operators to reduce
their risk and debt exposures.
The scarce liquidity in financial markets in the fourth quarter of 2008 and the
consequent effect of reduced credit available to businesses sparked a crisis in the real
economy that is still underway, affecting especially the United States and the
European Union.
Under these circumstances, the Group promptly implemented a series of measures to
guarantee more stringent monitoring of these instruments, particularly structured
credit instruments (commonly known as ABS).
CIB’s structured credit products held were ring-fenced in a specific managed portfolio
subject to dedicated monitoring and reporting of both credit and market risk, and strict
operating rules for the management of these positions were defined.
Following changes in October 2008 by the International Accounting Standards Board
(IASB) to IAS 39 “Financial Instruments: Recognition and Measurement” and IFRS 7
“Financial Instruments: Disclosures”, it was possible to reclassify these positions from
“Held for Trading” to “Loans & Receivables”, due to market illiquidity and the
change of business intentions.
As at 30 September 2009, the carrying value of the reclassified ABS portfolio was
€7.9 billion while the corresponding market value was €6.3 billion at said date.
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