Prospectus - Notowania

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The new Group Risk Management framework aims at ensuring the right balance between "risk type" and "transactional
specialization" by adopting a matrix approach. Group portfolios will be clustered by risk type ("credit and cross-border risks", "market
risks" and "operational & reputational risks") and will intersect with transactions grouped on a sector level (CIB & PB, CEE, Retail,
Treasury, Asset Management). This matrix approach will lead to the set-up of two different responsibility centers on risk. On the one
hand, the "Portfolio Risk Managers" focused and specialized on the portfolio risks from a Group and cross-sector perspective, in
charge of translating the group risk appetite into risk strategies and limits across all Group Business Areas and Legal Entities. On
the other, the "Transactional Risk Managers" will be the responsibility centers for the risks originated by the Group "risk taking"
functions (i.e. Business units, Treasury, Asset Management, CEE countries). They will be in charge of implementing divisional and
local strategies guaranteeing consistency with portfolio risk guidelines and limits.
Besides Portfolio and Transactional Risk Managers, the new Risk Management set-up comprises: (i) the Strategic Risk
Management and Control department, responsible for, among the others, the management of the Basel 2 activities (including
measurement of internal capital according to Pillar 2, definition of the risk appetite and the “ICAAP” coordination) as well as
centralized risk reporting and risk policies functions for all the risks at Group level, (ii) a specialized department (“Special Credit”),
responsible for coordinating, addressing, supporting and – with reference to relevant files – managing, restructuring and work-out
activities.
In accordance with the Risk Management architecture redesign, the set-up, role and rules of the Group Committees responsible for
risk topics have been revised. In order to strengthen the capacity of independent steering, coordination and control of Group risks,
to improve the efficiency and the flexibility in the risk decisional process and to address the interaction between the various involved
functions, three distinct levels of Risk Committees have been set-up:
� the "Group Risk Committee" being responsible for the Group strategic risk decisions;
� the "Group Portfolio Risks Committees", tasked with addressing, controlling and managing the portfolio risks;
� the "Group Transactional Committees" that will be in charge of evaluating the single counterparts/transactions impacting the
overall portfolio risk profile.
Regarding the compliance with the “Second Pillar” of the New Capital Accord (Basel 2), a specific capital adequacy valuation
process was developed, based on existing approaches. It envisages a general framework as well as a set of specific guidelines
aimed at setting out a common approach at Group level in the areas of capital planning, the definition of risk appetite and the
measurement, management, control and governance of risks. In addition, synthetic indicators were introduced to better support
processes as capital planning and capital adequacy. The Group’s risk profile is represented by internal capital that is calculated by
aggregating risks plus a conservative “cushion” which incorporates model risk and the variability of the economic cycle, and it is
compared with available financial resources (AFR). Thus, risk-taking capacity is calculated as the ratio of AFR to Internal capital.
The achievement of capital adequacy also implies proper risk management based on the involvement of senior management by
identifying the appropriate decision-making Bodies, properly assigning duties and responsibilities and reviewing the overall process.
The identification of risk appetite is therefore a key element of the capital adequacy assessment process. In detail it is made up by a
set of metrics that represent the target and limit levels of risks the Group is willing to take on in order to pursue the defined
objectives. A new process was developed last year and reviewed for the 2010 budgeting process.
In accordance with the implementation plan for the Advanced Internal Rating Based (A-IRB) approach, which have been
communicated to Bank of Italy in September 2008, the Group has either implemented or is in the process to extend the A-IRB
approach to further subsidiaries of the Group.